# EDGAR Filing Document

**Accession Number:** 0001221845
**File Stem:** 0001752724-25-205171
**Filing Date:** 2025-8
**Character Count:** 1068918
**Document Hash:** d81da825d6e1275f950611d7836a4c1d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-205171.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-205171

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21457
- **FILM NUMBER:** 251255679

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

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

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

## Series and Classes Contracts Data

### BATS SERIES A (Series ID: S000047014)

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

## Nport-Ex

Schedule of Investments (unaudited)

June 30, 2025

**BATS: Series A Portfolio**

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par* <br>*(000)*<br>| *Value* |
| **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** |
| &nbsp;&nbsp;&nbsp; 1988 CLO 2 Ltd., Series 2023-2A, Class A1R, (3-<br> mo. CME Term SOFR + 1.20%), 5.49%, <br> 04/15/38<sup>(a)(b)</sup><br>| USD  | 2710 | $2709069 |
| 522 Funding CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class CR, (3-mo. CME Term <br> SOFR + 2.31%), 6.58%, 10/20/31<sup>(a)(b)</sup><br>|  | 500 | 501125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-5A, Class AR, (3-mo. CME Term <br> SOFR + 1.33%), 5.59%, 04/15/35<sup>(a)(b)</sup><br>|  | 430 | 431043 |
| &nbsp;&nbsp;&nbsp; 720 East CLO VII Ltd., Series 2025-7A, Class A1, <br> (3-mo. CME Term SOFR + 1.06%), 5.34%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 6300 | 6301997 |
| &nbsp;&nbsp;&nbsp; AB BSL CLO 3 Ltd., Series 2021-3A, Class A1R, <br> (3-mo. CME Term SOFR + 1.25%), 5.52%, <br> 04/20/38<sup>(a)(b)</sup><br>|  | 2080 | 2082955 |
| &nbsp;&nbsp;&nbsp; ABFC Trust, Series 2007-WMC1, Class A2B, (1-<br> mo. CME Term SOFR + 1.11%), 5.43%, <br> 06/25/37<sup>(b)</sup><br>|  | 2562 | 2130658 |
| &nbsp;&nbsp;&nbsp; ACE Securities Corp. Home Equity Loan Trust, <br> Series 2005-AG1, Class M2, (1-mo. CME Term <br> SOFR + 0.80%), 5.12%, 08/25/35<sup>(b)</sup><br>|  | 353 | 291053 |
| Affirm Asset Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A, 5.61%, 02/15/29<sup>(a)</sup> |  | 1973 | 1981974 |
| &nbsp;&nbsp;&nbsp; Series 2025-X1, Class C, 5.34%, 04/15/30<sup>(a)</sup> |  | 5750 | 5754353 |
| Affirm Master Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.99%, 02/15/33<sup>(a)</sup> |  | 11446 | 11533905 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class B, 5.13%, 02/15/33<sup>(a)</sup> |  | 897 | 902814 |
| &nbsp;&nbsp;&nbsp; AGL CLO 12 Ltd., Series 2021-12A, Class A1, (3-<br> mo. CME Term SOFR + 1.42%), 5.69%, <br> 07/20/34<sup>(a)(b)</sup><br>|  | 4000 | 4007398 |
| AGL CLO 13 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-13A, Class A1, (3-mo. CME Term <br> SOFR + 1.42%), 5.69%, 10/20/34<sup>(a)(b)</sup><br>|  | 450 | 450900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-13A, Class B, (3-mo. CME Term <br> SOFR + 1.91%), 6.18%, 10/20/34<sup>(a)(b)</sup><br>|  | 650 | 652781 |
| &nbsp;&nbsp;&nbsp; AGL CLO 32 Ltd., Series 2024-32A, Class A1, (3-<br> mo. CME Term SOFR + 1.38%), 5.65%, <br> 07/21/37<sup>(a)(b)</sup><br>|  | 1590 | 1594961 |
| &nbsp;&nbsp;&nbsp; AGL CLO 34 Ltd., Series 2024-34A, Class A1, (3-<br> mo. CME Term SOFR + 1.34%), 5.61%, <br> 01/22/38<sup>(a)(b)</sup><br>|  | 2500 | 2509865 |
| &nbsp;&nbsp;&nbsp; AGL CLO 37 Ltd., Series 2024-37A, Class A1, (3-<br> mo. CME Term SOFR + 1.24%), 5.54%, <br> 04/22/38<sup>(a)(b)</sup><br>|  | 460 | 460460 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 2 Ltd., Series 2019-2A, Class A1R, <br> (3-mo. CME Term SOFR + 1.46%), 5.73%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 3770 | 3783828 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 27 Ltd., Series 2023-27A, Class A, <br> (3-mo. CME Term SOFR + 1.73%), 6.00%, <br> 10/21/36<sup>(a)(b)</sup><br>|  | 4000 | 4015328 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 36 Ltd., Series 2024-36A, Class B, <br> (3-mo. CME Term SOFR + 1.60%), 5.85%, <br> 01/23/38<sup>(a)(b)</sup><br>|  | 750 | 750195 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 38 Ltd., Series 2025-38A, Class A1, <br> (3-mo. CME Term SOFR + 1.24%), 5.56%, <br> 01/22/38<sup>(a)(b)</sup><br>|  | 3650 | 3653650 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 4 Ltd., Series 2020-4A, Class AR2, <br> (3-mo. CME Term SOFR + 1.38%), 5.65%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 4350 | 4367878 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 8 Ltd., Series 2020-8A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.33%), <br> 5.60%, 01/20/38<sup>(a)(b)</sup><br>|  | 1500 | 1503750 |

---

---

| | | | |
|:---|:---|:---|:---|
| *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; AIMCO CLO 11 Ltd., Series 2020-11A, Class BR2, <br> (3-mo. CME Term SOFR + 1.65%), 5.93%, <br> 07/17/37<sup>(a)(b)</sup><br>| USD  | 2180 | $2182341 |
| &nbsp;&nbsp;&nbsp; AIMCO CLO 23 Ltd., Series 2025-23A, Class A, <br> (3-mo. CME Term SOFR + 1.13%), 5.39%, <br> 04/20/38<sup>(a)(b)</sup><br>|  | 1690 | 1687906 |
| Ajax Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-G, Class A, 4.88%, 06/25/61<sup>(a)(b)</sup> |  | 6150 | 6127757 |
| &nbsp;&nbsp;&nbsp; Series 2021-G, Class B, 3.75%, 06/25/61<sup>(a)(b)</sup> |  | 1299 | 1448863 |
| &nbsp;&nbsp;&nbsp; Series 2021-G, Class C, 0.00%, 06/25/61<sup>(a)</sup> |  | 2296 | 2278912 |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class A, 4.25%, 10/25/62<sup>(a)(c)</sup> |  | 6251 | 6133296 |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class B, 4.25%, 10/25/62<sup>(a)(c)</sup> |  | 881 | 850582 |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class C, 0.00%, 10/25/62<sup>(a)</sup> |  | 1982 | 1175126 |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class SA, 0.00%, 10/25/62<sup>(a)(d)</sup> |  | 165 | 152857 |
| &nbsp;&nbsp;&nbsp; AMMC CLO 18 Ltd., Series 2016-18A, Class AR, <br> (3-mo. CME Term SOFR + 1.36%), 5.69%, <br> 05/26/31<sup>(a)(b)</sup><br>|  | 188 | 187872 |
| AMSR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class F, 3.60%, 06/17/38<sup>(a)</sup> |  | 2872 | 2667301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class F1, 3.28%, <br> 08/17/38<sup>(a)</sup><br>|  | 3756 | 3640765 |
| &nbsp;&nbsp;&nbsp; Anchorage Capital CLO 13 LLC, Series 2019-13A, <br> Class BRR, (3-mo. CME Term SOFR + 1.72%), <br> 6.05%, 04/15/38<sup>(a)(b)</sup><br>|  | 3000 | 3003661 |
| &nbsp;&nbsp;&nbsp; Anchorage Capital CLO 29 Ltd., Series 2024-29A, <br> Class A1, (3-mo. CME Term SOFR + 1.60%), <br> 5.87%, 07/20/37<sup>(a)(b)</sup><br>|  | 4430 | 4450477 |
| &nbsp;&nbsp;&nbsp; Anchorage Capital CLO 6 Ltd., Series 2015-6A, <br> Class BR3, (3-mo. CME Term SOFR + 2.10%), <br> 6.37%, 04/22/34<sup>(a)(b)</sup><br>|  | 3720 | 3742675 |
| Anchorage Capital CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-7A, Class BR3, (3-mo. CME Term <br> SOFR + 2.05%), 6.33%, 04/28/37<sup>(a)(b)</sup><br>|  | 800 | 802400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-7A, Class CR3, (3-mo. CME Term <br> SOFR + 2.45%), 6.73%, 04/28/37<sup>(a)(b)</sup><br>|  | 1625 | 1635135 |
| Anchorage Capital CLO 8 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-8A, Class AR2A, (3-mo. CME Term <br> SOFR + 1.46%), 5.74%, 10/27/34<sup>(a)(b)</sup><br>|  | 6670 | 6681368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-8A, Class BR2, (3-mo. CME Term <br> SOFR + 2.06%), 6.34%, 10/27/34<sup>(a)(b)</sup><br>|  | 1000 | 1005726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-8A, Class CR2, (3-mo. CME Term <br> SOFR + 2.66%), 6.94%, 10/27/34<sup>(a)(b)</sup><br>|  | 1000 | 1004206 |
| &nbsp;&nbsp;&nbsp; Apidos CLO LII, Series 2025-52A, Class A1, (3-mo. <br> CME Term SOFR + 1.13%), 5.39%, <br> 04/20/38<sup>(a)(b)</sup><br>|  | 2290 | 2285420 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XV, Series 2013-15A, Class A1RR, <br> (3-mo. CME Term SOFR + 1.27%), 5.54%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 272 | 272149 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XVIII-R, Series 2018-18A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.33%), <br> 5.60%, 01/22/38<sup>(a)(b)</sup><br>|  | 1350 | 1353384 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XX, Series 2015-20A, Class A1RA, <br> (3-mo. CME Term SOFR + 1.36%), 5.62%, <br> 07/16/31<sup>(a)(b)</sup><br>|  | 440 | 440224 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XXIV, Series 2016-24A, Class A2LX, <br> (3-mo. CME Term SOFR + 1.61%), 5.88%, <br> 10/20/30<sup>(a)(b)</sup><br>|  | 340 | 339957 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XXV, Series 2016-25A, Class BR3, <br> (3-mo. CME Term SOFR + 1.60%), 5.87%, <br> 01/20/37<sup>(a)(b)</sup><br>|  | 4500 | 4505727 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Apidos CLO XXXII |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-32A, Class A1R, (3-mo. CME Term <br> SOFR + 1.10%), 5.37%, 01/20/33<sup>(a)(b)</sup><br>| USD  | 587 | $587082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-32A, Class B1R, (3-mo. CME Term <br> SOFR + 1.50%), 5.77%, 01/20/33<sup>(a)(b)</sup><br>|  | 900 | 897515 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XXXIV, Series 2020-34A, Class A1R, <br> (3-mo. CME Term SOFR + 1.41%), 5.68%, <br> 01/20/35<sup>(a)(b)</sup><br>|  | 1450 | 1453152 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XXXIX, Series 2022-39A, Class A1, <br> (3-mo. CME Term SOFR + 1.30%), 5.57%, <br> 04/21/35<sup>(a)(b)</sup><br>|  | 5000 | 5014933 |
| Apidos CLO XXXVI |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-36A, Class B, (3-mo. CME Term <br> SOFR + 1.86%), 6.13%, 07/20/34<sup>(a)(b)</sup><br>|  | 740 | 741510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-36A, Class D, (3-mo. CME Term <br> SOFR + 3.16%), 7.43%, 07/20/34<sup>(a)(b)</sup><br>|  | 250 | 249645 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XXXVII, Series 2021-37A, Class A, <br> (3-mo. CME Term SOFR + 1.39%), 5.66%, <br> 10/22/34<sup>(a)(b)</sup><br>|  | 1780 | 1781787 |
| &nbsp;&nbsp;&nbsp; Aqua Finance Trust, Series 2021-A, Class A, <br> 1.54%, 07/17/46<sup>(a)</sup><br>|  | 124 | 114057 |
| &nbsp;&nbsp;&nbsp; Arbor Realty Commercial Real Estate Notes Ltd., <br> Series 2022-FL1, Class A, (SOFR (30-day) + <br> 1.45%), 5.75%, 01/15/37<sup>(a)(b)</sup><br>|  | 94 | 94010 |
| AREIT LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CRE7, Class A, (1-mo. CME Term <br> SOFR + 2.24%), 6.56%, 06/17/39<sup>(a)(b)</sup><br>|  | 1296 | 1296290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-CRE8, Class A, (1-mo. CME Term <br> SOFR + 2.11%), 6.43%, 08/17/41<sup>(a)(b)</sup><br>|  | 1668 | 1673077 |
| AREIT Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CRE9, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 6.00%, 05/17/41<sup>(a)(b)</sup><br>|  | 13151 | 13189425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CRE10, Class A, (1-mo. CME Term <br> SOFR + 1.39%), 5.70%, 12/17/29<sup>(a)(b)</sup><br>|  | 1400 | 1398844 |
| &nbsp;&nbsp;&nbsp; Ares L CLO Ltd., Series 2018-50A, Class BR, (3-<br> mo. CME Term SOFR + 1.86%), 6.12%, <br> 01/15/32<sup>(a)(b)</sup><br>|  | 1000 | 1000008 |
| &nbsp;&nbsp;&nbsp; Ares LIX CLO Ltd., Series 2021-59A, Class A, (3-<br> mo. CME Term SOFR + 1.29%), 5.57%, <br> 04/25/34<sup>(a)(b)</sup><br>|  | 250 | 250793 |
| &nbsp;&nbsp;&nbsp; Ares Loan Funding IV Ltd., Series 2023-ALF4A, <br> Class A1, (3-mo. CME Term SOFR + 1.75%), <br> 6.01%, 10/15/36<sup>(a)(b)</sup><br>|  | 1160 | 1164788 |
| &nbsp;&nbsp;&nbsp; Ares LVI CLO Ltd., Series 2020-56A, Class A1R2, <br> (3-mo. CME Term SOFR + 1.25%), 5.53%, <br> 01/25/38<sup>(a)(b)</sup><br>|  | 2130 | 2134035 |
| &nbsp;&nbsp;&nbsp; Ares LVII CLO Ltd., Series 2020-57A, Class AR, <br> (3-mo. CME Term SOFR + 1.41%), 5.69%, <br> 01/25/35<sup>(a)(b)</sup><br>|  | 640 | 641704 |
| &nbsp;&nbsp;&nbsp; Ares XLI CLO Ltd., Series 2016-41A, Class BR, <br> (3-mo. CME Term SOFR + 1.71%), 5.97%, <br> 04/15/34<sup>(a)(b)</sup><br>|  | 2500 | 2505678 |
| &nbsp;&nbsp;&nbsp; Ares XLVIII CLO Ltd., Series 2018-48A, Class B, <br> (3-mo. CME Term SOFR + 1.84%), 6.11%, <br> 07/20/30<sup>(a)(b)</sup><br>|  | 680 | 681303 |
| &nbsp;&nbsp;&nbsp; Ares XXXIX CLO Ltd., Series 2016-39A, <br> Class BR3, (3-mo. CME Term SOFR + 1.75%), <br> 6.02%, 07/18/37<sup>(a)(b)</sup><br>|  | 330 | 331083 |
| &nbsp;&nbsp;&nbsp; Argent Mortgage Loan Trust, Series 2005-W1, <br> Class A2, (1-mo. CME Term SOFR + 0.59%), <br> 4.91%, 05/25/35<sup>(b)</sup><br>|  | 36 | 29316 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Argent Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-M1, Class A2C, (1-mo. CME Term <br> SOFR + 0.41%), 4.73%, 07/25/36<sup>(b)</sup><br>| USD  | 2075 | $553650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W2, Class A2C, (1-mo. CME Term <br> SOFR + 0.69%), 5.01%, 03/25/36<sup>(b)</sup><br>|  | 541 | 296363 |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities Corp. Home Equity Loan <br> Trust OOMC, Series 2005-HE6, Class M6, (1-<br> mo. CME Term SOFR + 1.22%), 5.54%, <br> 07/25/35<sup>(b)</sup><br>|  | 914 | 820872 |
| &nbsp;&nbsp;&nbsp; Assurant CLO I Ltd., Series 2017-1A, Class BR, <br> (3-mo. CME Term SOFR + 1.96%), 6.23%, <br> 10/20/34<sup>(a)(b)</sup><br>|  | 1400 | 1406018 |
| &nbsp;&nbsp;&nbsp; Assurant CLO II Ltd., Series 2018-2A, Class A, <br> (3-mo. CME Term SOFR + 1.30%), 5.57%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 67 | 66809 |
| Bain Capital Credit CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.55%), 5.82%, 07/19/31<sup>(a)(b)</sup><br>|  | 250 | 249587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class A1R, (3-mo. CME Term <br> SOFR + 1.20%), 5.47%, 10/20/34<sup>(a)(b)</sup><br>|  | 350 | 350595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A1, (3-mo. CME Term <br> SOFR + 1.32%), 5.59%, 04/18/35<sup>(a)(b)</sup><br>|  | 1200 | 1203661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A1, (3-mo. CME Term <br> SOFR + 1.52%), 5.78%, 07/15/37<sup>(a)(b)</sup><br>|  | 5090 | 5111375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6A, Class A1, (3-mo. CME Term <br> SOFR + 1.33%), 5.65%, 01/21/38<sup>(a)(b)</sup><br>|  | 1500 | 1504114 |
| &nbsp;&nbsp;&nbsp; Ballyrock CLO 14 Ltd., Series 2020-14A, <br> Class A1AR, (3-mo. CME Term SOFR + 1.38%), <br> 5.65%, 07/20/37<sup>(a)(b)</sup><br>|  | 2539 | 2547379 |
| &nbsp;&nbsp;&nbsp; Ballyrock CLO 25 Ltd., Series 2023-25A, <br> Class A2R, (3-mo. CME Term SOFR + 1.50%), <br> 5.78%, 01/25/38<sup>(a)(b)</sup><br>|  | 1000 | 999304 |
| &nbsp;&nbsp;&nbsp; Ballyrock CLO 29 Ltd., Series 2025-29A, <br> Class A1A, (3-mo. CME Term SOFR + 1.32%), <br> 07/25/38<sup>(a)(b)(e)</sup><br>|  | 250 | 250063 |
| Ballyrock CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.33%), 5.59%, 01/15/38<sup>(a)(b)</sup><br>|  | 4600 | 4615199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-25A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 6.03%, 01/25/38<sup>(a)(b)</sup><br>|  | 500 | 480160 |
| &nbsp;&nbsp;&nbsp; BankAmerica Manufactured Housing Contract <br> Trust, Series 1997-2, Class B1, 7.07%, <br> 02/10/22<sup>(b)</sup><br>|  | 5740 | 590706 |
| &nbsp;&nbsp;&nbsp; Bankers Healthcare Group Securitization Trust, <br> Series 2020-A, Class C, 5.17%, 09/17/31<sup>(a)</sup><br>|  | 1940 | 1936427 |
| &nbsp;&nbsp;&nbsp; Bardot CLO Ltd., Series 2019-2A, Class ARR, (3-<br> mo. CME Term SOFR + 0.98%), 5.25%, <br> 10/22/32<sup>(a)(b)</sup><br>|  | 1227 | 1226835 |
| Barings CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-IA, Class BR, (3-mo. CME Term <br> SOFR + 1.66%), 5.93%, 01/20/31<sup>(a)(b)</sup><br>|  | 250 | 250680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class B1AR, (3-mo. CME Term <br> SOFR + 1.65%), 5.91%, 07/15/36<sup>(a)(b)</sup><br>|  | 2560 | 2566177 |
| Battalion CLO 18 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18A, Class AR, (3-mo. CME Term <br> SOFR + 1.46%), 5.72%, 10/15/36<sup>(a)(b)</sup><br>|  | 500 | 500721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18A, Class BR, (3-mo. CME Term <br> SOFR + 2.01%), 6.27%, 10/15/36<sup>(a)(b)</sup><br>|  | 1000 | 1002981 |
| &nbsp;&nbsp;&nbsp; Battalion CLO VIII Ltd., Series 2015-8A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.33%), <br> 5.60%, 07/18/30<sup>(a)(b)</sup><br>|  | 265 | 264874 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Bayswater Park CLO Ltd., Series 2023-1A, <br> Class A1, (3-mo. CME Term SOFR + 1.73%), <br> 6.00%, 01/20/37<sup>(a)(b)</sup><br>| USD  | 660 | $663167 |
| &nbsp;&nbsp;&nbsp; Bayview Financial Mortgage Pass-Through Trust, <br> Series 2006-A, Class B2, (1-mo. CME Term <br> SOFR + 2.59%), 6.92%, 02/28/41<sup>(b)</sup><br>|  | 5459 | 5522675 |
| Bayview Financial Revolving Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A, Class A1, (1-mo. CME Term <br> SOFR + 1.11%), 5.44%, 02/28/40<sup>(a)(b)</sup><br>|  | 2865 | 2575642 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-E, Class A1, (1-mo. CME Term <br> SOFR + 1.11%), 5.44%, 12/28/40<sup>(a)(b)</sup><br>|  | 803 | 802256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-E, Class A2A, (1-mo. CME Term <br> SOFR + 1.04%), 5.37%, 12/28/40<sup>(a)(b)</sup><br>|  | 658 | 632627 |
| &nbsp;&nbsp;&nbsp; BBAM U.S. CLO I Ltd., Series 2022-1A, Class AR, <br> (3-mo. CME Term SOFR + 1.20%), 5.46%, <br> 03/30/38<sup>(a)(b)</sup><br>|  | 1851 | 1850354 |
| BDS Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL11, Class ATS, (1-mo. CME Term <br> SOFR + 1.80%), 6.12%, 03/19/39<sup>(a)(b)</sup><br>|  | 869 | 869250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FL13, Class A, (1-mo. CME Term <br> SOFR + 1.58%), 5.89%, 09/19/39<sup>(a)(b)</sup><br>|  | 1946 | 1946327 |
| &nbsp;&nbsp;&nbsp; Bean Creek CLO Ltd., Series 2015-1A, Class BR, <br> (3-mo. CME Term SOFR + 1.71%), 5.98%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 439 | 439139 |
| Bear Stearns Asset-Backed Securities I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-HE8, Class M3, (1-mo. CME Term <br> SOFR + 2.06%), 6.38%, 08/25/35<sup>(b)</sup><br>|  | 3276 | 3157172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-EC1, Class M4, (1-mo. CME Term <br> SOFR + 1.06%), 4.99%, 12/25/35<sup>(b)</sup><br>|  | 1428 | 1377111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE5, Class M2, (1-mo. CME Term <br> SOFR + 0.59%), 4.91%, 06/25/36<sup>(b)</sup><br>|  | 2146 | 2090444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE7, Class 1A2, (1-mo. CME Term <br> SOFR + 0.45%), 4.77%, 09/25/36<sup>(b)</sup><br>|  | 76 | 74234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE2, Class 1A4, (1-mo. CME Term <br> SOFR + 0.43%), 4.75%, 03/25/37<sup>(b)</sup><br>|  | 739 | 677862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE2, Class 23A, (1-mo. CME Term <br> SOFR + 0.39%), 4.71%, 03/25/37<sup>(b)</sup><br>|  | 28 | 26733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE3, Class 1A4, (1-mo. CME Term <br> SOFR + 0.81%), 5.13%, 04/25/37<sup>(b)</sup><br>|  | 365 | 347972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE5, Class M2, (1-mo. CME Term <br> SOFR + 0.49%), 4.81%, 06/25/47<sup>(b)</sup><br>|  | 6017 | 5196954 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO Ltd., Series 2015-6BR, <br> Class A1R, (3-mo. CME Term SOFR + 1.18%), <br> 5.46%, 04/20/38<sup>(a)(b)</sup><br>|  | 1460 | 1458540 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO V-B Ltd., Series 2018-<br> 5BA, Class A1R, (3-mo. CME Term SOFR + <br> 1.53%), 5.80%, 07/20/37<sup>(a)(b)</sup><br>|  | 2366 | 2376263 |
| Benefit Street Partners CLO VIII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-8A, Class A1AR, (3-mo. CME Term <br> SOFR + 1.36%), 5.63%, 01/20/31<sup>(a)(b)</sup><br>|  | 621 | 620999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-8A, Class A2R, (3-mo. CME Term <br> SOFR + 1.71%), 5.98%, 01/20/31<sup>(a)(b)</sup><br>|  | 1885 | 1885588 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO X Ltd., Series 2016-<br> 10A, Class A2AR, (3-mo. CME Term SOFR + <br> 1.81%), 6.08%, 04/20/34<sup>(a)(b)</sup><br>|  | 500 | 501305 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XII-B Ltd., <br> Series 2017-12BRA, Class B, (3-mo. CME Term <br> SOFR + 1.70%), 5.96%, 10/15/37<sup>(a)(b)</sup><br>|  | 1700 | 1702285 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XVI Ltd., Series 2018-<br> 16A, Class A1R2, (3-mo. CME Term SOFR + <br> 1.32%), 5.60%, 01/17/38<sup>(a)(b)</sup><br>|  | 830 | 832347 |

---

---

| | | | |
|:---|:---|:---|:---|
| *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; Benefit Street Partners CLO XX Ltd., Series 2020-<br> 20A, Class AR, (3-mo. CME Term SOFR + <br> 1.43%), 5.69%, 07/15/34<sup>(a)(b)</sup><br>| USD  | 1360 | $1362397 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXIX Ltd., <br> Series 2022-29A, Class AR, (3-mo. CME Term <br> SOFR + 1.18%), 5.46%, 01/25/38<sup>(a)(b)</sup><br>|  | 1000 | 999000 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXVI Ltd., <br> Series 2022-26A, Class AR, (3-mo. CME Term <br> SOFR + 1.38%), 5.65%, 07/20/37<sup>(a)(b)</sup><br>|  | 1920 | 1926088 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXVII Ltd., <br> Series 2022-27A, Class AR, (3-mo. CME Term <br> SOFR + 1.37%), 5.64%, 10/20/37<sup>(a)(b)</sup><br>|  | 7630 | 7658489 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXXVII Ltd., <br> Series 2024-37A, Class A, (3-mo. CME Term <br> SOFR + 1.35%), 5.70%, 01/25/38<sup>(a)(b)</sup><br>|  | 3470 | 3482385 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXXVIII Ltd., <br> Series 2024-38A, Class A, (3-mo. CME Term <br> SOFR + 1.31%), 5.62%, 01/25/38<sup>(a)(b)</sup><br>|  | 3570 | 3580744 |
| &nbsp;&nbsp;&nbsp; Betony CLO 2 Ltd., Series 2018-1A, Class A1, <br> (3-mo. CME Term SOFR + 1.34%), 5.62%, <br> 04/30/31<sup>(a)(b)</sup><br>|  | 91 | 91529 |
| BHG Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 1.42%, 11/17/33<sup>(a)</sup> |  | 43 | 42727 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class B, 2.79%, 11/17/33<sup>(a)</sup> |  | 3714 | 3587292 |
| &nbsp;&nbsp;&nbsp; Series 2022-C, Class B, 5.93%, 10/17/35<sup>(a)</sup> |  | 573 | 574757 |
| &nbsp;&nbsp;&nbsp; Birch Grove CLO 10 Ltd., Series 2024-10A, <br> Class A, (3-mo. CME Term SOFR + 1.39%), <br> 5.95%, 01/22/38<sup>(a)(b)</sup><br>|  | 3400 | 3412901 |
| &nbsp;&nbsp;&nbsp; Birch Grove CLO 2 Ltd., Series 2021-2A, <br> Class A1R, (3-mo. CME Term SOFR + 1.40%), <br> 5.67%, 10/19/37<sup>(a)(b)</sup><br>|  | 630 | 632125 |
| Birch Grove CLO 3 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class A1R, (3-mo. CME Term <br> SOFR + 1.26%), 5.53%, 01/19/38<sup>(a)(b)</sup><br>|  | 2000 | 2003200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.60%), 5.87%, 01/19/38<sup>(a)(b)</sup><br>|  | 730 | 729492 |
| &nbsp;&nbsp;&nbsp; Birch Grove CLO 6 Ltd., Series 2023-6A, Class A1, <br> (3-mo. CME Term SOFR + 2.20%), 6.47%, <br> 07/20/35<sup>(a)(b)</sup><br>|  | 1500 | 1500000 |
| BlueMountain CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.86%), 6.13%, 10/22/30<sup>(a)(b)</sup><br>|  | 1250 | 1252607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-3A, Class A1R, (3-mo. CME Term <br> SOFR + 1.26%), 5.53%, 04/20/31<sup>(a)(b)</sup><br>|  | 882 | 882994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.20%), 5.53%, 11/15/30<sup>(a)(b)</sup><br>|  | 5417 | 5422306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3A, Class A2R2, (3-mo. CME Term <br> SOFR + 1.70%), 6.03%, 11/15/30<sup>(a)(b)</sup><br>|  | 1000 | 1000739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class B, (3-mo. CME Term <br> SOFR + 1.96%), 6.29%, 08/15/31<sup>(a)(b)</sup><br>|  | 1320 | 1326357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class A1R, (3-mo. CME Term <br> SOFR + 1.19%), 5.47%, 10/25/30<sup>(a)(b)</sup><br>|  | 1183 | 1183863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.85%), 6.13%, 10/25/30<sup>(a)(b)</sup><br>|  | 6350 | 6367755 |
| &nbsp;&nbsp;&nbsp; BlueMountain CLO XXIX Ltd., Series 2020-29A, <br> Class BR, (3-mo. CME Term SOFR + 2.01%), <br> 6.29%, 07/25/34<sup>(a)(b)</sup><br>|  | 420 | 422744 |
| &nbsp;&nbsp;&nbsp; BlueMountain CLO XXV Ltd., Series 2019-25A, <br> Class A1RR, (3-mo. CME Term SOFR + 1.35%), <br> 5.61%, 01/15/38<sup>(a)(b)</sup><br>|  | 490 | 491460 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; BlueMountain CLO XXVIII Ltd., Series 2021-28A, <br> Class A, (3-mo. CME Term SOFR + 1.52%), <br> 5.78%, 04/15/34<sup>(a)(b)</sup><br>| USD  | 650 | $650000 |
| &nbsp;&nbsp;&nbsp; BlueMountain Fuji U.S. CLO II Ltd., Series 2017-<br> 2A, Class A1AR, (3-mo. CME Term SOFR + <br> 1.26%), 5.53%, 10/20/30<sup>(a)(b)</sup><br>|  | 1617 | 1619889 |
| &nbsp;&nbsp;&nbsp; BRAVO Residential Funding Trust, Series 2024-<br> CES2, Class A1A, 5.55%, 09/25/54<sup>(a)(c)</sup><br>|  | 1463 | 1468245 |
| &nbsp;&nbsp;&nbsp; Brex Commercial Charge Card Master Trust, <br> Series 2024-1, Class A1, 6.05%, 07/15/27<sup>(a)</sup><br>|  | 2027 | 2042519 |
| &nbsp;&nbsp;&nbsp; Bridge Street CLO II Ltd., Series 2021-1A, <br> Class A1A, (3-mo. CME Term SOFR + 1.49%), <br> 5.76%, 07/20/34<sup>(a)(b)</sup><br>|  | 250 | 250369 |
| Bryant Park Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-19A, Class A1R, (3-mo. CME Term <br> SOFR + 1.20%), 5.49%, 04/15/38<sup>(a)(b)</sup><br>|  | 720 | 719346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-25A, Class C, (3-mo. CME Term <br> SOFR + 1.95%), 6.27%, 01/18/38<sup>(a)(b)</sup><br>|  | 500 | 501921 |
| &nbsp;&nbsp;&nbsp; Buckhorn Park CLO Ltd., Series 2019-1A, <br> Class ARR, (3-mo. CME Term SOFR + 1.07%), <br> 5.34%, 07/18/34<sup>(a)(b)</sup><br>|  | 4810 | 4810370 |
| &nbsp;&nbsp;&nbsp; BXMT Ltd. Mortgage-Backed Securities, <br> Series 2025-FL5, Class A, (1-mo. CME Term <br> SOFR + 1.64%), 5.95%, 10/18/42<sup>(a)(b)</sup><br>|  | 12936 | 12840259 |
| &nbsp;&nbsp;&nbsp; Canyon Capital CLO Ltd., Series 2016-1A, <br> Class AR, (3-mo. CME Term SOFR + 1.33%), <br> 5.59%, 07/15/31<sup>(a)(b)</sup><br>|  | 554 | 554723 |
| Canyon CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A, (3-mo. CME Term <br> SOFR + 1.33%), 5.59%, 07/15/31<sup>(a)(b)</sup><br>|  | 262 | 262334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class A1R, (3-mo. CME Term <br> SOFR + 1.40%), 5.66%, 10/15/37<sup>(a)(b)</sup><br>|  | 3495 | 3508326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.95%), 6.21%, 10/15/37<sup>(a)(b)</sup><br>|  | 250 | 250998 |
| &nbsp;&nbsp;&nbsp; Carbone CLO Ltd., Series 2017-1A, Class A1, (3-<br> mo. CME Term SOFR + 1.40%), 5.67%, <br> 01/20/31<sup>(a)(b)</sup><br>|  | 322 | 322037 |
| &nbsp;&nbsp;&nbsp; Carlyle C17 CLO Ltd., Series C17A, Class A1AR, <br> (3-mo. CME Term SOFR + 1.29%), 5.57%, <br> 04/30/31<sup>(a)(b)</sup><br>|  | 543 | 543762 |
| Carlyle Global Market Strategies CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.23%), 5.51%, 04/17/31<sup>(a)(b)</sup><br>|  | 991 | 991470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2RA, Class A1, (3-mo. CME Term <br> SOFR + 1.31%), 5.64%, 05/15/31<sup>(a)(b)</sup><br>|  | 499 | 499572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-3RA, Class A1A, (3-mo. CME Term <br> SOFR + 1.31%), 5.59%, 07/27/31<sup>(a)(b)</sup><br>|  | 137 | 137015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-3RA, Class A1B, (3-mo. CME Term <br> SOFR + 1.56%), 5.84%, 07/27/31<sup>(a)(b)</sup><br>|  | 1000 | 1000211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-5A, Class A1RR, (3-mo. CME Term <br> SOFR + 1.40%), 5.66%, 07/15/31<sup>(a)(b)</sup><br>|  | 556 | 557235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-5A, Class A2RR, (3-mo. CME Term <br> SOFR + 1.71%), 5.97%, 07/15/31<sup>(a)(b)</sup><br>|  | 590 | 590455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A, Class AR3, (3-mo. CME Term <br> SOFR + 1.24%), 5.51%, 07/20/31<sup>(a)(b)</sup><br>|  | 186 | 186384 |
| Carlyle U.S. CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.40%), 5.67%, 10/21/37<sup>(a)(b)</sup><br>|  | 4610 | 4628440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class BR2, (3-mo. CME Term <br> SOFR + 1.78%), 6.05%, 10/21/37<sup>(a)(b)</sup><br>|  | 2810 | 2818295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1AR, (3-mo. CME Term <br> SOFR + 1.34%), 5.61%, 04/20/31<sup>(a)(b)</sup><br>|  | 279 | 279714 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Carlyle U.S. CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-8A, Class B, (3-mo. CME Term <br> SOFR + 1.91%), 6.17%, 10/15/34<sup>(a)(b)</sup><br>| USD  | 3000 | $3004869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6A, Class B, (3-mo. CME Term <br> SOFR + 1.70%), 6.16%, 10/25/37<sup>(a)(b)</sup><br>|  | 2600 | 2603382 |
| Carrington Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FRE2, Class A4, (1-mo. CME Term <br> SOFR + 0.36%), 4.68%, 10/25/36<sup>(b)</sup><br>|  | 1268 | 959489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NC4, Class A3, (1-mo. CME Term <br> SOFR + 0.27%), 4.59%, 10/25/36<sup>(b)</sup><br>|  | 16 | 15530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FRE1, Class A3, (1-mo. CME Term <br> SOFR + 0.37%), 4.69%, 02/25/37<sup>(b)</sup><br>|  | 3621 | 3501475 |
| CarVal CLO VC Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D, (3-mo. CME Term <br> SOFR + 3.51%), 7.77%, 10/15/34<sup>(a)(b)</sup><br>|  | 1000 | 996129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class E, (3-mo. CME Term <br> SOFR + 7.01%), 11.27%, 10/15/34<sup>(a)(b)</sup><br>|  | 1250 | 1210829 |
| &nbsp;&nbsp;&nbsp; CarVal CLO VIII-C Ltd., Series 2022-2A, <br> Class A1R, (3-mo. CME Term SOFR + 1.42%), <br> 5.69%, 10/22/37<sup>(a)(b)</sup><br>|  | 770 | 773169 |
| &nbsp;&nbsp;&nbsp; Cascade MH Asset Trust, Series 2019-MH1, <br> Class A, 4.00%, 11/25/44<sup>(a)(b)</sup><br>|  | 4258 | 4059734 |
| &nbsp;&nbsp;&nbsp; Cayuga Park CLO Ltd., Series 2020-1A, Class AR, <br> (3-mo. CME Term SOFR + 1.38%), 5.66%, <br> 07/17/34<sup>(a)(b)</sup><br>|  | 3390 | 3395575 |
| CBAM Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5A, Class B1, (3-mo. CME Term <br> SOFR + 1.66%), 5.94%, 04/17/31<sup>(a)(b)</sup><br>|  | 540 | 541762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-7A, Class B1, (3-mo. CME Term <br> SOFR + 1.86%), 6.13%, 07/20/31<sup>(a)(b)</sup><br>|  | 500 | 501094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-10A, Class A1R, (3-mo. CME Term <br> SOFR + 1.38%), 5.65%, 04/20/32<sup>(a)(b)</sup><br>|  | 3509 | 3514414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-12A, Class AR, (3-mo. CME Term <br> SOFR + 1.44%), 5.71%, 07/20/34<sup>(a)(b)</sup><br>|  | 810 | 810805 |
| &nbsp;&nbsp;&nbsp; C-BASS Trust, Series 2006-CB9, Class A4, (1-mo. <br> CME Term SOFR + 0.57%), 4.89%, 11/25/36<sup>(b)</sup><br>|  | 172 | 77385 |
| Cedar Funding II CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class ARR, (3-mo. CME Term <br> SOFR + 1.34%), 5.61%, 04/20/34<sup>(a)(b)</sup><br>|  | 750 | 751736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class BRR, (3-mo. CME Term <br> SOFR + 1.61%), 5.88%, 04/20/34<sup>(a)(b)</sup><br>|  | 500 | 499697 |
| &nbsp;&nbsp;&nbsp; Cedar Funding V CLO Ltd., Series 2016-5A, <br> Class A1R, (3-mo. CME Term SOFR + 1.36%), <br> 5.64%, 07/17/31<sup>(a)(b)</sup><br>|  | 1134 | 1135508 |
| &nbsp;&nbsp;&nbsp; Cedar Funding VII CLO Ltd., Series 2018-7A, <br> Class AR, (3-mo. CME Term SOFR + 1.08%), <br> 5.35%, 01/20/31<sup>(a)(b)</sup><br>|  | 179 | 179155 |
| &nbsp;&nbsp;&nbsp; Cedar Funding XI CLO Ltd., Series 2019-11A, <br> Class A2R2, (3-mo. CME Term SOFR + 1.30%), <br> 5.63%, 05/29/32<sup>(a)(b)</sup><br>|  | 250 | 249739 |
| &nbsp;&nbsp;&nbsp; Cedar Funding XIV CLO Ltd., Series 2021-14A, <br> Class B1R, (3-mo. CME Term SOFR + 1.70%), <br> 5.96%, 10/15/37<sup>(a)(b)</sup><br>|  | 1480 | 1483127 |
| CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class A2R, (3-mo. CME Term <br> SOFR + 2.01%), 6.27%, 07/16/30<sup>(a)(b)</sup><br>|  | 250 | 250835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class A1L2, (3-mo. CME Term <br> SOFR + 1.26%), 5.53%, 10/18/30<sup>(a)(b)</sup><br>|  | 946 | 946989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class A2L2, (3-mo. CME Term <br> SOFR + 1.76%), 6.03%, 10/18/30<sup>(a)(b)</sup><br>|  | 250 | 250293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1A, Class BR2, (3-mo. CME Term <br> SOFR + 1.66%), 5.93%, 01/18/31<sup>(a)(b)</sup><br>|  | 2100 | 2099172 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2RA, Class AR, (3-mo. CME Term <br> SOFR + 1.36%), 5.64%, 10/24/37<sup>(a)(b)</sup><br>| USD  | 10000 | $10039987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-4RA, Class A1A2, (3-mo. CME <br> Term SOFR + 0.99%), 5.27%, 01/17/35<sup>(a)(b)</sup><br>|  | 1000 | 1000293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A, Class ARR, (3-mo. CME Term <br> SOFR + 1.37%), 5.64%, 01/22/31<sup>(a)(b)</sup><br>|  | 629 | 629347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-4A, Class A1A2, (3-mo. CME Term <br> SOFR + 1.33%), 5.60%, 04/20/34<sup>(a)(b)</sup><br>|  | 1720 | 1723665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-5A, Class AR, (3-mo. CME Term <br> SOFR + 1.41%), 5.69%, 07/17/37<sup>(a)(b)</sup><br>|  | 1080 | 1083401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.32%), 5.59%, 01/18/38<sup>(a)(b)</sup><br>|  | 1390 | 1393475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.70%), 5.97%, 01/18/38<sup>(a)(b)</sup><br>|  | 1630 | 1632369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A1R, (3-mo. CME Term <br> SOFR + 1.37%), 5.64%, 10/20/37<sup>(a)(b)</sup><br>|  | 737 | 739952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 6.02%, 10/20/37<sup>(a)(b)</sup><br>|  | 1500 | 1503873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class A, (3-mo. CME Term <br> SOFR + 1.36%), 5.63%, 07/18/31<sup>(a)(b)</sup><br>|  | 643 | 643709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class B, (3-mo. CME Term <br> SOFR + 1.86%), 6.13%, 07/18/31<sup>(a)(b)</sup><br>|  | 256 | 256509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.36%), 5.63%, 10/20/37<sup>(a)(b)</sup><br>|  | 4297 | 4312604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class BR2, (3-mo. CME Term <br> SOFR + 1.70%), 5.97%, 10/20/37<sup>(a)(b)</sup><br>|  | 250 | 250638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class CR2, (3-mo. CME Term <br> SOFR + 2.00%), 6.27%, 10/20/37<sup>(a)(b)</sup><br>|  | 250 | 251030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class CR2, (3-mo. CME Term <br> SOFR + 1.80%), 6.06%, 01/16/38<sup>(a)(b)</sup><br>|  | 1550 | 1551039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-5A, Class A1R1, (3-mo. CME Term <br> SOFR + 1.40%), 5.66%, 01/15/35<sup>(a)(b)</sup><br>|  | 2250 | 2255490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-6A, Class A1R, (3-mo. CME Term <br> SOFR + 1.45%), 5.71%, 07/16/37<sup>(a)(b)</sup><br>|  | 4080 | 4094445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class A1R, (3-mo. CME Term <br> SOFR + 1.39%), 5.66%, 10/20/34<sup>(a)(b)</sup><br>|  | 7680 | 7687680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.91%), 6.18%, 10/20/34<sup>(a)(b)</sup><br>|  | 970 | 971903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4A, Class A1R, (3-mo. CME Term <br> SOFR + 1.30%), 5.56%, 01/15/40<sup>(a)(b)</sup><br>|  | 1870 | 1875824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 6.03%, 07/25/37<sup>(a)(b)</sup><br>|  | 690 | 691981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class B, (3-mo. CME Term <br> SOFR + 1.96%), 6.22%, 07/15/36<sup>(a)(b)</sup><br>|  | 510 | 510255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class AR, (3-mo. CME Term <br> SOFR + 1.36%), 5.64%, 07/23/37<sup>(a)(b)</sup><br>|  | 4210 | 4223741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class BR, (3-mo. CME Term <br> SOFR + 1.65%), 5.93%, 07/23/37<sup>(a)(b)</sup><br>|  | 2500 | 2503930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class CR, (3-mo. CME Term <br> SOFR + 1.90%), 6.18%, 07/23/37<sup>(a)(b)</sup><br>|  | 1000 | 1002725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-6A, Class A, (3-mo. CME Term <br> SOFR + 1.40%), 5.66%, 10/15/34<sup>(a)(b)</sup><br>|  | 580 | 580697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-6A, Class B, (3-mo. CME Term <br> SOFR + 1.91%), 6.17%, 10/15/34<sup>(a)(b)</sup><br>|  | 550 | 550459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class A, (3-mo. CME Term <br> SOFR + 1.60%), 5.87%, 01/20/37<sup>(a)(b)</sup><br>|  | 1700 | 1708123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class A1, (3-mo. CME Term <br> SOFR + 1.48%), 5.75%, 07/21/37<sup>(a)(b)</sup><br>|  | 2900 | 2911483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, (3-mo. CME Term <br> SOFR + 1.15%), 5.40%, 04/23/38<sup>(a)(b)</sup><br>|  | 250 | 249793 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class A, (3-mo. CME Term <br> SOFR + 1.13%), 5.41%, 04/15/38<sup>(a)(b)</sup><br>| USD  | 2970 | $2965652 |
| CIT Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class 1M2, (1-mo. CME Term <br> SOFR + 2.74%), 7.06%, 10/25/37<sup>(a)(b)</sup><br>|  | 2144 | 2073444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class 2M2, (1-mo. CME Term <br> SOFR + 2.74%), 7.06%, 10/25/37<sup>(a)(b)</sup><br>|  | 293 | 273628 |
| Citigroup Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AHL2, Class A3B, (1-mo. CME <br> Term SOFR + 0.31%), 4.63%, 05/25/37<sup>(b)</sup><br>|  | 881 | 575739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AHL2, Class A3C, (1-mo. CME <br> Term SOFR + 0.38%), 4.70%, 05/25/37<sup>(b)</sup><br>|  | 410 | 267993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-WFH2, Class M3, (1-mo. CME Term <br> SOFR + 0.82%), 5.14%, 03/25/37<sup>(b)</sup><br>|  | 5000 | 4816238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-WFH4, Class M3A, (1-mo. CME <br> Term SOFR + 3.86%), 8.18%, 07/25/37<sup>(b)</sup><br>|  | 1000 | 973923 |
| Clover CLO LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class B1RR, (3-mo. CME Term <br> SOFR + 1.95%), 6.22%, 04/20/37<sup>(a)(b)</sup><br>|  | 500 | 501816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class AR, (3-mo. CME Term <br> SOFR + 1.07%), 5.35%, 01/25/35<sup>(a)(b)</sup><br>|  | 3630 | 3632098 |
| &nbsp;&nbsp;&nbsp; Coinstar Funding LLC, Series 2017-1A, Class A2, <br> 5.22%, 04/25/47<sup>(a)</sup><br>|  | 522 | 482522 |
| College Ave Student Loans LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-B, Class B, 2.42%, 06/25/52<sup>(a)</sup> |  | 401 | 363116 |
| &nbsp;&nbsp;&nbsp; Series 2021-B, Class C, 2.72%, 06/25/52<sup>(a)</sup> |  | 1710 | 1575868 |
| &nbsp;&nbsp;&nbsp; Series 2021-B, Class D, 3.78%, 06/25/52<sup>(a)</sup> |  | 313 | 293825 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 2.72%, 07/26/55<sup>(a)</sup> |  | 288 | 263097 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class C, 3.06%, 07/26/55<sup>(a)</sup> |  | 2849 | 2642570 |
| &nbsp;&nbsp;&nbsp; College Ave Student Loans Trust, Series 2024-A, <br> Class A1B, (SOFR (30-day) + 1.75%), 6.06%, <br> 06/25/54<sup>(a)(b)</sup><br>|  | 5684 | 5780249 |
| &nbsp;&nbsp;&nbsp; Concord Music Royalties LLC, Series 2024-1A, <br> Class A, 5.64%, 10/20/74<sup>(a)</sup><br>|  | 2133 | 2138617 |
| Conseco Finance Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 1996-10, Class B1, 7.24%, 11/15/28<sup>(b)</sup> |  | 19 | 18910 |
| &nbsp;&nbsp;&nbsp; Series 1998-4, Class M1, 6.83%, 04/01/30<sup>(b)</sup> |  | 459 | 467042 |
| Conseco Finance Securitizations Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2000-1, Class A5, 8.06%, 09/01/29<sup>(b)</sup> |  | 2165 | 295414 |
| &nbsp;&nbsp;&nbsp; Series 2000-4, Class A6, 8.31%, 05/01/32<sup>(b)</sup> |  | 2157 | 301669 |
| &nbsp;&nbsp;&nbsp; Cook Park CLO Ltd., Series 2018-1A, Class B, <br> (3-mo. CME Term SOFR + 1.66%), 5.94%, <br> 04/17/30<sup>(a)(b)</sup><br>|  | 250 | 250402 |
| Countrywide Asset-Backed Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-16, Class 1AF, 4.53%, 04/25/36<sup>(b)</sup> |  | 1192 | 1056642 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-14, Class M1, (1-mo. CME Term <br> SOFR + 0.55%), 4.87%, 02/25/37<sup>(b)</sup><br>|  | 823 | 706077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-22, Class M1, (1-mo. CME Term <br> SOFR + 0.46%), 4.78%, 05/25/47<sup>(b)</sup><br>|  | 463 | 393141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-26, Class M1, (1-mo. CME Term <br> SOFR + 0.49%), 4.81%, 06/25/37<sup>(b)</sup><br>|  | 4232 | 3664929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-SEA2, Class 2A1, (1-mo. CME <br> Term SOFR + 1.61%), 5.93%, 06/25/47<sup>(a)(b)</sup><br>|  | 925 | 737752 |
| &nbsp;&nbsp;&nbsp; Countrywide Asset-Backed Certificates Revolving <br> Home Equity Loan Trust, Series 2004-U, <br> Class 2A, (1-mo. CME Term SOFR + 0.38%), <br> 4.70%, 03/15/34<sup>(b)</sup><br>|  | 7 | 7418 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities <br> Corp., Series 2004-CF2, Class 1B, 6.00%, <br> 01/25/43<sup>(a)(c)</sup><br>|  | 213 | 160216 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Credit-Based Asset Servicing & Securitization LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-CB2, Class AF4, 2.99%, <br> 12/25/36<sup>(c)</sup><br>| USD  | 14 | $11579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-MH1, Class B1, 6.75%, <br> 10/25/36<sup>(a)(c)</sup><br>|  | 974 | 967206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-MH1, Class B2, 6.75%, <br> 10/25/36<sup>(a)(c)</sup><br>|  | 1793 | 1458970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SL1, Class A3, (1-mo. CME Term <br> SOFR + 0.55%), 4.87%, 09/25/36<sup>(a)(b)</sup><br>|  | 5468 | 186256 |
| CreekSource Dunes Creek CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1X, Class A1, (3-mo. CME Term <br> SOFR + 1.41%), 5.74%, 01/15/38<sup>(b)(f)</sup><br>|  | 250 | 250750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1X, Class B, (3-mo. CME Term <br> SOFR + 1.75%), 6.08%, 01/15/38<sup>(b)(f)</sup><br>|  | 960 | 959940 |
| &nbsp;&nbsp;&nbsp; Crown Point CLO 10 Ltd., Series 2021-10A, <br> Class B, (3-mo. CME Term SOFR + 1.96%), <br> 6.23%, 07/20/34<sup>(a)(b)</sup><br>|  | 510 | 510689 |
| &nbsp;&nbsp;&nbsp; Crown Point CLO IV Ltd., Series 2018-4A, Class C, <br> (3-mo. CME Term SOFR + 2.16%), 6.43%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 250 | 249875 |
| CWHEQ Revolving Home Equity Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-C, Class 2A, (1-mo. CME Term <br> SOFR + 0.29%), 4.61%, 05/15/36<sup>(b)</sup><br>|  | 290 | 287516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-I, Class 1A, (1-mo. CME Term <br> SOFR + 0.25%), 4.57%, 01/15/37<sup>(b)</sup><br>|  | 110 | 105724 |
| Dewolf Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class AR, (3-mo. CME Term <br> SOFR + 1.18%), 5.44%, 10/15/30<sup>(a)(b)</sup><br>|  | 3041 | 3042194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class CR, (3-mo. CME Term <br> SOFR + 2.11%), 6.37%, 10/15/30<sup>(a)(b)</sup><br>|  | 500 | 501098 |
| &nbsp;&nbsp;&nbsp; Diameter Capital CLO 1 Ltd., Series 2021-1A, <br> Class A1R, (3-mo. CME Term SOFR + 1.39%), <br> 5.65%, 10/15/37<sup>(a)(b)</sup><br>|  | 11025 | 11077047 |
| Diameter Capital CLO 10 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-10A, Class A, (3-mo. CME Term <br> SOFR + 1.31%), 5.60%, 04/20/38<sup>(a)(b)</sup><br>|  | 2600 | 2602317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-10A, Class B, (3-mo. CME Term <br> SOFR + 1.90%), 6.19%, 04/20/38<sup>(a)(b)</sup><br>|  | 3000 | 3011652 |
| Diameter Capital CLO 2 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A1R, (3-mo. CME Term <br> SOFR + 1.39%), 5.65%, 10/15/37<sup>(a)(b)</sup><br>|  | 9990 | 10037161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A2R, (3-mo. CME Term <br> SOFR + 1.80%), 6.06%, 10/15/37<sup>(a)(b)</sup><br>|  | 500 | 500717 |
| &nbsp;&nbsp;&nbsp; Diameter Capital CLO 3 Ltd., Series 2022-3A, <br> Class A1R, (3-mo. CME Term SOFR + 1.33%), <br> 5.59%, 01/15/38<sup>(a)(b)</sup><br>|  | 282 | 283343 |
| &nbsp;&nbsp;&nbsp; Diameter Capital CLO 5 Ltd., Series 2023-5A, <br> Class A2, (3-mo. CME Term SOFR + 2.40%), <br> 6.66%, 10/15/36<sup>(a)(b)</sup><br>|  | 1000 | 1008469 |
| &nbsp;&nbsp;&nbsp; Diameter Capital CLO 9 Ltd., Series 2025-9A, <br> Class A, (3-mo. CME Term SOFR + 1.17%), <br> 5.49%, 04/20/38<sup>(a)(b)</sup><br>|  | 657 | 656343 |
| &nbsp;&nbsp;&nbsp; Dryden 104 CLO Ltd., Series 2022-104A, <br> Class A1R, (3-mo. CME Term SOFR + 1.29%), <br> 5.61%, 08/20/34<sup>(a)(b)</sup><br>|  | 3370 | 3378311 |
| &nbsp;&nbsp;&nbsp; Dryden 119 CLO Ltd., Series 2024-119A, Class C1, <br> (3-mo. CME Term SOFR + 2.35%), 6.61%, <br> 04/15/36<sup>(a)(b)</sup><br>|  | 1000 | 1005956 |
| &nbsp;&nbsp;&nbsp; Dryden 41 Senior Loan Fund, Series 2015-41A, <br> Class AR, (3-mo. CME Term SOFR + 1.23%), <br> 5.49%, 04/15/31<sup>(a)(b)</sup><br>|  | 1039 | 1039159 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Dryden 49 Senior Loan Fund, Series 2017-49A, <br> Class AR, (3-mo. CME Term SOFR + 1.21%), <br> 5.48%, 07/18/30<sup>(a)(b)</sup><br>| USD  | 373 | $373585 |
| &nbsp;&nbsp;&nbsp; Dryden 50 Senior Loan Fund, Series 2017-50A, <br> Class A1R, (3-mo. CME Term SOFR + 1.26%), <br> 5.52%, 07/15/30<sup>(a)(b)</sup><br>|  | 351 | 351281 |
| &nbsp;&nbsp;&nbsp; Dryden 53 CLO Ltd., Series 2017-53A, Class A, <br> (3-mo. CME Term SOFR + 1.38%), 5.64%, <br> 01/15/31<sup>(a)(b)</sup><br>|  | 1235 | 1235185 |
| &nbsp;&nbsp;&nbsp; Dryden 54 Senior Loan Fund, Series 2017-54A, <br> Class AR, (3-mo. CME Term SOFR + 1.15%), <br> 5.42%, 10/19/29<sup>(a)(b)</sup><br>|  | 1017 | 1017448 |
| &nbsp;&nbsp;&nbsp; Dryden 55 CLO Ltd., Series 2018-55A, Class A1, <br> (3-mo. CME Term SOFR + 1.28%), 5.54%, <br> 04/15/31<sup>(a)(b)</sup><br>|  | 1693 | 1696109 |
| &nbsp;&nbsp;&nbsp; Dryden 60 CLO Ltd., Series 2018-60A, Class A, <br> (3-mo. CME Term SOFR + 1.31%), 5.57%, <br> 07/15/31<sup>(a)(b)</sup><br>|  | 142 | 142147 |
| &nbsp;&nbsp;&nbsp; Dryden 64 CLO Ltd., Series 2018-64A, Class A, <br> (3-mo. CME Term SOFR + 1.23%), 5.50%, <br> 04/18/31<sup>(a)(b)</sup><br>|  | 221 | 221237 |
| &nbsp;&nbsp;&nbsp; Dryden 65 CLO Ltd., Series 2018-65A, Class B, <br> (3-mo. CME Term SOFR + 1.86%), 6.13%, <br> 07/18/30<sup>(a)(b)</sup><br>|  | 500 | 501034 |
| &nbsp;&nbsp;&nbsp; Dryden 76 CLO Ltd., Series 2019-76A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.37%), <br> 5.63%, 10/15/37<sup>(a)(b)</sup><br>|  | 620 | 622461 |
| Dryden 77 CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-77A, Class AR, (3-mo. CME Term <br> SOFR + 1.38%), 5.70%, 05/20/34<sup>(a)(b)</sup><br>|  | 2000 | 2003189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-77A, Class XR, (3-mo. CME Term <br> SOFR + 1.26%), 5.58%, 05/20/34<sup>(a)(b)</sup><br>|  | 63 | 62497 |
| &nbsp;&nbsp;&nbsp; Dryden 93 CLO Ltd., Series 2021-93A, Class BR, <br> (3-mo. CME Term SOFR + 1.70%), 5.96%, <br> 01/15/38<sup>(a)(b)</sup><br>|  | 670 | 671269 |
| Eaton Vance CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class A23R, (3-mo. CME Term <br> SOFR + 1.81%), 6.07%, 01/15/34<sup>(a)(b)</sup><br>|  | 1080 | 1082334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1RA, Class A2, (3-mo. CME Term <br> SOFR + 1.75%), 6.01%, 07/15/30<sup>(a)(b)</sup><br>|  | 250 | 250168 |
| &nbsp;&nbsp;&nbsp; EDvestinU Private Education Loan Issue No. <br> 1 LLC, Series 2019-A, Class A, 3.58%, <br> 11/25/38<sup>(a)</sup><br>|  | 380 | 372332 |
| EDvestinU Private Education Loan Issue No. 3 LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 1.80%, 11/25/45<sup>(a)</sup> |  | 172 | 158328 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class B, 3.50%, 11/25/50<sup>(a)</sup> |  | 1200 | 1005689 |
| &nbsp;&nbsp;&nbsp; EDvestinU Private Education Loan Issue No. <br> 4 LLC, Series 2022-A, Class A, 5.25%, <br> 11/25/40<sup>(a)</sup><br>|  | 798 | 792068 |
| Elmwood CLO 15 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A1, (3-mo. CME Term <br> SOFR + 1.34%), 5.61%, 04/22/35<sup>(a)(b)</sup><br>|  | 10590 | 10629987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class D, (3-mo. CME Term <br> SOFR + 3.67%), 7.94%, 04/22/35<sup>(a)(b)</sup><br>|  | 1625 | 1632735 |
| Elmwood CLO 27 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class B, (3-mo. CME Term <br> SOFR + 1.95%), 6.22%, 04/18/37<sup>(a)(b)</sup><br>|  | 1210 | 1214128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class D, (3-mo. CME Term <br> SOFR + 3.45%), 7.72%, 04/18/37<sup>(a)(b)</sup><br>|  | 250 | 252854 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 29 Ltd., Series 2024-5A, Class AR1, <br> (3-mo. CME Term SOFR + 1.52%), 5.79%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 4250 | 4265023 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 30 Ltd., Series 2024-6A, Class A, <br> (3-mo. CME Term SOFR + 1.43%), 5.71%, <br> 07/17/37<sup>(a)(b)</sup><br>| USD  | 1700 | $1705704 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 36 Ltd., Series 2024-12RA, <br> Class AR, (3-mo. CME Term SOFR + 1.34%), <br> 5.61%, 10/20/37<sup>(a)(b)</sup><br>|  | 1483 | 1488056 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 38 Ltd., Series 2025-1A, Class A, <br> (3-mo. CME Term SOFR + 1.15%), 5.43%, <br> 04/22/38<sup>(a)(b)</sup><br>|  | 2230 | 2227938 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 39 Ltd., Series 2025-2A, Class A1, <br> (3-mo. CME Term SOFR + 1.14%), 5.42%, <br> 04/17/38<sup>(a)(b)</sup><br>|  | 4500 | 4495266 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO I Ltd., Series 2019-1A, Class A1RR, <br> (3-mo. CME Term SOFR + 1.52%), 5.79%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 250 | 250884 |
| Elmwood CLO II Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A1RR, (3-mo. CME Term <br> SOFR + 1.35%), 5.62%, 10/20/37<sup>(a)(b)</sup><br>|  | 4920 | 4935990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class BRR, (3-mo. CME Term <br> SOFR + 1.70%), 5.97%, 10/20/37<sup>(a)(b)</sup><br>|  | 900 | 901757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class D1RR, (3-mo. CME Term <br> SOFR + 3.05%), 7.32%, 10/20/37<sup>(a)(b)</sup><br>|  | 250 | 249800 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO III Ltd., Series 2019-3A, Class BRR, <br> (3-mo. CME Term SOFR + 1.70%), 5.97%, <br> 07/18/37<sup>(a)(b)</sup><br>|  | 1080 | 1082789 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO IV Ltd., Series 2020-1A, Class DR, <br> (3-mo. CME Term SOFR + 3.35%), 7.62%, <br> 04/18/37<sup>(a)(b)</sup><br>|  | 1000 | 998043 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO VI Ltd., Series 2020-3A, Class ARR, <br> (3-mo. CME Term SOFR + 1.38%), 5.65%, <br> 07/18/37<sup>(a)(b)</sup><br>|  | 2394 | 2401436 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO VII Ltd., Series 2020-4A, <br> Class A1RR, (3-mo. CME Term SOFR + 1.36%), <br> 5.64%, 10/17/37<sup>(a)(b)</sup><br>|  | 1210 | 1214397 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO VIII Ltd., Series 2021-1A, Class FR, <br> (3-mo. CME Term SOFR + 8.00%), 12.27%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 250 | 230767 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO XII Ltd., Series 2021-5A, Class AR, <br> (3-mo. CME Term SOFR + 1.36%), 5.62%, <br> 10/15/37<sup>(a)(b)</sup><br>|  | 1788 | 1794467 |
| &nbsp;&nbsp;&nbsp; Enterprise Fleet Financing LLC, Series 2024-4, <br> Class A4, 4.70%, 06/20/31<sup>(a)</sup><br>|  | 1124 | 1136877 |
| &nbsp;&nbsp;&nbsp; FBR Securitization Trust, Series 2005-5, Class M2, <br> (1-mo. CME Term SOFR + 0.82%), 5.14%, <br> 11/25/35<sup>(b)</sup><br>|  | 1586 | 1574069 |
| &nbsp;&nbsp;&nbsp; FIGRE Trust, Series 2024-SL1, Class A1, 5.75%, <br> 07/25/53<sup>(a)(b)</sup><br>|  | 8115 | 8205817 |
| &nbsp;&nbsp;&nbsp; Fillmore Park CLO Ltd., Series 2018-1A, Class A2, <br> (3-mo. CME Term SOFR + 1.60%), 5.86%, <br> 07/15/30<sup>(a)(b)</sup><br>|  | 250 | 250105 |
| First Franklin Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF16, Class 2A3, (1-mo. CME Term <br> SOFR + 0.39%), 4.71%, 12/25/36<sup>(b)</sup><br>|  | 437 | 175589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF17, Class A5, (1-mo. CME Term <br> SOFR + 0.26%), 4.58%, 12/25/36<sup>(b)</sup><br>|  | 1293 | 1109617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FFH1, Class M2, (1-mo. CME Term <br> SOFR + 0.71%), 5.03%, 01/25/36<sup>(b)</sup><br>|  | 672 | 598989 |
| &nbsp;&nbsp;&nbsp; First NLC Trust, Series 2007-1, Class A3, (1-mo. <br> CME Term SOFR + 0.29%), 4.61%, <br> 08/25/37<sup>(a)(b)</sup><br>|  | 705 | 349981 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| FirstKey Homes Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class F1, 2.91%, <br> 09/17/38<sup>(a)</sup><br>| USD  | 5500 | $5268856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E1, 5.00%, <br> 05/19/39<sup>(a)</sup><br>|  | 4000 | 3970154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E2, 5.00%, <br> 05/19/39<sup>(a)</sup><br>|  | 2990 | 2952113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class E1, 4.50%, <br> 07/17/39<sup>(a)</sup><br>|  | 2681 | 2610245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class E2, 3.50%, <br> 07/17/38<sup>(a)</sup><br>|  | 6928 | 6723070 |
| Flatiron CLO 20 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.92%), 6.24%, 05/20/36<sup>(a)(b)</sup><br>|  | 1330 | 1333997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class DR, (3-mo. CME Term <br> SOFR + 3.45%), 7.77%, 05/20/36<sup>(a)(b)</sup><br>|  | 1000 | 1004932 |
| Flatiron CLO 21 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A2R, (3-mo. CME Term <br> SOFR + 1.58%), 5.85%, 10/19/37<sup>(a)(b)</sup><br>|  | 2060 | 2063242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.70%), 5.97%, 10/19/37<sup>(a)(b)</sup><br>|  | 1200 | 1201648 |
| Flatiron CLO 25 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, (3-mo. CME Term <br> SOFR + 1.35%), 5.63%, 10/17/37<sup>(a)(b)</sup><br>|  | 1060 | 1063731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, (3-mo. CME Term <br> SOFR + 1.60%), 5.88%, 10/17/37<sup>(a)(b)</sup><br>|  | 650 | 651185 |
| &nbsp;&nbsp;&nbsp; FNA 8 LLC, Series 2025-1, Class A, 5.62%, <br> 03/15/45<sup>(a)(b)</sup><br>|  | 6687 | 6718189 |
| Foundation Finance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-2A, Class A, 2.19%, 01/15/42<sup>(a)</sup> |  | 1021 | 970462 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 5.95%, 12/15/49<sup>(a)</sup> |  | 623 | 635998 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 4.93%, 03/15/50<sup>(a)</sup> |  | 1092 | 1089537 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A, Class D, 04/15/52<sup>(a)(e)</sup> |  | 4057 | 4056697 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A, Class E, 04/15/52<sup>(a)(e)</sup> |  | 3942 | 3941595 |
| &nbsp;&nbsp;&nbsp; Fremont Home Loan Trust, Series 2006-3, <br> Class 1A1, (1-mo. CME Term SOFR + 0.39%), <br> 4.71%, 02/25/37<sup>(b)</sup><br>|  | 1722 | 1260539 |
| FS Rialto Issuer Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL4, Class A, (SOFR (30-day) + <br> 1.90%), 6.20%, 01/19/39<sup>(a)(b)</sup><br>|  | 2021 | 2021200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FL9, Class A, (1-mo. CME Term <br> SOFR + 1.63%), 5.95%, 10/19/39<sup>(a)(b)</sup><br>|  | 4618 | 4635337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FL10, Class A, (1-mo. CME Term <br> SOFR + 1.39%), 5.70%, 08/19/42<sup>(a)(b)</sup><br>|  | 1240 | 1237278 |
| &nbsp;&nbsp;&nbsp; Galaxy 33 CLO Ltd., Series 2024-33A, Class D1, <br> (3-mo. CME Term SOFR + 3.55%), 7.82%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 1900 | 1908760 |
| &nbsp;&nbsp;&nbsp; Galaxy XX CLO Ltd., Series 2015-20A, Class AR, <br> (3-mo. CME Term SOFR + 1.26%), 5.53%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 542 | 541754 |
| &nbsp;&nbsp;&nbsp; Galaxy XXVI CLO Ltd., Series 2018-26A, <br> Class AR, (3-mo. CME Term SOFR + 1.17%), <br> 5.50%, 11/22/31<sup>(a)(b)</sup><br>|  | 425 | 424945 |
| Generate CLO 2 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2A, Class AR2, (3-mo. CME Term SOFR <br> + 1.41%), 5.69%, 10/22/37<sup>(a)(b)</sup><br>|  | 2020 | 2028080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2A, Class BR2, (3-mo. CME Term SOFR <br> + 1.80%), 6.08%, 10/22/37<sup>(a)(b)</sup><br>|  | 1990 | 1993667 |
| &nbsp;&nbsp;&nbsp; Generate CLO 20 Ltd., Series 2024-20A, Class B, <br> (3-mo. CME Term SOFR + 1.70%), 5.99%, <br> 01/25/38<sup>(a)(b)</sup><br>|  | 1930 | 1933957 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Generate CLO 7 Ltd., Series 7A, Class A1R, (3-mo. <br> CME Term SOFR + 1.62%), 5.89%, <br> 04/22/37<sup>(a)(b)</sup><br>| USD  | 8525 | $8557609 |
| &nbsp;&nbsp;&nbsp; Generate CLO 8 Ltd., Series 8A, Class A1R2, (3-<br> mo. CME Term SOFR + 1.38%), 5.65%, <br> 01/20/38<sup>(a)(b)</sup><br>|  | 4990 | 5012071 |
| &nbsp;&nbsp;&nbsp; Generate CLO 9 Ltd., Series 9A, Class AR, (3-mo. <br> CME Term SOFR + 1.35%), 5.62%, <br> 01/20/38<sup>(a)(b)</sup><br>|  | 1868 | 1873189 |
| GoldenTree Loan Management U.S. CLO 11 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-11A, Class AR, (3-mo. CME Term <br> SOFR + 1.08%), 5.35%, 10/20/34<sup>(a)(b)</sup><br>|  | 7920 | 7925676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-11A, Class ER, (3-mo. CME Term <br> SOFR + 4.90%), 9.17%, 10/20/34<sup>(a)(b)</sup><br>|  | 1750 | 1742178 |
| &nbsp;&nbsp;&nbsp; GoldenTree Loan Management U.S. CLO 16 Ltd., <br> Series 2022-16A, Class ARR, (3-mo. CME Term <br> SOFR + 1.12%), 5.39%, 01/20/38<sup>(a)(b)</sup><br>|  | 2690 | 2687295 |
| GoldenTree Loan Management U.S. CLO 23 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-23A, Class A, (3-mo. CME Term <br> SOFR + 1.27%), 5.55%, 01/20/39<sup>(a)(b)</sup><br>|  | 1540 | 1542583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-23A, Class B, (3-mo. CME Term <br> SOFR + 1.60%), 5.88%, 01/20/39<sup>(a)(b)</sup><br>|  | 2470 | 2473815 |
| &nbsp;&nbsp;&nbsp; GoldenTree Loan Management U.S. CLO 24 Ltd., <br> Series 2025-24A, Class A, (3-mo. CME Term <br> SOFR + 1.15%), 5.43%, 10/20/38<sup>(a)(b)</sup><br>|  | 7500 | 7489869 |
| &nbsp;&nbsp;&nbsp; GoldenTree Loan Management U.S. CLO 7 Ltd., <br> Series 2020-7A, Class ARR, (3-mo. CME Term <br> SOFR + 1.10%), 5.37%, 04/20/34<sup>(a)(b)</sup><br>|  | 450 | 450022 |
| &nbsp;&nbsp;&nbsp; GoldenTree Loan Management U.S. CLO 9 Ltd., <br> Series 2021-9R, Class DR, (3-mo. CME Term <br> SOFR + 3.35%), 7.62%, 04/20/37<sup>(a)(b)</sup><br>|  | 750 | 747114 |
| Goldman Home Improvement Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-GRN2, Class B, 1.97%, 06/25/51<sup>(a)</sup> |  | 1775 | 1739059 |
| &nbsp;&nbsp;&nbsp; Series 2022-GRN2, Class A, 6.80%, 10/25/52<sup>(a)</sup> |  | 639 | 656873 |
| Golub Capital Partners CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-41A, Class AR, (3-mo. CME Term <br> SOFR + 1.58%), 5.85%, 01/20/34<sup>(a)(b)</sup><br>|  | 1700 | 1705694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-43A, Class A1R, (3-mo. CME Term <br> SOFR + 1.34%), 5.61%, 10/20/37<sup>(a)(b)</sup><br>|  | 2716 | 2725100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-48A, Class A1R, (3-mo. CME Term <br> SOFR + 1.31%), 5.59%, 04/17/38<sup>(a)(b)</sup><br>|  | 1900 | 1903124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-52A, Class BR, (3-mo. CME Term <br> SOFR + 2.00%), 6.27%, 04/20/37<sup>(a)(b)</sup><br>|  | 2000 | 2011540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-55A, Class A, (3-mo. CME Term <br> SOFR + 1.46%), 5.73%, 07/20/34<sup>(a)(b)</sup><br>|  | 580 | 580548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-58A, Class A1, (3-mo. CME Term <br> SOFR + 1.44%), 5.72%, 01/25/35<sup>(a)(b)</sup><br>|  | 1780 | 1783474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-66A, Class AR, (3-mo. CME Term <br> SOFR + 1.45%), 5.77%, 07/25/38<sup>(a)(b)</sup><br>|  | 290 | 291043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-71A, Class A, (3-mo. CME Term <br> SOFR + 1.95%), 6.25%, 02/09/37<sup>(a)(b)</sup><br>|  | 6000 | 6018862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-76A, Class A1, (3-mo. CME Term <br> SOFR + 1.37%), 5.65%, 10/25/37<sup>(a)(b)</sup><br>|  | 790 | 793092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-76A, Class B, (3-mo. CME Term <br> SOFR + 1.67%), 5.95%, 10/25/37<sup>(a)(b)</sup><br>|  | 560 | 561121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-76A, Class D1, (3-mo. CME Term <br> SOFR + 2.90%), 7.18%, 10/25/37<sup>(a)(b)</sup><br>|  | 490 | 491721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-77A, Class A1, (3-mo. CME Term <br> SOFR + 1.25%), 5.55%, 01/25/38<sup>(a)(b)</sup><br>|  | 472 | 472529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-81A, Class A1, (3-mo. CME Term <br> SOFR + 1.31%), 07/20/38<sup>(a)(b)(e)</sup><br>|  | 250 | 249527 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Golub Capital Partners Static Ltd., Series 2024-1A, <br> Class AR, (3-mo. CME Term SOFR + 1.12%), <br> 07/20/35<sup>(a)(b)(e)</sup><br>| USD  | 250 | $250000 |
| GoodLeap Home Improvement Solutions Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.35%, 10/20/46<sup>(a)</sup> |  | 11082 | 11207820 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 5.38%, 02/20/49<sup>(a)</sup> |  | 9770 | 9891240 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class B, 6.27%, 02/20/49<sup>(a)</sup> |  | 2219 | 2268806 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A, Class A, 5.32%, 06/20/49<sup>(a)</sup> |  | 9012 | 9092382 |
| GoodLeap Sustainable Home Solutions Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-5CS, Class A, 2.31%, 10/20/48<sup>(a)</sup> |  | 1179 | 971768 |
| &nbsp;&nbsp;&nbsp; Series 2022-3CS, Class A, 4.95%, 07/20/49<sup>(a)</sup> |  | 356 | 320811 |
| Gracie Point International Funding LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, (SOFR (90-day) + <br> 1.95%), 6.30%, 09/01/26<sup>(a)(b)</sup><br>|  | 1365 | 1366795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (SOFR (90-day) + <br> 1.70%), 6.12%, 03/01/28<sup>(a)(b)</sup><br>|  | 4053 | 4060523 |
| &nbsp;&nbsp;&nbsp; Green Lakes Park CLO LLC, Series 2025-1A, <br> Class ARR, (3-mo. CME Term SOFR + 1.18%), <br> 5.46%, 01/25/38<sup>(a)(b)</sup><br>|  | 12480 | 12483120 |
| GreenSky Home Improvement Issuer Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A4, 5.67%, 06/25/59<sup>(a)</sup> |  | 5163 | 5265093 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class B, 5.87%, 06/25/59<sup>(a)</sup> |  | 764 | 777673 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A4, 5.15%, 10/27/59<sup>(a)</sup> |  | 1941 | 1957046 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class B, 5.26%, 10/27/59<sup>(a)</sup> |  | 1685 | 1694551 |
| &nbsp;&nbsp;&nbsp; Greenwood Park CLO Ltd., Series 2018-1A, <br> Class A1, (3-mo. CME Term SOFR + 1.29%), <br> 5.55%, 04/15/31<sup>(a)(b)</sup><br>|  | 107 | 106829 |
| GSAA Home Equity Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-14, Class 1A2, (1-mo. CME Term <br> SOFR + 0.81%), 5.13%, 12/25/35<sup>(b)</sup><br>|  | 283 | 127208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-14, Class A3A, (1-mo. CME Term <br> SOFR + 0.61%), 4.93%, 09/25/36<sup>(b)</sup><br>|  | 4474 | 1325098 |
| &nbsp;&nbsp;&nbsp; Series 2006-18, Class AF3A, 5.77%, 11/25/36<sup>(b)</sup> |  | 1327 | 363294 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A1, 4.24%, 03/25/36<sup>(b)</sup> |  | 655 | 441279 |
| &nbsp;&nbsp;&nbsp; Series 2007-2, Class AF3, 5.92%, 03/25/37<sup>(b)</sup> |  | 24 | 4270 |
| GSAMP Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE4, Class M1, (1-mo. CME Term <br> SOFR + 0.56%), 4.88%, 06/25/36<sup>(b)</sup><br>|  | 2900 | 2457614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-H1, Class A1B, (1-mo. CME Term <br> SOFR + 0.51%), 4.83%, 01/25/47<sup>(b)</sup><br>|  | 9 | 4509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HS1, Class M5, (1-mo. CME Term <br> SOFR + 3.49%), 7.81%, 02/25/47<sup>(b)</sup><br>|  | 3566 | 3553349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HS1, Class M7, (1-mo. CME Term <br> SOFR + 3.49%), 7.81%, 02/25/47<sup>(b)</sup><br>|  | 3000 | 2798022 |
| &nbsp;&nbsp;&nbsp; Halseypoint CLO 4 Ltd., Series 2021-4A, Class A, <br> (3-mo. CME Term SOFR + 1.48%), 5.75%, <br> 04/20/34<sup>(a)(b)</sup><br>|  | 920 | 921196 |
| &nbsp;&nbsp;&nbsp; Halseypoint CLO 6 Ltd., Series 2022-6A, <br> Class A1R, (3-mo. CME Term SOFR + 1.35%), <br> 5.62%, 01/20/38<sup>(a)(b)</sup><br>|  | 1000 | 1003894 |
| &nbsp;&nbsp;&nbsp; Halseypoint CLO 7 Ltd., Series 2023-7A, <br> Class A1R, (3-mo. CME Term SOFR + 1.45%), <br> 5.80%, 07/20/38<sup>(a)(b)</sup><br>|  | 250 | 250000 |
| &nbsp;&nbsp;&nbsp; Hartwick Park CLO Ltd., Series 2023-1A, <br> Class BR, (3-mo. CME Term SOFR + 1.55%), <br> 5.82%, 01/20/37<sup>(a)(b)</sup><br>|  | 2000 | 2002484 |
| &nbsp;&nbsp;&nbsp; Home Efficiency Trust, Series 2024, Class A, <br> 0.00%, 12/31/54<sup>(a)(g)</sup><br>|  | 2780 | 2831235 |
| &nbsp;&nbsp;&nbsp; Home Equity Asset Trust, Series 2006-3, Class M2, <br> (1-mo. CME Term SOFR + 0.71%), 5.03%, <br> 07/25/36<sup>(b)</sup><br>|  | 280 | 265056 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Home Equity Mortgage Loan Asset-Backed Trust, <br> Series 2004-A, Class M2, (1-mo. CME Term <br> SOFR + 2.14%), 3.78%, 07/25/34<sup>(b)</sup><br>| USD  | 11 | $10813 |
| &nbsp;&nbsp;&nbsp; Home Partners of America Trust, Series 2021-2, <br> Class F, 3.80%, 12/17/26<sup>(a)</sup><br>|  | 5759 | 5546975 |
| &nbsp;&nbsp;&nbsp; Huntington Bank Auto Credit-Linked Notes, <br> Series 2024-1, Class B2, (SOFR (30-day) + <br> 1.40%), 5.70%, 05/20/32<sup>(a)(b)</sup><br>|  | 7077 | 7117185 |
| &nbsp;&nbsp;&nbsp; Invesco CLO Ltd., Series 2022-1A, Class B, (3-mo. <br> CME Term SOFR + 1.80%), 6.07%, <br> 04/20/35<sup>(a)(b)</sup><br>|  | 510 | 511020 |
| JPMorgan Mortgage Acquisition Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-CH1, Class M7, (1-mo. CME Term <br> SOFR + 1.31%), 5.63%, 07/25/36<sup>(b)</sup><br>|  | 3498 | 3131712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-CH1, Class MF1, 4.47%, <br> 11/25/36<sup>(c)</sup><br>|  | 100 | 102424 |
| &nbsp;&nbsp;&nbsp; Juniper Valley Park CLO Ltd., Series 2023-1R, <br> Class BR, (3-mo. CME Term SOFR + 1.55%), <br> 5.82%, 07/20/36<sup>(a)(b)</sup><br>|  | 1800 | 1802200 |
| &nbsp;&nbsp;&nbsp; KeyCorp Student Loan Trust, Series 2004-A, <br> Class 2D, (3-mo. CME Term SOFR + 1.25%), <br> 6.10%, 07/28/42<sup>(b)</sup><br>|  | 1912 | 1835232 |
| &nbsp;&nbsp;&nbsp; Kings Park CLO Ltd., Series 2021-1A, Class A, <br> (3-mo. CME Term SOFR + 1.39%), 5.66%, <br> 01/21/35<sup>(a)(b)</sup><br>|  | 810 | 811834 |
| &nbsp;&nbsp;&nbsp; KKR CLO 10 Ltd., Series 10, Class BR, (3-mo. <br> CME Term SOFR + 1.96%), 6.28%, <br> 09/15/29<sup>(a)(b)</sup><br>|  | 233 | 233456 |
| &nbsp;&nbsp;&nbsp; KKR CLO 17 Ltd., Series 17, Class AR, (3-mo. <br> CME Term SOFR + 1.34%), 5.60%, <br> 04/15/34<sup>(a)(b)</sup><br>|  | 500 | 501045 |
| &nbsp;&nbsp;&nbsp; KKR CLO 33 Ltd., Series 33A, Class A, (3-mo. <br> CME Term SOFR + 1.43%), 5.70%, <br> 07/20/34<sup>(a)(b)</sup><br>|  | 500 | 500872 |
| &nbsp;&nbsp;&nbsp; KKR CLO 35 Ltd., Series 35A, Class AR, (3-mo. <br> CME Term SOFR + 1.20%), 5.47%, <br> 01/20/38<sup>(a)(b)</sup><br>|  | 1000 | 1000168 |
| &nbsp;&nbsp;&nbsp; Lake George Park CLO Ltd., Series 2025-1A, <br> Class B, (3-mo. CME Term SOFR + 1.50%), <br> 5.77%, 04/15/38<sup>(a)(b)</sup><br>|  | 1140 | 1139647 |
| &nbsp;&nbsp;&nbsp; LCM 26 Ltd., Series 26A, Class A1, (3-mo. CME <br> Term SOFR + 1.33%), 5.60%, 01/20/31<sup>(a)(b)</sup><br>|  | 420 | 420654 |
| &nbsp;&nbsp;&nbsp; LCM 35 Ltd., Series 35A, Class BR, (3-mo. CME <br> Term SOFR + 1.65%), 5.91%, 10/15/34<sup>(a)(b)</sup><br>|  | 3000 | 3004088 |
| &nbsp;&nbsp;&nbsp; LCM 36 Ltd., Series 36A, Class A1R, (3-mo. CME <br> Term SOFR + 1.07%), 5.33%, 01/15/34<sup>(a)(b)</sup><br>|  | 4810 | 4812689 |
| &nbsp;&nbsp;&nbsp; LCM XVII LP, Series 17A, Class A1AR, (3-mo. <br> CME Term SOFR + 1.39%), 5.65%, <br> 10/15/31<sup>(a)(b)</sup><br>|  | 2282 | 2283962 |
| &nbsp;&nbsp;&nbsp; LCM XVIII LP, Series 18A, Class A1R, (3-mo. CME <br> Term SOFR + 1.28%), 5.55%, 04/20/31<sup>(a)(b)</sup><br>|  | 26 | 25535 |
| Legacy Mortgage Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-SL2, Class A, 3.38%, 02/25/59<sup>(a)(b)</sup> |  | 2287 | 2200541 |
| &nbsp;&nbsp;&nbsp; Series 2019-SL2, Class B, 0.00%, 02/25/59<sup>(a)</sup> |  | 541 | 104184 |
| &nbsp;&nbsp;&nbsp; Series 2019-SL2, Class M, 4.25%, 02/25/59<sup>(a)(b)</sup> |  | 681 | 637372 |
| &nbsp;&nbsp;&nbsp; Lehman ABS Manufactured Housing Contract <br> Trust, Series 2002-A, Class C, 0.00%, 06/15/33<br>|  | 361 | 357185 |
| &nbsp;&nbsp;&nbsp; Lehman ABS Mortgage Loan Trust, Series 2007-1, <br> Class 2A1, (1-mo. CME Term SOFR + 0.20%), <br> 4.52%, 06/25/37<sup>(a)(b)</sup><br>|  | 72 | 47343 |
| LendingClub Rated Notes Issuer Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class A, 5.54%, 06/16/31<sup>(a)</sup> |  | 10073 | 10120286 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| LendingClub Rated Notes Issuer Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class B, 5.92%, 06/16/31<sup>(a)</sup> | USD  | 655 | $658075 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class C, 6.56%, 06/16/31<sup>(a)</sup> |  | 1509 | 1516084 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class D, 6.79%, 06/16/31<sup>(a)</sup> |  | 612 | 614873 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class E, 9.28%, 06/16/31<sup>(a)</sup> |  | 1194 | 1199605 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class F, 13.31%, 06/16/38<sup>(a)</sup> |  | 456 | 458141 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class R, 0.00%, 07/16/40<sup>(a)</sup> |  | 158 | 386818 |
| Lendmark Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 2.47%, 11/20/31<sup>(a)</sup> |  | 1525 | 1437844 |
| &nbsp;&nbsp;&nbsp; Series 2021-2A, Class B, 2.37%, 04/20/32<sup>(a)</sup> |  | 4630 | 4314047 |
| &nbsp;&nbsp;&nbsp; Series 2021-2A, Class D, 4.46%, 04/20/32<sup>(a)</sup> |  | 3500 | 3160503 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 5.88%, 06/21/32<sup>(a)</sup> |  | 1205 | 1225906 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 6.40%, 06/21/32<sup>(a)</sup> |  | 2447 | 2489910 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class D, 7.21%, 06/21/32<sup>(a)</sup> |  | 5550 | 5681099 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 4.86%, 02/21/34<sup>(a)</sup> |  | 935 | 931537 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class C, 5.25%, 02/21/34<sup>(a)</sup> |  | 1905 | 1907078 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class D, 5.69%, 02/21/34<sup>(a)</sup> |  | 2948 | 2971754 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.94%, 09/20/34<sup>(a)</sup> |  | 5984 | 6030755 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class C, 5.68%, 09/20/34<sup>(a)</sup> |  | 4474 | 4540907 |
| &nbsp;&nbsp;&nbsp; Lewey Park CLO Ltd., Series 2024-1A, Class B1, <br> (3-mo. CME Term SOFR + 1.70%), 5.97%, <br> 10/21/37<sup>(a)(b)</sup><br>|  | 4230 | 4235639 |
| LoanCore Issuer Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CRE7, Class A, (SOFR (30-day) + <br> 1.55%), 5.85%, 01/17/37<sup>(a)(b)</sup><br>|  | 3194 | 3193924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CRE8, Class A, (1-mo. CME Term <br> SOFR + 1.39%), 5.70%, 08/17/42<sup>(a)(b)</sup><br>|  | 1340 | 1335771 |
| Loanpal Solar Loan Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2GF, Class A, 2.75%, 07/20/47<sup>(a)</sup> |  | 749 | 632273 |
| &nbsp;&nbsp;&nbsp; Series 2021-2GS, Class A, 2.22%, 03/20/48<sup>(a)</sup> |  | 2896 | 2343994 |
| Long Beach Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 1A, (1-mo. CME Term <br> SOFR + 0.47%), 4.79%, 03/25/46<sup>(b)</sup><br>|  | 532 | 415164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-5, Class 2A3, (1-mo. CME Term <br> SOFR + 0.41%), 4.73%, 06/25/36<sup>(b)</sup><br>|  | 2932 | 1367452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-7, Class 2A3, (1-mo. CME Term <br> SOFR + 0.43%), 4.75%, 08/25/36<sup>(b)</sup><br>|  | 5325 | 2126675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-7, Class 2A4, (1-mo. CME Term <br> SOFR + 0.59%), 4.91%, 08/25/36<sup>(b)</sup><br>|  | 1229 | 491330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-9, Class 2A3, (1-mo. CME Term <br> SOFR + 0.43%), 4.75%, 10/25/36<sup>(b)</sup><br>|  | 1924 | 592326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-WL3, Class 2A4, (1-mo. CME Term <br> SOFR + 0.71%), 5.03%, 01/25/36<sup>(b)</sup><br>|  | 2779 | 2560758 |
| &nbsp;&nbsp;&nbsp; Long Point Park CLO Ltd., Series 2017-1A, <br> Class A2, (3-mo. CME Term SOFR + 1.64%), <br> 5.92%, 01/17/30<sup>(a)(b)</sup><br>|  | 820 | 819783 |
| &nbsp;&nbsp;&nbsp; Lyra Music Assets Delaware LP, Series 2024-2A, <br> Class A2, 5.76%, 12/22/64<sup>(a)</sup><br>|  | 5996 | 6016986 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding LVII Ltd., Series 2022-57A, <br> Class A1R, (3-mo. CME Term SOFR + 1.28%), <br> 5.56%, 07/27/34<sup>(a)(b)</sup><br>|  | 250 | 250467 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding LXII Ltd., Series 2022-62A, <br> Class AR, (3-mo. CME Term SOFR + 1.85%), <br> 6.13%, 07/17/36<sup>(a)(b)</sup><br>|  | 1800 | 1800000 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding LXVII Ltd., Series 2024-<br> 67A, Class B, (3-mo. CME Term SOFR + <br> 2.05%), 6.33%, 04/25/37<sup>(a)(b)</sup><br>|  | 4230 | 4254375 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding LXXI Ltd., Series 2025-71A, <br> Class A1, (3-mo. CME Term SOFR + 1.14%), <br> 5.41%, 04/23/38<sup>(a)(b)</sup><br>|  | 7910 | 7898338 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XIX Ltd., Series 2015-19A, <br> Class AR3, (3-mo. CME Term SOFR + 1.60%), <br> 5.87%, 01/22/37<sup>(a)(b)</sup><br>| USD  | 330 | $331583 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XL Ltd., Series 9A, <br> Class AR2, (3-mo. CME Term SOFR + 1.25%), <br> 5.58%, 05/28/30<sup>(a)(b)</sup><br>|  | 1109 | 1109864 |
| Madison Park Funding XLII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 13A, Class AR, (3-mo. CME Term SOFR <br> + 1.15%), 5.43%, 11/21/30<sup>(a)(b)</sup><br>|  | 267 | 267245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 13A, Class B, (3-mo. CME Term SOFR + <br> 1.76%), 6.04%, 11/21/30<sup>(a)(b)</sup><br>|  | 1250 | 1251251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 13A, Class C, (3-mo. CME Term SOFR + <br> 2.06%), 6.34%, 11/21/30<sup>(a)(b)</sup><br>|  | 1610 | 1613528 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XLVIII Ltd., Series 2021-<br> 48A, Class E, (3-mo. CME Term SOFR + <br> 6.51%), 10.78%, 04/19/33<sup>(a)(b)</sup><br>|  | 500 | 500370 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XVIII Ltd., Series 2015-18A, <br> Class BR, (3-mo. CME Term SOFR + 1.86%), <br> 6.13%, 10/21/30<sup>(a)(b)</sup><br>|  | 390 | 390814 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXI Ltd., Series 2016-21A, <br> Class AARR, (3-mo. CME Term SOFR + 1.34%), <br> 5.60%, 10/15/32<sup>(a)(b)</sup><br>|  | 490 | 491408 |
| Madison Park Funding XXIV Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-24A, Class BR2, (3-mo. CME Term <br> SOFR + 1.55%), 5.82%, 10/20/29<sup>(a)(b)</sup><br>|  | 740 | 739863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-24A, Class CR2, (3-mo. CME Term <br> SOFR + 2.05%), 6.32%, 10/20/29<sup>(a)(b)</sup><br>|  | 1000 | 998500 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXIX Ltd., Series 2018-29A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.18%), <br> 5.50%, 03/25/38<sup>(a)(b)</sup><br>|  | 11500 | 11488500 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXX Ltd., Series 2018-30A, <br> Class A1R, (3-mo. CME Term SOFR + 1.36%), <br> 5.62%, 07/16/37<sup>(a)(b)</sup><br>|  | 2500 | 2507759 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXXI Ltd., Series 2018-31A, <br> Class B1R, (3-mo. CME Term SOFR + 1.80%), <br> 6.08%, 07/23/37<sup>(a)(b)</sup><br>|  | 510 | 511617 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXXIII Ltd., Series 2019-<br> 33A, Class AR, (3-mo. CME Term SOFR + <br> 1.29%), 5.55%, 10/15/32<sup>(a)(b)</sup><br>|  | 2288 | 2290216 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXXV Ltd., Series 2019-<br> 35A, Class BR, (3-mo. CME Term SOFR + <br> 1.66%), 5.93%, 04/20/32<sup>(a)(b)</sup><br>|  | 720 | 720132 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXXVII Ltd., Series 2019-<br> 37A, Class AR2, (3-mo. CME Term SOFR + <br> 1.53%), 5.79%, 04/15/37<sup>(a)(b)</sup><br>|  | 570 | 571995 |
| &nbsp;&nbsp;&nbsp; Marble Point CLO XXIII Ltd., Series 2021-4A, <br> Class D1, (3-mo. CME Term SOFR + 3.91%), <br> 8.18%, 01/22/35<sup>(a)(b)</sup><br>|  | 750 | 747477 |
| &nbsp;&nbsp;&nbsp; Mariner CLO LLC, Series 2016-3A, Class AR3, <br> (3-mo. CME Term SOFR + 1.59%), 5.87%, <br> 01/23/37<sup>(a)(b)</sup><br>|  | 890 | 892731 |
| Mariner Finance Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-AA, Class A, 1.86%, 03/20/36<sup>(a)</sup> |  | 700 | 677886 |
| &nbsp;&nbsp;&nbsp; Series 2021-AA, Class B, 2.33%, 03/20/36<sup>(a)</sup> |  | 1620 | 1550186 |
| &nbsp;&nbsp;&nbsp; Series 2021-AA, Class C, 2.96%, 03/20/36<sup>(a)</sup> |  | 2850 | 2724560 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class C, 2.66%, 11/20/36<sup>(a)</sup> |  | 4403 | 4129027 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class E, 4.68%, 11/20/36<sup>(a)</sup> |  | 3620 | 3328349 |
| &nbsp;&nbsp;&nbsp; Series 2024-AA, Class A, 5.13%, 09/22/36<sup>(a)</sup> |  | 4126 | 4178682 |
| &nbsp;&nbsp;&nbsp; Series 2024-AA, Class D, 6.77%, 09/22/36<sup>(a)</sup> |  | 1969 | 2031441 |
| &nbsp;&nbsp;&nbsp; Series 2024-AA, Class E, 9.02%, 09/22/36<sup>(a)</sup> |  | 2800 | 2913599 |
| &nbsp;&nbsp;&nbsp; Series 2024-BA, Class A, 4.91%, 11/20/38<sup>(a)</sup> |  | 10404 | 10516936 |
| &nbsp;&nbsp;&nbsp; Series 2024-BA, Class D, 6.36%, 11/20/38<sup>(a)</sup> |  | 1083 | 1103925 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Mariner Finance Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-AA, Class A, 4.98%, 05/20/38<sup>(a)</sup> | USD  | 9101 | $9224488 |
| &nbsp;&nbsp;&nbsp; Series 2025-AA, Class B, 5.33%, 05/20/38<sup>(a)</sup> |  | 1224 | 1246334 |
| &nbsp;&nbsp;&nbsp; Series 2025-AA, Class C, 5.69%, 05/20/38<sup>(a)</sup> |  | 3732 | 3795422 |
| MASTR Asset-Backed Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-WF1, Class M8, (1-mo. CME Term <br> SOFR + 1.97%), 6.29%, 06/25/35<sup>(b)</sup><br>|  | 1119 | 1141712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AM2, Class A4, (1-mo. CME Term <br> SOFR + 0.63%), 4.95%, 06/25/36<sup>(a)(b)</sup><br>|  | 216 | 200510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-WMC2, Class A4, (1-mo. CME <br> Term SOFR + 0.41%), 4.73%, 04/25/36<sup>(b)</sup><br>|  | 3176 | 636101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class A4, (1-mo. CME Term <br> SOFR + 0.67%), 4.99%, 05/25/37<sup>(b)</sup><br>|  | 83 | 70413 |
| &nbsp;&nbsp;&nbsp; MASTR Specialized Loan Trust, Series 2006-3, <br> Class A, (1-mo. CME Term SOFR + 0.63%), <br> 4.95%, 06/25/46<sup>(a)(b)</sup><br>|  | 9 | 9225 |
| &nbsp;&nbsp;&nbsp; Meacham Park CLO Ltd., Series 2024-1A, Class B, <br> (3-mo. CME Term SOFR + 1.60%), 5.87%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 2270 | 2273116 |
| &nbsp;&nbsp;&nbsp; MERIT Securities Corp., Series 13, Class M2, <br> 7.88%, 12/28/33<sup>(c)</sup><br>|  | 844 | 815796 |
| Merrill Lynch First Franklin Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2, Class A2C, (1-mo. CME Term <br> SOFR + 0.59%), 4.91%, 05/25/37<sup>(b)</sup><br>|  | 894 | 647694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-H1, Class 1A2, (1-mo. CME Term <br> SOFR + 3.61%), 7.93%, 10/25/37<sup>(b)</sup><br>|  | 2118 | 1992789 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust, <br> Series 2006-OPT1, Class M1, (1-mo. CME Term <br> SOFR + 0.50%), 4.82%, 08/25/37<sup>(b)</sup><br>|  | 1761 | 1572386 |
| MF1 LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL10, Class A, (1-mo. CME Term <br> SOFR + 2.64%), 6.95%, 09/17/37<sup>(a)(b)</sup><br>|  | 1134 | 1137111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL9, Class A, (1-mo. CME Term <br> SOFR + 2.15%), 6.47%, 06/19/37<sup>(a)(b)</sup><br>|  | 2684 | 2684674 |
| &nbsp;&nbsp;&nbsp; MFA Trust, Series 2024-NPL1, Class A1, 6.33%, <br> 09/25/54<sup>(a)(c)</sup><br>|  | 5410 | 5424763 |
| &nbsp;&nbsp;&nbsp; MidOcean Credit CLO XI Ltd., Series 2022-11A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.21%), <br> 5.48%, 01/18/36<sup>(a)(b)</sup><br>|  | 1470 | 1469863 |
| &nbsp;&nbsp;&nbsp; MidOcean Credit CLO XII Ltd., Series 2023-12A, <br> Class A1R, (3-mo. CME Term SOFR + 1.34%), <br> 5.61%, 04/18/36<sup>(a)(b)</sup><br>|  | 12690 | 12704276 |
| &nbsp;&nbsp;&nbsp; Milford Park CLO Ltd., Series 2022-1A, Class AR, <br> (3-mo. CME Term SOFR + 1.16%), 5.43%, <br> 01/20/38<sup>(a)(b)</sup><br>|  | 2680 | 2678660 |
| Mill City Solar Loan Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-1A, Class A, 4.34%, 03/20/43<sup>(a)</sup> |  | 888 | 812961 |
| &nbsp;&nbsp;&nbsp; Series 2019-2GS, Class A, 3.69%, 07/20/43<sup>(a)</sup> |  | 1530 | 1345370 |
| Milos CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class AR, (3-mo. CME Term <br> SOFR + 1.33%), 5.60%, 10/20/30<sup>(a)(b)</sup><br>|  | 250 | 250573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.81%), 6.08%, 10/20/30<sup>(a)(b)</sup><br>|  | 250 | 250556 |
| Morgan Stanley ABS Capital I, Inc. Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE8, Class A2FP, (1-mo. CME <br> Term SOFR + 0.18%), 4.50%, 10/25/36<sup>(b)</sup><br>|  | 1276 | 552439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NC1, Class A2D, (1-mo. CME Term <br> SOFR + 0.33%), 4.65%, 11/25/36<sup>(b)</sup><br>|  | 4751 | 2240801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-SEA1, Class 2A1, (1-mo. CME <br> Term SOFR + 3.91%), 8.23%, 02/25/47<sup>(a)(b)</sup><br>|  | 42 | 39165 |
| Morgan Stanley Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-12XS, Class A4, 6.51%, 10/25/36<sup>(c)</sup> |  | 2284 | 499032 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Morgan Stanley Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-12XS, Class A6A, 6.23%, <br> 10/25/36<sup>(c)</sup><br>| USD  | 561 | $151439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16AX, Class 2A3, (1-mo. CME <br> Term SOFR + 0.61%), 4.93%, 11/25/36<sup>(b)</sup><br>|  | 595 | 162131 |
| Mosaic Solar Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-2GS, Class A, 4.20%, 02/22/44<sup>(a)</sup> |  | 801 | 746487 |
| &nbsp;&nbsp;&nbsp; Series 2019-1A, Class A, 4.37%, 12/21/43<sup>(a)</sup> |  | 1215 | 1140225 |
| &nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 2.88%, 09/20/40<sup>(a)</sup> |  | 207 | 182084 |
| &nbsp;&nbsp;&nbsp; Series 2020-2A, Class B, 2.21%, 08/20/46<sup>(a)</sup> |  | 1065 | 871570 |
| &nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 2.05%, 12/20/46<sup>(a)</sup> |  | 306 | 243604 |
| &nbsp;&nbsp;&nbsp; Series 2021-2A, Class B, 2.09%, 04/22/47<sup>(a)</sup> |  | 2883 | 2113291 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.32%, 06/20/53<sup>(a)</sup> |  | 208 | 196985 |
| Myers Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A2, (3-mo. CME Term <br> SOFR + 1.66%), 5.93%, 10/20/30<sup>(a)(b)</sup><br>|  | 540 | 540352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class B1, (3-mo. CME Term <br> SOFR + 1.86%), 6.13%, 10/20/30<sup>(a)(b)</sup><br>|  | 1010 | 1012229 |
| &nbsp;&nbsp;&nbsp; Nationstar Home Equity Loan Trust, Series 2007-B, <br> Class M1, (1-mo. CME Term SOFR + 0.73%), <br> 5.05%, 04/25/37<sup>(b)</sup><br>|  | 380 | 363853 |
| &nbsp;&nbsp;&nbsp; Navient Education Loan Trust, Series 2025-A, <br> Class D, 6.03%, 07/15/55<sup>(a)</sup><br>|  | 1410 | 1419969 |
| Navient Private Education Refi Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-DA, Class A2A, 4.00%, 12/15/59<sup>(a)</sup> |  | 462 | 457647 |
| &nbsp;&nbsp;&nbsp; Series 2019-D, Class A2A, 3.01%, 12/15/59<sup>(a)</sup> |  | 1783 | 1730104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-CA, Class A2B, (1-mo. CME Term <br> SOFR + 1.71%), 6.03%, 11/15/68<sup>(a)(b)</sup><br>|  | 1852 | 1863166 |
| &nbsp;&nbsp;&nbsp; Series 2020-IA, Class B, 2.95%, 04/15/69<sup>(a)</sup> |  | 1880 | 1623837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DA, Class A, (Prime Rate + <br> (1.99)%), 5.51%, 04/15/60<sup>(a)(b)</sup><br>|  | 393 | 387587 |
| &nbsp;&nbsp;&nbsp; Series 2021-DA, Class B, 2.61%, 04/15/60<sup>(a)</sup> |  | 561 | 503281 |
| &nbsp;&nbsp;&nbsp; Series 2021-DA, Class C, 3.48%, 04/15/60<sup>(a)</sup> |  | 2643 | 2467040 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A, 5.66%, 10/15/72<sup>(a)</sup> |  | 8294 | 8400627 |
| &nbsp;&nbsp;&nbsp; Navient Student Loan Trust, Series 2019-BA, <br> Class A2A, 3.39%, 12/15/59<sup>(a)</sup><br>|  | 707 | 691112 |
| Nelnet Student Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A1, (1-mo. CME Term <br> SOFR + 0.91%), 5.23%, 04/20/62<sup>(a)(b)</sup><br>|  | 887 | 885468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A2, (1-mo. CME Term <br> SOFR + 1.14%), 5.46%, 04/20/62<sup>(a)(b)</sup><br>|  | 2680 | 2653377 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class APT2, 1.36%, 04/20/62<sup>(a)</sup> |  | 1286 | 1209767 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class B1, 2.85%, 04/20/62<sup>(a)</sup> |  | 1979 | 1750246 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class B2, 2.85%, 04/20/62<sup>(a)</sup> |  | 1640 | 1450431 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class C, 3.75%, 04/20/62<sup>(a)</sup> |  | 124 | 107088 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class D, 4.93%, 04/20/62<sup>(a)</sup> |  | 735 | 654783 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class B, 2.68%, 04/20/62<sup>(a)</sup> |  | 8450 | 7436819 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class C, 3.57%, 04/20/62<sup>(a)</sup> |  | 386 | 331407 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class D, 4.75%, 04/20/62<sup>(a)</sup> |  | 8380 | 7348138 |
| &nbsp;&nbsp;&nbsp; Series 2021-CA, Class B, 2.53%, 04/20/62<sup>(a)</sup> |  | 5370 | 4682045 |
| &nbsp;&nbsp;&nbsp; Series 2021-CA, Class C, 3.36%, 04/20/62<sup>(a)</sup> |  | 2770 | 2390655 |
| &nbsp;&nbsp;&nbsp; Series 2021-CA, Class D, 4.44%, 04/20/62<sup>(a)</sup> |  | 5590 | 4918109 |
| &nbsp;&nbsp;&nbsp; Series 2021-DA, Class B, 2.90%, 04/20/62<sup>(a)</sup> |  | 5408 | 4822678 |
| &nbsp;&nbsp;&nbsp; Series 2021-DA, Class C, 3.50%, 04/20/62<sup>(a)</sup> |  | 2700 | 2317842 |
| &nbsp;&nbsp;&nbsp; Series 2021-DA, Class D, 4.38%, 04/20/62<sup>(a)</sup> |  | 680 | 582324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-PL1A, Class A1A, (SOFR (30-day) <br> + 2.25%), 6.56%, 11/25/53<sup>(a)(b)</sup><br>|  | 1761 | 1787348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AA, Class A1B, (SOFR (30-day) + <br> 1.10%), 5.40%, 03/15/57<sup>(a)(b)</sup><br>|  | 11363 | 11281076 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman CLO XV Ltd., Series 2013-15A, <br> Class BR2, (3-mo. CME Term SOFR + 1.61%), <br> 5.87%, 10/15/29<sup>(a)(b)</sup><br>|  | 250 | 249959 |

---

---

| | | | |
|:---|:---|:---|:---|
| *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; Neuberger Berman CLO XX Ltd., Series 2015-20A, <br> Class A1R3, (3-mo. CME Term SOFR + 1.15%), <br> 5.47%, 04/15/39<sup>(a)(b)</sup><br>| USD  | 1935 | $1933920 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman CLO XXI Ltd., Series 2016-<br> 21A, Class A1R3, (3-mo. CME Term SOFR + <br> 1.32%), 5.59%, 01/20/39<sup>(a)(b)</sup><br>|  | 5000 | 5015000 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO 32 Ltd., <br> Series 2019-32A, Class BR, (3-mo. CME Term <br> SOFR + 1.66%), 5.93%, 01/20/32<sup>(a)(b)</sup><br>|  | 910 | 909540 |
| Neuberger Berman Loan Advisers CLO 34 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-34A, Class A1R, (3-mo. CME Term <br> SOFR + 1.24%), 5.51%, 01/20/35<sup>(a)(b)</sup><br>|  | 876 | 876808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-34A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 6.02%, 01/20/35<sup>(a)(b)</sup><br>|  | 1000 | 1000822 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO 40 Ltd., <br> Series 2021-40A, Class A, (3-mo. CME Term <br> SOFR + 1.32%), 5.58%, 04/16/33<sup>(a)(b)</sup><br>|  | 3557 | 3560282 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO 46 Ltd., <br> Series 2021-46A, Class BR, (3-mo. CME Term <br> SOFR + 1.50%), 5.77%, 01/20/37<sup>(a)(b)</sup><br>|  | 1220 | 1218713 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO 54 Ltd., <br> Series 2024-54A, Class B, (3-mo. CME Term <br> SOFR + 1.95%), 6.23%, 04/23/38<sup>(a)(b)</sup><br>|  | 970 | 973638 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO 55 Ltd., <br> Series 2024-55A, Class C, (3-mo. CME Term <br> SOFR + 2.35%), 6.62%, 04/22/38<sup>(a)(b)</sup><br>|  | 1000 | 1005977 |
| &nbsp;&nbsp;&nbsp; New Mountain CLO 2 Ltd., Series CLO-2A, <br> Class A1R, (3-mo. CME Term SOFR + 1.36%), <br> 5.62%, 01/15/38<sup>(a)(b)</sup><br>|  | 3120 | 3129337 |
| &nbsp;&nbsp;&nbsp; New Mountain CLO 7 Ltd., Series CLO-7A, <br> Class A1, (3-mo. CME Term SOFR + 1.20%), <br> 5.48%, 03/31/38<sup>(a)(b)</sup><br>|  | 1000 | 999307 |
| New Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class F, 4.44%, 02/17/39<sup>(a)</sup> |  | 502 | 483443 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class F, 4.00%, 09/04/39<sup>(a)</sup> |  | 3692 | 3450185 |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan <br> Trust, Series 2006-S5, Class A1, (1-mo. CME <br> Term SOFR + 0.51%), 4.83%, 10/25/36<sup>(a)(b)</sup><br>|  | 88 | 112024 |
| &nbsp;&nbsp;&nbsp; NovaStar Mortgage Funding Trust, Series 2006-5, <br> Class A2D, (1-mo. CME Term SOFR + 0.59%), <br> 4.91%, 11/25/36<sup>(b)</sup><br>|  | 3635 | 1103091 |
| &nbsp;&nbsp;&nbsp; Oak Hill Credit Partners X-R Ltd., Series 2014-<br> 10RA, Class AR2, (3-mo. CME Term SOFR + <br> 1.13%), 5.40%, 04/20/38<sup>(a)(b)</sup><br>|  | 2290 | 2287948 |
| Oaktree CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class BRR, (3-mo. CME Term <br> SOFR + 1.55%), 5.81%, 01/15/38<sup>(a)(b)</sup><br>|  | 820 | 816390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class AR, (3-mo. CME Term <br> SOFR + 0.97%), 5.23%, 01/15/35<sup>(a)(b)</sup><br>|  | 1950 | 1948720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-27A, Class A2, (3-mo. CME Term <br> SOFR + 1.57%), 5.84%, 10/22/37<sup>(a)(b)</sup><br>|  | 610 | 610899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-27A, Class D1, (3-mo. CME Term <br> SOFR + 3.00%), 7.27%, 10/22/37<sup>(a)(b)</sup><br>|  | 320 | 320922 |
| Oakwood Mortgage Investors, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 1999-C, Class A2, 7.48%, 08/15/27 |  | 1352 | 998992 |
| &nbsp;&nbsp;&nbsp; Series 2001-D, Class A2, 5.26%, 01/15/19<sup>(b)</sup> |  | 23 | 7966 |
| &nbsp;&nbsp;&nbsp; Series 2002-A, Class M1, 7.76%, 03/15/32<sup>(b)</sup> |  | 1508 | 1517870 |
| &nbsp;&nbsp;&nbsp; Series 2002-C, Class M1, 6.89%, 11/15/32<sup>(b)</sup> |  | 1551 | 1560010 |
| &nbsp;&nbsp;&nbsp; Ocean Trails CLO V, Series 2014-5A, Class BRR, <br> (3-mo. CME Term SOFR + 2.21%), 6.45%, <br> 10/13/31<sup>(a)(b)</sup><br>|  | 500 | 501982 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| OCP CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-10A, Class AR3, (3-mo. CME Term <br> SOFR + 1.31%), 5.59%, 01/26/38<sup>(a)(b)</sup><br>| USD  | 4000 | $4011568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-12A, Class A1R3, (3-mo. CME <br> Term SOFR + 1.37%), 5.64%, 10/18/37<sup>(a)(b)</sup><br>|  | 2500 | 2509702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-12A, Class BAR3, (3-mo. CME <br> Term SOFR + 1.68%), 5.95%, 10/18/37<sup>(a)(b)</sup><br>|  | 5360 | 5366825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-13A, Class AR2, (3-mo. CME Term <br> SOFR + 1.34%), 5.61%, 11/26/37<sup>(a)(b)</sup><br>|  | 5589 | 5610033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-13A, Class B1R2, (3-mo. CME <br> Term SOFR + 1.70%), 5.97%, 11/26/37<sup>(a)(b)</sup><br>|  | 430 | 430857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-15A, Class AR, (3-mo. CME Term <br> SOFR + 1.25%), 5.54%, 01/20/38<sup>(a)(b)</sup><br>|  | 4500 | 4505871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-16A, Class AR, (3-mo. CME Term <br> SOFR + 1.26%), 5.47%, 04/10/33<sup>(a)(b)</sup><br>|  | 1295 | 1296204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-17A, Class AR2, (3-mo. CME Term <br> SOFR + 1.40%), 5.67%, 07/20/37<sup>(a)(b)</sup><br>|  | 1680 | 1685352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.37%), 5.64%, 07/20/37<sup>(a)(b)</sup><br>|  | 1100 | 1103522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18A, Class D1R2, (3-mo. CME <br> Term SOFR + 3.10%), 7.37%, 07/20/37<sup>(a)(b)</sup><br>|  | 360 | 360255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-20A, Class B1R, (3-mo. CME Term <br> SOFR + 1.95%), 6.22%, 04/18/37<sup>(a)(b)</sup><br>|  | 370 | 371555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-8RA, Class AR, (3-mo. CME Term <br> SOFR + 1.25%), 5.53%, 10/17/36<sup>(a)(b)</sup><br>|  | 3169 | 3174400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-8RA, Class BR, (3-mo. CME Term <br> SOFR + 1.65%), 5.93%, 10/17/36<sup>(a)(b)</sup><br>|  | 730 | 730907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-8RA, Class CR, (3-mo. CME Term <br> SOFR + 1.90%), 6.18%, 10/17/36<sup>(a)(b)</sup><br>|  | 250 | 250671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-21A, Class AR, (3-mo. CME Term <br> SOFR + 1.18%), 5.45%, 01/20/38<sup>(a)(b)</sup><br>|  | 1500 | 1499652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-22A, Class BR, (3-mo. CME Term <br> SOFR + 1.70%), 5.97%, 10/20/37<sup>(a)(b)</sup><br>|  | 340 | 340508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-37A, Class A1, (3-mo. CME Term <br> SOFR + 1.36%), 5.93%, 10/15/37<sup>(a)(b)</sup><br>|  | 2180 | 2188287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-37A, Class B1, (3-mo. CME Term <br> SOFR + 1.68%), 6.25%, 10/15/37<sup>(a)(b)</sup><br>|  | 2180 | 2185072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-38A, Class A, (3-mo. CME Term <br> SOFR + 1.33%), 5.68%, 01/21/38<sup>(a)(b)</sup><br>|  | 590 | 591779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-40A, Class A, (3-mo. CME Term <br> SOFR + 1.14%), 5.46%, 04/16/38<sup>(a)(b)</sup><br>|  | 2720 | 2715932 |
| &nbsp;&nbsp;&nbsp; Octagon 56 Ltd., Series 2021-1A, Class B, (3-mo. <br> CME Term SOFR + 1.91%), 6.17%, <br> 10/15/34<sup>(a)(b)</sup><br>|  | 250 | 250760 |
| &nbsp;&nbsp;&nbsp; Octagon 57 Ltd., Series 2021-1A, Class B1, (3-mo. <br> CME Term SOFR + 1.91%), 6.17%, <br> 10/15/34<sup>(a)(b)</sup><br>|  | 870 | 871655 |
| &nbsp;&nbsp;&nbsp; Octagon 66 Ltd., Series 2022-1A, Class A1R, (3-<br> mo. CME Term SOFR + 1.75%), 6.08%, <br> 11/16/36<sup>(a)(b)</sup><br>|  | 6100 | 6127139 |
| &nbsp;&nbsp;&nbsp; Octagon 75 Ltd., Series 2025-1A, Class A1, (3-mo. <br> CME Term SOFR + 1.20%), 5.49%, <br> 01/22/38<sup>(a)(b)</sup><br>|  | 1000 | 1000139 |
| &nbsp;&nbsp;&nbsp; Octagon Investment Partners 18-R Ltd., <br> Series 2018-18A, Class A1A, (3-mo. CME Term <br> SOFR + 1.22%), 5.48%, 04/16/31<sup>(a)(b)</sup><br>|  | 880 | 880254 |
| Octagon Investment Partners 39 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class AR, (3-mo. CME Term <br> SOFR + 1.15%), 5.42%, 10/20/30<sup>(a)(b)</sup><br>|  | 702 | 702786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.80%), 6.07%, 10/20/30<sup>(a)(b)</sup><br>|  | 5640 | 5649519 |

---

---

| | | | |
|:---|:---|:---|:---|
| *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; Octagon Investment Partners XV Ltd., Series 2013-<br> 1A, Class A2R, (3-mo. CME Term SOFR + <br> 1.61%), 5.88%, 07/19/30<sup>(a)(b)</sup><br>| USD  | 350 | $350088 |
| &nbsp;&nbsp;&nbsp; Octagon Investment Partners XVI Ltd., <br> Series 2013-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.28%), 5.56%, 07/17/30<sup>(a)(b)</sup><br>|  | 207 | 207154 |
| Octagon Investment Partners XVII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.26%), 5.54%, 01/25/31<sup>(a)(b)</sup><br>|  | 101 | 100684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class A2R2, (3-mo. CME Term <br> SOFR + 1.36%), 5.64%, 01/25/31<sup>(a)(b)</sup><br>|  | 500 | 499903 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 17 Ltd., Series 2024-17A, <br> Class A, (3-mo. CME Term SOFR + 1.48%), <br> 5.75%, 04/20/37<sup>(a)(b)</sup><br>|  | 2140 | 2146797 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 2 Ltd., Series 2019-2A, <br> Class AR2, (3-mo. CME Term SOFR + 1.24%), <br> 5.51%, 01/21/38<sup>(a)(b)</sup><br>|  | 2610 | 2614413 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 4 Ltd., Series 2019-4A, <br> Class AR2, (3-mo. CME Term SOFR + 1.29%), <br> 5.56%, 01/22/38<sup>(a)(b)</sup><br>|  | 670 | 671669 |
| OHA Credit Funding 5 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5A, Class AR, (3-mo. CME Term <br> SOFR + 1.35%), 5.62%, 10/18/37<sup>(a)(b)</sup><br>|  | 12790 | 12835118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5A, Class B1R, (3-mo. CME Term <br> SOFR + 1.70%), 5.97%, 10/18/37<sup>(a)(b)</sup><br>|  | 2600 | 2606117 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 6 Ltd., Series 2020-6A, <br> Class AR2, (3-mo. CME Term SOFR + 1.33%), <br> 5.60%, 10/20/37<sup>(a)(b)</sup><br>|  | 670 | 672214 |
| OHA Credit Funding 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.28%), 07/19/38<sup>(a)(b)(e)</sup><br>|  | 1435 | 1435000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class AR, (3-mo. CME Term <br> SOFR + 1.30%), 5.57%, 02/24/37<sup>(a)(b)</sup><br>|  | 3520 | 3530288 |
| OHA Credit Funding 9 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-9A, Class A1R, (3-mo. CME Term <br> SOFR + 1.35%), 5.62%, 10/19/37<sup>(a)(b)</sup><br>|  | 3890 | 3903697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-9A, Class B1R, (3-mo. CME Term <br> SOFR + 1.70%), 5.97%, 10/19/37<sup>(a)(b)</sup><br>|  | 1890 | 1894408 |
| &nbsp;&nbsp;&nbsp; OHA Credit Partners VII Ltd., Series 2012-7A, <br> Class AR4, (3-mo. CME Term SOFR + 1.14%), <br> 5.46%, 02/20/38<sup>(a)(b)</sup><br>|  | 2690 | 2688172 |
| &nbsp;&nbsp;&nbsp; OHA Credit Partners XI Ltd., Series 2015-11A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.46%), <br> 5.73%, 04/20/37<sup>(a)(b)</sup><br>|  | 3345 | 3357209 |
| &nbsp;&nbsp;&nbsp; OHA Credit Partners XII Ltd., Series 2015-12A, <br> Class B1R2, (3-mo. CME Term SOFR + 1.95%), <br> 6.23%, 04/23/37<sup>(a)(b)</sup><br>|  | 1700 | 1705935 |
| &nbsp;&nbsp;&nbsp; OHA Credit Partners XVI, Series 2021-16A, <br> Class AR, (3-mo. CME Term SOFR + 1.35%), <br> 5.62%, 10/18/37<sup>(a)(b)</sup><br>|  | 5340 | 5359080 |
| OHA Loan Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class AR, (3-mo. CME Term <br> SOFR + 1.30%), 5.63%, 05/23/31<sup>(a)(b)</sup><br>|  | 382 | 382136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A, Class AR3, (3-mo. CME Term <br> SOFR + 1.41%), 5.68%, 01/19/37<sup>(a)(b)</sup><br>|  | 1360 | 1363588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.46%), 5.73%, 07/20/37<sup>(a)(b)</sup><br>|  | 2640 | 2649695 |
| &nbsp;&nbsp;&nbsp; OneMain Direct Auto Receivables Trust, <br> Series 2025-1A, Class D, 6.10%, 07/14/37<sup>(a)</sup><br>|  | 4519 | 4587590 |
| OneMain Financial Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 1.95%, 06/16/36<sup>(a)</sup> |  | 4700 | 4390911 |
| &nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, 2.22%, 06/16/36<sup>(a)</sup> |  | 4680 | 4337902 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| OneMain Financial Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-2A, Class D, 7.52%, 09/15/36<sup>(a)</sup> | USD  | 1720 | $1770488 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.79%, 05/14/41<sup>(a)</sup> |  | 10618 | 11110961 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class D, 5.79%, 07/14/38<sup>(a)</sup> |  | 1842 | 1859295 |
| Option One Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class M3, (1-mo. CME Term <br> SOFR + 0.85%), 5.17%, 11/25/35<sup>(b)</sup><br>|  | 460 | 394708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FXD1, Class 1A1, 5.87%, <br> 01/25/37<sup>(c)</sup><br>|  | 3892 | 3322609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FXD1, Class 2A1, 5.87%, <br> 01/25/37<sup>(c)</sup><br>|  | 2255 | 1942522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FXD1, Class 3A4, 5.86%, <br> 01/25/37<sup>(c)</sup><br>|  | 165 | 160742 |
| Orchard Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term <br> SOFR + 1.36%), 5.63%, 10/20/37<sup>(a)(b)</sup><br>|  | 14850 | 14904033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B1, (3-mo. CME Term <br> SOFR + 1.70%), 5.97%, 10/20/37<sup>(a)(b)</sup><br>|  | 1340 | 1342643 |
| &nbsp;&nbsp;&nbsp; Origen Manufactured Housing Contract Trust, <br> Series 2007-B, Class A1, (1-mo. CME Term <br> SOFR + 1.20%), 6.16%, 10/15/37<sup>(a)(b)</sup><br>|  | 273 | 271598 |
| &nbsp;&nbsp;&nbsp; Owl Rock CLO V Ltd., Series 2020-5A, Class A1R, <br> (3-mo. CME Term SOFR + 1.78%), 6.05%, <br> 04/20/34<sup>(a)(b)</sup><br>|  | 1350 | 1353295 |
| &nbsp;&nbsp;&nbsp; Owl Rock CLO VII LLC, Series 2022-7A, Class AR, <br> (3-mo. CME Term SOFR + 1.40%), 5.72%, <br> 04/20/38<sup>(a)(b)</sup><br>|  | 460 | 460460 |
| &nbsp;&nbsp;&nbsp; Owl Rock CLO XVIII LLC, Series 2024-18A, <br> Class A, (3-mo. CME Term SOFR + 1.70%), <br> 5.98%, 07/24/36<sup>(a)(b)</sup><br>|  | 2990 | 3000684 |
| &nbsp;&nbsp;&nbsp; OZLM XVIII Ltd., Series 2018-18A, Class B, (3-mo. <br> CME Term SOFR + 1.81%), 6.07%, <br> 04/15/31<sup>(a)(b)</sup><br>|  | 550 | 550994 |
| OZLM XXII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-22A, Class A1, (3-mo. CME Term <br> SOFR + 1.33%), 5.61%, 01/17/31<sup>(a)(b)</sup><br>|  | 143 | 142851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-22A, Class A2, (3-mo. CME Term <br> SOFR + 1.76%), 6.04%, 01/17/31<sup>(a)(b)</sup><br>|  | 500 | 500589 |
| &nbsp;&nbsp;&nbsp; Pagaya AI Debt Selection Trust, Series 2021-2, <br> Class NOTE, 3.00%, 01/25/29<sup>(a)</sup><br>|  | 82 | 81204 |
| &nbsp;&nbsp;&nbsp; Pagaya AI Technology in Housing Trust, <br> Series 2023-1, Class F, 3.60%, 10/25/40<sup>(a)</sup><br>|  | 1000 | 827471 |
| Palmer Square CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.41%), 5.72%, 11/14/34<sup>(a)(b)</sup><br>|  | 2380 | 2385548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.65%), 5.98%, 11/15/36<sup>(a)(b)</sup><br>|  | 960 | 963938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class A1, (3-mo. CME Term <br> SOFR + 1.41%), 5.67%, 01/15/35<sup>(a)(b)</sup><br>|  | 390 | 390996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class A1R, (3-mo. CME Term <br> SOFR + 1.32%), 07/15/38<sup>(a)(b)(e)</sup><br>|  | 660 | 660000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class B, (3-mo. CME Term <br> SOFR + 1.91%), 6.17%, 10/15/34<sup>(a)(b)</sup><br>|  | 250 | 250000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class BR, (3-mo. CME Term <br> SOFR + 1.70%), 07/15/38<sup>(a)(b)(e)</sup><br>|  | 1740 | 1740000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A1R, (3-mo. CME Term <br> SOFR + 1.35%), 5.62%, 07/20/37<sup>(a)(b)</sup><br>|  | 1480 | 1485208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class B1R, (3-mo. CME Term <br> SOFR + 1.60%), 5.87%, 07/20/37<sup>(a)(b)</sup><br>|  | 250 | 250323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class D1R, (3-mo. CME Term <br> SOFR + 2.95%), 7.22%, 07/20/37<sup>(a)(b)</sup><br>|  | 450 | 450116 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Palmer Square CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class AR, (3-mo. CME Term <br> SOFR + 1.25%), 5.52%, 01/20/38<sup>(a)(b)</sup><br>| USD  | 2000 | $2003781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, (3-mo. CME Term <br> SOFR + 1.65%), 5.92%, 07/20/37<sup>(a)(b)</sup><br>|  | 2300 | 2305594 |
| Palmer Square Loan Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class B, (3-mo. CME Term <br> SOFR + 2.01%), 6.27%, 10/15/29<sup>(a)(b)</sup><br>|  | 250 | 250553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class C, (3-mo. CME Term <br> SOFR + 2.86%), 7.12%, 10/15/29<sup>(a)(b)</sup><br>|  | 250 | 251596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A2, (3-mo. CME Term <br> SOFR + 1.90%), 6.16%, 10/15/30<sup>(a)(b)</sup><br>|  | 2730 | 2738824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class B, (3-mo. CME Term <br> SOFR + 2.20%), 6.46%, 10/15/30<sup>(a)(b)</sup><br>|  | 1360 | 1363029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, (3-mo. CME Term <br> SOFR + 3.10%), 7.36%, 10/15/30<sup>(a)(b)</sup><br>|  | 250 | 251748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A1BR, (3-mo. CME Term <br> SOFR + 1.40%), 5.66%, 04/15/31<sup>(a)(b)</sup><br>|  | 250 | 250033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A2R, (3-mo. CME Term <br> SOFR + 1.60%), 5.86%, 04/15/31<sup>(a)(b)</sup><br>|  | 10380 | 10388033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, (3-mo. CME Term <br> SOFR + 1.45%), 5.71%, 10/15/32<sup>(a)(b)</sup><br>|  | 1150 | 1150464 |
| Park Blue CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A1R, (3-mo. CME Term <br> SOFR + 1.42%), 5.69%, 07/20/37<sup>(a)(b)</sup><br>|  | 430 | 431721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6A, Class A1, (3-mo. CME Term <br> SOFR + 1.34%), 5.64%, 01/25/38<sup>(a)(b)</sup><br>|  | 757 | 759578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-7A, Class A1, (3-mo. CME Term <br> SOFR + 1.22%), 5.47%, 04/25/38<sup>(a)(b)</sup><br>|  | 4500 | 4498650 |
| &nbsp;&nbsp;&nbsp; PFS Financing Corp., Series 2022-E, Class B, <br> 5.54%, 10/30/26<sup>(a)(g)</sup><br>|  | 9000 | 9015300 |
| &nbsp;&nbsp;&nbsp; Point Au Roche Park CLO Ltd., Series 2021-1A, <br> Class A, (3-mo. CME Term SOFR + 1.34%), <br> 5.61%, 07/20/34<sup>(a)(b)</sup><br>|  | 580 | 581466 |
| &nbsp;&nbsp;&nbsp; Point Broadband & Funding LLC, Series 2025-1A, <br> Class C, 07/20/55<sup>(a)(e)</sup><br>|  | 8114 | 8113922 |
| &nbsp;&nbsp;&nbsp; Popular ABS Mortgage Pass-Through Trust, <br> Series 2006-B, Class M1, (1-mo. CME Term <br> SOFR + 0.65%), 4.97%, 05/25/36<sup>(b)</sup><br>|  | 2797 | 2644059 |
| &nbsp;&nbsp;&nbsp; Post CLO VI Ltd., Series 2024-2A, Class A1, (3-<br> mo. CME Term SOFR + 1.42%), 5.88%, <br> 01/20/38<sup>(a)(b)</sup><br>|  | 1650 | 1657880 |
| PRET LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RN4, Class A1, 5.49%, <br> 10/25/51<sup>(a)(b)</sup><br>|  | 4320 | 4316666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NPL4, Class A1, 7.00%, <br> 07/25/54<sup>(a)(c)</sup><br>|  | 4300 | 4307050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NPL5, Class A1, 5.96%, <br> 09/25/54<sup>(a)(c)</sup><br>|  | 3540 | 3543916 |
| Prodigy Finance DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, (1-mo. CME Term <br> SOFR + 2.61%), 6.93%, 07/25/51<sup>(a)(b)</sup><br>|  | 581 | 587419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, (1-mo. CME Term <br> SOFR + 3.86%), 8.18%, 07/25/51<sup>(a)(b)</sup><br>|  | 581 | 595454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class D, (1-mo. CME Term <br> SOFR + 6.01%), 10.33%, 07/25/51<sup>(a)(b)</sup><br>|  | 434 | 446663 |
| Progress Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR10, Class E2, 3.67%, <br> 12/17/40<sup>(a)</sup><br>|  | 843 | 799657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR10, Class F, 4.61%, <br> 12/17/40<sup>(a)</sup><br>|  | 3407 | 3310192 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR5, Class F, 3.16%, 07/17/38<sup>(a)</sup> |  | 1808 | 1752926 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Progress Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR6, Class F, 3.42%, 07/17/38<sup>(a)</sup> | USD  | 3577 | $3506955 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class F, 3.18%, 10/17/38<sup>(a)</sup> |  | 4500 | 4370542 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR9, Class F, 4.05%, 11/17/40<sup>(a)</sup> |  | 2400 | 2293820 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class F, 4.88%, 02/17/41<sup>(a)</sup> |  | 5000 | 4658554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class E1, 3.40%, <br> 04/17/41<sup>(a)(b)</sup><br>|  | 2000 | 1842941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class E2, 3.65%, <br> 04/17/41<sup>(a)(b)</sup><br>|  | 2000 | 1838119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR4, Class E1, 3.33%, <br> 07/17/41<sup>(a)</sup><br>|  | 5640 | 5107820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR4, Class E2, 3.40%, <br> 07/17/41<sup>(a)</sup><br>|  | 5000 | 4475468 |
| &nbsp;&nbsp;&nbsp; PRP Advisors LLC, Series 2021-4, Class A1, <br> 5.87%, 04/25/26<sup>(a)(c)</sup><br>|  | 2488 | 2490200 |
| &nbsp;&nbsp;&nbsp; RAAC Trust, Series 2006-SP3, Class M3, (1-mo. <br> CME Term SOFR + 1.46%), 5.78%, 08/25/36<sup>(b)</sup><br>|  | 1662 | 1603270 |
| &nbsp;&nbsp;&nbsp; Race Point IX CLO Ltd., Series 2015-9A, <br> Class A1A2, (3-mo. CME Term SOFR + 1.20%), <br> 5.46%, 10/15/30<sup>(a)(b)</sup><br>|  | 76 | 75714 |
| Rad CLO 15 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-15A, Class A, (3-mo. CME Term <br> SOFR + 1.35%), 5.62%, 01/20/34<sup>(a)(b)</sup><br>|  | 1520 | 1522735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-15A, Class B, (3-mo. CME Term <br> SOFR + 1.91%), 6.18%, 01/20/34<sup>(a)(b)</sup><br>|  | 820 | 823276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-15A, Class E, (3-mo. CME Term <br> SOFR + 6.46%), 10.73%, 01/20/34<sup>(a)(b)</sup><br>|  | 4500 | 4534402 |
| &nbsp;&nbsp;&nbsp; Rad CLO 18 Ltd., Series 2023-18A, Class A1R, <br> (3-mo. CME Term SOFR + 1.40%), 5.72%, <br> 07/15/37<sup>(a)(b)</sup><br>|  | 250 | 250813 |
| Rad CLO 21 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-21A, Class A1R, (3-mo. CME Term <br> SOFR + 1.07%), 5.35%, 01/25/37<sup>(a)(b)</sup><br>|  | 1200 | 1200887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-21A, Class BR, (3-mo. CME Term <br> SOFR + 1.55%), 5.83%, 01/25/37<sup>(a)(b)</sup><br>|  | 2000 | 1997189 |
| &nbsp;&nbsp;&nbsp; Rad CLO 23 Ltd., Series 2024-23A, Class B1, (3-<br> mo. CME Term SOFR + 2.05%), 6.32%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 1090 | 1096682 |
| &nbsp;&nbsp;&nbsp; Rad CLO 27 Ltd., Series 2024-27A, Class A1, (3-<br> mo. CME Term SOFR + 1.32%), 5.61%, <br> 01/15/38<sup>(a)(b)</sup><br>|  | 6320 | 6338593 |
| &nbsp;&nbsp;&nbsp; Rad CLO 6 Ltd., Series 2019-6A, Class A1R, (3-<br> mo. CME Term SOFR + 1.39%), 5.66%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 4670 | 4689213 |
| Rad CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class A1R, (3-mo. CME Term <br> SOFR + 1.35%), 5.63%, 04/17/36<sup>(a)(b)</sup><br>|  | 700 | 701050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class B1R, (3-mo. CME Term <br> SOFR + 1.90%), 6.18%, 04/17/36<sup>(a)(b)</sup><br>|  | 2500 | 2510121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class CR, (3-mo. CME Term <br> SOFR + 2.60%), 6.88%, 04/17/36<sup>(a)(b)</sup><br>|  | 1340 | 1345418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class D1R, (3-mo. CME Term <br> SOFR + 4.15%), 8.43%, 04/17/36<sup>(a)(b)</sup><br>|  | 480 | 477337 |
| &nbsp;&nbsp;&nbsp; RAMP Trust, Series 2007-RS1, Class A4, (1-mo. <br> CME Term SOFR + 0.67%), 4.99%, 02/25/37<sup>(b)</sup><br>|  | 2074 | 461080 |
| &nbsp;&nbsp;&nbsp; RCKT Mortgage Trust, Series 2024-CES2, <br> Class B2, 9.90%, 04/25/44<sup>(a)(b)</sup><br>|  | 737 | 772364 |
| &nbsp;&nbsp;&nbsp; Redwood Funding Trust, Series 2023-1, Class A, <br> 7.50%, 07/25/59<sup>(a)(c)</sup><br>|  | 484 | 481964 |
| &nbsp;&nbsp;&nbsp; Regatta 30 Funding Ltd., Series 2024-4A, <br> Class A1, (3-mo. CME Term SOFR + 1.32%), <br> 5.63%, 01/25/38<sup>(a)(b)</sup><br>|  | 1510 | 1515000 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Regatta 31 Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A1, (3-mo. CME Term <br> SOFR + 1.17%), 5.40%, 03/25/38<sup>(a)(b)</sup><br>| USD  | 1750 | $1749645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A2, (3-mo. CME Term <br> SOFR + 1.60%), 5.83%, 03/25/38<sup>(a)(b)</sup><br>|  | 1630 | 1631776 |
| &nbsp;&nbsp;&nbsp; Regatta 32 Funding Ltd., Series 2025-4A, <br> Class A1, (3-mo. CME Term SOFR + 1.34%), <br> 5.63%, 07/25/38<sup>(a)(b)</sup><br>|  | 2900 | 2907830 |
| &nbsp;&nbsp;&nbsp; Regatta VI Funding Ltd., Series 2016-1A, <br> Class AR2, (3-mo. CME Term SOFR + 1.42%), <br> 5.69%, 04/20/34<sup>(a)(b)</sup><br>|  | 3000 | 3008116 |
| &nbsp;&nbsp;&nbsp; Regatta VII Funding Ltd., Series 2016-1A, <br> Class BR2, (3-mo. CME Term SOFR + 1.86%), <br> 6.18%, 06/20/34<sup>(a)(b)</sup><br>|  | 250 | 250400 |
| Regatta XI Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class AR, (3-mo. CME Term <br> SOFR + 1.40%), 5.68%, 07/17/37<sup>(a)(b)</sup><br>|  | 2660 | 2668809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 6.03%, 07/17/37<sup>(a)(b)</sup><br>|  | 4650 | 4663033 |
| &nbsp;&nbsp;&nbsp; Regatta XII Funding Ltd., Series 2019-1A, <br> Class ARR, (3-mo. CME Term SOFR + 1.39%), <br> 5.65%, 10/15/37<sup>(a)(b)</sup><br>|  | 4920 | 4938974 |
| Regatta XIX Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A1, (3-mo. CME Term <br> SOFR + 1.32%), 5.59%, 04/20/35<sup>(a)(b)</sup><br>|  | 250 | 250861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class B, (3-mo. CME Term <br> SOFR + 1.85%), 6.12%, 04/20/35<sup>(a)(b)</sup><br>|  | 1140 | 1143739 |
| &nbsp;&nbsp;&nbsp; Regatta XVIII Funding Ltd., Series 2021-1A, <br> Class A1R, (3-mo. CME Term SOFR + 1.16%), <br> 5.42%, 04/15/38<sup>(a)(b)</sup><br>|  | 10972 | 10966564 |
| &nbsp;&nbsp;&nbsp; Regatta XX Funding Ltd., Series 2021-2A, <br> Class AR, (3-mo. CME Term SOFR + 1.18%), <br> 5.44%, 01/15/38<sup>(a)(b)</sup><br>|  | 800 | 800626 |
| &nbsp;&nbsp;&nbsp; Regatta XXIII Funding Ltd., Series 2021-4A, <br> Class A1, (3-mo. CME Term SOFR + 1.41%), <br> 5.68%, 01/20/35<sup>(a)(b)</sup><br>|  | 840 | 842241 |
| &nbsp;&nbsp;&nbsp; Regatta XXIV Funding Ltd., Series 2021-5A, <br> Class AR, (3-mo. CME Term SOFR + 1.32%), <br> 5.59%, 01/20/38<sup>(a)(b)</sup><br>|  | 1080 | 1083639 |
| &nbsp;&nbsp;&nbsp; Regatta XXVII Funding Ltd., Series 2024-1A, <br> Class A1, (3-mo. CME Term SOFR + 1.53%), <br> 5.81%, 04/26/37<sup>(a)(b)</sup><br>|  | 2040 | 2047509 |
| Regional Management Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 1.68%, 03/17/31<sup>(a)</sup> |  | 6 | 5922 |
| &nbsp;&nbsp;&nbsp; Series 2021-2, Class B, 2.35%, 08/15/33<sup>(a)</sup> |  | 1098 | 1016371 |
| &nbsp;&nbsp;&nbsp; Series 2021-2, Class C, 3.23%, 08/15/33<sup>(a)</sup> |  | 820 | 763343 |
| &nbsp;&nbsp;&nbsp; Series 2021-3, Class A, 3.88%, 10/17/33<sup>(a)(g)</sup> |  | 10210 | 9776075 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A, 3.07%, 03/15/32<sup>(a)</sup> |  | 1449 | 1438165 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class B, 3.71%, 03/15/32<sup>(a)</sup> |  | 5452 | 5382461 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class C, 4.46%, 03/15/32<sup>(a)</sup> |  | 1111 | 1109126 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class D, 6.72%, 03/15/32<sup>(a)</sup> |  | 2072 | 2073225 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class D, 7.46%, 07/15/36<sup>(a)</sup> |  | 1637 | 1699172 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.11%, 12/15/33<sup>(a)</sup> |  | 1418 | 1425758 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class D, 6.33%, 12/15/33<sup>(a)</sup> |  | 1665 | 1677616 |
| &nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust, <br> Series 2005-3, Class AF4, 5.64%, 11/25/35<sup>(c)</sup><br>|  | 357 | 355901 |
| Republic Finance Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class D, 5.23%, 12/22/31<sup>(a)</sup> |  | 3550 | 3440854 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 6.47%, 08/20/32<sup>(a)</sup> |  | 4430 | 4537287 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class C, 7.28%, 08/20/32<sup>(a)</sup> |  | 1794 | 1842013 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class D, 9.49%, 08/20/32<sup>(a)</sup> |  | 4072 | 4171542 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Riserva CLO Ltd., Series 2016-3A, Class ARR, <br> (3-mo. CME Term SOFR + 1.32%), 5.59%, <br> 01/18/34<sup>(a)(b)</sup><br>| USD  | 1100 | $1101980 |
| Rockford Tower CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class AR2, (3-mo. CME Term <br> SOFR + 1.36%), 5.63%, 04/20/34<sup>(a)(b)</sup><br>|  | 500 | 501283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.76%), 6.02%, 10/15/29<sup>(a)(b)</sup><br>|  | 1250 | 1253287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class CR, (3-mo. CME Term <br> SOFR + 2.16%), 6.42%, 10/15/29<sup>(a)(b)</sup><br>|  | 1000 | 1002249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class DR, (3-mo. CME Term <br> SOFR + 3.11%), 7.37%, 10/15/29<sup>(a)(b)</sup><br>|  | 1000 | 1001964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class A, (3-mo. CME Term <br> SOFR + 1.45%), 5.72%, 10/20/30<sup>(a)(b)</sup><br>|  | 769 | 769279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A, (3-mo. CME Term <br> SOFR + 1.36%), 5.68%, 05/20/31<sup>(a)(b)</sup><br>|  | 672 | 673161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A, (3-mo. CME Term <br> SOFR + 1.42%), 5.69%, 10/20/31<sup>(a)(b)</sup><br>|  | 116 | 116448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class B, (3-mo. CME Term <br> SOFR + 2.06%), 6.33%, 10/20/31<sup>(a)(b)</sup><br>|  | 620 | 621183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1, (3-mo. CME Term <br> SOFR + 1.43%), 5.70%, 07/20/34<sup>(a)(b)</sup><br>|  | 3500 | 3506362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A1, (3-mo. CME Term <br> SOFR + 1.42%), 5.69%, 07/20/34<sup>(a)(b)</sup><br>|  | 1510 | 1512518 |
| &nbsp;&nbsp;&nbsp; Romark CLO II Ltd., Series 2018-2A, Class A1R, <br> (3-mo. CME Term SOFR + 1.14%), 5.42%, <br> 07/25/31<sup>(a)(b)</sup><br>|  | 150 | 150115 |
| &nbsp;&nbsp;&nbsp; Romark CLO Ltd., Series 2017-1A, Class A1R, <br> (3-mo. CME Term SOFR + 1.29%), 5.57%, <br> 10/23/30<sup>(a)(b)</sup><br>|  | 696 | 696846 |
| &nbsp;&nbsp;&nbsp; Romark WM-R Ltd., Series 2018-1A, Class A1, <br> (3-mo. CME Term SOFR + 1.29%), 5.56%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 977 | 978119 |
| &nbsp;&nbsp;&nbsp; RR 12 Ltd., Series 2020-12A, Class A2R3, (3-mo. <br> CME Term SOFR + 1.60%), 5.86%, <br> 01/15/36<sup>(a)(b)</sup><br>|  | 1210 | 1211189 |
| &nbsp;&nbsp;&nbsp; RR 18 Ltd., Series 2021-18A, Class A2, (3-mo. <br> CME Term SOFR + 1.86%), 6.12%, <br> 10/15/34<sup>(a)(b)</sup><br>|  | 650 | 651172 |
| &nbsp;&nbsp;&nbsp; RR 19 Ltd., Series 2021-19A, Class A2R, (3-mo. <br> CME Term SOFR + 1.55%), 5.92%, <br> 04/15/40<sup>(a)(b)</sup><br>|  | 250 | 250041 |
| &nbsp;&nbsp;&nbsp; RR 28 Ltd., Series 2024-28RA, Class A1R, (3-mo. <br> CME Term SOFR + 1.55%), 5.81%, <br> 04/15/37<sup>(a)(b)</sup><br>|  | 250 | 250941 |
| &nbsp;&nbsp;&nbsp; RR 29 Ltd., Series 2024-29RA, Class A1R, (3-mo. <br> CME Term SOFR + 1.39%), 5.65%, <br> 07/15/39<sup>(a)(b)</sup><br>|  | 250 | 250799 |
| RR 32 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-32RA, Class A1R, (3-mo. CME <br> Term SOFR + 1.36%), 5.62%, 10/15/39<sup>(a)(b)</sup><br>|  | 11850 | 11892848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-32RA, Class A2R, (3-mo. CME <br> Term SOFR + 1.70%), 5.96%, 10/15/39<sup>(a)(b)</sup><br>|  | 2690 | 2698266 |
| &nbsp;&nbsp;&nbsp; Sagard-Halseypoint CLO 8 Ltd., Series 2024-8A, <br> Class A1, (3-mo. CME Term SOFR + 1.39%), <br> 5.70%, 01/30/38<sup>(a)(b)</sup><br>|  | 3670 | 3680925 |
| &nbsp;&nbsp;&nbsp; Sandstone Peak II Ltd., Series 2023-1A, Class A, <br> (3-mo. CME Term SOFR + 2.20%), 6.47%, <br> 07/20/36<sup>(a)(b)</sup><br>|  | 2000 | 2000000 |
| Sandstone Peak Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.28%), 5.54%, 10/15/34<sup>(a)(b)</sup><br>|  | 250 | 250656 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Sandstone Peak Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A2R, (3-mo. CME Term <br> SOFR + 1.68%), 5.94%, 10/15/34<sup>(a)(b)</sup><br>| USD  | 3360 | $3367840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B1R, (3-mo. CME Term <br> SOFR + 1.83%), 6.09%, 10/15/34<sup>(a)(b)</sup><br>|  | 1290 | 1293382 |
| &nbsp;&nbsp;&nbsp; Saxon Asset Securities Trust, Series 2004-2, <br> Class MF5, 2.12%, 08/25/35<sup>(c)</sup><br>|  | 397 | 300078 |
| Securitized Asset-Backed Receivables LLC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-BR1, Class A2A, (1-mo. CME Term <br> SOFR + 0.33%), 4.65%, 02/25/37<sup>(b)</sup><br>|  | 375 | 157152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-BR1, Class A2B, (1-mo. CME Term <br> SOFR + 0.65%), 4.97%, 02/25/37<sup>(b)</sup><br>|  | 1996 | 837159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NC2, Class A2C, (1-mo. CME Term <br> SOFR + 0.55%), 4.87%, 01/25/37<sup>(b)</sup><br>|  | 446 | 325861 |
| Service Experts Issuer LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 2.67%, 02/02/32<sup>(a)</sup> |  | 1122 | 1093301 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.39%, 11/20/35<sup>(a)</sup> |  | 2187 | 2226287 |
| SESAC Finance LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-1, Class A2, 5.22%, 07/25/49<sup>(a)</sup> |  | 2458 | 2446959 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A2, 6.42%, 01/25/54<sup>(a)</sup> |  | 666 | 678735 |
| &nbsp;&nbsp;&nbsp; SG Mortgage Securities Trust, Series 2006-FRE2, <br> Class A2C, (1-mo. CME Term SOFR + 0.43%), <br> 4.75%, 07/25/36<sup>(b)</sup><br>|  | 182 | 37376 |
| Shackleton CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-3A, Class AR, (3-mo. CME Term <br> SOFR + 1.38%), 5.64%, 07/15/30<sup>(a)(b)</sup><br>|  | 54 | 53809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-4RA, Class A1A, (3-mo. CME Term <br> SOFR + 1.26%), 5.50%, 04/13/31<sup>(a)(b)</sup><br>|  | 114 | 113621 |
| &nbsp;&nbsp;&nbsp; Signal Peak CLO 14 Ltd., Series 2024-14A, <br> Class A, (3-mo. CME Term SOFR + 1.30%), <br> 5.59%, 01/22/38<sup>(a)(b)</sup><br>|  | 3850 | 3860857 |
| Signal Peak CLO 5 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5A, Class A1R, (3-mo. CME Term <br> SOFR + 1.55%), 5.83%, 04/25/37<sup>(a)(b)</sup><br>|  | 1810 | 1816607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5A, Class BR, (3-mo. CME Term <br> SOFR + 2.20%), 6.48%, 04/25/37<sup>(a)(b)</sup><br>|  | 390 | 392753 |
| Signal Peak CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.42%), 5.69%, 10/20/37<sup>(a)(b)</sup><br>|  | 600 | 602462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.80%), 6.07%, 10/20/37<sup>(a)(b)</sup><br>|  | 480 | 481518 |
| &nbsp;&nbsp;&nbsp; Signal Peak CLO 8 Ltd., Series 2020-8A, <br> Class A1R, (3-mo. CME Term SOFR + 1.39%), <br> 5.66%, 10/20/37<sup>(a)(b)</sup><br>|  | 1230 | 1235623 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 1 Ltd., Series 2022-1A, <br> Class A1R, (3-mo. CME Term SOFR + 1.32%), <br> 5.59%, 01/20/38<sup>(a)(b)</sup><br>|  | 1820 | 1825824 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 4 Ltd., Series 2024-4A, Class A1, <br> (3-mo. CME Term SOFR + 1.63%), 5.89%, <br> 04/15/37<sup>(a)(b)</sup><br>|  | 2900 | 2911475 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 5 Ltd., Series 2024-5A, Class A1, <br> (3-mo. CME Term SOFR + 1.40%), 5.67%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 970 | 973731 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 7 Ltd., Series 2024-7A, Class A1, <br> (3-mo. CME Term SOFR + 1.36%), 5.65%, <br> 01/15/38<sup>(a)(b)</sup><br>|  | 760 | 762232 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 8 Ltd., Series 2025-8A, Class A1, <br> (3-mo. CME Term SOFR + 1.21%), 5.43%, <br> 04/15/38<sup>(a)(b)</sup><br>|  | 4090 | 4088233 |
| &nbsp;&nbsp;&nbsp; Sixth Street CLO IX Ltd., Series 2017-9A, <br> Class AR, (3-mo. CME Term SOFR + 1.38%), <br> 5.65%, 07/21/37<sup>(a)(b)</sup><br>|  | 1290 | 1294273 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Sixth Street CLO XIV Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-14A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.15%), 5.47%, 01/20/38<sup>(a)(b)</sup><br>| USD  | 1950 | $1949173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-14A, Class ER2, (3-mo. CME Term <br> SOFR + 4.65%), 8.97%, 01/20/38<sup>(a)(b)</sup><br>|  | 1250 | 1229922 |
| Sixth Street CLO XX Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-20A, Class B, (3-mo. CME Term <br> SOFR + 1.91%), 6.18%, 10/20/34<sup>(a)(b)</sup><br>|  | 970 | 971534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-20A, Class BR, (3-mo. CME Term <br> SOFR + 1.65%), 07/17/38<sup>(a)(b)(e)</sup><br>|  | 970 | 970000 |
| SLM Private Credit Student Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A, Class A4, (3-mo. CME Term <br> SOFR + 0.57%), 4.89%, 12/15/38<sup>(b)</sup><br>|  | 708 | 698527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-B, Class A4, (3-mo. CME Term <br> SOFR + 0.59%), 4.91%, 06/15/39<sup>(b)</sup><br>|  | 562 | 547490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-BW, Class A5, (3-mo. CME Term <br> SOFR + 0.46%), 4.78%, 12/15/39<sup>(b)</sup><br>|  | 1123 | 1090632 |
| &nbsp;&nbsp;&nbsp; SLM Private Education Loan Trust, Series 2010-C, <br> Class A5, (1-mo. CME Term SOFR + 4.86%), <br> 9.18%, 10/15/41<sup>(a)(b)</sup><br>|  | 2130 | 2231164 |
| SMB Private Education Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-C, Class B, 3.50%, 09/15/43<sup>(a)</sup> |  | 492 | 489225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-A, Class A2B, (1-mo. CME Term <br> SOFR + 1.01%), 5.33%, 09/15/34<sup>(a)(b)</sup><br>|  | 85 | 84752 |
| &nbsp;&nbsp;&nbsp; Series 2017-B, Class A2A, 2.82%, 10/15/35<sup>(a)</sup> |  | 158 | 156038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-B, Class A2B, (1-mo. CME Term <br> SOFR + 0.86%), 5.18%, 10/15/35<sup>(a)(b)</sup><br>|  | 259 | 258732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-A, Class A2B, (1-mo. CME Term <br> SOFR + 0.91%), 5.23%, 02/15/36<sup>(a)(b)</sup><br>|  | 765 | 764627 |
| &nbsp;&nbsp;&nbsp; Series 2019-B, Class A2A, 2.84%, 06/15/37<sup>(a)</sup> |  | 1261 | 1230485 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class C, 2.99%, 01/15/53<sup>(a)</sup> |  | 2100 | 1834402 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class D1, 3.86%, 01/15/53<sup>(a)</sup> |  | 398 | 360771 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class D2, 3.86%, 01/15/53<sup>(a)</sup> |  | 271 | 245581 |
| &nbsp;&nbsp;&nbsp; Series 2021-B, Class A, 1.31%, 07/17/51<sup>(a)</sup> |  | 1593 | 1493050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class A2, (1-mo. CME Term <br> SOFR + 0.91%), 5.23%, 01/15/53<sup>(a)(b)</sup><br>|  | 1001 | 989780 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class APT1, 1.39%, 01/15/53<sup>(a)</sup> |  | 903 | 824898 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 2.30%, 01/15/53<sup>(a)</sup> |  | 613 | 592681 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A1A, 5.24%, 03/15/56<sup>(a)</sup> |  | 1663 | 1690758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A1B, (SOFR (30-day) + <br> 1.45%), 5.75%, 03/15/56<sup>(a)(b)</sup><br>|  | 12803 | 12925631 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 5.88%, 03/15/56<sup>(a)</sup> |  | 2415 | 2477596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-C, Class A1B, (SOFR (30-day) + <br> 1.10%), 5.40%, 06/17/52<sup>(a)(b)</sup><br>|  | 2296 | 2279380 |
| SoFi Consumer Loan Program Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class A, 4.80%, 02/27/34<sup>(a)</sup> |  | 16296 | 16326455 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class B, 5.12%, 02/27/34<sup>(a)</sup> |  | 1373 | 1386490 |
| SoFi Personal Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 6.00%, 11/12/30<sup>(a)</sup> |  | 2204 | 2230208 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.06%, 02/12/31<sup>(a)</sup> |  | 3439 | 3454122 |
| SoFi Professional Loan Program LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-A, Class B, 3.61%, 02/25/42<sup>(a)</sup> |  | 290 | 280437 |
| &nbsp;&nbsp;&nbsp; Series 2019-B, Class A2FX, 3.09%, 08/17/48<sup>(a)</sup> |  | 198 | 193393 |
| SoFi Professional Loan Program Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-B, Class BFX, 3.83%, 08/25/47<sup>(a)</sup> |  | 156 | 150097 |
| &nbsp;&nbsp;&nbsp; Series 2018-D, Class BFX, 4.14%, 02/25/48<sup>(a)</sup> |  | 100 | 96592 |
| &nbsp;&nbsp;&nbsp; Series 2020-A, Class BFX, 3.12%, 05/15/46<sup>(a)</sup> |  | 226 | 193232 |
| &nbsp;&nbsp;&nbsp; Sound Point CLO II Ltd., Series 2013-1A, <br> Class A1R, (3-mo. CME Term SOFR + 1.33%), <br> 5.61%, 01/26/31<sup>(a)(b)</sup><br>|  | 61 | 61448 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Soundview Home Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-WMC1, Class M2, (1-mo. CME <br> Term SOFR + 0.91%), 5.23%, 01/25/35<sup>(b)</sup><br>| USD  | 82 | $69055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-OPT3, Class M4, (1-mo. CME Term <br> SOFR + 1.13%), 5.45%, 11/25/35<sup>(b)</sup><br>|  | 313 | 250177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NS1, Class M1, (1-mo. CME Term <br> SOFR + 0.64%), 4.96%, 01/25/37<sup>(b)</sup><br>|  | 447 | 427351 |
| Southwick Park CLO LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4A, Class A1R, (3-mo. CME Term <br> SOFR + 1.32%), 5.59%, 07/20/32<sup>(a)(b)</sup><br>|  | 430 | 430963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4A, Class B1R, (3-mo. CME Term <br> SOFR + 1.76%), 6.03%, 07/20/32<sup>(a)(b)</sup><br>|  | 380 | 379179 |
| SPLT |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 23-1, Class R1, 0.00%, 10/15/30<sup>(a)</sup> |  | 43 | 1984536 |
| &nbsp;&nbsp;&nbsp; Series 24-1, Class R1, 0.00%, 02/12/31<sup>(a)</sup> |  | 135 | 3818520 |
| &nbsp;&nbsp;&nbsp; SpringCastle America Funding LLC, Series 2020-<br> AA, Class A, 1.97%, 09/25/37<sup>(a)</sup><br>|  | 723 | 680157 |
| &nbsp;&nbsp;&nbsp; Steele Creek CLO Ltd., Series 2017-1A, Class A, <br> (3-mo. CME Term SOFR + 1.51%), 5.77%, <br> 10/15/30<sup>(a)(b)</sup><br>|  | 31 | 31113 |
| &nbsp;&nbsp;&nbsp; Stratus CLO Ltd., Series 2021-1A, Class SUB, <br> 0.00%, 12/29/29<sup>(a)(b)</sup><br>|  | 1000 | 1110 |
| &nbsp;&nbsp;&nbsp; Stream Innovations Issuer Trust, Series 2025-1A, <br> Class A, 5.05%, 09/15/45<sup>(a)</sup><br>|  | 3577 | 3602710 |
| &nbsp;&nbsp;&nbsp; Structured Asset Investment Loan Trust, <br> Series 2004-10, Class A11, (1-mo. CME Term <br> SOFR + 1.61%), 5.93%, 11/25/34<sup>(b)</sup><br>|  | 83 | 90166 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Loan <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-GEL1, Class A3, (1-mo. CME Term <br> SOFR + 0.71%), 5.03%, 01/25/37<sup>(a)(b)</sup><br>|  | 1410 | 1155586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-GEL2, Class M1, (1-mo. CME Term <br> SOFR + 1.16%), 5.48%, 05/25/37<sup>(a)(b)</sup><br>|  | 1642 | 1290263 |
| &nbsp;&nbsp;&nbsp; Subway Funding LLC, Series 2024-1A, Class A2II, <br> 6.27%, 07/30/54<sup>(a)</sup><br>|  | 3588 | 3675764 |
| Sycamore Tree CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class BR, (3-mo. CME Term <br> SOFR + 2.15%), 6.42%, 04/20/37<sup>(a)(b)</sup><br>|  | 1000 | 1005360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5A, Class B, (3-mo. CME Term <br> SOFR + 2.25%), 6.52%, 04/20/36<sup>(a)(b)</sup><br>|  | 2150 | 2154303 |
| &nbsp;&nbsp;&nbsp; Symphony CLO 40 Ltd., Series 2023-40A, <br> Class AR, (3-mo. CME Term SOFR + 1.31%), <br> 5.55%, 01/05/38<sup>(a)(b)</sup><br>|  | 730 | 732361 |
| &nbsp;&nbsp;&nbsp; Symphony CLO 46 Ltd., Series 2024-46A, <br> Class A2, (3-mo. CME Term SOFR + 1.59%), <br> 5.86%, 01/20/38<sup>(a)(b)</sup><br>|  | 420 | 420739 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XIX Ltd., Series 2018-19A, <br> Class A, (3-mo. CME Term SOFR + 1.22%), <br> 5.48%, 04/16/31<sup>(a)(b)</sup><br>|  | 600 | 601029 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XVI Ltd., Series 2015-16A, <br> Class ARR, (3-mo. CME Term SOFR + 1.20%), <br> 5.46%, 10/15/31<sup>(a)(b)</sup><br>|  | 1154 | 1155958 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XX Ltd., Series 2018-20A, <br> Class BR2, (3-mo. CME Term SOFR + 1.55%), <br> 5.81%, 01/16/32<sup>(a)(b)</sup><br>|  | 640 | 638624 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XXI Ltd., Series 2019-21A, <br> Class AR2, (3-mo. CME Term SOFR + 0.90%), <br> 5.16%, 07/15/32<sup>(a)(b)</sup><br>|  | 1540 | 1537812 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XXIV Ltd., Series 2020-24A, <br> Class AR, (3-mo. CME Term SOFR + 1.20%), <br> 5.48%, 01/23/32<sup>(a)(b)</sup><br>|  | 199 | 199814 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Symphony CLO XXVI Ltd., Series 2021-26A, <br> Class AR, (3-mo. CME Term SOFR + 1.34%), <br> 5.61%, 04/20/33<sup>(a)(b)</sup><br>| USD  | 569 | $569518 |
| &nbsp;&nbsp;&nbsp; TCI-Flatiron CLO Ltd., Series 2018-1A, Class ANR, <br> (3-mo. CME Term SOFR + 1.32%), 5.60%, <br> 01/29/32<sup>(a)(b)</sup><br>|  | 135 | 135026 |
| &nbsp;&nbsp;&nbsp; TCI-Symphony CLO Ltd., Series 2017-1A, <br> Class BR, (3-mo. CME Term SOFR + 1.81%), <br> 6.07%, 07/15/30<sup>(a)(b)</sup><br>|  | 1000 | 1001450 |
| &nbsp;&nbsp;&nbsp; TCW CLO Ltd., Series 2019-2A, Class A1R2, (3-<br> mo. CME Term SOFR + 1.27%), 5.59%, <br> 01/20/38<sup>(a)(b)</sup><br>|  | 1200 | 1202038 |
| &nbsp;&nbsp;&nbsp; Terwin Mortgage Trust, Series 2005-10HE, <br> Class M5, (1-mo. CME Term SOFR + 1.13%), <br> 5.45%, 06/25/36<sup>(b)</sup><br>|  | 257 | 229187 |
| &nbsp;&nbsp;&nbsp; Thayer Park CLO Ltd., Series 2017-1A, Class A1R, <br> (3-mo. CME Term SOFR + 1.30%), 5.57%, <br> 04/20/34<sup>(a)(b)</sup><br>|  | 950 | 951527 |
| TICP CLO VI Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-6A, Class AR2, (3-mo. CME Term <br> SOFR + 1.38%), 5.64%, 01/15/34<sup>(a)(b)</sup><br>|  | 4500 | 4508100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-6A, Class BR2, (3-mo. CME Term <br> SOFR + 1.76%), 6.02%, 01/15/34<sup>(a)(b)</sup><br>|  | 320 | 320350 |
| TICP CLO VII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-7A, Class ASR2, (3-mo. CME Term <br> SOFR + 1.30%), 5.56%, 04/15/33<sup>(a)(b)</sup><br>|  | 1430 | 1432418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-7A, Class BR2, (3-mo. CME Term <br> SOFR + 1.90%), 6.16%, 04/15/33<sup>(a)(b)</sup><br>|  | 2740 | 2743268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-7A, Class ER, (3-mo. CME Term <br> SOFR + 7.31%), 11.57%, 04/15/33<sup>(a)(b)</sup><br>|  | 600 | 599387 |
| TICP CLO XI Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-11A, Class AR, (3-mo. CME Term <br> SOFR + 1.53%), 5.81%, 04/25/37<sup>(a)(b)</sup><br>|  | 250 | 250920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-11A, Class BR, (3-mo. CME Term <br> SOFR + 2.05%), 6.33%, 04/25/37<sup>(a)(b)</sup><br>|  | 2760 | 2776253 |
| &nbsp;&nbsp;&nbsp; Towd Point Mortgage Trust, Series 2019-HY2, <br> Class A1, (1-mo. CME Term SOFR + 1.11%), <br> 5.43%, 05/25/58<sup>(a)(b)</sup><br>|  | 634 | 648917 |
| &nbsp;&nbsp;&nbsp; Trestles CLO IV Ltd., Series 2021-4A, Class A, <br> (3-mo. CME Term SOFR + 1.43%), 5.70%, <br> 07/21/34<sup>(a)(b)</sup><br>|  | 2060 | 2063658 |
| &nbsp;&nbsp;&nbsp; Trestles CLO Ltd., Series 2017-1A, Class A1RR, <br> (3-mo. CME Term SOFR + 1.46%), 5.74%, <br> 07/25/37<sup>(a)(b)</sup><br>|  | 1470 | 1476503 |
| &nbsp;&nbsp;&nbsp; Trestles CLO VI Ltd., Series 2023-6A, Class A1R, <br> (3-mo. CME Term SOFR + 1.18%), 5.45%, <br> 04/25/38<sup>(a)(b)</sup><br>|  | 1300 | 1299412 |
| &nbsp;&nbsp;&nbsp; Tricon American Homes Trust, Series 2019-SFR1, <br> Class E, 3.40%, 03/17/38<sup>(a)</sup><br>|  | 2000 | 1976633 |
| Tricon Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class F, 3.69%, 07/17/38<sup>(a)</sup> |  | 3250 | 3174993 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class G, 4.13%, 07/17/38<sup>(a)</sup> |  | 2099 | 2044655 |
| Trimaran CAVU Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D1, (3-mo. CME Term <br> SOFR + 3.51%), 7.79%, 10/25/34<sup>(a)(b)</sup><br>|  | 300 | 303250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term <br> SOFR + 1.38%), 5.64%, 01/25/38<sup>(a)(b)</sup><br>|  | 830 | 833653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, (3-mo. CME Term <br> SOFR + 1.75%), 6.01%, 01/25/38<sup>(a)(b)</sup><br>|  | 620 | 620560 |
| &nbsp;&nbsp;&nbsp; Trinitas CLO IV Ltd., Series 2016-4A, Class A2L2, <br> (3-mo. CME Term SOFR + 1.66%), 5.93%, <br> 10/18/31<sup>(a)(b)</sup><br>|  | 250 | 250097 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Trinitas CLO VII Ltd., Series 2017-7A, Class A1R2, <br> (3-mo. CME Term SOFR + 1.06%), 5.34%, <br> 01/25/35<sup>(a)(b)</sup><br>| USD  | 3250 | $3250276 |
| &nbsp;&nbsp;&nbsp; Trinitas CLO XVIII Ltd., Series 2021-18A, Class A1, <br> (3-mo. CME Term SOFR + 1.43%), 5.70%, <br> 01/20/35<sup>(a)(b)</sup><br>|  | 250 | 250437 |
| &nbsp;&nbsp;&nbsp; Trinitas CLO XXVIII Ltd., Series 2024-28A, <br> Class A1, (3-mo. CME Term SOFR + 1.55%), <br> 5.83%, 04/25/37<sup>(a)(b)</sup><br>|  | 620 | 622264 |
| &nbsp;&nbsp;&nbsp; Upgrade Master Pass-Thru Trust, Series 2025-<br> ST4, Class A, 08/16/32<sup>(a)(e)</sup><br>|  | 3263 | 3263000 |
| Verdelite Static CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term <br> SOFR + 1.13%), 5.40%, 07/20/32<sup>(a)(b)</sup><br>|  | 1430 | 1430786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, (3-mo. CME Term <br> SOFR + 1.65%), 5.92%, 07/20/32<sup>(a)(b)</sup><br>|  | 290 | 289133 |
| &nbsp;&nbsp;&nbsp; VOLT CVI LLC, Series 2021-NP12, Class A1, <br> 5.73%, 12/26/51<sup>(a)(c)</sup><br>|  | 6915 | 6893677 |
| Voya CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class A1R, (3-mo. CME Term <br> SOFR + 1.23%), 5.51%, 04/25/31<sup>(a)(b)</sup><br>|  | 234 | 234266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-3A, Class A1RR, (3-mo. CME Term <br> SOFR + 1.41%), 5.68%, 10/18/31<sup>(a)(b)</sup><br>|  | 229 | 229569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.33%), 5.60%, 01/20/31<sup>(a)(b)</sup><br>|  | 427 | 427483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.21%), 5.49%, 04/17/30<sup>(a)(b)</sup><br>|  | 52 | 52174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A1, (3-mo. CME Term <br> SOFR + 1.21%), 5.48%, 04/19/31<sup>(a)(b)</sup><br>|  | 296 | 295894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A2, (3-mo. CME Term <br> SOFR + 1.56%), 5.83%, 04/19/31<sup>(a)(b)</sup><br>|  | 250 | 250003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A1, (3-mo. CME Term <br> SOFR + 1.26%), 5.52%, 07/15/31<sup>(a)(b)</sup><br>|  | 107 | 106970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.20%), 5.46%, 10/15/31<sup>(a)(b)</sup><br>|  | 169 | 169033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class AR, (3-mo. CME Term <br> SOFR + 1.20%), 5.47%, 07/20/32<sup>(a)(b)</sup><br>|  | 3614 | 3620683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A1RR, (3-mo. CME Term <br> SOFR + 1.31%), 5.59%, 01/20/38<sup>(a)(b)</sup><br>|  | 3000 | 3009590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.55%), 5.85%, 04/20/38<sup>(a)(b)</sup><br>|  | 810 | 811497 |
| Washington Mutual Asset-Backed Certificates Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE3, Class 1A, (1-mo. CME Term <br> SOFR + 0.42%), 4.74%, 08/25/36<sup>(b)</sup><br>|  | 5377 | 5182106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE4, Class 2A2, (1-mo. CME Term <br> SOFR + 0.47%), 4.79%, 09/25/36<sup>(b)</sup><br>|  | 195 | 49473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE5, Class 1A, (1-mo. CME Term <br> SOFR + 0.42%), 4.42%, 10/25/36<sup>(b)</sup><br>|  | 2270 | 1708291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class 2A1, (1-mo. CME Term <br> SOFR + 0.23%), 4.55%, 11/25/36<sup>(b)</sup><br>|  | 197 | 61306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class 2A2, (1-mo. CME Term <br> SOFR + 0.45%), 4.77%, 11/25/36<sup>(b)</sup><br>|  | 1745 | 546803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE3, Class 2A3, (1-mo. CME Term <br> SOFR + 0.35%), 4.67%, 05/25/37<sup>(b)</sup><br>|  | 95 | 84456 |
| &nbsp;&nbsp;&nbsp; Wellington Management CLO 1 Ltd., Series 2023-<br> 1A, Class A, (3-mo. CME Term SOFR + 1.80%), <br> 6.07%, 10/20/36<sup>(a)(b)</sup><br>|  | 550 | 551551 |
| &nbsp;&nbsp;&nbsp; Wellington Management CLO 4 Ltd., Series 2025-<br> 4A, Class A, (3-mo. CME Term SOFR + 1.15%), <br> 5.43%, 04/18/38<sup>(a)(b)</sup><br>|  | 1520 | 1517846 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Whitebox CLO I Ltd., Series 2019-1A, Class A1RR, <br> (3-mo. CME Term SOFR + 1.32%), 5.60%, <br> 07/24/36<sup>(a)(b)</sup><br>| USD  | 5077 | $5081541 |
| Whitebox CLO II Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.38%), 5.66%, 10/24/37<sup>(a)(b)</sup><br>|  | 9171 | 9206530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class BR2, (3-mo. CME Term <br> SOFR + 1.75%), 6.03%, 10/24/37<sup>(a)(b)</sup><br>|  | 410 | 408305 |
| &nbsp;&nbsp;&nbsp; Whitebox CLO III Ltd., Series 2021-3A, Class A1R, <br> (3-mo. CME Term SOFR + 1.27%), 5.53%, <br> 10/15/35<sup>(a)(b)</sup><br>|  | 8672 | 8684822 |
| &nbsp;&nbsp;&nbsp; Whitebox CLO V Ltd., Series 2025-5A, Class B, <br> (3-mo. CME Term SOFR + 1.70%), <br> 07/20/38<sup>(a)(b)(e)</sup><br>|  | 1000 | 1000000 |
| Wildwood Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term <br> SOFR + 1.36%), 5.63%, 10/20/37<sup>(a)(b)</sup><br>|  | 2390 | 2400011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class E, (3-mo. CME Term <br> SOFR + 5.75%), 10.02%, 10/20/37<sup>(a)(b)</sup><br>|  | 250 | 254365 |
| &nbsp;&nbsp;&nbsp; Wireless PropCo Funding LLC, Series 2025-1A, <br> Class C, 8.51%, 06/25/55<sup>(a)(g)</sup><br>|  | 4744 | 4743950 |
| &nbsp;&nbsp;&nbsp; Yale Mortgage Loan Trust, Series 2007-1, Class A, <br> (1-mo. CME Term SOFR + 0.51%), 4.83%, <br> 06/25/37<sup>(a)(b)</sup><br>|  | 407 | 125993 |
| **Total Asset-Backed Securities — 46.6%** <br>**(Cost: $1,804,912,065)** | **Total Asset-Backed Securities — 46.6%** <br>**(Cost: $1,804,912,065)** | **Total Asset-Backed Securities — 46.6%** <br>**(Cost: $1,804,912,065)** | 1772865960 |
| **Corporate Bonds** | **Corporate Bonds** | **Corporate Bonds** | **Corporate Bonds** |
| **Banks — 0.0%** | **Banks — 0.0%** | **Banks — 0.0%** | **Banks — 0.0%** |
| Washington Mutual Escrow Bonds |  |  |  |
| &nbsp;&nbsp;&nbsp; 0.00%<sup>(g)(h)(i)(j)</sup> |  | 500 |  |
| &nbsp;&nbsp;&nbsp; 0.00%<sup>(g)(h)(i)(j)</sup> |  | 250 |  |
| **Insurance — 0.0%** | **Insurance — 0.0%** | **Insurance — 0.0%** | **Insurance — 0.0%** |
| Ambac Assurance Corp., 5.10%<sup>(a)(j)</sup> |  | 58 | 77953 |
| **Total Corporate Bonds — 0.0%** <br>**(Cost: $75,211)** | **Total Corporate Bonds — 0.0%** <br>**(Cost: $75,211)** | **Total Corporate Bonds — 0.0%** <br>**(Cost: $75,211)** | 77953 |
| **Floating Rate Loan Interests**<sup>(b)(g)</sup> | **Floating Rate Loan Interests**<sup>(b)(g)</sup> | **Floating Rate Loan Interests**<sup>(b)(g)</sup> | **Floating Rate Loan Interests**<sup>(b)(g)</sup> |
| **Financial Services — 0.3%** | **Financial Services — 0.3%** | **Financial Services — 0.3%** | **Financial Services — 0.3%** |
| &nbsp;&nbsp;&nbsp; CTP-02 Propco LLC, Term Loan, (1-mo. CME Term <br> SOFR at 0.50% Floor + 3.25%), 7.54%, <br> 12/06/29<br>|  | 2212 | 2194333 |
| &nbsp;&nbsp;&nbsp; Promontoria Beech DAC, 1st Lien Term Loan, (1-<br> mo. EURIBOR at 0.00% Floor + 3.75%), 5.64%, <br> 05/17/27<br>| EUR  | 2382 | 2806080 |
| &nbsp;&nbsp;&nbsp; Sirocco Lux S.A., Facility A, (3-mo. EURIBOR at <br> 0.00% Floor + 3.90%), 6.14%, 02/28/26<br>|  | 5528 | 6511145 |
|  |  |  | 11511558 |
| **Total Floating Rate Loan Interests — 0.3%** <br>**(Cost: $10,789,260)** | **Total Floating Rate Loan Interests — 0.3%** <br>**(Cost: $10,789,260)** | **Total Floating Rate Loan Interests — 0.3%** <br>**(Cost: $10,789,260)** | 11511558 |
| **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Collateralized Mortgage Obligations — 22.9%** | **Collateralized Mortgage Obligations — 22.9%** | **Collateralized Mortgage Obligations — 22.9%** | **Collateralized Mortgage Obligations — 22.9%** |
| A&D Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM5, Class A1, 7.05%, <br> 11/25/68<sup>(a)(c)</sup><br>| USD  | 4956 | 5021817 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| A&D Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM5, Class A1, 5.70%, <br> 11/25/69<sup>(a)</sup><br>| USD  | 4624 | $4642318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM5, Class M1, 6.52%, <br> 11/25/69<sup>(a)(b)</sup><br>|  | 4238 | 4294463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.79%, <br> 06/25/70<sup>(a)(b)</sup><br>|  | 5861 | 5895067 |
| &nbsp;&nbsp;&nbsp; ACRA Trust, Series 2024-NQM1, Class A1, 5.61%, <br> 10/25/64<sup>(a)(c)</sup><br>|  | 7870 | 7874978 |
| &nbsp;&nbsp;&nbsp; Adjustable Rate Mortgage Trust, Series 2006-2, <br> Class 4A1, 4.17%, 05/25/36<sup>(b)</sup><br>|  | 4068 | 3079101 |
| Agate Bay Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-1, Class B5, 3.63%, 01/25/45<sup>(a)(b)</sup> |  | 723 | 440584 |
| &nbsp;&nbsp;&nbsp; Series 2015-3, Class B5, 3.46%, 04/25/45<sup>(a)(b)</sup> |  | 832 | 511127 |
| &nbsp;&nbsp;&nbsp; Series 2015-4, Class B5, 3.49%, 06/25/45<sup>(a)(b)</sup> |  | 580 | 335222 |
| Ajax Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-D, Class B, 0.00%, 12/25/57<sup>(a)(b)</sup> |  | 6 | 1918 |
| &nbsp;&nbsp;&nbsp; Series 2020-C, Class C, 0.00%, 09/27/60<sup>(a)</sup> |  | 6 | 82 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class A, 5.12%, 01/25/61<sup>(a)(c)</sup> |  | 1699 | 1694464 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 6.72%, 01/25/61<sup>(a)(c)</sup> |  | 846 | 834438 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class C, 0.00%, 01/25/61<sup>(a)</sup> |  | 2010 | 2345588 |
| &nbsp;&nbsp;&nbsp; Series 2021-D, Class A, 5.00%, 03/25/60<sup>(a)(c)</sup> |  | 4221 | 4225192 |
| &nbsp;&nbsp;&nbsp; Series 2021-D, Class B, 4.00%, 03/25/60<sup>(a)(b)</sup> |  | 1656 | 1810959 |
| &nbsp;&nbsp;&nbsp; Series 2021-D, Class C, 0.00%, 03/25/60<sup>(a)(b)</sup> |  | 2376 | 2816902 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class A1, 1.74%, 12/25/60<sup>(a)(b)</sup> |  | 9888 | 8683356 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class A2, 2.69%, 12/25/60<sup>(a)(b)</sup> |  | 1770 | 1353273 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class B1, 3.73%, 12/25/60<sup>(a)(b)</sup> |  | 1068 | 684815 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class B3, 4.01%, 12/25/60<sup>(a)(b)</sup> |  | 632 | 187938 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class M1, 2.94%, 12/25/60<sup>(a)(b)</sup> |  | 698 | 502284 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class SA, 0.00%, 12/25/60<sup>(a)(b)</sup> |  | 4 | 1871 |
| &nbsp;&nbsp;&nbsp; Series 2021-F, Class A, 4.88%, 06/25/61<sup>(a)(c)</sup> |  | 15870 | 15855736 |
| &nbsp;&nbsp;&nbsp; Series 2021-F, Class B, 3.75%, 06/25/61<sup>(a)(c)</sup> |  | 4538 | 4498513 |
| &nbsp;&nbsp;&nbsp; Series 2021-F, Class C, 0.00%, 06/25/61<sup>(a)</sup> |  | 6779 | 6451691 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class A2, 3.00%, 10/25/61<sup>(a)(b)</sup> |  | 478 | 432935 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class A3, 3.00%, 10/25/61<sup>(a)(b)</sup> |  | 255 | 230111 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class B, 3.00%, 10/25/61<sup>(a)</sup> |  | 1912 | 1466434 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class C, 3.00%, 10/25/61<sup>(a)</sup> |  | 938 | 1013345 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class M1, 3.00%, 10/25/61<sup>(a)</sup> |  | 279 | 250718 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class M2, 3.00%, 10/25/61<sup>(a)</sup> |  | 1250 | 996476 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class M3, 3.00%, 10/25/61<sup>(a)</sup> |  | 80 | 63290 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A2, 3.00%, 03/27/62<sup>(a)(b)</sup> |  | 376 | 339512 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A3, 3.00%, 03/27/62<sup>(a)(b)</sup> |  | 322 | 290025 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class B, 3.00%, 03/27/62<sup>(a)</sup> |  | 1789 | 1394573 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class C, 3.00%, 03/27/62<sup>(a)</sup> |  | 1735 | 1337229 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class M1, 3.00%, 03/27/62<sup>(a)</sup> |  | 241 | 216745 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class M2, 3.00%, 03/27/62<sup>(a)</sup> |  | 1198 | 1038092 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A1, 3.50%, 07/25/62<sup>(a)(c)</sup> |  | 9078 | 8581727 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A2, 3.00%, 07/25/62<sup>(a)(b)</sup> |  | 515 | 458421 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A3, 2.50%, 07/25/62<sup>(a)(b)</sup> |  | 292 | 252215 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class B, 2.50%, 07/25/62<sup>(a)(b)</sup> |  | 1717 | 1274418 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class C, 2.50%, 07/25/62<sup>(a)(b)</sup> |  | 1312 | 591880 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class M1, 2.50%, 07/25/62<sup>(a)(b)</sup> |  | 884 | 760841 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A1, 3.50%, 05/25/63<sup>(a)(c)</sup> |  | 11100 | 10555957 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A2, 3.00%, 05/25/63<sup>(a)(b)</sup> |  | 789 | 696534 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A3, 2.50%, 05/25/63<sup>(a)(b)</sup> |  | 421 | 358862 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class C, 2.50%, 05/25/63<sup>(a)(b)</sup> |  | 3678 | 2649029 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class M1, 2.50%, 05/25/63<sup>(a)(b)</sup> |  | 368 | 312660 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class M2, 2.50%, 05/25/63<sup>(a)(b)</sup> |  | 2284 | 1818018 |
| American Home Mortgage Assets Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A12, (1-mo. CME Term <br> SOFR + 0.32%), 4.64%, 10/25/46<sup>(b)</sup><br>|  | 79 | 39888 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| American Home Mortgage Assets Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-6, Class A1A, (1-mo. CME Term <br> SOFR + 0.30%), 4.62%, 12/25/46<sup>(b)</sup><br>| USD  | 4025 | $3432754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class A1, (12-mo. Federal <br> Reserve Cumulative Average US + 0.70%), <br> 5.10%, 02/25/47<sup>(b)</sup><br>|  | 31 | 10621 |
| &nbsp;&nbsp;&nbsp; American Home Mortgage Investment Trust, <br> Series 2006-2, Class 2A2, (1-mo. CME Term <br> SOFR + 1.74%), 6.06%, 05/25/36<sup>(b)</sup><br>|  | 15106 | 1276508 |
| Angel Oak Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-5, Class B1, 3.96%, 10/25/49<sup>(a)(b)</sup> |  | 405 | 377845 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class B1, 3.20%, 01/20/65<sup>(a)(b)</sup> |  | 200 | 140148 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 3.35%, 01/25/67<sup>(a)(b)</sup> |  | 221 | 208225 |
| &nbsp;&nbsp;&nbsp; Series 2023-7, Class A1, 4.80%, 11/25/67<sup>(a)(c)</sup> |  | 6534 | 6491578 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A1, 5.21%, 08/25/68<sup>(a)(c)</sup> |  | 941 | 936633 |
| &nbsp;&nbsp;&nbsp; Series 2024-10, Class A1, 5.35%, 10/25/69<sup>(a)(c)</sup> |  | 2132 | 2127278 |
| &nbsp;&nbsp;&nbsp; Series 2024-11, Class A1, 5.70%, 08/25/69<sup>(a)(c)</sup> |  | 2645 | 2654644 |
| &nbsp;&nbsp;&nbsp; Series 2025-2, Class A1, 5.64%, 02/25/70<sup>(a)(c)</sup> |  | 4862 | 4876097 |
| &nbsp;&nbsp;&nbsp; Series 2025-5, Class A1, 5.57%, 04/25/70<sup>(a)(c)</sup> |  | 12408 | 12446699 |
| &nbsp;&nbsp;&nbsp; APS Resecuritization Trust, Series 2016-1, <br> Class 1MZ, 3.01%, 07/31/57<sup>(a)(b)</sup><br>|  | 2261 | 836730 |
| Banc of America Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class 3CB1, (1-mo. CME Term <br> SOFR + 0.91%), 5.23%, 05/25/46<sup>(b)</sup><br>|  | 393 | 338181 |
| &nbsp;&nbsp;&nbsp; Series 2006-7, Class A4, 6.50%, 10/25/36<sup>(c)</sup> |  | 2254 | 598236 |
| Banc of America Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class 1A6, 5.75%, 01/25/37 |  | 14 | 11611 |
| &nbsp;&nbsp;&nbsp; Series 2014-R2, Class 1C, 0.00%, 11/26/36<sup>(a)(b)</sup> |  | 7003 | 2426954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-R3, Class 1A2, 3.70%, <br> 03/27/36<sup>(a)(b)</sup><br>|  | 1806 | 1533996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-R2, Class 1A1, 4.70%, <br> 05/01/33<sup>(a)(b)</sup><br>|  | 88 | 88328 |
| &nbsp;&nbsp;&nbsp; Banc of America Mortgage Trust, Series 2007-4, <br> Class 1A1, 6.25%, 12/28/37<br>|  | 675 | 493464 |
| Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class A, 5.00%, <br> 11/25/51<sup>(a)(c)</sup><br>|  | 5041 | 5026816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class B, 4.63%, <br> 11/25/51<sup>(a)(c)</sup><br>|  | 1072 | 1088998 |
| &nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class C, 0.00%, 11/25/51<sup>(a)</sup> |  | 2188 | 2910667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class A1, 4.55%, <br> 07/25/52<sup>(a)(c)</sup><br>|  | 2884 | 2868513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class A, 4.25%, <br> 02/25/28<sup>(a)(c)</sup><br>|  | 5542 | 5434275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class B, 4.25%, <br> 02/25/28<sup>(a)(c)</sup><br>|  | 1242 | 1214525 |
| &nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class C, 0.00%, 02/25/28<sup>(a)</sup> |  | 2087 | 602892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class SA, 0.00%, <br> 02/25/28<sup>(a)</sup><br>|  | 13 | 10548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A1, 6.90%, <br> 10/25/63<sup>(a)(c)</sup><br>|  | 10389 | 10520453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A2, 7.36%, <br> 10/25/63<sup>(a)(c)</sup><br>|  | 1652 | 1675629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A3, 7.69%, <br> 10/25/63<sup>(a)(c)</sup><br>|  | 997 | 1012566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class B1, 7.98%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 681 | 686753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class B2, 7.98%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 573 | 569549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class B3, 7.98%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 1567 | 1507319 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class M1, 7.98%, <br> 10/25/63<sup>(a)(b)</sup><br>| USD  | 1134 | $1160593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class SA, 0.00%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 0 <br><sup>(k)</sup><br>| 213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A1, 5.90%, <br> 01/25/64<sup>(a)(c)</sup><br>|  | 1523 | 1528626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A2, 6.11%, <br> 01/25/64<sup>(a)(c)</sup><br>|  | 1038 | 1040730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A3, 6.31%, <br> 01/25/64<sup>(a)(c)</sup><br>|  | 792 | 795405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B1, 8.09%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 512 | 518376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B2, 8.70%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 469 | 472022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B3, 8.70%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 1007 | 976150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class M1, 6.80%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 879 | 887549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class SA, 0.00%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 2 | 1973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class A1, 6.04%, <br> 06/25/64<sup>(a)(c)</sup><br>|  | 13995 | 14089503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class A2, 6.30%, <br> 06/25/64<sup>(a)(c)</sup><br>|  | 1103 | 1110438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class A3, 6.50%, <br> 06/25/64<sup>(a)(c)</sup><br>|  | 1925 | 1939919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B1, 7.50%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 1109 | 1118411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B2, 8.04%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 1016 | 1013362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B3, 8.04%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 2779 | 2648045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class M1, 6.41%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 1617 | 1629707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class SA, 0.00%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 2 | 2302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class A1, 4.79%, <br> 12/26/64<sup>(a)(c)</sup><br>|  | 25923 | 25731172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class A2, 5.10%, <br> 12/26/64<sup>(a)(c)</sup><br>|  | 2438 | 2418982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class A3, 5.25%, <br> 12/26/64<sup>(a)(c)</sup><br>|  | 2732 | 2713900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class B1, 6.96%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 1145 | 1145088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class B2, 7.57%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 873 | 857217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class B3, 7.57%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 1999 | 1888192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class M1, 6.31%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 1882 | 1899942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class SA, 0.00%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 4 | 3629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.66%, <br> 01/25/65<sup>(a)(c)</sup><br>|  | 25325 | 25487910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A2, 5.87%, <br> 01/25/65<sup>(a)(c)</sup><br>|  | 2311 | 2323354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A3, 5.97%, <br> 01/25/65<sup>(a)(c)</sup><br>|  | 2201 | 2215463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class B1, 6.94%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 1321 | 1301294 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class B2, 7.83%, <br> 01/25/65<sup>(a)(b)</sup><br>| USD  | 1148 | $1132239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class B3, 7.83%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 2546 | 2427867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class M1, 6.49%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 2125 | 2157165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class SA, 0.00%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 4 | 4179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.76%, <br> 05/25/65<sup>(a)(c)</sup><br>|  | 24200 | 24454843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A2, 5.94%, <br> 05/25/65<sup>(a)(c)</sup><br>|  | 1916 | 1936726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A3, 6.04%, <br> 05/25/65<sup>(a)(c)</sup><br>|  | 3765 | 3805147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class B1, 7.69%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 1176 | 1168077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class B2, 7.69%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 467 | 443664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class B3, 7.69%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 86 | 72911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class M1, 6.71%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 2386 | 2427236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class SA, 0.00%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 2 | 1639 |
| BCAP LLC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-RR4, Class 3A6, 5.03%, <br> 07/26/36<sup>(a)(b)</sup><br>|  | 1040 | 1043576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-RR5, Class 11A5, (1-mo. CME Term <br> SOFR + 0.26%), 4.29%, 05/28/36<sup>(a)(b)</sup><br>|  | 176 | 169049 |
| Bear Stearns ALT-A Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-7, Class 26A1, 4.91%, 09/25/35<sup>(b)</sup> |  | 1306 | 445383 |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class 21A1, 4.82%, 01/25/47<sup>(b)</sup> |  | 2697 | 1298334 |
| Bear Stearns Asset-Backed Securities I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AC1, Class 1A2, 6.25%, <br> 02/25/36<sup>(c)</sup><br>|  | 113 | 116643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AC2, Class 1A1, (1-mo. CME Term <br> SOFR + 0.46%), 4.78%, 03/25/36<sup>(b)</sup><br>|  | 1826 | 474325 |
| Bear Stearns Mortgage Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SL1, Class A1, (1-mo. CME Term <br> SOFR + 0.39%), 4.71%, 08/25/36<sup>(b)</sup><br>|  | 236 | 232971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AR2, Class A1, (1-mo. CME Term <br> SOFR + 0.45%), 4.77%, 03/25/37<sup>(b)</sup><br>|  | 163 | 155293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AR4, Class 2A1, (1-mo. CME Term <br> SOFR + 0.32%), 4.64%, 06/25/37<sup>(b)</sup><br>|  | 14 | 13598 |
| BRAVO Residential Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM1, Class B1, 3.17%, <br> 02/25/49<sup>(a)(b)</sup><br>|  | 1427 | 1163259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM6, Class B1, 8.00%, <br> 09/25/63<sup>(a)(b)</sup><br>|  | 1500 | 1511157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B1, 8.04%, <br> 12/01/63<sup>(a)</sup><br>|  | 566 | 572807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B1, 8.10%, <br> 03/25/64<sup>(a)(b)</sup><br>|  | 845 | 857934 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM6, Class B2, 8.04%, <br> 08/01/64<sup>(a)(b)</sup><br>|  | 250 | 247944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.68%, <br> 11/25/64<sup>(a)(c)</sup><br>|  | 6086 | 6115337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM5, Class A1, 5.50%, <br> 02/25/65<sup>(a)(c)</sup><br>|  | 4232 | 4244655 |
| &nbsp;&nbsp;&nbsp; CAFL Issuer LLC, Series 2024-RTL1, Class A1, <br> 6.75%, 11/28/31<sup>(a)(c)</sup><br>|  | 3330 | 3375665 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| CFMT LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB14, Class M2, 3.00%, <br> 06/25/34<sup>(a)(b)</sup><br>| USD  | 192 | $181790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB14, Class M3, 3.00%, <br> 06/25/34<sup>(a)(b)</sup><br>|  | 473 | 442257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB15, Class M2, 4.00%, <br> 08/25/34<sup>(a)(b)</sup><br>|  | 358 | 343417 |
| &nbsp;&nbsp;&nbsp; Series 2024-R1, Class A1, 4.00%, 10/25/54<sup>(a)(c)</sup> |  | 1285 | 1261260 |
| &nbsp;&nbsp;&nbsp; Series 2024-R1, Class A2, 4.00%, 10/25/54<sup>(a)(c)</sup> |  | 177 | 170290 |
| &nbsp;&nbsp;&nbsp; Chase Mortgage Finance Corp., Series 2016-SH1, <br> Class M4, 3.75%, 04/25/45<sup>(a)(b)</sup><br>|  | 437 | 390988 |
| Chase Mortgage Finance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-S2, Class 1A16, 6.25%, 10/25/36 |  | 2678 | 967379 |
| &nbsp;&nbsp;&nbsp; Series 2007-S6, Class 1A1, 6.00%, 12/25/37 |  | 8990 | 3616529 |
| CHNGE Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 3.01%, 01/25/67<sup>(a)(b)</sup> |  | 1944 | 1842662 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 3.76%, 03/25/67<sup>(a)(b)</sup> |  | 6533 | 6356076 |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class A1, 6.00%, 10/25/57<sup>(a)(c)</sup> |  | 387 | 388375 |
| CIM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-J2, Class B4, 3.76%, 10/25/49<sup>(a)(b)</sup> |  | 832 | 674466 |
| &nbsp;&nbsp;&nbsp; Series 2023-I2, Class A2, 6.85%, 12/25/67<sup>(a)(c)</sup> |  | 698 | 702862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NR1, Class A1, 5.00%, <br> 06/25/64<sup>(a)(c)</sup><br>|  | 13060 | 12799202 |
| Citicorp Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-4, Class 1A14, 6.00%, 05/25/37 |  | 341 | 298650 |
| &nbsp;&nbsp;&nbsp; Series 2007-9, Class 1A1, 6.25%, 12/25/37 |  | 1462 | 1376509 |
| &nbsp;&nbsp;&nbsp; Series 2008-2, Class 1A1, 6.50%, 06/25/38 |  | 231 | 192812 |
| Citigroup Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-6, Class 1A2A, 4.13%, 03/25/37<sup>(b)</sup> |  | 3342 | 2459597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-6, Class 2A1, (1-mo. CME Term <br> SOFR + 0.61%), 4.93%, 05/25/37<sup>(b)</sup><br>|  | 999 | 924539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-12, Class 5A2, 4.63%, <br> 07/25/37<sup>(a)(b)</sup><br>|  | 5152 | 2243126 |
| &nbsp;&nbsp;&nbsp; Series 2014-C, Class B2, 4.25%, 02/25/54<sup>(a)(b)</sup> |  | 317 | 314792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-RP1, Class A1, 3.50%, <br> 01/25/66<sup>(a)(b)</sup><br>|  | 984 | 960551 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class A1, 6.17%, 09/25/62<sup>(a)(c)</sup> |  | 5690 | 5684990 |
| CitiMortgage Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-A3, Class 1A5, 6.00%, 03/25/37 |  | 1341 | 1187590 |
| &nbsp;&nbsp;&nbsp; Series 2007-A6, Class 1A21, 5.50%, 06/25/37 |  | 803 | 680224 |
| COLT Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class M1, 5.25%, 03/25/65<sup>(a)(b)</sup> |  | 761 | 763203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HX1, Class B1, 3.11%, <br> 10/25/66<sup>(a)(b)</sup><br>|  | 1471 | 1097546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HX1, Class B2, 3.86%, <br> 10/25/66<sup>(a)(b)</sup><br>|  | 1000 | 776268 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class B2, 4.16%, 12/27/66<sup>(a)(b)</sup> |  | 227 | 193363 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class B1, 4.22%, 02/25/67<sup>(a)(b)</sup> |  | 3500 | 3015650 |
| &nbsp;&nbsp;&nbsp; Series 2022-5, Class B1, 4.68%, 03/25/67<sup>(a)(b)</sup> |  | 1707 | 1578481 |
| &nbsp;&nbsp;&nbsp; Series 2024-6, Class A1, 5.39%, 11/25/69<sup>(a)(c)</sup> |  | 3128 | 3129738 |
| Countrywide Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-11CB, Class 2A1, 5.50%, 06/25/35 |  | 67 | 53739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22T1, Class A1, (1-mo. CME Term <br> SOFR + 0.46%), 4.78%, 06/25/35<sup>(b)</sup><br>|  | 982 | 865121 |
| &nbsp;&nbsp;&nbsp; Series 2005-29CB, Class A6, 5.50%, 07/25/35 |  | 214 | 124188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-51, Class 3A3A, (1-mo. CME Term <br> SOFR + 0.75%), 5.08%, 11/20/35<sup>(b)</sup><br>|  | 357 | 317924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-55CW, Class 2A3, (1-mo. CME <br> Term SOFR + 0.46%), 4.79%, 11/25/35<sup>(b)</sup><br>|  | 412 | 306742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-59, Class 1A1, (1-mo. CME Term <br> SOFR + 0.77%), 5.10%, 11/20/35<sup>(b)</sup><br>|  | 828 | 812932 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Countrywide Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-76, Class 2A1, (12-mo. Federal <br> Reserve Cumulative Average US + 1.00%), <br> 5.40%, 02/25/36<sup>(b)</sup><br>| USD  | 327 | $297497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9CB, Class 1A1, (1-mo. CME Term <br> SOFR + 0.61%), 4.93%, 05/25/35<sup>(b)</sup><br>|  | 1011 | 892295 |
| &nbsp;&nbsp;&nbsp; Series 2006-11CB, Class 3A1, 6.50%, 05/25/36 |  | 980 | 442077 |
| &nbsp;&nbsp;&nbsp; Series 2006-13T1, Class A3, 6.00%, 05/25/36 |  | 1647 | 738036 |
| &nbsp;&nbsp;&nbsp; Series 2006-28CB, Class A14, 6.25%, 10/25/36 |  | 645 | 318052 |
| &nbsp;&nbsp;&nbsp; Series 2006-29T1, Class 2A6, 6.50%, 10/25/36 |  | 2176 | 1298748 |
| &nbsp;&nbsp;&nbsp; Series 2006-6CB, Class 2A10, 6.00%, 05/25/36 |  | 172 | 64796 |
| &nbsp;&nbsp;&nbsp; Series 2006-J4, Class 2A1, 6.00%, 07/25/36 |  | 3281 | 1870615 |
| &nbsp;&nbsp;&nbsp; Series 2006-J7, Class 1A2, 6.25%, 11/25/36 |  | 2794 | 1308205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OA11, Class A4, (1-mo. CME Term <br> SOFR + 0.49%), 4.81%, 09/25/46<sup>(b)</sup><br>|  | 192 | 178453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OC1, Class 1A1, (1-mo. CME Term <br> SOFR + 0.57%), 4.89%, 03/25/36<sup>(b)</sup><br>|  | 581 | 573199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OC10, Class 2A3, (1-mo. CME <br> Term SOFR + 0.57%), 4.89%, 11/25/36<sup>(b)</sup><br>|  | 458 | 395220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OC7, Class 2A3, (1-mo. CME Term <br> SOFR + 0.61%), 4.93%, 07/25/46<sup>(b)</sup><br>|  | 2611 | 2251754 |
| &nbsp;&nbsp;&nbsp; Series 2007-3T1, Class 1A1, 6.00%, 04/25/37 |  | 1117 | 491766 |
| &nbsp;&nbsp;&nbsp; Series 2007-9T1, Class 1A1, 6.00%, 05/25/37 |  | 163 | 74210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA2, Class 1A1, (12-mo. Federal <br> Reserve Cumulative Average US + 0.84%), <br> 5.24%, 03/25/47<sup>(b)</sup><br>|  | 121 | 102619 |
| &nbsp;&nbsp;&nbsp; Countrywide Home Loan Mortgage Pass-Through <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-J2, Class 3A9, (1-mo. CME Term <br> SOFR + 1.51%), 5.83%, 08/25/35<sup>(b)</sup><br>|  | 2190 | 1395873 |
| &nbsp;&nbsp;&nbsp; Series 2006-17, Class A6, 6.00%, 12/25/36 |  | 196 | 86438 |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class A2, 6.00%, 03/25/37 |  | 204 | 90012 |
| &nbsp;&nbsp;&nbsp; Series 2007-14, Class A18, 6.00%, 09/25/37 |  | 6054 | 3021268 |
| &nbsp;&nbsp;&nbsp; Series 2007-15, Class 2A2, 6.50%, 09/25/37 |  | 621 | 222491 |
| &nbsp;&nbsp;&nbsp; Series 2007-16, Class A1, 6.50%, 10/25/37 |  | 4205 | 1720093 |
| &nbsp;&nbsp;&nbsp; Series 2007-9, Class A1, 5.75%, 07/25/37 |  | 747 | 349405 |
| &nbsp;&nbsp;&nbsp; Series 2007-9, Class A11, 5.75%, 07/25/37 |  | 408 | 190950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HYB1, Class 3A1, 4.25%, <br> 03/25/37<sup>(b)</sup><br>|  | 1108 | 947134 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities <br> Corp., Series 2005-11, Class 1A1, 6.50%, <br> 12/25/35<br>|  | 2842 | 1251120 |
| &nbsp;&nbsp;&nbsp; Credit Suisse Mortgage Capital Certificates, <br> Series 2009-12R, Class 3A1, 6.50%, <br> 10/27/37<sup>(a)</sup><br>|  | 39 | 14658 |
| Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A3, 6.00%, 05/25/36 |  | 372 | 197364 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 4A1, 7.00%, 05/25/36 |  | 5027 | 1277762 |
| &nbsp;&nbsp;&nbsp; Series 2007-5, Class 1A11, 7.00%, 08/25/37<sup>(b)</sup> |  | 1853 | 871883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-10R, Class 5A2, 4.15%, <br> 05/27/36<sup>(a)(b)</sup><br>|  | 861 | 286762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-9R, Class 9A1, (1-mo. CME Term <br> SOFR + 0.23%), 4.68%, 08/27/36<sup>(a)(b)</sup><br>|  | 59 | 48348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SAF1, Class B5, 3.84%, <br> 03/25/44<sup>(a)(b)</sup><br>|  | 1577 | 1175078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-6R, Class 5A2, (1-mo. CME Term <br> SOFR + 0.29%), 3.66%, 03/27/36<sup>(a)(b)</sup><br>|  | 1123 | 868999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SPT1, Class B2, 3.39%, <br> 04/25/65<sup>(a)(b)</sup><br>|  | 8400 | 7048911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM1, Class M1, 2.13%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 3299 | 2594482 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM8, Class M1, 3.26%, <br> 10/25/66<sup>(a)(b)</sup><br>| USD  | 590 | $438375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RPL9, Class A1, 3.78%, <br> 02/25/61<sup>(a)(b)</sup><br>|  | 3429 | 3396007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-ATH3, Class B1, 7.10%, <br> 08/25/67<sup>(a)(b)</sup><br>|  | 1989 | 1991104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class A1, 2.27%, <br> 11/25/66<sup>(a)(b)</sup><br>|  | 4360 | 3965437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM3, Class A1B, 4.27%, <br> 03/25/67<sup>(a)(b)</sup><br>|  | 2291 | 2236765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM6, Class PT, 8.85%, <br> 12/25/67<sup>(a)(b)</sup><br>|  | 6438 | 6400063 |
| Cross Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-H2, Class A1A, 7.14%, <br> 11/25/68<sup>(a)(c)</sup><br>|  | 1320 | 1339613 |
| &nbsp;&nbsp;&nbsp; Series 2024-H7, Class A1, 5.59%, 11/25/69<sup>(a)(b)</sup> |  | 9163 | 9188746 |
| &nbsp;&nbsp;&nbsp; Series 2025-H1, Class A1, 5.74%, 02/25/70<sup>(a)(b)</sup> |  | 3719 | 3737201 |
| &nbsp;&nbsp;&nbsp; Series 2025-H1, Class M1, 6.48%, 02/25/70<sup>(a)(b)</sup> |  | 1405 | 1419166 |
| &nbsp;&nbsp;&nbsp; Series 2025-H2, Class A1, 5.36%, 03/25/70<sup>(a)(b)</sup> |  | 11247 | 11247259 |
| &nbsp;&nbsp;&nbsp; Series 2025-H4, Class A1, 5.60%, 06/25/70<sup>(a)(b)</sup> |  | 6342 | 6386559 |
| Deephaven Residential Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1, Class B2, 3.96%, 05/25/65<sup>(a)(b)</sup> |  | 150 | 132065 |
| &nbsp;&nbsp;&nbsp; Series 2021-1, Class M1, 2.09%, 05/25/65<sup>(a)(b)</sup> |  | 1620 | 1478531 |
| &nbsp;&nbsp;&nbsp; Series 2021-3, Class B1, 3.27%, 08/25/66<sup>(a)(b)</sup> |  | 3671 | 2743392 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class M1, 4.31%, 03/25/67<sup>(a)(b)</sup> |  | 884 | 782060 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class B1, 5.27%, 07/25/67<sup>(a)(b)</sup> |  | 1349 | 1186437 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class M1, 5.27%, 07/25/67<sup>(a)(b)</sup> |  | 2742 | 2541883 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A1, 5.74%, 07/25/69<sup>(a)(c)</sup> |  | 4625 | 4649528 |
| &nbsp;&nbsp;&nbsp; Deutsche Alt-B Securities Mortgage Loan Trust, <br> Series 2006-AB3, Class A8, 6.36%, 07/25/36<sup>(b)</sup><br>|  | 14 | 11948 |
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities, Inc. Mortgage Loan <br> Trust, Series 2006-PR1, Class CWA1, 6.00%, <br> 06/25/35<sup>(a)(b)</sup><br>|  | 999 | 507937 |
| Ellington Financial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class B2, 5.91%, 09/25/67<sup>(a)(b)</sup> |  | 1629 | 1409948 |
| &nbsp;&nbsp;&nbsp; Series 2023-1, Class B1, 6.75%, 02/25/68<sup>(a)(b)</sup> |  | 2600 | 2581032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A1A, 5.71%, <br> 11/25/69<sup>(a)(c)</sup><br>|  | 8655 | 8682547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-INV1, Class A1, 5.63%, <br> 03/25/70<sup>(a)(c)</sup><br>|  | 9800 | 9824763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-INV2, Class A1, 5.39%, <br> 05/26/70<sup>(a)(c)</sup><br>|  | 8739 | 8750394 |
| First Horizon Alternative Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AA12, Class 2A1, 4.94%, <br> 02/25/36<sup>(b)</sup><br>|  | 13 | 8222 |
| &nbsp;&nbsp;&nbsp; Series 2006-AA7, Class A1, 4.87%, 01/25/37<sup>(b)</sup> |  | 2562 | 2039750 |
| &nbsp;&nbsp;&nbsp; GAEA Mortgage Loan Trust, Series 2025-A, <br> Class A, 6.75%, 02/25/30<sup>(a)(b)</sup><br>|  | 1689 | 1657159 |
| GCAT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-NQM2, Class B1, 4.85%, <br> 04/25/65<sup>(a)(b)</sup><br>|  | 2533 | 2375079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM3, Class B1, 3.47%, <br> 05/25/66<sup>(a)(b)</sup><br>|  | 1151 | 839137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HX1, Class A1, 2.89%, <br> 12/27/66<sup>(a)(b)</sup><br>|  | 251 | 233957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM2, Class M1, 4.20%, <br> 02/25/67<sup>(a)(b)</sup><br>|  | 711 | 591078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM4, Class A1, 5.27%, <br> 08/25/67<sup>(a)(c)</sup><br>|  | 3017 | 3006180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM4, Class A1, 4.25%, <br> 05/25/67<sup>(a)(b)</sup><br>|  | 3569 | 3387887 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| &nbsp;&nbsp;&nbsp; GreenPoint Mortgage Funding Trust, Series 2006-<br> AR2, Class 4A1, (12-mo. Federal Reserve <br> Cumulative Average US + 2.00%), 6.40%, <br> 03/25/36<sup>(b)</sup><br>| USD  | 13 | $12284 |
| GS Mortgage-Backed Securities Corp. Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PJ2, Class A4, 4.00%, <br> 11/25/49<sup>(a)(b)</sup><br>|  | 206 | 194143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-PJ2, Class B4, 3.64%, <br> 07/25/50<sup>(a)(b)</sup><br>|  | 1040 | 870617 |
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, <br> Series 2022-NQM1, Class A4, 4.00%, <br> 05/25/62<sup>(a)(b)</sup><br>|  | 305 | 278188 |
| GSMPS Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 1AF, (1-mo. CME Term <br> SOFR + 0.51%), 4.83%, 06/25/34<sup>(a)(b)</sup><br>|  | 2493 | 2234706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP2, Class 1AF, (1-mo. CME Term <br> SOFR + 0.46%), 4.78%, 03/25/35<sup>(a)(b)</sup><br>|  | 44 | 40935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 2A1, 4.30%, <br> 09/25/35<sup>(a)(b)</sup><br>|  | 2325 | 2000742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RP1, Class 1AF1, (1-mo. CME <br> Term SOFR + 0.46%), 4.78%, 01/25/36<sup>(a)(b)</sup><br>|  | 36 | 29388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RP2, Class 2A1, 4.53%, <br> 04/25/36<sup>(a)(b)</sup><br>|  | 1918 | 1584778 |
| &nbsp;&nbsp;&nbsp; GSMSC Resecuritization Trust, Series 2015-5R, <br> Class 1D, (1-mo. CME Term SOFR + 0.25%), <br> 3.85%, 04/26/37<sup>(a)(b)</sup><br>|  | 3688 | 2109260 |
| &nbsp;&nbsp;&nbsp; GSR Mortgage Loan Trust, Series 2006-AR2, <br> Class 3A1, 5.86%, 04/25/36<sup>(b)</sup><br>|  | 1595 | 925962 |
| &nbsp;&nbsp;&nbsp; HarborView Mortgage Loan Trust, Series 2007-3, <br> Class 1A1A, (1-mo. CME Term SOFR + 0.51%), <br> 4.83%, 05/19/37<sup>(b)</sup><br>|  | 1018 | 806828 |
| HOMES Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM2, Class A1, 5.72%, <br> 10/25/69<sup>(a)(c)</sup><br>|  | 3420 | 3435135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.43%, <br> 02/25/70<sup>(a)(c)</sup><br>|  | 12947 | 12968909 |
| Homeward Opportunities Fund I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class B1, 5.45%, 05/25/65<sup>(a)(b)</sup> |  | 4160 | 4145915 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 5.08%, 07/25/67<sup>(a)(c)</sup> |  | 5312 | 5282955 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class M1, 5.04%, 07/25/67<sup>(a)(b)</sup> |  | 3077 | 3007467 |
| &nbsp;&nbsp;&nbsp; Impac Secured Assets Trust, Series 2006-3, <br> Class A1, (1-mo. CME Term SOFR + 0.45%), <br> 4.77%, 11/25/36<sup>(b)</sup><br>|  | 1244 | 1129461 |
| IndyMac Index Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR27, Class 2A2, (1-mo. CME <br> Term SOFR + 0.51%), 4.83%, 10/25/36<sup>(b)</sup><br>|  | 173 | 155131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR35, Class 2A1A, (1-mo. CME <br> Term SOFR + 0.45%), 4.77%, 01/25/37<sup>(b)</sup><br>|  | 306 | 273663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR41, Class A3, (1-mo. CME Term <br> SOFR + 0.47%), 4.79%, 02/25/37<sup>(b)</sup><br>|  | 328 | 308599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AR19, Class 3A1, 4.01%, <br> 09/25/37<sup>(b)</sup><br>|  | 594 | 386012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FLX2, Class A1A, (1-mo. CME <br> Term SOFR + 0.43%), 4.75%, 04/25/37<sup>(b)</sup><br>|  | 3900 | 3442602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FLX5, Class 2A2, (1-mo. CME Term <br> SOFR + 0.59%), 4.91%, 08/25/37<sup>(b)</sup><br>|  | 2334 | 2133509 |
| &nbsp;&nbsp;&nbsp; JPMorgan Alternative Loan Trust, Series 2006-S2, <br> Class A5, 6.88%, 05/25/36<sup>(c)</sup><br>|  | 3651 | 3249633 |
| JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-A4, Class B1, 5.70%, 07/25/35<sup>(b)</sup> |  | 180 | 172395 |
| &nbsp;&nbsp;&nbsp; Series 2020-5, Class B3, 3.57%, 12/25/50<sup>(a)(b)</sup> |  | 3543 | 3087282 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class B4, 2.90%, 08/25/51<sup>(a)(b)</sup> |  | 209 | 164660 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class B5, 2.90%, 08/25/51<sup>(a)(b)</sup> | USD  | 157 | $115252 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class B6, 2.90%, 08/25/51<sup>(a)(b)</sup> |  | 103 | 36720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A3A, 2.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 12757 | 11468975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A4A, 2.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 6218 | 4164736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B1, 3.26%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 3596 | 3063850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B2, 3.26%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 844 | 711413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B3, 3.26%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 1174 | 979535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B4, 3.26%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 624 | 507475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B5, 3.26%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 257 | 196216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B6, 3.13%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 841 | 397639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VIS1, Class B2, 8.07%, <br> 07/25/64<sup>(a)(b)</sup><br>|  | 1000 | 988099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VIS2, Class B1, 7.72%, <br> 11/25/64<sup>(a)(b)</sup><br>|  | 3289 | 3296177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.57%, <br> 09/25/65<sup>(a)(b)</sup><br>|  | 6280 | 6302583 |
| &nbsp;&nbsp;&nbsp; Lehman XS Trust, Series 2007-20N, Class A1, <br> (1-mo. CME Term SOFR + 2.41%), 6.73%, <br> 12/25/37<sup>(b)</sup><br>|  | 19 | 18299 |
| &nbsp;&nbsp;&nbsp; MASTR Reperforming Loan Trust, Series 2005-1, <br> Class 1A3, 7.00%, 08/25/34<sup>(a)</sup><br>|  | 1764 | 1230372 |
| &nbsp;&nbsp;&nbsp; MASTR Resecuritization Trust, Series 2008-1, <br> Class A1, 6.00%, 09/27/37<sup>(a)(b)</sup><br>|  | 799 | 530282 |
| MCM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VFN1, Class Cert, 0.00%, <br> 09/25/31<sup>(d)</sup><br>|  | 1588 | 1093818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VFN1, Class Note, 2.50%, <br> 09/25/31<br>|  | 1185 | 1138589 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust, <br> Series 2006-AF2, Class AV1, (1-mo. CME Term <br> SOFR + 0.43%), 4.75%, 09/25/37<sup>(b)</sup><br>|  | 515 | 271169 |
| MFA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV1, Class M1, 2.29%, <br> 01/25/56<sup>(a)(b)</sup><br>|  | 700 | 658088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CHM1, Class A1, 4.88%, <br> 09/25/56<sup>(a)(c)</sup><br>|  | 5162 | 5049040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class M1, 4.22%, <br> 12/25/66<sup>(a)(b)</sup><br>|  | 2112 | 1835470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL1, Class A1, 7.09%, <br> 02/25/29<sup>(a)(c)</sup><br>|  | 3231 | 3241779 |
| &nbsp;&nbsp;&nbsp; Mill City Mortgage Loan Trust, Series 2023-NQM1, <br> Class A1, 6.05%, 10/25/67<sup>(a)(c)</sup><br>|  | 3804 | 3803416 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust, Series 2006-<br> 11, Class 1A3, 6.92%, 08/25/36<sup>(c)</sup><br>|  | 4232 | 701915 |
| Morgan Stanley Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2014-1A, Class B3, 5.96%, 06/25/44<sup>(a)(b)</sup> |  | 198 | 199128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM3, Class A1, 5.53%, <br> 05/25/70<sup>(a)(b)</sup><br>|  | 13894 | 13951914 |
| &nbsp;&nbsp;&nbsp; Mortgage Loan Resecuritization Trust, Series 2009-<br> RS1, Class A85, (1-mo. CME Term SOFR + <br> 0.34%), 4.78%, 04/16/36<sup>(a)(b)</sup><br>|  | 120 | 117564 |
| New Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-2A, Class A1, 4.25%, 12/25/57<sup>(a)(b)</sup> |  | 925 | 906446 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| New Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B1, 7.17%, <br> 11/25/64<sup>(a)(b)</sup><br>| USD  | 1596 | $1568286 |
| New York Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-INV1, Class A1, 5.38%, <br> 06/25/69<sup>(a)(b)</sup><br>|  | 935 | 934368 |
| &nbsp;&nbsp;&nbsp; Series 2024-RR1, Class A, 7.38%, 05/25/64<sup>(a)(c)</sup> |  | 4857 | 4829310 |
| &nbsp;&nbsp;&nbsp; NMLT Trust, Series 2021-INV1, Class B1, 3.61%, <br> 05/25/56<sup>(a)(b)</sup><br>|  | 922 | 716341 |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AP1, Class 2A4, 6.05%, <br> 02/25/35<sup>(c)</sup><br>|  | 284 | 274067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2, Class A4, (1-mo. CME Term <br> SOFR + 0.95%), 5.27%, 06/25/37<sup>(b)</sup><br>|  | 486 | 406769 |
| OBX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-EXP1, Class 1A3, 4.00%, <br> 01/25/59<sup>(a)(b)</sup><br>|  | 52 | 51559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM3, Class A1, 5.65%, <br> 12/01/64<sup>(a)(c)</sup><br>|  | 3636 | 3655753 |
| &nbsp;&nbsp;&nbsp; PRET LLC, Series 2024-RN2, Class A1, 7.13%, <br> 04/25/54<sup>(a)(c)</sup><br>|  | 1413 | 1422008 |
| PRKCM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-AFC2, Class A1, 2.07%, <br> 11/25/56<sup>(a)(b)</sup><br>|  | 991 | 877781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-AFC1, Class A1A, 4.10%, <br> 04/25/57<sup>(a)(b)</sup><br>|  | 388 | 383159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-AFC2, Class A1, 5.34%, <br> 08/25/57<sup>(a)(b)</sup><br>|  | 5714 | 5694250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-AFC1, Class B1, 7.44%, <br> 02/25/58<sup>(a)(b)</sup><br>|  | 4666 | 4686078 |
| PRP Advisors LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class B1, 5.41%, <br> 08/25/67<sup>(a)(b)</sup><br>|  | 335 | 326651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B1, 7.48%, <br> 12/25/68<sup>(a)(b)</sup><br>|  | 2067 | 2059171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.80%, <br> 11/25/69<sup>(a)(c)</sup><br>|  | 9994 | 10075283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class M1A, 6.65%, <br> 11/25/69<sup>(a)(b)</sup><br>|  | 2636 | 2678422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.69%, <br> 04/25/70<sup>(a)(c)</sup><br>|  | 12625 | 12694968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RCF2, Class A1, 4.00%, <br> 10/25/64<sup>(a)(c)</sup><br>|  | 2828 | 2747154 |
| &nbsp;&nbsp;&nbsp; Radian Mortgage Capital Trust, Series 2024-J2, <br> Class A8, 5.50%, 03/25/55<sup>(a)(b)</sup><br>|  | 2935 | 2928677 |
| &nbsp;&nbsp;&nbsp; Rain City Mortgage Trust, Series 2024-RTL1, <br> Class A1, 6.53%, 11/25/29<sup>(a)(b)</sup><br>|  | 1256 | 1265394 |
| RALI Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-QA10, Class A21, 5.00%, <br> 09/25/35<sup>(b)</sup><br>|  | 4957 | 1937067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-QO2, Class A1, (12-mo. Federal <br> Reserve Cumulative Average US + 1.36%), <br> 5.76%, 09/25/45<sup>(b)</sup><br>|  | 651 | 552285 |
| &nbsp;&nbsp;&nbsp; Series 2005-QS15, Class 3A, 6.00%, 10/25/35 |  | 3856 | 3403649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QA10, Class A2, (1-mo. CME Term <br> SOFR + 0.47%), 4.79%, 12/25/36<sup>(b)</sup><br>|  | 1312 | 1145334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QO1, Class 3A1, (1-mo. CME Term <br> SOFR + 0.65%), 4.97%, 02/25/46<sup>(b)</sup><br>|  | 1684 | 645737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QO10, Class A1, (1-mo. CME Term <br> SOFR + 0.43%), 4.75%, 01/25/37<sup>(b)</sup><br>|  | 1502 | 1345969 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| RALI Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-QH3, Class A1, (1-mo. CME Term <br> SOFR + 0.43%), 4.75%, 04/25/37<sup>(b)</sup><br>| USD  | 4352 | $4210661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-QO2, Class A1, (1-mo. CME Term <br> SOFR + 0.26%), 4.58%, 02/25/47<sup>(b)</sup><br>|  | 2654 | 803781 |
| RCKT Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-1, Class B4, 3.47%, 02/25/50<sup>(a)(b)</sup> |  | 882 | 792568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CES8, Class A1A, 5.49%, <br> 11/25/44<sup>(a)(c)</sup><br>|  | 3821 | 3828734 |
| Reperforming Loan REMIC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-R1, Class 1AF1, (1-mo. CME Term <br> SOFR + 0.47%), 4.79%, 03/25/35<sup>(a)(b)</sup><br>|  | 956 | 923326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-R2, Class 1AF1, (1-mo. CME Term <br> SOFR + 0.45%), 4.77%, 06/25/35<sup>(a)(b)</sup><br>|  | 190 | 182609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-R3, Class AF, (1-mo. CME Term <br> SOFR + 0.51%), 4.83%, 09/25/35<sup>(a)(b)</sup><br>|  | 306 | 251719 |
| Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-2, Class B2, 6.04%, 05/25/59<sup>(a)(b)</sup> |  | 656 | 647530 |
| &nbsp;&nbsp;&nbsp; Series 2019-3, Class B2, 5.66%, 09/25/59<sup>(a)(b)</sup> |  | 3102 | 3046922 |
| &nbsp;&nbsp;&nbsp; Series 2020-1, Class B2, 4.67%, 01/26/60<sup>(a)(b)</sup> |  | 622 | 573760 |
| RFMSI Series Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-SA4, Class 2A1, 5.54%, <br> 09/25/35<sup>(b)</sup><br>|  | 1702 | 970760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SA2, Class 2A1, 5.63%, <br> 08/25/36<sup>(b)</sup><br>|  | 398 | 282353 |
| &nbsp;&nbsp;&nbsp; Series 2006-SA4, Class 2A1, 5.54%, 11/25/36<sup>(b)</sup> |  | 155 | 127745 |
| RMF Buyout Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HB1, Class M3, 3.69%, <br> 11/25/31<sup>(a)(b)</sup><br>|  | 3379 | 3195441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HB1, Class M6, 6.00%, <br> 11/25/31<sup>(a)(b)</sup><br>|  | 1277 | 1133559 |
| Saluda Grade Alternative Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL4, Class A1, 7.50%, <br> 02/25/30<sup>(a)(c)</sup><br>|  | 5668 | 5702588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL5, Class A1, 7.76%, <br> 04/25/30<sup>(a)(c)</sup><br>|  | 4013 | 4039174 |
| &nbsp;&nbsp;&nbsp; Santander Mortgage Asset Receivable Trust, <br> Series 2025-NQM2, Class A1, 5.73%, <br> 02/25/65<sup>(a)(c)</sup><br>|  | 3397 | 3421915 |
| &nbsp;&nbsp;&nbsp; Seasoned Loans Structured Transaction Trust, <br> Series 2020-3, Class M1, 4.75%, 04/26/60<sup>(a)(b)</sup><br>|  | 434 | 428431 |
| SG Residential Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 5.35%, 08/25/62<sup>(a)(c)</sup> |  | 646 | 644586 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class B1, 5.30%, 08/25/62<sup>(a)(b)</sup> |  | 3715 | 3633684 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class M1, 5.30%, 08/25/62<sup>(a)(b)</sup> |  | 3313 | 3273436 |
| Spruce Hill Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SH2, Class B1, 5.00%, <br> 06/25/55<sup>(a)(b)</sup><br>|  | 1517 | 1487180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SH1, Class A3, 4.10%, <br> 07/25/57<sup>(a)(c)</sup><br>|  | 680 | 651047 |
| Starwood Mortgage Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-3, Class B1, 4.75%, 04/25/65<sup>(a)(b)</sup> |  | 2820 | 2598835 |
| &nbsp;&nbsp;&nbsp; Series 2020-INV1, Class B1, 3.26%, 11/25/55<sup>(a)</sup> |  | 260 | 233953 |
| &nbsp;&nbsp;&nbsp; Series 2020-INV1, Class M1, 2.50%, 11/25/55<sup>(a)</sup> |  | 2688 | 2480348 |
| &nbsp;&nbsp;&nbsp; Series 2021-1, Class B1, 3.52%, 05/25/65<sup>(a)(b)</sup> |  | 648 | 562033 |
| &nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments II Trust, <br> Series 2006-AR5, Class 2A1, (1-mo. CME Term <br> SOFR + 0.53%), 4.85%, 05/25/46<sup>(b)</sup><br>|  | 25 | 17581 |
| Structured Asset Securities Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RF3, Class 1A, (1-mo. CME Term <br> SOFR + 0.46%), 4.78%, 06/25/35<sup>(a)(b)</sup><br>|  | 603 | 516437 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Structured Asset Securities Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RF5, Class 2A, 4.37%, <br> 07/25/35<sup>(a)(b)</sup><br>| USD  | 1483 | $1403694 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Loan <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RF3, Class 1A2, 6.00%, <br> 10/25/36<sup>(a)</sup><br>|  | 4313 | 2342484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RF4, Class 2A1, 6.00%, <br> 10/25/36<sup>(a)</sup><br>|  | 1242 | 627397 |
| &nbsp;&nbsp;&nbsp; Thornburg Mortgage Securities Trust, <br> Series 2006-3, Class A1, 4.20%, 06/25/46<sup>(b)</sup><br>|  | 958 | 574376 |
| Toorak Mortgage Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV1, Class B1, 3.29%, <br> 07/25/56<sup>(a)(b)</sup><br>|  | 657 | 536786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV2, Class B1, 4.10%, <br> 11/25/56<sup>(a)(b)</sup><br>|  | 5929 | 4769247 |
| &nbsp;&nbsp;&nbsp; Toorak Mortgage Trust, Series 2024-2, Class A1, <br> 6.33%, 10/25/31<sup>(a)(c)</sup><br>|  | 1635 | 1631630 |
| Verus Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-INV3, Class B1, 3.73%, <br> 11/25/59<sup>(a)(b)</sup><br>|  | 100 | 97398 |
| &nbsp;&nbsp;&nbsp; Series 2020-4, Class B1, 5.05%, 05/25/65<sup>(a)(b)</sup> |  | 2600 | 2596170 |
| &nbsp;&nbsp;&nbsp; Series 2021-1, Class M1, 1.97%, 01/25/66<sup>(a)(b)</sup> |  | 3000 | 2352453 |
| &nbsp;&nbsp;&nbsp; Series 2021-6, Class B1, 4.05%, 10/25/66<sup>(a)(b)</sup> |  | 169 | 131434 |
| &nbsp;&nbsp;&nbsp; Series 2021-6, Class M1, 2.94%, 10/25/66<sup>(a)(b)</sup> |  | 462 | 339185 |
| &nbsp;&nbsp;&nbsp; Series 2021-R1, Class M1, 2.34%, 10/25/63<sup>(a)</sup> |  | 3250 | 2991483 |
| &nbsp;&nbsp;&nbsp; Series 2021-R2, Class B1, 3.25%, 02/25/64<sup>(a)(b)</sup> |  | 265 | 208862 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class B1, 4.01%, 01/25/67<sup>(a)(b)</sup> |  | 1507 | 1145374 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class B1, 4.06%, 02/25/67<sup>(a)(b)</sup> |  | 2188 | 1732981 |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class B1, 4.77%, 04/25/67<sup>(a)(b)</sup> |  | 443 | 397757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-INV1, Class B1, 5.79%, <br> 08/25/67<sup>(a)(b)</sup><br>|  | 830 | 812908 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class B1, 7.48%, 03/25/68<sup>(a)(b)</sup> |  | 4333 | 4328244 |
| &nbsp;&nbsp;&nbsp; Series 2023-3, Class B1, 7.76%, 03/25/68<sup>(a)(b)</sup> |  | 415 | 415760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-INV1, Class B1, 7.49%, <br> 02/25/68<sup>(a)(b)</sup><br>|  | 3200 | 3183324 |
| &nbsp;&nbsp;&nbsp; Series 2024-7, Class B1, 6.50%, 09/25/69<sup>(a)(b)</sup> |  | 648 | 640383 |
| Visio Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-2, Class B1, 3.91%, 11/25/54<sup>(a)(b)</sup> |  | 100 | 89750 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class B1, 5.94%, 08/25/57<sup>(a)(b)</sup> |  | 1718 | 1587448 |
| Vista Point Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class A3, 2.50%, 04/25/65<sup>(a)(b)</sup> |  | 79 | 76282 |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class B1, 4.90%, 04/25/65<sup>(a)(b)</sup> |  | 2763 | 2703888 |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class B2, 5.16%, 04/25/65<sup>(a)(b)</sup> |  | 1100 | 1048694 |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class M1, 3.40%, 04/25/65<sup>(a)(b)</sup> |  | 170 | 161346 |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through <br> Certificates Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-11, Class A1, 5.75%, 01/25/36 |  | 1049 | 887999 |
| &nbsp;&nbsp;&nbsp; Series 2005-11, Class A7, 5.75%, 01/25/36 |  | 2134 | 1804504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9, Class 5A6, (1-mo. CME Term <br> SOFR + 0.66%), 4.98%, 11/25/35<sup>(b)</sup><br>|  | 324 | 241029 |
| &nbsp;&nbsp;&nbsp; Series 2005-9, Class 5A9, 5.50%, 11/25/35 |  | 133 | 108204 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A1, 6.00%, 04/25/36 |  | 124 | 116890 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 3A1, 7.00%, 05/25/36<sup>(c)</sup> |  | 81 | 71077 |
| &nbsp;&nbsp;&nbsp; Series 2006-6, Class 3CB1, 7.00%, 08/25/36 |  | 3912 | 1566833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR1, Class A1A, (1-mo. CME Term <br> SOFR + 0.61%), 4.93%, 02/25/36<sup>(b)</sup><br>|  | 1061 | 876475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR3, Class A1A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.97%), <br> 5.37%, 05/25/46<sup>(b)</sup><br>|  | 2623 | 2289652 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through <br> Certificates Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR5, Class A1A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.99%), <br> 5.39%, 06/25/46<sup>(b)</sup><br>| USD  | 135 | $123964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR9, Class 1A, (12-mo. Federal <br> Reserve Cumulative Average US + 1.00%), <br> 5.40%, 08/25/46<sup>(b)</sup><br>|  | 2173 | 1987240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HY1, Class A2A, (1-mo. CME Term <br> SOFR + 0.43%), 4.75%, 02/25/37<sup>(b)</sup><br>|  | 424 | 326612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HY3, Class 4A1, 5.10%, <br> 03/25/37<sup>(b)</sup><br>|  | 17 | 16022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA1, Class 1A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.71%), <br> 5.11%, 12/25/46<sup>(b)</sup><br>|  | 2159 | 1943046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA1, Class 2A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.72%), <br> 5.12%, 12/25/46<sup>(b)</sup><br>|  | 130 | 105045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA3, Class 5A, (12-mo. Federal <br> Reserve Cumulative Average US + 1.25%), <br> 5.65%, 04/25/47<sup>(b)</sup><br>|  | 511 | 441454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA4, Class 2A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.80%), <br> 5.20%, 05/25/47<sup>(b)</sup><br>|  | 1963 | 1660394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA5, Class 1A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.75%), <br> 5.15%, 06/25/47<sup>(b)</sup><br>|  | 426 | 353744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA5, Class 2A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.80%), <br> 5.20%, 06/25/47<sup>(b)</sup><br>|  | 1470 | 1211563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OC2, Class A3, (1-mo. CME Term <br> SOFR + 0.73%), 5.05%, 06/25/37<sup>(b)</sup><br>|  | 654 | 601097 |
| &nbsp;&nbsp;&nbsp; Wells Fargo Mortgage Backed Securities Trust, <br> Series 2006-AR15, Class A1, 7.41%, <br> 10/25/36<sup>(b)</sup><br>|  | 623 | 596946 |
| Western Alliance Bank |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CL2, Class M1, (SOFR (30-day) + <br> 3.15%), 7.46%, 07/25/59<sup>(a)(b)</sup><br>|  | 3651 | 3797645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CL2, Class M2, (SOFR (30-day) + <br> 3.70%), 8.01%, 07/25/59<sup>(a)(b)</sup><br>|  | 5220 | 5439447 |
| &nbsp;&nbsp;&nbsp; WinWater Mortgage Loan Trust, Series 2014-3, <br> Class B5, 3.98%, 11/20/44<sup>(a)(b)</sup><br>|  | 923 | 701035 |
|  |  |  | 872078324 |
| **Commercial Mortgage-Backed Securities — 28.7%** | **Commercial Mortgage-Backed Securities — 28.7%** | **Commercial Mortgage-Backed Securities — 28.7%** | **Commercial Mortgage-Backed Securities — 28.7%** |
| 1345 Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AOA, Class A, (1-mo. CME Term <br> SOFR + 1.60%), 5.90%, 06/15/30<sup>(a)(b)</sup><br>|  | 11519 | 11536977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AOA, Class E, (1-mo. CME Term <br> SOFR + 4.50%), 8.80%, 06/15/30<sup>(a)(b)</sup><br>|  | 3853 | 3863877 |
| 245 Park Avenue Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-245P, Class A, 3.51%, 06/05/37<sup>(a)</sup> |  | 5000 | 4858188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-245P, Class C, 3.78%, <br> 06/05/37<sup>(a)(b)</sup><br>|  | 3000 | 2878585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-245P, Class E, 3.78%, <br> 06/05/37<sup>(a)(b)</sup><br>|  | 1151 | 1075903 |
| 280 Park Avenue Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-280P, Class A, (1-mo. CME Term <br> SOFR + 1.18%), 5.49%, 09/15/34<sup>(a)(b)</sup><br>|  | 5792 | 5737700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-280P, Class B, (1-mo. CME Term <br> SOFR + 1.38%), 5.69%, 09/15/34<sup>(a)(b)</sup><br>|  | 585 | 573300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-280P, Class E, (1-mo. CME Term <br> SOFR + 2.42%), 6.73%, 09/15/34<sup>(a)(b)</sup><br>|  | 2159 | 2077779 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3650R Commercial Mortgage Trust, Series 2022-<br> PF2, Class A5, 5.47%, 11/15/55<sup>(b)</sup><br>| USD  | 600 | $610703 |
| &nbsp;&nbsp;&nbsp; ACREC LLC, Series 2023-FL2, Class A, (1-mo. <br> CME Term SOFR + 2.23%), 6.54%, <br> 02/19/38<sup>(a)(b)</sup><br>|  | 2234 | 2235384 |
| &nbsp;&nbsp;&nbsp; Alen Mortgage Trust, Series 2021-ACEN, Class A, <br> (1-mo. CME Term SOFR + 1.26%), 5.58%, <br> 04/15/34<sup>(a)(b)</sup><br>|  | 644 | 616630 |
| &nbsp;&nbsp;&nbsp; Angel Oak SB Commercial Mortgage Trust, <br> Series 2020-SBC1, Class A1, 2.07%, <br> 05/25/50<sup>(a)(b)</sup><br>|  | 3736 | 3525616 |
| &nbsp;&nbsp;&nbsp; Arbor Multifamily Mortgage Securities Trust, <br> Series 2021-MF3, Class A5, 2.58%, 10/15/54<sup>(a)</sup><br>|  | 1504 | 1330393 |
| &nbsp;&nbsp;&nbsp; Arbor Realty Collateralized Loan Obligation Ltd., <br> Series 2025-BTR1, Class A, (1-mo. CME Term <br> SOFR + 1.93%), 6.23%, 01/20/41<sup>(a)(b)</sup><br>|  | 4810 | 4815545 |
| ARES Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IND, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 6.00%, 07/15/41<sup>(a)(b)</sup><br>|  | 5730 | 5738953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IND2, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.76%, 10/15/34<sup>(a)(b)</sup><br>|  | 9250 | 9258652 |
| &nbsp;&nbsp;&nbsp; ARZ Trust, Series 2024-BILT, Class A, 5.77%, <br> 06/11/29<sup>(a)</sup><br>|  | 2710 | 2782235 |
| &nbsp;&nbsp;&nbsp; Ashford Hospitality Trust, Series 2018-ASHF, <br> Class D, (1-mo. CME Term SOFR + 2.27%), <br> 6.58%, 04/15/35<sup>(a)(b)</sup><br>|  | 1128 | 1109681 |
| Atrium Hotel Portfolio Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ATRM, Class A, 5.59%, <br> 11/10/29<sup>(a)(b)</sup><br>|  | 6510 | 6638107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ATRM, Class E, 9.52%, <br> 11/10/29<sup>(a)(b)</sup><br>|  | 2001 | 2051029 |
| BAHA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MAR, Class A, 6.17%, <br> 12/10/41<sup>(a)(b)</sup><br>|  | 28280 | 29276502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MAR, Class B, 7.07%, <br> 12/10/41<sup>(a)(b)</sup><br>|  | 894 | 934209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MAR, Class C, 7.77%, <br> 12/10/41<sup>(a)(b)</sup><br>|  | 4400 | 4591118 |
| &nbsp;&nbsp;&nbsp; Banc of America Merrill Lynch Commercial <br> Mortgage Securities Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BHP, Class A, (1-mo. CME Term <br> SOFR + 2.35%), 6.66%, 08/15/39<sup>(a)(b)</sup><br>|  | 820 | 824091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ASHF, Class A, (1-mo. CME Term <br> SOFR + 1.85%), 6.16%, 02/15/42<sup>(a)(b)</sup><br>|  | 8471 | 8471296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ASHF, Class E, (1-mo. CME Term <br> SOFR + 5.25%), 9.56%, 02/15/42<sup>(a)(b)</sup><br>|  | 3454 | 3431841 |
| &nbsp;&nbsp;&nbsp; BANK, Series 2019-BN22, Class A4, 2.98%, <br> 11/15/62<br>|  | 3000 | 2799042 |
| BANK5 |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-5YR11, Class A3, 5.89%, 11/15/57 |  | 420 | 439988 |
| &nbsp;&nbsp;&nbsp; Series 2024-5YR6, Class A3, 6.23%, 05/15/57 |  | 184 | 194033 |
| &nbsp;&nbsp;&nbsp; BAY Mortgage Trust, Series 2025-LIVN, Class A, <br> (1-mo. CME Term SOFR + 1.80%), 6.11%, <br> 05/15/35<sup>(a)(b)</sup><br>|  | 13237 | 13247692 |
| Bayview Commercial Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1A, Class A1, (1-mo. CME Term <br> SOFR + 0.52%), 4.84%, 04/25/36<sup>(a)(b)</sup><br>|  | 4469 | 4171148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1A, Class A2, (1-mo. CME Term <br> SOFR + 0.65%), 4.97%, 04/25/36<sup>(a)(b)</sup><br>|  | 10 | 9376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4A, Class A2, (1-mo. CME Term <br> SOFR + 0.52%), 4.84%, 12/25/36<sup>(a)(b)</sup><br>|  | 934 | 882180 |

---

---

| | | | |
|:---|:---|:---|:---|
| *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)** |
| Bayview Commercial Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SP2, Class A, (1-mo. CME Term <br> SOFR + 0.53%), 4.85%, 01/25/37<sup>(a)(b)</sup><br>| USD  | 975 | $919829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class A2, (1-mo. CME Term <br> SOFR + 0.52%), 4.84%, 03/25/37<sup>(a)(b)</sup><br>|  | 4250 | 4019395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2A, Class A1, (1-mo. CME Term <br> SOFR + 0.52%), 4.84%, 07/25/37<sup>(a)(b)</sup><br>|  | 23 | 20949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-4A, Class A1, (1-mo. CME Term <br> SOFR + 0.79%), 5.11%, 09/25/37<sup>(a)(b)</sup><br>|  | 4080 | 3820883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-5A, Class A4, (1-mo. CME Term <br> SOFR + 2.36%), 6.68%, 10/25/37<sup>(a)(b)</sup><br>|  | 2030 | 1124535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-6A, Class A4A, (1-mo. CME Term <br> SOFR + 1.61%), 6.68%, 12/25/37<sup>(a)(b)</sup><br>|  | 2574 | 2272446 |
| BBCMS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SRCH, Class A1, 3.31%, <br> 08/10/35<sup>(a)</sup><br>|  | 173 | 169127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-CHRS, Class E, 4.41%, <br> 08/05/38<sup>(a)(b)</sup><br>|  | 650 | 540346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-TALL, Class A, (1-mo. CME Term <br> SOFR + 0.92%), 5.23%, 03/15/37<sup>(a)(b)</sup><br>|  | 5260 | 4971534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-TALL, Class B, (1-mo. CME Term <br> SOFR + 1.17%), 5.48%, 03/15/37<sup>(a)(b)</sup><br>|  | 781 | 718697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5C23, Class D, 7.70%, <br> 12/15/56<sup>(a)(b)</sup><br>|  | 332 | 331172 |
| &nbsp;&nbsp;&nbsp; Series 2025-5C34, Class A3, 5.66%, 05/15/58 |  | 1368 | 1426753 |
| &nbsp;&nbsp;&nbsp; BDS Ltd., Series 2022-FL12, Class A, (1-mo. CME <br> Term SOFR + 2.14%), 6.45%, 08/19/38<sup>(a)(b)</sup><br>|  | 885 | 885776 |
| BFLD Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-EYP, Class E, (1-mo. CME Term <br> SOFR + 3.81%), 8.13%, 10/15/35<sup>(a)(b)</sup><br>|  | 1353 | 16899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.80%, 11/15/41<sup>(a)(b)</sup><br>|  | 3790 | 3794737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class E, (1-mo. CME Term <br> SOFR + 3.64%), 7.95%, 11/15/41<sup>(a)(b)</sup><br>|  | 1723 | 1721190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VICT, Class A, (1-mo. CME Term <br> SOFR + 1.89%), 6.20%, 07/15/41<sup>(a)(b)</sup><br>|  | 2970 | 2977425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-EWEST, Class A, (1-mo. CME Term <br> SOFR + 1.55%), 5.85%, 06/15/42<sup>(a)(b)</sup><br>|  | 8457 | 8462286 |
| BHMS |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-ATLS, Class A, (1-mo. CME Term <br> SOFR + 1.55%), 5.86%, 07/15/35<sup>(a)(b)</sup><br>|  | 3988 | 3986072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-ATLS, Class C, (1-mo. CME Term <br> SOFR + 2.20%), 6.51%, 07/15/35<sup>(a)(b)</sup><br>|  | 2600 | 2598886 |
| BLP Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-IND, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 6.00%, 03/15/40<sup>(a)(b)</sup><br>|  | 1162 | 1163089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IND2, Class A, (1-mo. CME Term <br> SOFR + 1.34%), 5.65%, 03/15/41<sup>(a)(b)</sup><br>|  | 2821 | 2824390 |
| BMP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF23, Class D, (1-mo. CME Term <br> SOFR + 2.39%), 6.70%, 06/15/41<sup>(a)(b)</sup><br>|  | 8720 | 8730900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF23, Class E, (1-mo. CME Term <br> SOFR + 3.39%), 7.70%, 06/15/41<sup>(a)(b)</sup><br>|  | 1719 | 1713472 |
| &nbsp;&nbsp;&nbsp; BOCA Commercial Mortgage Trust, Series 2024-<br> BOCA, Class A, (1-mo. CME Term SOFR + <br> 1.92%), 6.23%, 08/15/41<sup>(a)(b)</sup><br>|  | 2031 | 2036077 |
| BPR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-TY, Class A, (1-mo. CME Term <br> SOFR + 1.16%), 5.48%, 09/15/38<sup>(a)(b)</sup><br>|  | 5500 | 5493168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-TY, Class E, (1-mo. CME Term <br> SOFR + 3.71%), 8.03%, 09/15/38<sup>(a)(b)</sup><br>|  | 3138 | 3106819 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| BPR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SSP, Class A, (1-mo. CME Term <br> SOFR + 3.00%), 7.31%, 05/15/39<sup>(a)(b)</sup><br>| USD  | 770 | $769279 |
| &nbsp;&nbsp;&nbsp; Series 2023-STON, Class A, 7.50%, 12/05/39<sup>(a)</sup> |  | 2722 | 2834541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PARK, Class A, 5.39%, <br> 11/05/39<sup>(a)(b)</sup><br>|  | 1420 | 1438249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PARK, Class D, 7.23%, <br> 11/05/39<sup>(a)(b)</sup><br>|  | 879 | 896337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PMDW, Class A, 5.36%, <br> 11/05/41<sup>(a)(b)</sup><br>|  | 640 | 649716 |
| &nbsp;&nbsp;&nbsp; BSPDF Issuer LLC, Series 2025-FL2, Class A, <br> (1-mo. CME Term SOFR + 1.52%), 5.84%, <br> 12/15/42<sup>(a)(b)</sup><br>|  | 1212 | 1210205 |
| &nbsp;&nbsp;&nbsp; BSTN Commercial Mortgage Trust, Series 2025-<br> 1C, Class A, 5.55%, 06/15/44<sup>(a)(b)</sup><br>|  | 4920 | 5030354 |
| BWAY Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2013-1515, Class A2, 3.45%, 03/10/33<sup>(a)</sup> |  | 1088 | 1034269 |
| &nbsp;&nbsp;&nbsp; Series 2013-1515, Class C, 3.45%, 03/10/33<sup>(a)</sup> |  | 250 | 228653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1535, Class A, 6.52%, <br> 05/05/42<sup>(a)(b)</sup><br>|  | 747 | 768771 |
| BX Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VIV2, Class C, 3.66%, <br> 03/09/44<sup>(a)(b)</sup><br>|  | 2204 | 2027933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VIV3, Class B, 3.66%, <br> 03/09/44<sup>(a)(b)</sup><br>|  | 2788 | 2592906 |
| &nbsp;&nbsp;&nbsp; Series 2020-VIV4, Class A, 2.84%, 03/09/44<sup>(a)</sup> |  | 781 | 712271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NWM, Class A, (1-mo. CME Term <br> SOFR + 1.02%), 5.34%, 02/15/33<sup>(a)(b)</sup><br>|  | 1061 | 1053933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NWM, Class B, (1-mo. CME Term <br> SOFR + 2.26%), 6.58%, 02/15/33<sup>(a)(b)</sup><br>|  | 622 | 618813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NWM, Class C, (1-mo. CME Term <br> SOFR + 4.36%), 8.68%, 02/15/33<sup>(a)(b)</sup><br>|  | 410 | 409664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SOAR, Class G, (1-mo. CME Term <br> SOFR + 2.91%), 7.23%, 06/15/38<sup>(a)(b)</sup><br>|  | 2544 | 2545517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VINO, Class F, (1-mo. CME Term <br> SOFR + 2.92%), 7.23%, 05/15/38<sup>(a)(b)</sup><br>|  | 838 | 837638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VIV5, Class A, 2.84%, <br> 03/09/44<sup>(a)(b)</sup><br>|  | 1522 | 1373906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-XL2, Class F, (1-mo. CME Term <br> SOFR + 2.36%), 6.67%, 10/15/38<sup>(a)(b)</sup><br>|  | 3544 | 3545208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CSMO, Class B, (1-mo. CME Term <br> SOFR + 3.14%), 7.45%, 06/15/27<sup>(a)(b)</sup><br>|  | 2475 | 2493562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-VLT3, Class A, (1-mo. CME Term <br> SOFR + 1.94%), 6.25%, 11/15/28<sup>(a)(b)</sup><br>|  | 1010 | 1010000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-XL3, Class A, (1-mo. CME Term <br> SOFR + 1.76%), 6.07%, 12/09/40<sup>(a)(b)</sup><br>|  | 4185 | 4196808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-XL3, Class D, (1-mo. CME Term <br> SOFR + 3.59%), 7.90%, 12/09/40<sup>(a)(b)</sup><br>|  | 3279 | 3288986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIR2, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.80%, 10/15/41<sup>(a)(b)</sup><br>|  | 3031 | 3036680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIRC, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 6.00%, 08/15/39<sup>(a)(b)</sup><br>|  | 6298 | 6321646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class A, (1-mo. CME Term <br> SOFR + 2.88%), 7.19%, 10/15/41<sup>(a)(b)</sup><br>|  | 6200 | 6238672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class B, (1-mo. CME Term <br> SOFR + 3.93%), 8.24%, 10/15/41<sup>(a)(b)</sup><br>|  | 1512 | 1515774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class C, (1-mo. CME Term <br> SOFR + 4.87%), 9.19%, 10/15/41<sup>(a)(b)</sup><br>|  | 1000 | 1002496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class D, (1-mo. CME Term <br> SOFR + 5.97%), 10.28%, 10/15/41<sup>(a)(b)</sup><br>|  | 337 | 337841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class E, (1-mo. CME Term <br> SOFR + 6.97%), 11.28%, 10/15/41<sup>(a)(b)</sup><br>|  | 441 | 438505 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| BX Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GPA3, Class A, (1-mo. CME Term <br> SOFR + 1.29%), 5.61%, 12/15/39<sup>(a)(b)</sup><br>| USD  | 4060 | $4064108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GPA3, Class B, (1-mo. CME Term <br> SOFR + 1.64%), 5.95%, 12/15/39<sup>(a)(b)</sup><br>|  | 1274 | 1275548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-KING, Class A, (1-mo. CME Term <br> SOFR + 1.54%), 5.85%, 05/15/34<sup>(a)(b)</sup><br>|  | 6307 | 6306970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MDHS, Class A, (1-mo. CME Term <br> SOFR + 1.64%), 5.95%, 05/15/41<sup>(a)(b)</sup><br>|  | 8190 | 8200670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.75%, 02/15/39<sup>(a)(b)</sup><br>|  | 615 | 616420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF, Class E, (1-mo. CME Term <br> SOFR + 3.74%), 8.05%, 02/15/39<sup>(a)(b)</sup><br>|  | 1931 | 1934963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.75%, 02/15/39<sup>(a)(b)</sup><br>|  | 3735 | 3739505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class D, (1-mo. CME Term <br> SOFR + 3.14%), 7.45%, 02/15/39<sup>(a)(b)</sup><br>|  | 2822 | 2829906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class E, (1-mo. CME Term <br> SOFR + 4.19%), 8.50%, 02/15/39<sup>(a)(b)</sup><br>|  | 1676 | 1630579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL5, Class A, (1-mo. CME Term <br> SOFR + 1.39%), 5.70%, 03/15/41<sup>(a)(b)</sup><br>|  | 2901 | 2903564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SPOT, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.76%, 04/15/40<sup>(a)(b)</sup><br>|  | 18701 | 18695156 |
| BX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ARIA, Class A, (1-mo. CME Term <br> SOFR + 1.01%), 5.33%, 10/15/36<sup>(a)(b)</sup><br>|  | 566 | 565469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class AJV, (1-mo. CME Term <br> SOFR + 0.91%), 5.23%, 02/15/36<sup>(a)(b)</sup><br>|  | 1700 | 1698661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class AV, (1-mo. CME Term <br> SOFR + 0.91%), 5.23%, 02/15/36<sup>(a)(b)</sup><br>|  | 594 | 593527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VIEW, Class E, (1-mo. CME Term <br> SOFR + 3.71%), 8.03%, 06/15/36<sup>(a)(b)</sup><br>|  | 2542 | 2543503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VIEW, Class F, (1-mo. CME Term <br> SOFR + 4.04%), 8.36%, 06/15/36<sup>(a)(b)</sup><br>|  | 856 | 834532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-LBA6, Class A, (1-mo. CME Term <br> SOFR + 1.00%), 5.31%, 01/15/39<sup>(a)(b)</sup><br>|  | 1065 | 1064334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-VAMF, Class A, (1-mo. CME Term <br> SOFR + 0.85%), 5.16%, 01/15/39<sup>(a)(b)</sup><br>|  | 5000 | 4996875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-VAMF, Class B, (1-mo. CME Term <br> SOFR + 1.28%), 5.59%, 01/15/39<sup>(a)(b)</sup><br>|  | 397 | 396256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-DELC, Class A, (1-mo. CME Term <br> SOFR + 2.69%), 7.00%, 05/15/38<sup>(a)(b)</sup><br>|  | 5023 | 5054326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-DELC, Class D, (1-mo. CME Term <br> SOFR + 4.39%), 8.70%, 05/15/38<sup>(a)(b)</sup><br>|  | 270 | 272531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNYN, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.75%, 04/15/41<sup>(a)(b)</sup><br>|  | 3803 | 3810919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNYN, Class D, (1-mo. CME Term <br> SOFR + 2.69%), 7.00%, 04/15/41<sup>(a)(b)</sup><br>|  | 1637 | 1639082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNYN, Class E, (1-mo. CME Term <br> SOFR + 3.69%), 8.00%, 04/15/41<sup>(a)(b)</sup><br>|  | 2488 | 2474464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PALM, Class A, (1-mo. CME Term <br> SOFR + 1.54%), 5.85%, 06/15/37<sup>(a)(b)</sup><br>|  | 9566 | 9565962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PALM, Class B, (1-mo. CME Term <br> SOFR + 1.79%), 6.10%, 06/15/37<sup>(a)(b)</sup><br>|  | 697 | 696015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class A, (1-mo. CME Term <br> SOFR + 2.09%), 6.40%, 03/15/41<sup>(a)(b)</sup><br>|  | 2210 | 2210000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class C, (1-mo. CME Term <br> SOFR + 4.44%), 8.75%, 03/15/41<sup>(a)(b)</sup><br>|  | 4722 | 4660357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class D, (1-mo. CME Term <br> SOFR + 5.39%), 9.70%, 03/15/41<sup>(a)(b)</sup><br>|  | 2263 | 2222847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VLT4, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.80%, 07/15/29<sup>(a)(b)</sup><br>|  | 1303 | 1302593 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| BX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-LIFE, Class A, 5.88%, <br> 06/13/47<sup>(a)(b)</sup><br>| USD  | 7582 | $7723128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-LUNR, Class A, (1-mo. CME Term <br> SOFR + 1.50%), 5.81%, 06/15/40<sup>(a)(b)</sup><br>|  | 4957 | 4963187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ROIC, Class E, (1-mo. CME Term <br> SOFR + 2.94%), 7.25%, 03/15/30<sup>(a)(b)</sup><br>|  | 8350 | 8183471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-TAIL, Class E, (1-mo. CME Term <br> SOFR + 3.30%), 7.61%, 06/15/35<sup>(a)(b)</sup><br>|  | 2986 | 2986617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-VLT6, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.76%, 03/15/42<sup>(a)(b)</sup><br>|  | 6301 | 6297310 |
| BXP Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-GM, Class B, 3.54%, 06/13/39<sup>(a)(b)</sup> |  | 265 | 254867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-601L, Class D, 2.87%, <br> 01/15/44<sup>(a)(b)</sup><br>|  | 1120 | 876470 |
| &nbsp;&nbsp;&nbsp; CALI Mortgage Trust, Series 2024-SUN, Class A, <br> (1-mo. CME Term SOFR + 1.89%), 6.20%, <br> 07/15/41<sup>(a)(b)</sup><br>|  | 2390 | 2392987 |
| CD Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-CD1, Class A3, 2.46%, 08/10/49 |  | 4116 | 4042229 |
| &nbsp;&nbsp;&nbsp; Series 2017-CD6, Class B, 3.91%, 11/13/50<sup>(b)</sup> |  | 336 | 319133 |
| &nbsp;&nbsp;&nbsp; CENT Trust, Series 2023-CITY, Class A, (1-mo. <br> CME Term SOFR + 2.62%), 6.93%, <br> 09/15/38<sup>(a)(b)</sup><br>|  | 5474 | 5480870 |
| &nbsp;&nbsp;&nbsp; CFCRE Commercial Mortgage Trust, Series 2016-<br> C4, Class C, 5.00%, 05/10/58<sup>(b)</sup><br>|  | 130 | 127024 |
| CFK Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-FAX, Class D, 4.79%, 01/15/39<sup>(a)(b)</sup> |  | 2500 | 2331714 |
| &nbsp;&nbsp;&nbsp; Series 2019-FAX, Class E, 4.79%, 01/15/39<sup>(a)(b)</sup> |  | 2600 | 2336705 |
| &nbsp;&nbsp;&nbsp; CFSP Mortgage Trust, Series 2024-AHP1, Class A, <br> 6.50%, 04/15/37<br>|  | 6545 | 6269659 |
| Citigroup Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-P1, Class D, 3.23%, 09/15/48<sup>(a)</sup> |  | 694 | 664896 |
| &nbsp;&nbsp;&nbsp; Series 2016-P3, Class A4, 3.33%, 04/15/49 |  | 2635 | 2595037 |
| &nbsp;&nbsp;&nbsp; Series 2017-P7, Class A4, 3.71%, 04/14/50 |  | 6000 | 5868650 |
| COAST Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2HTL, Class A, (1-mo. CME Term <br> SOFR + 2.59%), 6.90%, 08/15/36<sup>(a)(b)</sup><br>|  | 1482 | 1483190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2HTL, Class D, (1-mo. CME Term <br> SOFR + 4.44%), 8.75%, 08/15/36<sup>(a)(b)</sup><br>|  | 2600 | 2578279 |
| Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-CR26, Class A4, 3.63%, 10/10/48 |  | 3199 | 3184839 |
| &nbsp;&nbsp;&nbsp; Series 2015-LC19, Class B, 3.83%, 02/10/48<sup>(b)</sup> |  | 296 | 291519 |
| &nbsp;&nbsp;&nbsp; Series 2015-PC1, Class B, 4.51%, 07/10/50<sup>(b)</sup> |  | 1560 | 1519137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CBM, Class A2, 5.87%, <br> 12/10/41<sup>(a)(b)</sup><br>|  | 630 | 640693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WCL1, Class A, (1-mo. CME Term <br> SOFR + 1.84%), 6.15%, 06/15/41<sup>(a)(b)</sup><br>|  | 5270 | 5268351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WCL1, Class B, (1-mo. CME Term <br> SOFR + 2.59%), 6.90%, 06/15/41<sup>(a)(b)</sup><br>|  | 2007 | 1998847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WCL1, Class E, (1-mo. CME Term <br> SOFR + 4.49%), 8.80%, 06/15/41<sup>(a)(b)</sup><br>|  | 2319 | 2297828 |
| &nbsp;&nbsp;&nbsp; CONE Trust, Series 2024-DFW1, Class E, (1-mo. <br> CME Term SOFR + 3.89%), 8.20%, <br> 08/15/41<sup>(a)(b)</sup><br>|  | 2330 | 2312287 |
| Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-PFHP, Class A, (1-mo. CME Term <br> SOFR + 1.00%), 5.31%, 12/15/30<sup>(a)(b)</sup><br>|  | 135 | 134236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-FACT, Class E, (1-mo. CME Term <br> SOFR + 5.48%), 9.79%, 10/15/37<sup>(a)(b)</sup><br>|  | 1134 | 1048761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BHAR, Class A, (1-mo. CME Term <br> SOFR + 1.26%), 5.58%, 11/15/38<sup>(a)(b)</sup><br>|  | 1020 | 1016175 |

---

---

| | | | |
|:---|:---|:---|:---|
| *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)** |
| Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BHAR, Class B, (1-mo. CME Term <br> SOFR + 1.61%), 5.93%, 11/15/38<sup>(a)(b)</sup><br>| USD  | 649 | $647163 |
| &nbsp;&nbsp;&nbsp; CRSO Trust, Series 2023-BRND, 7.12%, <br> 07/10/40<sup>(a)</sup><br>|  | 1929 | 2023897 |
| &nbsp;&nbsp;&nbsp; CSTL Commercial Mortgage Trust, Series 2024-<br> GATE, Class A, 4.92%, 11/10/41<sup>(a)(b)</sup><br>|  | 7600 | 7593866 |
| DBGS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5BP, Class A, (1-mo. CME Term <br> SOFR + 0.89%), 5.20%, 06/15/33<sup>(a)(b)</sup><br>|  | 5000 | 4775000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SBL, Class A, (1-mo. CME Term <br> SOFR + 1.88%), 6.19%, 08/15/34<sup>(a)(b)</sup><br>|  | 3719 | 3719000 |
| &nbsp;&nbsp;&nbsp; DBSG Mortgage Trust, Series 2024-ALTA, Class A, <br> 6.14%, 06/10/37<sup>(a)(b)</sup><br>|  | 1613 | 1641017 |
| &nbsp;&nbsp;&nbsp; DBWF Mortgage Trust, Series 2024-LCRS, <br> Class A, (1-mo. CME Term SOFR + 1.74%), <br> 6.05%, 04/15/37<sup>(a)(b)</sup><br>|  | 2423 | 2417700 |
| DC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HLTN, Class A, 5.93%, <br> 04/13/40<sup>(a)(b)</sup><br>|  | 1110 | 1121892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HLTN, Class F, 10.66%, <br> 04/13/40<sup>(a)(b)</sup><br>|  | 2932 | 2935880 |
| DK Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SPBX, Class A, (1-mo. CME Term <br> SOFR + 1.50%), 5.81%, 03/15/34<sup>(a)(b)</sup><br>|  | 2860 | 2864528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SPBX, Class E, (1-mo. CME Term <br> SOFR + 4.00%), 8.31%, 03/15/34<sup>(a)(b)</sup><br>|  | 8186 | 8200240 |
| &nbsp;&nbsp;&nbsp; Dwight Issuer LLC, Series 2025-FL1, Class A, (1-<br> mo. CME Term SOFR + 1.66%), 5.96%, <br> 09/18/42<sup>(a)(b)</sup><br>|  | 4725 | 4721649 |
| ELM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class A10, 5.99%, <br> 06/10/39<sup>(a)(b)</sup><br>|  | 3350 | 3385339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class A15, 5.99%, <br> 06/10/39<sup>(a)(b)</sup><br>|  | 3350 | 3375330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class E10, 8.05%, <br> 06/10/39<sup>(a)(b)</sup><br>|  | 4157 | 4168324 |
| &nbsp;&nbsp;&nbsp; ELP Commercial Mortgage Trust, Series 2021-ELP, <br> Class G, (1-mo. CME Term SOFR + 3.23%), <br> 7.54%, 11/15/38<sup>(a)(b)</sup><br>|  | 660 | 659450 |
| &nbsp;&nbsp;&nbsp; EQT Trust, Series 2024-EXTR, Class A, 5.33%, <br> 07/05/41<sup>(a)(b)</sup><br>|  | 28949 | 29594482 |
| Extended Stay America Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ESH, Class D, (1-mo. CME Term <br> SOFR + 2.36%), 6.68%, 07/15/38<sup>(a)(b)</sup><br>|  | 3297 | 3301227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ESH, Class E, (1-mo. CME Term <br> SOFR + 2.96%), 7.28%, 07/15/38<sup>(a)(b)</sup><br>|  | 2422 | 2428279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ESH, Class F, (1-mo. CME Term <br> SOFR + 3.81%), 8.13%, 07/15/38<sup>(a)(b)</sup><br>|  | 8799 | 8799429 |
| &nbsp;&nbsp;&nbsp; Fashion Show Mall LLC, Series 2024-SHOW, <br> Class A, 5.27%, 10/10/41<sup>(a)(b)</sup><br>|  | 363 | 366550 |
| Fontainebleau Miami Beach Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FBLU, Class A, (1-mo. CME Term <br> SOFR + 1.45%), 5.76%, 12/15/39<sup>(a)(b)</sup><br>|  | 12511 | 12510710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FBLU, Class F, (1-mo. CME Term <br> SOFR + 4.25%), 8.56%, 12/15/39<sup>(a)(b)</sup><br>|  | 315 | 314409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FBLU, Class G, (1-mo. CME Term <br> SOFR + 5.65%), 9.96%, 12/15/39<sup>(a)(b)</sup><br>|  | 1693 | 1691162 |
| FREMF Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-K74, Class B, 4.23%, 02/25/51<sup>(a)(b)</sup> |  | 2150 | 2111345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-W5FX, Class CFX, 3.79%, <br> 04/25/28<sup>(a)(b)</sup><br>|  | 4100 | 3784177 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| FREMF Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-K105, Class B, 3.53%, <br> 03/25/53<sup>(a)(b)</sup><br>| USD  | 2905 | $2736685 |
| &nbsp;&nbsp;&nbsp; Great Wolf Trust, Series 2024-WOLF, Class A, <br> (1-mo. CME Term SOFR + 1.54%), 5.85%, <br> 03/15/39<sup>(a)(b)</sup><br>|  | 1914 | 1916991 |
| &nbsp;&nbsp;&nbsp; Greystone CRE Notes LLC, Series 2025-FL4, <br> Class A, (1-mo. CME Term SOFR + 1.48%), <br> 5.79%, 01/15/43<sup>(a)(b)</sup><br>|  | 1731 | 1732141 |
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. II, Series 2018-<br> GS10, Class A5, 4.16%, 07/10/51<sup>(b)</sup><br>|  | 4100 | 4009455 |
| GS Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-GC32, Class C, 4.55%, 07/10/48<sup>(b)</sup> |  | 881 | 855001 |
| &nbsp;&nbsp;&nbsp; Series 2017-GS6, Class A3, 3.43%, 05/10/50 |  | 2000 | 1946803 |
| &nbsp;&nbsp;&nbsp; Series 2019-GSA1, Class A4, 3.05%, 11/10/52 |  | 2587 | 2439995 |
| &nbsp;&nbsp;&nbsp; Series 2019-GSA1, Class C, 3.93%, 11/10/52<sup>(b)</sup> |  | 2530 | 2304097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DM, Class A, (1-mo. CME Term <br> SOFR + 1.00%), 5.31%, 11/15/36<sup>(a)(b)</sup><br>|  | 1970 | 1955225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-FUN, Class A, (1-mo. CME Term <br> SOFR + 2.09%), 6.40%, 03/15/28<sup>(a)(b)</sup><br>|  | 5707 | 5721267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SHIP, Class A, 4.47%, <br> 09/10/38<sup>(a)(b)</sup><br>|  | 1322 | 1313890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SHIP, Class C, 5.69%, <br> 09/10/38<sup>(a)(b)</sup><br>|  | 1000 | 1000795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SHIP, Class E, 7.68%, <br> 09/10/38<sup>(a)(b)</sup><br>|  | 11123 | 11190764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RVR, Class E, 7.72%, <br> 08/10/41<sup>(a)(b)</sup><br>|  | 1263 | 1256325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-800D, Class A, (1-mo. CME Term <br> SOFR + 2.65%), 6.97%, 11/25/41<sup>(a)(b)</sup><br>|  | 7583 | 7596553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-800D, Class C, (1-mo. CME Term <br> SOFR + 4.70%), 9.02%, 11/25/41<sup>(a)(b)</sup><br>|  | 2125 | 2117419 |
| &nbsp;&nbsp;&nbsp; GSAT Trust, Series 2025-BMF, Class A, (1-mo. <br> CME Term SOFR + 1.50%), 07/15/30<sup>(a)(b)(e)</sup><br>|  | 1691 | 1691528 |
| &nbsp;&nbsp;&nbsp; GWT, Series 2024-WLF2, Class A, (1-mo. CME <br> Term SOFR + 1.69%), 6.00%, 05/15/41<sup>(a)(b)</sup><br>|  | 9768 | 9792692 |
| Harvest Commercial Capital Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-1, Class M5, 5.73%, 09/25/46<sup>(a)(b)</sup> |  | 1536 | 1435395 |
| &nbsp;&nbsp;&nbsp; Series 2020-1, Class M4, 5.96%, 04/25/52<sup>(a)(b)</sup> |  | 669 | 663571 |
| HIH Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-61P, Class A, (1-mo. CME Term <br> SOFR + 1.84%), 6.15%, 10/15/41<sup>(a)(b)</sup><br>|  | 2365 | 2366087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-61P, Class D, (1-mo. CME Term <br> SOFR + 3.64%), 7.95%, 10/15/41<sup>(a)(b)</sup><br>|  | 887 | 884512 |
| HILT Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ORL, Class A, (1-mo. CME Term <br> SOFR + 1.54%), 5.85%, 05/15/37<sup>(a)(b)</sup><br>|  | 3695 | 3697309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ORL, Class C, (1-mo. CME Term <br> SOFR + 2.44%), 6.75%, 05/15/37<sup>(a)(b)</sup><br>|  | 1426 | 1425109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ORL, Class D, (1-mo. CME Term <br> SOFR + 3.19%), 7.50%, 05/15/37<sup>(a)(b)</sup><br>|  | 4173 | 4165176 |
| &nbsp;&nbsp;&nbsp; HIT Trust, Series 2022-HI32, Class A, (1-mo. CME <br> Term SOFR + 2.39%), 6.70%, 07/15/39<sup>(a)(b)</sup><br>|  | 600 | 600749 |
| &nbsp;&nbsp;&nbsp; HLTN Commercial Mortgage Trust, Series 2024-<br> DPLO, Class A, (1-mo. CME Term SOFR + <br> 1.64%), 5.95%, 06/15/41<sup>(a)(b)</sup><br>|  | 2096 | 2097310 |
| &nbsp;&nbsp;&nbsp; HONO Mortgage Trust, Series 2021-LULU, <br> Class A, (1-mo. CME Term SOFR + 1.26%), <br> 5.58%, 10/15/36<sup>(a)(b)</sup><br>|  | 6616 | 6566082 |
| &nbsp;&nbsp;&nbsp; Houston Galleria Mall Trust, Series 2025-HGLR, <br> Class A, 5.64%, 02/05/45<sup>(a)(b)</sup><br>|  | 327 | 335507 |

---

---

| | | | |
|:---|:---|:---|:---|
| *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)** |
| HTL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-T53, Class A, 6.07%, 05/10/39<sup>(a)(b)</sup> | USD  | 1380 | $1394126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-T53, Class E, 10.60%, <br> 05/10/39<sup>(a)(b)</sup><br>|  | 3538 | 3638595 |
| &nbsp;&nbsp;&nbsp; Hudson Yards Mortgage Trust, Series 2019-55HY, <br> Class F, 3.04%, 12/10/41<sup>(a)(b)</sup><br>|  | 712 | 601124 |
| ILPT Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-LPF2, Class A, (1-mo. CME Term <br> SOFR + 2.25%), 6.56%, 10/15/39<sup>(a)(b)</sup><br>|  | 6218 | 6210227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-LPF2, Class A, 5.29%, <br> 07/15/42<sup>(a)(b)</sup><br>|  | 8890 | 9020400 |
| &nbsp;&nbsp;&nbsp; INCREF LLC, Series 2025-FL1, Class A, (1-mo. <br> CME Term SOFR + 1.73%), 6.05%, <br> 10/19/42<sup>(a)(b)</sup><br>|  | 3457 | 3463804 |
| &nbsp;&nbsp;&nbsp; INV Mortgage Trust, Series 2024-IND, Class A, <br> (1-mo. CME Term SOFR + 1.74%), 6.05%, <br> 11/15/41<sup>(a)(b)</sup><br>|  | 3510 | 3507995 |
| &nbsp;&nbsp;&nbsp; JPMBB Commercial Mortgage Securities Trust, <br> Series 2015-C33, Class D1, 4.28%, <br> 12/15/48<sup>(a)(b)</sup><br>|  | 507 | 459490 |
| &nbsp;&nbsp;&nbsp; JPMDB Commercial Mortgage Securities Trust, <br> Series 2018-C8, Class AS, 4.42%, 06/15/51<br>|  | 111 | 108554 |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-JP2, Class A4, 2.82%, 08/15/49 |  | 3655 | 3586171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-NINE, Class B, 2.95%, <br> 09/06/38<sup>(a)(b)</sup><br>|  | 2073 | 2005879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-PHH, Class A, (1-mo. CME Term <br> SOFR + 1.26%), 5.57%, 06/15/35<sup>(a)(b)</sup><br>|  | 1036 | 891548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-609M, Class A, (1-mo. CME Term <br> SOFR + 1.73%), 6.05%, 10/15/33<sup>(a)(b)</sup><br>|  | 572 | 569140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-609M, Class D, (1-mo. CME Term <br> SOFR + 3.13%), 7.45%, 10/15/33<sup>(a)(b)</sup><br>|  | 926 | 891523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class A, (1-mo. CME Term <br> SOFR + 1.16%), 5.48%, 04/15/38<sup>(a)(b)</sup><br>|  | 254 | 253723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class E, (1-mo. CME Term <br> SOFR + 2.81%), 7.13%, 04/15/38<sup>(a)(b)</sup><br>|  | 3101 | 3102938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NLP, Class F, (1-mo. CME Term <br> SOFR + 3.79%), 8.10%, 04/15/37<sup>(a)(b)</sup><br>|  | 2978 | 2814565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-OPO, Class D, 3.57%, <br> 01/05/39<sup>(a)(b)</sup><br>|  | 2061 | 1695986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class A, 5.35%, <br> 11/09/39<sup>(a)(b)</sup><br>|  | 7170 | 7225152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class D, 6.70%, <br> 11/09/39<sup>(a)(b)</sup><br>|  | 5319 | 5314375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class E, 7.50%, <br> 11/09/39<sup>(a)(b)</sup><br>|  | 6096 | 6084090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class F, 8.49%, <br> 11/09/39<sup>(a)(b)</sup><br>|  | 5223 | 5185804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-OMNI, Class A, 5.99%, <br> 10/05/39<sup>(a)(b)</sup><br>|  | 1660 | 1693534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-BHR5, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 6.01%, 03/15/40<sup>(a)(b)</sup><br>|  | 8228 | 8228000 |
| JW Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BERY, Class A, (1-mo. CME Term <br> SOFR + 1.59%), 5.91%, 11/15/39<sup>(a)(b)</sup><br>|  | 1700 | 1701060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MRCO, Class A, (1-mo. CME Term <br> SOFR + 1.62%), 5.93%, 06/15/39<sup>(a)(b)</sup><br>|  | 10813 | 10819741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MRCO, Class D, (1-mo. CME Term <br> SOFR + 3.19%), 7.50%, 06/15/39<sup>(a)(b)</sup><br>|  | 1506 | 1499598 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| KSL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HT2, Class A, (1-mo. CME Term <br> SOFR + 1.54%), 5.85%, 12/15/39<sup>(a)(b)</sup><br>| USD  | 6119 | $6107193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-MAK, Class A, 6.20%, <br> 06/15/42<sup>(a)(b)</sup><br>|  | 5699 | 5811294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-MAK, Class E, 8.40%, <br> 06/15/42<sup>(a)(b)</sup><br>|  | 2364 | 2382770 |
| LBA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-7IND, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.76%, 10/15/41<sup>(a)(b)</sup><br>|  | 2340 | 2342194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-7IND, Class D, (1-mo. CME Term <br> SOFR + 2.64%), 6.95%, 10/15/41<sup>(a)(b)</sup><br>|  | 592 | 593110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BOLT, Class A, (1-mo. CME Term <br> SOFR + 1.59%), 5.90%, 06/15/39<sup>(a)(b)</sup><br>|  | 10030 | 10036253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BOLT, Class F, (1-mo. CME Term <br> SOFR + 4.44%), 8.75%, 06/15/39<sup>(a)(b)</sup><br>|  | 690 | 686351 |
| &nbsp;&nbsp;&nbsp; Lehman Brothers Small Balance Commercial <br> Mortgage Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2A, Class M1, (1-mo. CME Term <br> SOFR + 0.51%), 4.83%, 06/25/37<sup>(a)(b)</sup><br>|  | 14 | 13660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-3A, Class M2, (1-mo. CME Term <br> SOFR + 2.11%), 6.43%, 10/25/37<sup>(a)(b)</sup><br>|  | 3340 | 2790193 |
| &nbsp;&nbsp;&nbsp; LUX, Series 2023-LION, Class A, (1-mo. CME <br> Term SOFR + 2.69%), 7.00%, 08/15/40<sup>(a)(b)</sup><br>|  | 1281 | 1289614 |
| MCR Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HF1, Class A, (1-mo. CME Term <br> SOFR + 1.79%), 6.11%, 12/15/41<sup>(a)(b)</sup><br>|  | 2354 | 2355471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HTL, Class A, (1-mo. CME Term <br> SOFR + 1.76%), 6.07%, 02/15/37<sup>(a)(b)</sup><br>|  | 191 | 190770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HTL, Class E, (1-mo. CME Term <br> SOFR + 4.65%), 8.97%, 02/15/37<sup>(a)(b)</sup><br>|  | 1378 | 1371298 |
| &nbsp;&nbsp;&nbsp; Series 2024-TWA, Class A, 5.92%, 06/12/39<sup>(a)</sup> |  | 2250 | 2277177 |
| &nbsp;&nbsp;&nbsp; Series 2024-TWA, Class E, 8.73%, 06/12/39<sup>(a)</sup> |  | 1904 | 1925594 |
| MF1 LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FL14, Class A, (1-mo. CME Term <br> SOFR + 1.74%), 6.06%, 03/19/39<sup>(a)(b)</sup><br>|  | 1010 | 1013797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FL19, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.80%, 05/18/42<sup>(a)(b)</sup><br>|  | 4467 | 4479092 |
| MHC Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class A, (1-mo. CME Term <br> SOFR + 0.92%), 5.23%, 04/15/38<sup>(a)(b)</sup><br>|  | 617 | 617335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class F, (1-mo. CME Term <br> SOFR + 2.72%), 7.03%, 04/15/38<sup>(a)(b)</sup><br>|  | 182 | 182400 |
| MHP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-STOR, Class A, (1-mo. CME Term <br> SOFR + 0.81%), 5.13%, 07/15/38<sup>(a)(b)</sup><br>|  | 1105 | 1105000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-STOR, Class G, (1-mo. CME Term <br> SOFR + 2.86%), 7.18%, 07/15/38<sup>(a)(b)</sup><br>|  | 3426 | 3423859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-STOR, Class J, (1-mo. CME Term <br> SOFR + 4.06%), 8.38%, 07/15/38<sup>(a)(b)</sup><br>|  | 1917 | 1911852 |
| &nbsp;&nbsp;&nbsp; MIC Trust (The), Series 2023-MIC, Class A, 8.73%, <br> 12/05/38<sup>(a)(b)</sup><br>|  | 3089 | 3368359 |
| &nbsp;&nbsp;&nbsp; MIRA Trust, Series 2023-MILE, Class A, 6.76%, <br> 06/10/38<sup>(a)</sup><br>|  | 1978 | 2058529 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Bank of America Merrill Lynch <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-C25, Class A5, 3.64%, 10/15/48 |  | 1318 | 1314361 |
| &nbsp;&nbsp;&nbsp; Series 2016-C32, Class A4, 3.72%, 12/15/49 |  | 1060 | 1046624 |
| Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-ASHF, Class G, (1-mo. CME Term <br> SOFR + 7.20%), 11.51%, 11/15/34<sup>(a)(b)</sup><br>|  | 939 | 881831 |
| &nbsp;&nbsp;&nbsp; Series 2017-H1, Class B, 4.08%, 06/15/50 |  | 2400 | 2303399 |

---

---

| | | | |
|:---|:---|:---|:---|
| *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)** |
| Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-MP, Class E, 4.42%, 07/11/40<sup>(a)(b)</sup> | USD  | 2184 | $1609867 |
| &nbsp;&nbsp;&nbsp; Series 2019-H6, Class D, 3.00%, 06/15/52<sup>(a)</sup> |  | 470 | 376252 |
| &nbsp;&nbsp;&nbsp; Series 2019-H7, Class AS, 3.52%, 07/15/52 |  | 1900 | 1783357 |
| &nbsp;&nbsp;&nbsp; Series 2019-H7, Class C, 4.13%, 07/15/52 |  | 5000 | 4530454 |
| &nbsp;&nbsp;&nbsp; Series 2019-H7, Class D, 3.00%, 07/15/52<sup>(a)</sup> |  | 3000 | 2487689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NSTB, Class A, 3.90%, <br> 09/24/57<sup>(a)(b)</sup><br>|  | 2262 | 2188672 |
| &nbsp;&nbsp;&nbsp; MTN Commercial Mortgage Trust, Series 2022-<br> LPFL, Class A, (1-mo. CME Term SOFR + <br> 1.40%), 5.72%, 03/15/39<sup>(a)(b)</sup><br>|  | 910 | 909431 |
| &nbsp;&nbsp;&nbsp; Natixis Commercial Mortgage Securities Trust, <br> Series 2017-75B, Class A, 3.86%, 04/10/37<sup>(a)</sup><br>|  | 1850 | 1617821 |
| NCMF Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-MFS, Class A, 4.88%, <br> 06/10/33<sup>(a)(b)</sup><br>|  | 4961 | 4951366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-MFS, Class E, 7.53%, <br> 06/10/33<sup>(a)(b)</sup><br>|  | 9322 | 9407313 |
| &nbsp;&nbsp;&nbsp; Series 2025-MFS, Class F, 8.44%, 06/10/33<sup>(a)(b)</sup> |  | 9942 | 10093024 |
| &nbsp;&nbsp;&nbsp; NJ Trust, Series 2023-GSP, Class A, 6.70%, <br> 01/06/29<sup>(a)(b)</sup><br>|  | 1470 | 1546095 |
| NY Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-299P, Class A, 5.85%, <br> 02/10/47<sup>(a)(b)</sup><br>|  | 2910 | 3023789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-299P, Class B, 6.13%, <br> 02/10/47<sup>(a)(b)</sup><br>|  | 697 | 720973 |
| NYCT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3ELV, Class A, (1-mo. CME Term <br> SOFR + 1.99%), 6.30%, 08/15/29<sup>(a)(b)</sup><br>|  | 441 | 442983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3ELV, Class C, (1-mo. CME Term <br> SOFR + 2.84%), 7.15%, 08/15/29<sup>(a)(b)</sup><br>|  | 405 | 402363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3ELV, Class D, (1-mo. CME Term <br> SOFR + 3.84%), 8.15%, 08/15/29<sup>(a)(b)</sup><br>|  | 1564 | 1547542 |
| Olympic Tower Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-OT, Class A, 3.57%, 05/10/39<sup>(a)</sup> |  | 2920 | 2577423 |
| &nbsp;&nbsp;&nbsp; Series 2017-OT, Class D, 4.08%, 05/10/39<sup>(a)(b)</sup> |  | 1080 | 850022 |
| &nbsp;&nbsp;&nbsp; Series 2017-OT, Class E, 4.08%, 05/10/39<sup>(a)(b)</sup> |  | 498 | 373878 |
| &nbsp;&nbsp;&nbsp; One Bryant Park Trust, Series 2019-OBP, Class A, <br> 2.52%, 09/15/54<sup>(a)</sup><br>|  | 1930 | 1757075 |
| &nbsp;&nbsp;&nbsp; One Market Plaza Trust, Series 2017-1MKT, <br> Class D, 4.15%, 02/10/32<sup>(a)</sup><br>|  | 1127 | 1016126 |
| One New York Plaza Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1NYP, Class A, (1-mo. CME Term <br> SOFR + 1.06%), 5.38%, 01/15/36<sup>(a)(b)</sup><br>|  | 1035 | 1005947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1NYP, Class AJ, (1-mo. CME Term <br> SOFR + 1.36%), 5.68%, 01/15/36<sup>(a)(b)</sup><br>|  | 2142 | 2066178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1NYP, Class B, (1-mo. CME Term <br> SOFR + 1.61%), 5.93%, 01/15/36<sup>(a)(b)</sup><br>|  | 1338 | 1278931 |
| &nbsp;&nbsp;&nbsp; OPEN Trust, Series 2023-AIR, Class A, (1-mo. <br> CME Term SOFR + 3.09%), 7.40%, <br> 11/15/40<sup>(a)(b)</sup><br>|  | 926 | 926547 |
| &nbsp;&nbsp;&nbsp; ORL Trust, Series 2024-GLKS, Class A, (1-mo. <br> CME Term SOFR + 1.49%), 5.80%, <br> 12/15/39<sup>(a)(b)</sup><br>|  | 3090 | 3089034 |
| &nbsp;&nbsp;&nbsp; PGA Trust, Series 2024-RSR2, Class A, (1-mo. <br> CME Term SOFR + 1.89%), 6.20%, <br> 06/15/39<sup>(a)(b)</sup><br>|  | 1754 | 1756806 |
| PKHL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MF, Class F, (1-mo. CME Term <br> SOFR + 3.46%), 7.78%, 07/15/38<sup>(a)(b)</sup><br>|  | 900 | 517034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MF, Class G, (1-mo. CME Term <br> SOFR + 4.46%), 8.78%, 07/15/38<sup>(a)(b)</sup><br>|  | 1967 | 574328 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; PRM5 Trust, Series 2025-PRM5, Class D, 5.81%, <br> 03/10/33<sup>(a)(b)</sup><br>| USD  | 1300 | $1293906 |
| &nbsp;&nbsp;&nbsp; Ready Capital Mortgage Financing LLC, <br> Series 2023-FL11, Class A, (1-mo. CME Term <br> SOFR + 2.37%), 6.69%, 10/25/39<sup>(a)(b)</sup><br>|  | 1088 | 1086413 |
| &nbsp;&nbsp;&nbsp; RIAL Issuer Ltd., Series 2022-FL8, Class A, (1-mo. <br> CME Term SOFR + 2.25%), 6.56%, <br> 01/19/37<sup>(a)(b)</sup><br>|  | 4405 | 4407554 |
| ROCK Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-CNTR, Class A, 5.39%, 11/13/41<sup>(a)</sup> |  | 2386 | 2440613 |
| &nbsp;&nbsp;&nbsp; Series 2024-CNTR, Class E, 8.82%, 11/13/41<sup>(a)</sup> |  | 3298 | 3469751 |
| SCG Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DLFN, Class D, (1-mo. CME Term <br> SOFR + 2.15%), 6.46%, 03/15/35<sup>(a)(b)</sup><br>|  | 413 | 407847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DLFN, Class E, (1-mo. CME Term <br> SOFR + 2.95%), 7.26%, 03/15/35<sup>(a)(b)</sup><br>|  | 3142 | 3061843 |
| &nbsp;&nbsp;&nbsp; SCG Mortgage Trust, Series 2024-MSP, Class A, <br> (1-mo. CME Term SOFR + 1.74%), 6.05%, <br> 04/15/41<sup>(a)(b)</sup><br>|  | 8372 | 8377232 |
| &nbsp;&nbsp;&nbsp; SDAL Trust, Series 2025-DAL, Class A, (1-mo. <br> CME Term SOFR + 2.44%), 6.75%, <br> 04/15/42<sup>(a)(b)</sup><br>|  | 1651 | 1653869 |
| SELF Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-STRG, Class A, (1-mo. CME Term <br> SOFR + 1.54%), 5.85%, 11/15/34<sup>(a)(b)</sup><br>|  | 2930 | 2948964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-STRG, Class E, (1-mo. CME Term <br> SOFR + 4.19%), 8.50%, 11/15/34<sup>(a)(b)</sup><br>|  | 3007 | 2998894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-STRG, Class F, (1-mo. CME Term <br> SOFR + 5.19%), 9.50%, 11/15/34<sup>(a)(b)</sup><br>|  | 435 | 432553 |
| SG Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-C5, Class B, 3.93%, 10/10/48 |  | 1000 | 959066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PREZ, Class E, 3.59%, <br> 09/15/39<sup>(a)(b)</sup><br>|  | 3391 | 2843784 |
| SHR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-LXRY, Class A, (1-mo. CME Term <br> SOFR + 1.95%), 6.26%, 10/15/41<sup>(a)(b)</sup><br>|  | 6747 | 6742783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-LXRY, Class D, (1-mo. CME Term <br> SOFR + 3.60%), 7.91%, 10/15/41<sup>(a)(b)</sup><br>|  | 1282 | 1281199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-LXRY, Class E, (1-mo. CME Term <br> SOFR + 4.45%), 8.76%, 10/15/41<sup>(a)(b)</sup><br>|  | 316 | 314837 |
| &nbsp;&nbsp;&nbsp; SLG Office Trust, Series 2021-OVA, Class A, <br> 2.59%, 07/15/41<sup>(a)</sup><br>|  | 3936 | 3452245 |
| SREIT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFP, Class F, (1-mo. CME Term <br> SOFR + 2.74%), 7.05%, 11/15/38<sup>(a)(b)</sup><br>|  | 2483 | 2482971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFP2, Class A, (1-mo. CME Term <br> SOFR + 0.94%), 5.25%, 11/15/36<sup>(a)(b)</sup><br>|  | 5000 | 4996875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFP2, Class F, (1-mo. CME Term <br> SOFR + 2.73%), 7.05%, 11/15/36<sup>(a)(b)</sup><br>|  | 1136 | 1136710 |
| STWD Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FLWR, Class A, (1-mo. CME Term <br> SOFR + 0.69%), 5.00%, 07/15/36<sup>(a)(b)</sup><br>|  | 1101 | 1100012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FLWR, Class B, (1-mo. CME Term <br> SOFR + 1.04%), 5.35%, 07/15/36<sup>(a)(b)</sup><br>|  | 1600 | 1598000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FLWR, Class E, (1-mo. CME Term <br> SOFR + 2.04%), 6.35%, 07/15/36<sup>(a)(b)</sup><br>|  | 1390 | 1389531 |
| TCO Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-DPM, Class A, (1-mo. CME Term <br> SOFR + 1.24%), 5.56%, 12/15/39<sup>(a)(b)</sup><br>|  | 8232 | 8229427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-DPM, Class D, (1-mo. CME Term <br> SOFR + 2.74%), 7.05%, 12/15/39<sup>(a)(b)</sup><br>|  | 387 | 383143 |

---

---

| | | | |
|:---|:---|:---|:---|
| *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; THPT Mortgage Trust, Series 2023-THL, Class A, <br> 7.23%, 12/10/34<sup>(a)(b)</sup><br>| USD  | 1113 | $1131588 |
| TTAN |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class A, (1-mo. CME Term <br> SOFR + 0.96%), 5.28%, 03/15/38<sup>(a)(b)</sup><br>|  | 4203 | 4204141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class F, (1-mo. CME Term <br> SOFR + 3.01%), 7.33%, 03/15/38<sup>(a)(b)</sup><br>|  | 2815 | 2817342 |
| &nbsp;&nbsp;&nbsp; TYSN Mortgage Trust, Series 2023-CRNR, <br> Class A, 6.80%, 12/10/33<sup>(a)(b)</sup><br>|  | 1340 | 1419415 |
| &nbsp;&nbsp;&nbsp; UBS Commercial Mortgage Trust, Series 2017-C4, <br> Class AS, 3.84%, 10/15/50<sup>(b)</sup><br>|  | 765 | 732263 |
| VEGAS Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GCS, Class C, 6.42%, <br> 07/10/36<sup>(a)(b)</sup><br>|  | 5520 | 5436583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GCS, Class D, 6.42%, <br> 07/10/36<sup>(a)(b)</sup><br>|  | 12440 | 11743078 |
| &nbsp;&nbsp;&nbsp; Series 2024-TI, Class A, 5.52%, 11/10/39<sup>(a)</sup> |  | 2520 | 2553706 |
| Velocity Commercial Capital Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-2, Class M6, 7.05%, 10/26/48<sup>(a)(b)</sup> |  | 1449 | 1205606 |
| &nbsp;&nbsp;&nbsp; Series 2019-1, Class M2, 4.01%, 03/25/49<sup>(a)(b)</sup> |  | 137 | 124594 |
| &nbsp;&nbsp;&nbsp; Series 2019-2, Class M2, 3.39%, 07/25/49<sup>(a)(b)</sup> |  | 942 | 829362 |
| &nbsp;&nbsp;&nbsp; Series 2019-2, Class M3, 3.48%, 07/25/49<sup>(a)(b)</sup> |  | 1022 | 870110 |
| &nbsp;&nbsp;&nbsp; Series 2019-2, Class M4, 3.99%, 07/25/49<sup>(a)(b)</sup> |  | 1059 | 870485 |
| &nbsp;&nbsp;&nbsp; Series 2019-3, Class M6, 6.03%, 10/25/49<sup>(a)(b)</sup> |  | 471 | 397470 |
| &nbsp;&nbsp;&nbsp; Series 2020-1, Class AFX, 2.61%, 02/25/50<sup>(a)(b)</sup> |  | 2083 | 1889080 |
| &nbsp;&nbsp;&nbsp; Series 2021-1, Class M4, 2.85%, 05/25/51<sup>(a)(b)</sup> |  | 1740 | 1223495 |
| &nbsp;&nbsp;&nbsp; Series 2021-1, Class M6, 5.03%, 05/25/51<sup>(a)(b)</sup> |  | 1985 | 1321095 |
| &nbsp;&nbsp;&nbsp; Series 2021-2, Class M7, 6.54%, 08/25/51<sup>(a)(b)</sup> |  | 1864 | 1420867 |
| &nbsp;&nbsp;&nbsp; Series 2021-3, Class M4, 3.48%, 10/25/51<sup>(a)(b)</sup> |  | 2230 | 1879752 |
| &nbsp;&nbsp;&nbsp; Series 2021-3, Class M7, 6.54%, 10/25/51<sup>(a)(b)</sup> |  | 2259 | 1586113 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class A, 2.52%, 12/26/51<sup>(a)(b)</sup> |  | 5807 | 5172526 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class M4, 4.48%, 12/26/51<sup>(a)(b)</sup> |  | 1062 | 864244 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class M4, 5.20%, 02/25/52<sup>(a)(b)</sup> |  | 5098 | 4064686 |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class M2, 6.97%, 08/25/52<sup>(a)(b)</sup> |  | 1010 | 1022784 |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class M3, 7.53%, 08/25/52<sup>(a)(b)</sup> |  | 833 | 848180 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A, 6.22%, 05/25/53<sup>(a)(b)</sup> |  | 525 | 526261 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 6.55%, 01/25/54<sup>(a)(b)</sup> |  | 3015 | 3050777 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class M2, 7.23%, 01/25/54<sup>(a)(b)</sup> |  | 321 | 322647 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class M3, 8.44%, 01/25/54<sup>(a)(b)</sup> |  | 327 | 334050 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class M3, 8.02%, 04/25/54<sup>(a)(b)</sup> |  | 1610 | 1628518 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class M4, 10.72%, 04/25/54<sup>(a)(b)</sup> |  | 3225 | 3273919 |
| &nbsp;&nbsp;&nbsp; Series 2024-3, Class M2, 7.23%, 06/25/54<sup>(a)(b)</sup> |  | 1687 | 1701890 |
| &nbsp;&nbsp;&nbsp; Series 2024-5, Class A, 5.49%, 10/25/54<sup>(a)(b)</sup> |  | 1424 | 1420895 |
| &nbsp;&nbsp;&nbsp; Series 2024-5, Class M2, 5.96%, 10/25/54<sup>(a)(b)</sup> |  | 527 | 519590 |
| &nbsp;&nbsp;&nbsp; Series 2024-5, Class M3, 6.76%, 10/25/54<sup>(a)(b)</sup> |  | 885 | 878188 |
| &nbsp;&nbsp;&nbsp; Series 2024-5, Class M4, 9.53%, 10/25/54<sup>(a)(b)</sup> |  | 554 | 547827 |
| &nbsp;&nbsp;&nbsp; Series 2024-6, Class M2, 6.55%, 12/25/54<sup>(a)(b)</sup> |  | 843 | 842411 |
| &nbsp;&nbsp;&nbsp; Series 2024-6, Class M3, 6.92%, 12/25/54<sup>(a)(b)</sup> |  | 1543 | 1538475 |
| &nbsp;&nbsp;&nbsp; Series 2024-6, Class M4, 9.67%, 12/25/54<sup>(a)(b)</sup> |  | 975 | 972147 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class M3, 7.33%, 02/25/55<sup>(a)(b)</sup> |  | 3995 | 4026290 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class M4, 10.15%, 02/25/55<sup>(a)(b)</sup> |  | 3995 | 4023881 |
| &nbsp;&nbsp;&nbsp; Series 2025-3, Class M3, 7.38%, 06/25/55<sup>(a)(b)</sup> |  | 2218 | 2240209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-MC1, Class A1, 8.16%, <br> 05/25/55<sup>(a)(c)</sup><br>|  | 2877 | 2876693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RTL1, Class A1, 6.80%, <br> 03/25/30<sup>(a)(c)</sup><br>|  | 16000 | 16158083 |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-C39, Class B, 4.03%, 09/15/50 |  | 1000 | 939397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1745, Class A, 3.87%, <br> 06/15/36<sup>(a)(b)</sup><br>|  | 1190 | 1082895 |
| &nbsp;&nbsp;&nbsp; Series 2018-C46, Class A4, 4.15%, 08/15/51 |  | 3740 | 3684508 |
| &nbsp;&nbsp;&nbsp; Series 2019-C49, Class D, 3.00%, 03/15/52<sup>(a)</sup> |  | 354 | 305387 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-C50, Class B, 4.19%, 05/15/52 | USD  | 3121 | $2910572 |
| &nbsp;&nbsp;&nbsp; Series 2019-C53, Class A3, 2.79%, 10/15/52 |  | 1000 | 934799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FCMT, Class A, (1-mo. CME Term <br> SOFR + 1.31%), 5.63%, 05/15/31<sup>(a)(b)</sup><br>|  | 4660 | 4637105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1CHI, Class A, 5.48%, <br> 07/15/35<sup>(a)(b)</sup><br>|  | 395 | 397368 |
| &nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class B, 6.22%, 07/15/43<sup>(a)</sup> |  | 3055 | 3141175 |
| &nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class C, 6.43%, 07/15/43<sup>(a)</sup> |  | 1945 | 1955934 |
| &nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class D, 7.08%, 07/15/43<sup>(a)</sup> |  | 2628 | 2637644 |
| &nbsp;&nbsp;&nbsp; WEST Trust, Series 2025-ROSE, Class A, 5.45%, <br> 04/10/35<sup>(a)(b)</sup><br>|  | 1836 | 1859098 |
| WHARF Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-DC, Class A, 5.35%, 07/15/40<sup>(a)(b)</sup> |  | 4020 | 4098196 |
| &nbsp;&nbsp;&nbsp; Series 2025-DC, Class E, 7.72%, 07/15/40<sup>(a)(b)</sup> |  | 2354 | 2411448 |
| WMRK Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-WMRK, Class A, (1-mo. CME Term <br> SOFR + 2.79%), 7.10%, 11/15/27<sup>(a)(b)</sup><br>|  | 3829 | 3829000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-WMRK, Class B, (1-mo. CME Term <br> SOFR + 3.44%), 7.75%, 11/15/27<sup>(a)(b)</sup><br>|  | 1435 | 1435000 |
|  |  |  | 1093683660 |
| **Interest Only Collateralized Mortgage Obligations — 0.3%** | **Interest Only Collateralized Mortgage Obligations — 0.3%** | **Interest Only Collateralized Mortgage Obligations — 0.3%** | **Interest Only Collateralized Mortgage Obligations — 0.3%** |
| &nbsp;&nbsp;&nbsp; Ajax Mortgage Loan Trust, Series 2021-E, <br> Class XS, 0.00%, 12/25/60<sup>(a)(b)</sup><br>|  | 7969 | 282708 |
| Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class XS, 0.82%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 16992 | 158582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class XS, 2.45%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 12354 | 517459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class XS, 0.00%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 23545 | 757965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class XS, 0.00%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 36992 | 1703955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class XS, 0.00%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 36977 | 1580974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class XS2, 0.00%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 33997 | 951865 |
| JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A2X, 0.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 28228 | 800954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A3X, 0.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 16152 | 297903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A4X, 0.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 7873 | 333940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A5X, 0.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 3074 | 87216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class AX1, 0.26%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 55326 | 865122 |
| &nbsp;&nbsp;&nbsp; JPMorgan Resecuritization Trust, Series 2014-5, <br> Class 5C, 0.00%, 05/27/36<sup>(a)(b)</sup><br>|  | 9326 | 1588448 |
| &nbsp;&nbsp;&nbsp; Voyager OPTONE Delaware Trust, Series 2009-1, <br> Class SAA7, 2.76%, 02/25/38<sup>(a)(b)</sup><br>|  | 9178 | 2002575 |
|  |  |  | 11929666 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.4%** | **Interest Only Commercial Mortgage-Backed Securities — 0.4%** | **Interest Only Commercial Mortgage-Backed Securities — 0.4%** | **Interest Only Commercial Mortgage-Backed Securities — 0.4%** |
| BANK |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-BN22, Class XA, 0.69%, <br> 11/15/62<sup>(b)</sup><br>|  | 37947 | 849056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-BN22, Class XB, 0.23%, <br> 11/15/62<sup>(b)</sup><br>|  | 85561 | 564626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-BN28, Class XB, 1.09%, <br> 03/15/63<sup>(b)</sup><br>|  | 29820 | 1347069 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; BBCMS Trust, Series 2015-SRCH, Class XB, <br> 0.30%, 08/10/35<sup>(a)(b)</sup><br>| USD  | 12500 | $47079 |
| Benchmark Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-B12, Class XA, 1.20%, 08/15/52<sup>(b)</sup> |  | 34570 | 970934 |
| &nbsp;&nbsp;&nbsp; Series 2019-B9, Class XA, 1.18%, 03/15/52<sup>(b)</sup> |  | 14755 | 442617 |
| &nbsp;&nbsp;&nbsp; Series 2020-B17, Class XB, 0.62%, 03/15/53<sup>(b)</sup> |  | 17599 | 338005 |
| &nbsp;&nbsp;&nbsp; Series 2020-B19, Class XA, 1.86%, 09/15/53<sup>(b)</sup> |  | 22523 | 1084328 |
| &nbsp;&nbsp;&nbsp; Series 2021-B23, Class XA, 1.36%, 02/15/54<sup>(b)</sup> |  | 18128 | 907760 |
| &nbsp;&nbsp;&nbsp; BMO Mortgage Trust, Series 2023-C5, Class XA, <br> 0.94%, 06/15/56<sup>(b)</sup><br>|  | 8038 | 375396 |
| &nbsp;&nbsp;&nbsp; CFK Trust, Series 2019-FAX, Class XA, 0.35%, <br> 01/15/39<sup>(a)(b)</sup><br>|  | 62648 | 528609 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust, Series 2019-GC44, <br> Class XA, 0.73%, 08/15/57<sup>(b)</sup><br>|  | 38093 | 727751 |
| CSAIL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-C16, Class XA, 1.69%, 06/15/52<sup>(b)</sup> |  | 9429 | 460653 |
| &nbsp;&nbsp;&nbsp; Series 2019-C17, Class XA, 1.46%, 09/15/52<sup>(b)</sup> |  | 3635 | 151578 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank JPMorgan Mortgage Trust, <br> Series 2017-C6, Class XD, 1.00%, 06/10/50<sup>(a)(b)</sup><br>|  | 11214 | 183839 |
| ELM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class XP10, 0.24%, <br> 06/10/39<sup>(a)(b)</sup><br>|  | 33570 | 71222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class XP15, 1.61%, <br> 06/10/39<sup>(a)(b)</sup><br>|  | 30405 | 428391 |
| JPMDB Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-C4, Class XC, 0.75%, 12/15/49<sup>(a)(b)</sup> |  | 8570 | 68309 |
| &nbsp;&nbsp;&nbsp; Series 2017-C5, Class XB, 0.40%, 03/15/50<sup>(b)</sup> |  | 30000 | 156399 |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities <br> Trust, Series 2016-JP3, Class XC, 0.75%, <br> 08/15/49<sup>(a)(b)</sup><br>|  | 17400 | 116126 |
| &nbsp;&nbsp;&nbsp; LSTAR Commercial Mortgage Trust, Series 2017-5, <br> Class X, 1.00%, 03/10/50<sup>(a)(b)</sup><br>|  | 8226 | 78986 |
| &nbsp;&nbsp;&nbsp; MCR Mortgage Trust, Series 2024-TWA, Class XA, <br> 0.92%, 06/12/39<sup>(a)</sup><br>|  | 11446 | 142566 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Bank of America Merrill Lynch <br> Trust, Series 2014-C19, Class XF, 1.38%, <br> 12/15/47<sup>(a)(b)</sup><br>|  | 220 | 2484 |
| Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-H1, Class XD, 2.30%, 06/15/50<sup>(a)(b)</sup> |  | 8625 | 308079 |
| &nbsp;&nbsp;&nbsp; Series 2019-L2, Class XA, 1.16%, 03/15/52<sup>(b)</sup> |  | 10215 | 308831 |
| &nbsp;&nbsp;&nbsp; MSWF Commercial Mortgage Trust, Series 2023-2, <br> Class XA, 1.14%, 12/15/56<sup>(b)</sup><br>|  | 34014 | 2006594 |
| &nbsp;&nbsp;&nbsp; Olympic Tower Mortgage Trust, Series 2017-OT, <br> Class XA, 0.51%, 05/10/39<sup>(a)(b)</sup><br>|  | 28100 | 160518 |
| One Market Plaza Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1MKT, Class XCP, 0.00%, <br> 02/10/32<sup>(a)(b)</sup><br>|  | 91391 | 284572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1MKT, Class XNCP, 0.22%, <br> 02/10/32<sup>(a)(b)</sup><br>|  | 18278 | 47816 |
| &nbsp;&nbsp;&nbsp; UBS Commercial Mortgage Trust, Series 2019-<br> C17, Class XA, 1.58%, 10/15/52<sup>(b)</sup><br>|  | 5205 | 253385 |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-LC20, Class XB, 0.75%, <br> 04/15/50<sup>(b)</sup><br>|  | 1764 | 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-BNK1, Class XD, 1.38%, <br> 08/15/49<sup>(a)(b)</sup><br>|  | 1000 | 12171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class X, 0.31%, <br> 07/15/43<sup>(a)(b)</sup><br>|  | 24115 | 218918 |
|  |  |  | 13644694 |
| **Total Non-Agency Mortgage-Backed Securities — 52.3%** <br>**(Cost: $2,032,029,014)** | **Total Non-Agency Mortgage-Backed Securities — 52.3%** <br>**(Cost: $2,032,029,014)** | **Total Non-Agency Mortgage-Backed Securities — 52.3%** <br>**(Cost: $2,032,029,014)** | 1991336344 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Commercial Mortgage-Backed Securities — 0.2%** | **Commercial Mortgage-Backed Securities — 0.2%** | **Commercial Mortgage-Backed Securities — 0.2%** | **Commercial Mortgage-Backed Securities — 0.2%** |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-P015, Class A1, 4.45%, 11/25/32<sup>(b)</sup> | USD  | 2440 | $2389900 |
| &nbsp;&nbsp;&nbsp; Series KJ48, Class A2, 5.03%, 10/25/31 |  | 1413 | 1447341 |
| Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-118, Class BA, 3.75%, 05/16/65<sup>(b)</sup> |  | 800 | 730989 |
| &nbsp;&nbsp;&nbsp; Series 2023-119, Class AD, 2.25%, 04/16/65 |  | 1425 | 1149948 |
| &nbsp;&nbsp;&nbsp; Series 2023-50, Class AC, 3.25%, 09/16/63<sup>(b)</sup> |  | 791 | 717880 |
|  |  |  | 6436058 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp; Series K116, Class X1, 1.52%, 07/25/30<sup>(b)</sup> |  | 23554 | 1341059 |
| &nbsp;&nbsp;&nbsp; Series KL05, Class X1P, 1.02%, 06/25/29<sup>(b)</sup> |  | 12845 | 409238 |
| Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-36, Class IO, 0.66%, 08/16/57<sup>(b)</sup> |  | 2543 | 71278 |
| &nbsp;&nbsp;&nbsp; Series 2017-24, Class IO, 0.74%, 12/16/56<sup>(b)</sup> |  | 9587 | 295165 |
|  |  |  | 2116740 |
| **Mortgage-Backed Securities — 0.1%** | **Mortgage-Backed Securities — 0.1%** | **Mortgage-Backed Securities — 0.1%** | **Mortgage-Backed Securities — 0.1%** |
| &nbsp;&nbsp;&nbsp; Fannie Mae Mortgage-Backed Securities, 5.81%, <br> 06/01/31<br>|  | 3533 | 3662869 |
| **Total U.S. Government Sponsored Agency Securities — 0.3%** <br>**(Cost: $12,578,419)** | **Total U.S. Government Sponsored Agency Securities — 0.3%** <br>**(Cost: $12,578,419)** | **Total U.S. Government Sponsored Agency Securities — 0.3%** <br>**(Cost: $12,578,419)** | 12215667 |
| **Total Long-Term Investments — 99.5%** <br>**(Cost: $3,860,383,969)** | **Total Long-Term Investments — 99.5%** <br>**(Cost: $3,860,383,969)** | **Total Long-Term Investments — 99.5%** <br>**(Cost: $3,860,383,969)** | 3788007482 |

---

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

---

| | | |
|:---|:---|:---|
|  | <br>*Shares*<br>|  |
| **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 0.6%** | **Money Market Funds — 0.6%** | **Money Market Funds — 0.6%** |
| &nbsp;&nbsp;&nbsp; Dreyfus Treasury Securities Cash Management, <br> Institutional Class, 4.11%<sup>(l)</sup><br>| 23066360 | 23066360 |
| **Total Short-Term Securities — 0.6%** <br>**(Cost: $23,066,360)** | **Total Short-Term Securities — 0.6%** <br>**(Cost: $23,066,360)** | 23066360 |
| **Total Investments Before TBA Sale Commitments — 100.1%** <br>**(Cost: $3,883,450,329)** | **Total Investments Before TBA Sale Commitments — 100.1%** <br>**(Cost: $3,883,450,329)** | 3811073842 |

---

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par* <br>*(000)*<br>| *Value* |
| **TBA Sale Commitments**<sup>(m)</sup> | **TBA Sale Commitments**<sup>(m)</sup> | **TBA Sale Commitments**<sup>(m)</sup> | **TBA Sale Commitments**<sup>(m)</sup> |
| **Mortgage-Backed Securities — (0.6)%** | **Mortgage-Backed Securities — (0.6)%** | **Mortgage-Backed Securities — (0.6)%** | **Mortgage-Backed Securities — (0.6)%** |
| Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/55 | USD  | (4579)<br>| $(3623764)<br>|
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/55 |  | (22139)<br>| (18352581)<br>|
| **Total TBA Sale Commitments — (0.6)%** <br>**(Proceeds: $(21426718))** | **Total TBA Sale Commitments — (0.6)%** <br>**(Proceeds: $(21426718))** | **Total TBA Sale Commitments — (0.6)%** <br>**(Proceeds: $(21426718))** | (21976345)<br>|
| **Total Investments Net of TBA Sale Commitments — 99.5%** <br>**(Cost: $3,862,023,611)** | **Total Investments Net of TBA Sale Commitments — 99.5%** <br>**(Cost: $3,862,023,611)** | **Total Investments Net of TBA Sale Commitments — 99.5%** <br>**(Cost: $3,862,023,611)** | 3789097497 |
| **Other Assets Less Liabilities — 0.5%**  | **Other Assets Less Liabilities — 0.5%**  | **Other Assets Less Liabilities — 0.5%**  | 18873211 |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $3807970708 |

---

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Settlement* <br>*Date*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| USD | 8607265 | EUR | 7374000 | BNP Paribas S.A. | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(124253)<br>|

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

**OTC Credit Default Swaps — Buy Protection** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | &nbsp;&nbsp; *Financing* <br>*Rate* <br>*Paid* <br>*by the* <br>*Fund*<br>| &nbsp;&nbsp;&nbsp; *Payment* <br>*Frequency*<br>| *Counterparty* | &nbsp;&nbsp; *Termination* <br>*Date*<br>| &nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | &nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* | &nbsp;&nbsp; *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)*<br>| &nbsp;&nbsp; *Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>|
| CMBX.NA.9.BBB- | &nbsp;&nbsp;&nbsp;&nbsp; 3.00<br> % <br>| Monthly | Citigroup Global Markets, Inc. | 09/17/58 | USD | &nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp; $23870 | &nbsp;&nbsp;&nbsp; $4164 | &nbsp;&nbsp;&nbsp; $19706 |
| CMBX.NA.9.BBB- | &nbsp;&nbsp;&nbsp;&nbsp;3.00 | Monthly | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. <br> International PLC<br>| 09/17/58 | USD | &nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp; 9036 | &nbsp;&nbsp;&nbsp; 3613 | &nbsp;&nbsp;&nbsp; 5423 |
| CMBX.NA.9.BBB- | &nbsp;&nbsp;&nbsp;&nbsp;3.00 | Monthly | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. <br> International PLC<br>| 09/17/58 | USD | &nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp; 4604 | &nbsp;&nbsp;&nbsp; 1315 | &nbsp;&nbsp;&nbsp; 3289 |
| CMBX.NA.6.AAA | &nbsp;&nbsp;&nbsp;&nbsp;0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | &nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — |
|  |  |  |  |  |  |  | &nbsp;&nbsp;&nbsp; $37510 | &nbsp;&nbsp;&nbsp; $9092 | &nbsp;&nbsp;&nbsp; $28418 |

---

**OTC Credit Default Swaps — Sell Protection** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing* <br>*Rate* <br>*Received* <br>*by* <br>*the Fund*<br>| &nbsp;&nbsp; *Payment* <br>*Frequency*<br>| *Counterparty* | *Termination* <br>*Date*<br>| *Credit* <br>*Rating*<sup>(a)</sup> <br>| *Notional* <br>*Amount* <br>*(000)*<sup>(b)</sup>  | *Notional* <br>*Amount* <br>*(000)*<sup>(b)</sup>  | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)*<br>| *Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>|
| CMBX.NA.9.BBB- | 3.00<br> % <br>| Monthly | Deutsche Bank AG | 09/17/58 | Not Rated | USD | 220 | $(37510)<br>| $(23124)<br>| $(14386)<br>|
| CMBX.NA.10.BBB- | 3.00 | Monthly | Deutsche Bank AG | 11/17/59 | BBB- | USD | 1000 | (188250)<br>| (73772)<br>| (114478)<br>|
| CMBX.NA.10.BBB- | 3.00 | Monthly | Deutsche Bank AG | 11/17/59 | BBB- | USD | 500 | (94125)<br>| (44494)<br>| (49631)<br>|
|  |  |  |  |  |  |  |  | $(319885)<br>| $(141390)<br>| $(178495)<br>|

---

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

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

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

**Fair Value Hierarchy as of Period End**

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

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

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

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The 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; $1746499400 | &nbsp;&nbsp; $26366560 | &nbsp;&nbsp; $1772865960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds  | &nbsp;&nbsp; — | &nbsp;&nbsp; 77953 | &nbsp;&nbsp; — | &nbsp;&nbsp; 77953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Floating Rate Loan Interests | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 11511558 | &nbsp;&nbsp; 11511558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 1991336344 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1991336344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 12215667 | &nbsp;&nbsp; — | &nbsp;&nbsp; 12215667 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| &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; $23066360 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $23066360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unfunded Floating Rate Loan Interests<sup>(a)</sup> | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 14646 | &nbsp;&nbsp; 14646 |
| Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sale Commitments | &nbsp;&nbsp; — | &nbsp;&nbsp; (21976345)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (21976345)<br>|
|  | &nbsp;&nbsp; $23066360 | &nbsp;&nbsp; $3728153019 | &nbsp;&nbsp; $37892764 | &nbsp;&nbsp; $3789112143 |
| Derivative Financial Instruments<sup>(b)</sup> <br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | &nbsp;&nbsp; $— | &nbsp;&nbsp; $28418 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $28418 |
| &nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; (178495)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (178495)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; (124253)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (124253)<br>|
|  | &nbsp;&nbsp; $— | &nbsp;&nbsp; $(274330)<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $(274330)<br>|

---

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

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

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

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | *Asset-Backed* <br>*Securities*<br>| &nbsp;&nbsp; *Corporate* <br>*Bonds*<br>| &nbsp;&nbsp; *Floating Rate* <br>*Loan Interests*<br>| &nbsp;&nbsp; *Non-Agency* <br>*Mortgage-Backed* <br>*Securities*<br>| &nbsp;&nbsp; *Unfunded* <br>*Floating Rate* <br>*Loan Interests*<br>| *Total* |
| **Assets** |  |  |  |  |  |  |
| Opening Balance, as of March 31, 2025 | &nbsp;&nbsp; $26585124 | &nbsp;&nbsp;&nbsp;&nbsp; $— <br><sup>(a)</sup><br>| &nbsp;&nbsp;&nbsp;&nbsp; $9514138 | &nbsp;&nbsp;&nbsp;&nbsp; $2171704 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $38270966 |
| Transfers into Level 3 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2194333 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2194333 |
| Transfers out of Level 3 | &nbsp;&nbsp; (5840000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2154051)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (7994051)<br>|
| Accrued discounts/premiums | &nbsp;&nbsp; (937)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 662 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (275)<br>|
| Net realized gain (loss) | &nbsp;&nbsp; (49184)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 32423 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (16761)<br>|
| Net change in unrealized appreciation (depreciation)<sup>(b)</sup> | &nbsp;&nbsp; 41637 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 775089 | &nbsp;&nbsp;&nbsp;&nbsp; 546 | &nbsp;&nbsp;&nbsp;&nbsp; 14646 | &nbsp;&nbsp;&nbsp;&nbsp; 831918 |
| Purchases | &nbsp;&nbsp; 5981052 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 5981052 |
| Sales | &nbsp;&nbsp; (351132)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1005087)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (18199)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1374418)<br>|
| Closing Balance, as of June 30, 2025 | &nbsp;&nbsp; $26366560 | &nbsp;&nbsp;&nbsp;&nbsp; $— <br><sup>(a)</sup><br>| &nbsp;&nbsp;&nbsp;&nbsp; $11511558 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $14646 | &nbsp;&nbsp;&nbsp;&nbsp; $37892764 |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on <br> investments still held at June 30, 2025<sup>(b)</sup><br>| &nbsp;&nbsp; $41637 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $775089 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $14646 | &nbsp;&nbsp;&nbsp;&nbsp; $831372 |

---

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

Rounds to less than $1.

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

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2025 is generally due to investments no longer held or categorized as Level 3 at period end.

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

---

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

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series A Portfolio**

&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. |
| EURIBOR | Euro Interbank Offered Rate |
| IO | Interest Only |
| LP | Limited Partnership |
| OTC | Over-the-Counter |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| TBA | To-be-Announced |

---

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

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

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3857207821.71

**Total Liabilities:** $70407967.23

**Net Assets:** $3786799854.48

**Delayed Delivery Securities:** $16359922.11

**Cash Not Reported:** $877080.52

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 350418.68000000 | **1-Year:** 33322.52000000 | **5-Year:** 282154.52000000 | **10-Year:** -2597.94000000 | **30-Year:** 71421.56000000

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

- **3-Month:** 140480.37000000 | **1-Year:** 33660.28000000 | **5-Year:** 117631.26000000 | **10-Year:** 36153.00000000 | **30-Year:** 72812.36000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000146955 | 0.31%                | 0.61%                | 0.92%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-783442.99              | $-7116001.18                               |
| Month 2  | $468243.95               | $6671768.68                                |
| Month 3  | $608912.30               | $13518761.62                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2018-2-GS                                                | CUSIP: 61946LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    801473 | PA      | $746487.25    | 0.02%             | 2044-02-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                    | NYCT Trust 2024-3ELV                                                             | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440658 | PA      | $442982.56    | 0.01%             | 2029-08-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                    | CIM Trust 2023-I2                                                                | CUSIP: 12570HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    697866 | PA      | $702861.98    | 0.02%             | 2067-12-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                               | Barings CLO Ltd 2018-II                                                          | CUSIP: 06760JAU9<br>LEI: 549300I8OP7Y4MO3JF74 | Long             | ABS-CBDO         | CORP              | KY        |   2560000 | PA      | $2566177.28   | 0.07%             | 2036-07-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                    | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    690000 | PA      | $686351.49    | 0.02%             | 2039-06-15      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus               | CSAIL 2019-C16 Commercial Mortgage Trust                                         | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9429058 | PA      | $460652.84    | 0.01%             | 2052-06-15      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515100 | PA      | $458420.61    | 0.01%             | 2062-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                       | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  91390728 | PA      | $284572.45    | 0.01%             | 2032-02-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| KSLCMT_25-MAK                                | KSLCMT_25-MAK                                                                    | CUSIP: 50116JAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2364000 | PA      | $2382770.40   | 0.06%             | 2042-06-15      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2025-II Ltd                                                         | CUSIP: 17181DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2970000 | PA      | $2965651.92   | 0.08%             | 2038-04-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2021-R1                                               | CUSIP: 92538BAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $2991482.98   | 0.08%             | 2063-10-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2               | JW Commercial Mortgage Trust 2024-MRCO                                           | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1506000 | PA      | $1499597.54   | 0.04%             | 2039-06-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                   | NMLT 2021-INV1 Trust                                                             | CUSIP: 62923JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    922300 | PA      | $716341.28    | 0.02%             | 2056-05-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| LUX 2023-LION                                | LUX 2023-LION                                                                    | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1281135 | PA      | $1289614.19   | 0.03%             | 2040-08-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXXIII Ltd                                                  | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2287932 | PA      | $2290215.79   | 0.06%             | 2032-10-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ORL TRUST                                    | ORL Trust 2024-GLKS                                                              | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3090000 | PA      | $3089034.38   | 0.08%             | 2039-12-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU               | SoFi Consumer Loan Program 2025-1 Trust                                          | CUSIP: 83406YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1373000 | PA      | $1386490.00   | 0.04%             | 2034-02-27      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                        | Western Alliance Bank                                                            | CUSIP: 95763PNC1<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   3650642 | PA      | $3797645.08   | 0.10%             | 2059-07-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Bank5                                        | BANK5 Trust 2024-5YR6                                                            | CUSIP: 066043AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184302 | PA      | $194033.50    | 0.01%             | 2057-05-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2024-SFR4 Trust                                             | CUSIP: 74334JAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5640000 | PA      | $5107819.75   | 0.13%             | 2041-07-17      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Bank                                         | BANK 2020-BNK28                                                                  | CUSIP: 06540YAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29819566 | PA      | $1347069.07   | 0.04%             | 2063-03-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2023-VLT3                                           | CUSIP: 05611GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010000 | PA      | $1010000.00   | 0.03%             | 2028-11-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 7 Ltd                                                         | CUSIP: 67098WAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1435000 | PA      | $1435000.00   | 0.04%             | 2038-07-19      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Series 2015-6R                                                              | CUSIP: 12650EBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1123213 | PA      | $868999.43    | 0.02%             | 2036-03-27      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                    | BXP Trust 2017-GM                                                                | CUSIP: 056083AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $254867.06    | 0.01%             | 2039-06-13      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2007-HE2                            | CUSIP: 07389YAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    739234 | PA      | $677861.78    | 0.02%             | 2037-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                   | 1345T 2025-AOA                                                                   | CUSIP: 68271CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3853000 | PA      | $3863877.02   | 0.10%             | 2030-06-15      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                     | Mill City Mortgage Loan Trust 2023-NQM1                                          | CUSIP: 59980DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3804128 | PA      | $3803415.66   | 0.10%             | 2067-10-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                            | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1151000 | PA      | $1075902.66   | 0.03%             | 2037-06-05      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp Mortgage Loan Trust 2007-GEL1                   | CUSIP: 86362QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1410440 | PA      | $1155585.58   | 0.03%             | 2037-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2017-B                                          | CUSIP: 83189DAC4<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |    259169 | PA      | $258731.71    | 0.01%             | 2035-10-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2025-1                                                    | CUSIP: 52604QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4474000 | PA      | $4540907.33   | 0.12%             | 2034-09-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition               | JP Morgan Mortgage Acquisition Trust 2007-CH1                                    | CUSIP: 46630LAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102424.15    | 0.00%             | 2036-11-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | Trinitas CLO XVIII Ltd                                                           | CUSIP: 89640LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250437.13    | 0.01%             | 2035-01-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5542100 | PA      | $5434274.91   | 0.14%             | 2028-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust               | Goldman Home Improvement Trust 2022-GRN2 Issuer Trust                            | CUSIP: 38151JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    638742 | PA      | $656872.95    | 0.02%             | 2052-10-25      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust 2005-A4                                                 | CUSIP: 466247RX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179696 | PA      | $172394.68    | 0.00%             | 2035-07-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2018-2                                    | CUSIP: 92259BAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1449093 | PA      | $1205606.39   | 0.03%             | 2048-10-26      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | Trinitas Clo VII Ltd                                                             | CUSIP: 89641CAU5<br>LEI: 549300F3XEPDOX3FOP69 | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $3250276.25   | 0.09%             | 2035-01-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                          | 522 Funding CLO 2018-3A Ltd                                                      | CUSIP: 33835NAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501124.50    | 0.01%             | 2031-10-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1303000 | PA      | $1302592.81   | 0.03%             | 2029-07-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                    | GSMPS Mortgage Loan Trust 2006-RP2                                               | CUSIP: 36298XAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1917726 | PA      | $1584778.40   | 0.04%             | 2036-04-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3101000 | PA      | $3102938.13   | 0.08%             | 2038-04-15      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2023-1                                                   | CUSIP: 61945VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207746 | PA      | $196984.73    | 0.01%             | 2053-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin M               | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2                   | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    894334 | PA      | $647694.22    | 0.02%             | 2037-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru               | OneMain Financial Issuance Trust 2021-1                                          | CUSIP: 68269MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4680000 | PA      | $4337901.83   | 0.11%             | 2036-06-16      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2124700 | PA      | $2157165.42   | 0.06%             | 2065-01-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXIII Ltd.                  | Marble Point CLO XXIII Ltd                                                       | CUSIP: 56607TAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $747476.55    | 0.02%             | 2035-01-22      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Regatta XXIII Funding Ltd                    | Regatta XXIII Funding Ltd                                                        | CUSIP: 75889FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    840000 | PA      | $842240.87    | 0.02%             | 2035-01-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| BARDOT CLO LTD                               | Bardot CLO Ltd                                                                   | CUSIP: 06744NBQ9<br>LEI: 549300KP12IHV6MTDK86 | Long             | ABS-CBDO         | CORP              | KY        |   1227232 | PA      | $1226835.10   | 0.03%             | 2032-10-22      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2021-2                                                    | CUSIP: 52604DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3160503.15   | 0.08%             | 2032-04-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-18 Ltd                                                              | CUSIP: 671078BG7<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |    360000 | PA      | $360255.38    | 0.01%             | 2037-07-20      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec               | Arbor Multifamily Mortgage Securities Trust 2021-MF3                             | CUSIP: 03882KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1504000 | PA      | $1330393.28   | 0.04%             | 2054-10-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 7 Ltd                                                            | CUSIP: 82671EAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $602462.40    | 0.02%             | 2037-10-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XLII Ltd                                                    | CUSIP: 04966HAE6<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1251250.75   | 0.03%             | 2030-11-21      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | ARES L CLO Ltd                                                                   | CUSIP: 04018LAL9<br>LEI: 549300S7Y78W7UJHZZ39 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000007.90   | 0.03%             | 2032-01-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250636 | PA      | $6133296.37   | 0.16%             | 2062-10-25      | None          | 4.25%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR Clo 17 Ltd                                                                   | CUSIP: 48251FAG6<br>LEI: 549300I0HBY0ZQ3YIB77 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501044.95    | 0.01%             | 2034-04-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 6 Ltd                                                         | CUSIP: 67098UAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    670000 | PA      | $672213.55    | 0.02%             | 2037-10-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-HF1 Mortgage Trust                                                      | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2354000 | PA      | $2355471.25   | 0.06%             | 2041-12-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXII                                                                 | CUSIP: 03768RAQ9<br>LEI: 549300CXPXW83QGWOL98 | Long             | ABS-CBDO         | CORP              | KY        |    587140 | PA      | $587082.18    | 0.02%             | 2033-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a               | C-BASS 2006-CB9 TRUST                                                            | CUSIP: 12465MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171626 | PA      | $77384.99     | 0.00%             | 2036-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2019-RP1                                           | CUSIP: 17327RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    984479 | PA      | $960550.60    | 0.03%             | 2066-01-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2019-2                                       | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    924552 | PA      | $906446.14    | 0.02%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Milford Park CLO, Ltd.                       | Milford Park CLO Ltd                                                             | CUSIP: 59966PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2680000 | PA      | $2678660.00   | 0.07%             | 2038-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2022-3 Ltd                                                     | CUSIP: 69690AAW7<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250323.13    | 0.01%             | 2037-07-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1006800 | PA      | $976149.69    | 0.03%             | 2064-01-25      | Variable      | 8.70%                 | No            |                  2 | On Loan: No      |
| Cayuga Park CLO, Ltd.                        | Cayuga Park CLO Ltd                                                              | CUSIP: 149791AP0<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-CBDO         | CORP              | KY        |   3390000 | PA      | $3395574.86   | 0.09%             | 2034-07-17      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    158000 | PA      | $386817.65    | 0.01%             | 2040-07-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 55 CLO Ltd                                                                | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1692943 | PA      | $1696109.33   | 0.04%             | 2031-04-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                  | GSAMP Trust 2007-HSBC1                                                           | CUSIP: 362429AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2798022.30   | 0.07%             | 2047-02-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-II Ltd                                                         | CUSIP: 17180WAJ4<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |    737000 | PA      | $739951.54    | 0.02%             | 2037-10-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    846179 | PA      | $834438.14    | 0.02%             | 2061-01-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | VCC 2025-MC1 Trust                                                               | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2876706 | PA      | $2876692.55   | 0.08%             | 2055-05-25      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291900 | PA      | $252215.49    | 0.01%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2024-6 Mortgage Loan Trust                                                  | CUSIP: 19688XAA4<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-MBS          | CORP              | US        |   3127608 | PA      | $3129737.80   | 0.08%             | 2069-11-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261AAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    526926 | PA      | $519590.31    | 0.01%             | 2054-10-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act               | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742855AC3<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |    581161 | PA      | $595453.72    | 0.02%             | 2051-07-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| BARC_22-RPL1                                 | BARC_22-RPL1                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2753 | PA      | $2670.41      | 0.00%             | 2028-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point Clo 4 Ltd                                                           | CUSIP: 82809EAA8<br>LEI: 254900DVAEEJOXQ8PL85 | Long             | ABS-CBDO         | CORP              | JE        |   2900000 | PA      | $2911474.72   | 0.08%             | 2037-04-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed               | Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE1 Trust         | CUSIP: 93935KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1745207 | PA      | $546802.52    | 0.01%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2022-SFR1                                    | CUSIP: 64831KAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    502000 | PA      | $483442.62    | 0.01%             | 2039-02-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2006-QO10 Trust                                                      | CUSIP: 751153AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1502240 | PA      | $1345969.41   | 0.04%             | 2037-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002724.60   | 0.03%             | 2037-07-23      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XLII Ltd                                                    | CUSIP: 55822RAA8<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |    267179 | PA      | $267245.47    | 0.01%             | 2030-11-21      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora               | Chase Mortgage Finance Trust Series 2006-S2                                      | CUSIP: 16163BAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2678270 | PA      | $967378.65    | 0.03%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Regatta XX Funding Ltd                       | Regatta XX Funding Ltd                                                           | CUSIP: 75884YAK4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $800626.16    | 0.02%             | 2038-01-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1058964 | PA      | $870484.59    | 0.02%             | 2049-07-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                         | New Mountain CLO 7 Ltd                                                           | CUSIP: 64754YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999307.20    | 0.03%             | 2038-03-31      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO Ltd                        | Bridge Street CLO II Ltd                                                         | CUSIP: 10806JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250369.10    | 0.01%             | 2034-07-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-ROIC                                                               | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8350000 | PA      | $8183470.94   | 0.22%             | 2030-03-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                         | FS Rialto 2025-FL10 Issuer LLC                                                   | CUSIP: 30340KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1240000 | PA      | $1237278.32   | 0.03%             | 2042-08-19      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                    | CFK Trust 2019-FAX                                                               | CUSIP: 12528XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62647750 | PA      | $528609.18    | 0.01%             | 2039-01-15      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 21 Ltd                                                              | CUSIP: 33883PAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2060000 | PA      | $2063242.23   | 0.05%             | 2037-10-19      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Mortgage Trust 2025-5C34                                                   | CUSIP: 07337BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1368000 | PA      | $1426752.73   | 0.04%             | 2058-05-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                | Agate Bay Mortgage Trust 2015-1                                                  | CUSIP: 00841WBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723000 | PA      | $440584.13    | 0.01%             | 2045-01-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu               | JPMBB Commercial Mortgage Securities Trust 2015-C33                              | CUSIP: 46645JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507000 | PA      | $459489.59    | 0.01%             | 2048-12-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                       | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18278146 | PA      | $47815.63     | 0.00%             | 2032-02-10      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2017-2 Ltd                                                    | CUSIP: 77340GAQ4<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001964.10   | 0.03%             | 2029-10-15      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 12 Ltd                                                                        | CUSIP: 74989HAQ5<br>LEI: 549300RLLUH00ZYECJ34 | Long             | ABS-CBDO         | CORP              | KY        |   1210000 | PA      | $1211188.95   | 0.03%             | 2036-01-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                    | BMP 2024-MF23                                                                    | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1719000 | PA      | $1713472.38   | 0.05%             | 2041-06-15      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                            | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4858188.50   | 0.13%             | 2037-06-05      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition                | Bayview Financial Revolving Asset Trust 2005-A                                   | CUSIP: 073250BM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2865199 | PA      | $2575642.32   | 0.07%             | 2040-02-28      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Lewey Park CLO Ltd                           | Lewey Park CLO Ltd                                                               | CUSIP: 527911AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4230000 | PA      | $4235639.44   | 0.11%             | 2037-10-21      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                      | OHA Credit Partners XI Ltd                                                       | CUSIP: 67109FAU9<br>LEI: 549300OYGEU6QQMCEG78 | Long             | ABS-CBDO         | CORP              | KY        |   3344719 | PA      | $3357209.18   | 0.09%             | 2037-04-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp Mortgage Loan Trust Series 2006-RF3             | CUSIP: 863592AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4312607 | PA      | $2342483.54   | 0.06%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2024-A                                            | CUSIP: 567928AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4126000 | PA      | $4178681.59   | 0.11%             | 2036-09-22      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust 2021-4                                                  | CUSIP: 46652VCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103418 | PA      | $36719.63     | 0.00%             | 2051-08-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-               | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2142000 | PA      | $2066178.34   | 0.05%             | 2036-01-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2006-AR27                                       | CUSIP: 45661LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172539 | PA      | $155130.64    | 0.00%             | 2036-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Student Loan Trust 2019-B                                                | CUSIP: 63941LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    706800 | PA      | $691112.27    | 0.02%             | 2059-12-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 5 Ltd                                                         | CUSIP: 67113GAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12790000 | PA      | $12835118.00  | 0.34%             | 2037-10-18      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru               | Soundview Home Loan Trust 2005-OPT3                                              | CUSIP: 83611MGX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312806 | PA      | $250177.27    | 0.01%             | 2035-11-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XXVI Ltd                                                            | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    568704 | PA      | $569518.22    | 0.02%             | 2033-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                      | GSR Mortgage Loan Trust 2006-AR2                                                 | CUSIP: 36297TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1594900 | PA      | $925962.43    | 0.02%             | 2036-04-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus               | CFCRE Commercial Mortgage Trust 2016-C4                                          | CUSIP: 12531YAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $127023.82    | 0.00%             | 2058-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2025-I Ltd                                                          | CUSIP: 12572VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249793.33    | 0.01%             | 2038-04-23      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset-Backed Certificates Trust 2005-16                                    | CUSIP: 126670NV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1192367 | PA      | $1056641.91   | 0.03%             | 2036-04-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Mill City Solar Loan 2019-2 Lt               | Mill City Solar Loan 2019-2 Ltd                                                  | CUSIP: 59982VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1530160 | PA      | $1345369.93   | 0.04%             | 2043-07-20      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Coinstar Funding, LLC                        | Coinstar Funding LLC Series 2017-1                                               | CUSIP: 19260MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    521640 | PA      | $482522.22    | 0.01%             | 2047-04-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| TYSN 2023-CRNR Mortgage Trust                | TYSN 2023-CRNR Mortgage Trust                                                    | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340000 | PA      | $1419415.50   | 0.04%             | 2033-12-10      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                    | College Ave Student Loans 2021-B LLC                                             | CUSIP: 19425AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1710385 | PA      | $1575868.32   | 0.04%             | 2052-06-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital Clo 29 Ltd                                                     | CUSIP: 03332QAA3<br>LEI: 213800XVU2BADRNDSO76 | Long             | ABS-CBDO         | CORP              | KY        |   4430000 | PA      | $4450476.79   | 0.12%             | 2037-07-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                      | NYMT Loan Trust 2024-INV1                                                        | CUSIP: 62956XAA9<br>LEI: 2549009GL7U73W4FX613 | Long             | ABS-MBS          | CORP              | US        |    935272 | PA      | $934368.15    | 0.02%             | 2069-06-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                  | Origen Manufactured Housing Contract Trust 2007-B                                | CUSIP: 68620KAA0<br>LEI: 5493005G5GFEQWMCSY59 | Long             | ABS-O            | CORP              | US        |    273294 | PA      | $271597.98    | 0.01%             | 2037-10-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                       | Canyon CLO 2020-3 Ltd                                                            | CUSIP: 13876RAN4<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |   3495000 | PA      | $3508325.74   | 0.09%             | 2037-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR CLO 10 Ltd                                                                   | CUSIP: 48250GAS9<br>LEI: 549300N7FISC1W1QKR21 | Long             | ABS-CBDO         | CORP              | KY        |    233324 | PA      | $233455.80    | 0.01%             | 2029-09-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2020-NQM2 Trust                                                             | CUSIP: 36166RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2533000 | PA      | $2375078.60   | 0.06%             | 2065-04-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                           | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123949 | PA      | $114057.27    | 0.00%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4220720 | PA      | $4225192.27   | 0.11%             | 2060-03-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2006-AR35                                       | CUSIP: 45667SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305882 | PA      | $273663.39    | 0.01%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXIV Ltd                                                    | CUSIP: 55820NBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $998500.00    | 0.03%             | 2029-10-20      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                   | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1973000 | PA      | $1981973.80   | 0.05%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                             | Owl Rock CLO VII LLC                                                             | CUSIP: 69121BAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    460000 | PA      | $460460.00    | 0.01%             | 2038-04-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 18 Ltd                                                                        | CUSIP: 749752AE1<br>LEI: 54930003V8ISBLDELD80 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $651171.63    | 0.02%             | 2034-10-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                     | Redwood Funding Trust 2023-1                                                     | CUSIP: 75806CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    483644 | PA      | $481963.86    | 0.01%             | 2059-07-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu               | JPMDB Commercial Mortgage Securities Trust 2018-C8                               | CUSIP: 46591ABE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111000 | PA      | $108553.60    | 0.00%             | 2051-06-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                             | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4173000 | PA      | $4165175.63   | 0.11%             | 2037-05-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust                     | Yale Mortgage Loan Trust 2007-1                                                  | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    406632 | PA      | $125993.49    | 0.00%             | 2037-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO VIII Ltd                                             | CUSIP: 08180XAN2<br>LEI: 549300D98ZLKNSI8CN63 | Long             | ABS-CBDO         | CORP              | KY        |    620949 | PA      | $620999.00    | 0.02%             | 2031-01-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2024-37 Ltd                                                              | CUSIP: 67120AAE1<br>LEI: 213800VGDQYISNVLCT08 | Long             | ABS-CBDO         | CORP              | JE        |   2180000 | PA      | $2185071.77   | 0.06%             | 2037-10-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 6 Ltd                                                            | CUSIP: 09077FAA3<br>LEI: 254900HENKWLW4T9SW86 | Long             | ABS-CBDO         | CORP              | JE        |   1500000 | PA      | $1500000.00   | 0.04%             | 2035-07-20      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                    | HIH Trust 2024-61P                                                               | CUSIP: 40444VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    886728 | PA      | $884511.58    | 0.02%             | 2041-10-15      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2009639 | PA      | $2345587.90   | 0.06%             | 2061-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    441000 | PA      | $438505.09    | 0.01%             | 2041-10-15      | Floating      | 11.28%                | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2023-SHIP                                      | CUSIP: 36270GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1000795.10   | 0.03%             | 2038-09-10      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 65 CLO Ltd                                                                | CUSIP: 26251YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501034.30    | 0.01%             | 2030-07-18      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                  | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    541038 | PA      | $104184.29    | 0.00%             | 2059-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                          | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $228652.78    | 0.01%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2019-C50                                   | CUSIP: 95001XBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3121000 | PA      | $2910572.19   | 0.08%             | 2052-05-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                     | OZLM XXII Ltd                                                                    | CUSIP: 67111VAC0<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |    142851 | PA      | $142851.36    | 0.00%             | 2031-01-17      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                | MHC Commercial Mortgage Trust 2021-MHC                                           | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182400 | PA      | $182400.00    | 0.00%             | 2038-04-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle Global Market Strategies CLO 2014-1 Ltd                                  | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    991470 | PA      | $991470.32    | 0.03%             | 2031-04-17      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization               | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QDV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2157317 | PA      | $301668.87    | 0.01%             | 2032-05-01      | Variable      | 8.31%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2023-FUN                                       | CUSIP: 36267CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5707000 | PA      | $5721267.50   | 0.15%             | 2028-03-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                         | FS Rialto 2024-FL9 Issuer LLC                                                    | CUSIP: 30338WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4618000 | PA      | $4635336.90   | 0.12%             | 2039-10-19      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2007-AR19                                       | CUSIP: 45669NAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    593546 | PA      | $386011.57    | 0.01%             | 2037-09-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2021-1                                                    | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1525000 | PA      | $1437843.81   | 0.04%             | 2031-11-20      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO VI 2016-2 Ltd                                                           | CUSIP: 87246MAU6<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $320349.76    | 0.01%             | 2034-01-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2296046 | PA      | $2278912.22   | 0.06%             | 2061-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                             | Whitebox Clo II Ltd                                                              | CUSIP: 96466CBA5<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $408304.98    | 0.01%             | 2037-10-24      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust               | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2158731 | PA      | $2077778.59   | 0.05%             | 2034-09-15      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO VII Ltd                                                                 | CUSIP: 87248TAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2740000 | PA      | $2743267.72   | 0.07%             | 2033-04-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                           | Visio 2019-2 Trust                                                               | CUSIP: 92837DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $89749.58     | 0.00%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2510121.00   | 0.07%             | 2036-04-17      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 77 CLO Ltd                                                                | CUSIP: 26252VAQ4<br>LEI: 254900XGNUOV0Y3IBA68 | Long             | ABS-CBDO         | CORP              | KY        |     62500 | PA      | $62497.21     | 0.00%             | 2034-05-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                    | Towd Point Mortgage Trust 2019-HY2                                               | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    634197 | PA      | $648916.51    | 0.02%             | 2058-05-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                          | SG Residential Mortgage Trust 2022-2                                             | CUSIP: 78434KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3313000 | PA      | $3273436.49   | 0.09%             | 2062-08-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                | Citicorp Mortgage Securities Trust Series 2007-4                                 | CUSIP: 17312XAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340840 | PA      | $298649.95    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM 26 Ltd                                                                       | CUSIP: 50200FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    420441 | PA      | $420654.13    | 0.01%             | 2031-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Regatta XIX Funding Ltd                      | Regatta XIX Funding Ltd                                                          | CUSIP: 75888EAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1140000 | PA      | $1143739.43   | 0.03%             | 2035-04-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO XI Ltd                                                                  | CUSIP: 87249QAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2760000 | PA      | $2776253.36   | 0.07%             | 2037-04-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T               | Morgan Stanley Mortgage Loan Trust 2006-16AX                                     | CUSIP: 617487AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    594817 | PA      | $162130.77    | 0.00%             | 2036-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares XLVIII CLO Ltd                                                              | CUSIP: 04017FAE9<br>LEI: 5493005WFBSWHJ1WGQ35 | Long             | ABS-CBDO         | CORP              | KY        |    680000 | PA      | $681302.68    | 0.02%             | 2030-07-20      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2021-NQM8                                                                   | CUSIP: 12659FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589750 | PA      | $438375.27    | 0.01%             | 2066-10-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                               | ELM Trust 2024-ELM                                                               | CUSIP: 26860XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4157000 | PA      | $4168324.50   | 0.11%             | 2039-06-10      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39               | Octagon Investment Partners 39 Ltd                                               | CUSIP: 67592CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5640000 | PA      | $5649518.63   | 0.15%             | 2030-10-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                         | SCG Commercial Mortgage Trust 2025-DLFN                                          | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3142000 | PA      | $3061842.87   | 0.08%             | 2035-03-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2006-QO1 Trust                                                       | CUSIP: 761118RM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1684106 | PA      | $645736.99    | 0.02%             | 2046-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320800 | PA      | $1301294.29   | 0.03%             | 2065-01-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| PFSFC_22-E                                   | PFSFC_22-E                                                                       | CUSIP: 69335PFR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9000000 | PA      | $9015300.00   | 0.24%             | 2026-10-30      | Fixed         | 5.54%                 | No            |                  3 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2021-B23 Mortgage Trust                                                | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18128006 | PA      | $907759.89    | 0.02%             | 2054-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T               | Morgan Stanley Mortgage Loan Trust 2006-11                                       | CUSIP: 61749WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4231897 | PA      | $701915.51    | 0.02%             | 2036-08-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust               | Carrington Mortgage Loan Trust Series 2006-NC4                                   | CUSIP: 14453MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15957 | PA      | $15529.98     | 0.00%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                             | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3695000 | PA      | $3697309.38   | 0.10%             | 2037-05-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2025-5                                                  | CUSIP: 03466EAA8<br>LEI: 254900QA46POYH7UR768 | Long             | ABS-MBS          | CORP              | US        |  12408315 | PA      | $12446699.09  | 0.33%             | 2070-04-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr               | SoFi Professional Loan Program 2020-ATrust                                       | CUSIP: 83406TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226000 | PA      | $193232.06    | 0.01%             | 2046-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2021-NQM1                                        | CUSIP: 10569TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426612 | PA      | $1163258.85   | 0.03%             | 2049-02-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding LXVII Ltd                                                   | CUSIP: 55821YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4230000 | PA      | $4254375.38   | 0.11%             | 2037-04-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                         | Halseypoint Clo 6 Ltd                                                            | CUSIP: 40639GAN9<br>LEI: 5493001PG85K1980W896 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003893.70   | 0.03%             | 2038-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 38 Ltd                           | Elmwood CLO 38 Ltd                                                               | CUSIP: 289908AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2230000 | PA      | $2227938.37   | 0.06%             | 2038-04-22      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Aimco                                        | Aimco CLO 11 Ltd                                                                 | CUSIP: 00140NAY6<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |   2180000 | PA      | $2182340.67   | 0.06%             | 2037-07-17      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-OC7                                                  | CUSIP: 23243VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2610762 | PA      | $2251754.27   | 0.06%             | 2046-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2019-D                                 | CUSIP: 63941CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1783086 | PA      | $1730103.64   | 0.05%             | 2059-12-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                       | Conseco Finance Corp                                                             | CUSIP: 393505RK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18629 | PA      | $18910.38     | 0.00%             | 2028-11-15      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    477900 | PA      | $432935.20    | 0.01%             | 2061-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                            | PRPM 2021-4 LLC                                                                  | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2487850 | PA      | $2490199.96   | 0.07%             | 2026-04-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                          | MidOcean Credit CLO XII Ltd                                                      | CUSIP: 59803TAQ4<br>LEI: 5493000CPZWPTWX7TF71 | Long             | ABS-CBDO         | CORP              | JE        |  12690000 | PA      | $12704276.25  | 0.34%             | 2036-04-18      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-MDHS                                           | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8190432 | PA      | $8200669.79   | 0.22%             | 2041-05-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11100169 | PA      | $10555956.82  | 0.28%             | 2063-05-25      | None          | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mo               | Bayview Financial Revolving Asset Trust 2005-E                                   | CUSIP: 073250CB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    657999 | PA      | $632627.03    | 0.02%             | 2040-12-28      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 19 Ltd                                                                        | CUSIP: 74983AAL7<br>LEI: 549300RJ4N2AJDFNE876 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250040.83    | 0.01%             | 2040-04-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2020-VIV4                                           | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    780663 | PA      | $712271.22    | 0.02%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                             | Trestles Clo IV Ltd                                                              | CUSIP: 89532WAA7<br>LEI: 254900EO5I6CR0IOWS98 | Long             | ABS-CBDO         | CORP              | KY        |   2060000 | PA      | $2063658.15   | 0.05%             | 2034-07-21      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250500 | PA      | $996475.56    | 0.03%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXII                                                                 | CUSIP: 03768RAU0<br>LEI: 549300CXPXW83QGWOL98 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $897515.28    | 0.02%             | 2033-01-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 8 Ltd                                                            | CUSIP: 826937AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1230000 | PA      | $1235622.82   | 0.03%             | 2037-10-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2022-SFR2                                    | CUSIP: 64830RAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3691558 | PA      | $3450184.74   | 0.09%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                       | Conseco Finance Corp                                                             | CUSIP: 393505F64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    459327 | PA      | $467042.33    | 0.01%             | 2030-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                | Starwood Mortgage Residential Trust 2020-INV                                     | CUSIP: 85573EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2688000 | PA      | $2480347.70   | 0.07%             | 2055-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle Global Market Strategies CLO 2014-3-R Ltd                                | CUSIP: 14315LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000210.90   | 0.03%             | 2031-07-27      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                | UBS Commercial Mortgage Trust 2017-C4                                            | CUSIP: 90276RBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    765000 | PA      | $732263.36    | 0.02%             | 2050-10-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                    | CIM Trust 2025-NR1                                                               | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13059997 | PA      | $12799202.26  | 0.34%             | 2064-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2021-1                                        | CUSIP: 75907VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5935 | PA      | $5922.09      | 0.00%             | 2031-03-17      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga               | MF1 2024-FL14 LLC                                                                | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1010000 | PA      | $1013796.79   | 0.03%             | 2039-03-19      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                             | GWT 2024-WLF2                                                                    | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9768000 | PA      | $9792691.55   | 0.26%             | 2041-05-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                             | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426000 | PA      | $1425108.75   | 0.04%             | 2037-05-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                    | College Ave Student Loans Trust 2024-A                                           | CUSIP: 19424RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5684495 | PA      | $5780249.07   | 0.15%             | 2054-06-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2006-AR41                                       | CUSIP: 45668NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327669 | PA      | $308598.62    | 0.01%             | 2037-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust               | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                            | CUSIP: 38149XAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1775047 | PA      | $1739059.04   | 0.05%             | 2051-06-26      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu               | GoodLeap Home Improvement Solutions Trust 2024-1                                 | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11081714 | PA      | $11207819.64  | 0.30%             | 2046-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus               | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1794000 | PA      | $1842012.64   | 0.05%             | 2032-08-20      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Commercial Mortgage Trust 2024-PARK                                          | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1420000 | PA      | $1438248.70   | 0.04%             | 2039-11-05      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust               | ILPT Commercial Mortgage Trust 2022-LPF2                                         | CUSIP: 449652AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6218000 | PA      | $6210227.50   | 0.16%             | 2039-10-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2021-1                                      | CUSIP: 24380VAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $132065.49    | 0.00%             | 2065-05-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 50 Senior Loan Fund                                                       | CUSIP: 262431AH2<br>LEI: 5493008NBEE3C4AF3K95 | Long             | ABS-CBDO         | CORP              | KY        |    350992 | PA      | $351281.35    | 0.01%             | 2030-07-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Wildwood Park CLO LTD                        | Wildwood Park CLO Ltd                                                            | CUSIP: 96820DAA5<br>LEI: 254900BZ1VFIEIOEK304 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $254365.20    | 0.01%             | 2037-10-20      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                            | Battalion CLO 18 Ltd                                                             | CUSIP: 07134QAN6<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500721.15    | 0.01%             | 2036-10-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                            | Trimaran Cavu 2021-2 Ltd                                                         | CUSIP: 89624UAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $303249.75    | 0.01%             | 2034-10-25      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14754889 | PA      | $442617.16    | 0.01%             | 2052-03-15      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148400 | PA      | $1132238.68   | 0.03%             | 2065-01-25      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                  | PRKCM 2022-AFC1 Trust                                                            | CUSIP: 69377CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387958 | PA      | $383158.70    | 0.01%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-HB14 LLC                                                               | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    473195 | PA      | $442256.52    | 0.01%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS 2018-TALL Mortgage Trust                                                   | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5260000 | PA      | $4971534.24   | 0.13%             | 2037-03-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2022-LBA6                                                               | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1065000 | PA      | $1064334.38   | 0.03%             | 2039-01-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point Clo 5 Ltd                                                           | CUSIP: 82809BAA4<br>LEI: 254900IB4JHW6SUR0Q75 | Long             | ABS-CBDO         | CORP              | KY        |    970000 | PA      | $973731.11    | 0.03%             | 2037-10-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5270000 | PA      | $5268351.02   | 0.14%             | 2041-06-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                               | BCAP LLC 2011-RR5-I Trust                                                        | CUSIP: 05533YBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175541 | PA      | $169048.63    | 0.00%             | 2036-05-28      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2023-1                                                                      | CUSIP: 26844QAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2581031.96   | 0.07%             | 2068-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora               | Chase Mortgage Finance Corp                                                      | CUSIP: 16163YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    437098 | PA      | $390988.39    | 0.01%             | 2045-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                               | CarVal CLO VC Ltd                                                                | CUSIP: 14687MAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $996129.50    | 0.03%             | 2034-10-15      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc               | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TDH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1507604 | PA      | $1517869.51   | 0.04%             | 2032-03-15      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1904000 | PA      | $1925593.84   | 0.05%             | 2039-06-12      | Fixed         | 8.72%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2018-2 Ltd                                                    | CUSIP: 77342KAA8<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | KY        |    116250 | PA      | $116448.30    | 0.00%             | 2031-10-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16992224 | PA      | $158581.63    | 0.00%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Lake George Park CLO Ltd                     | Lake George Park CLO Ltd                                                         | CUSIP: 509827AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1140000 | PA      | $1139647.28   | 0.03%             | 2038-04-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2022-INV3 Trust                                                              | CUSIP: 55284PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2112131 | PA      | $1835470.35   | 0.05%             | 2066-12-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2017-D                                                  | CUSIP: 00968BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5550 | PA      | $1918.31      | 0.00%             | 2057-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                  | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3297105 | PA      | $3301226.81   | 0.09%             | 2038-07-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust               | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71543 | PA      | $47343.04     | 0.00%             | 2037-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2022-NQM3 Trust                                                             | CUSIP: 12661NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2291000 | PA      | $2236765.39   | 0.06%             | 2067-03-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential Trust                                                       | CUSIP: 74333HAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3577000 | PA      | $3506954.83   | 0.09%             | 2038-07-17      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO Ltd                          | Crown Point CLO 10 Ltd                                                           | CUSIP: 22846FAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $510689.47    | 0.01%             | 2034-07-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                              | AREIT 2024-CRE9 Ltd                                                              | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13151111 | PA      | $13189425.35  | 0.35%             | 2041-05-17      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                          | Eaton Vance CLO 2013-1 Ltd                                                       | CUSIP: 27830BBQ6<br>LEI: 5493001O5CL3BBUIEH94 | Long             | ABS-CBDO         | CORP              | KY        |   1080000 | PA      | $1082334.31   | 0.03%             | 2034-01-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                               | BCAP LLC 2011-RR4-I Trust                                                        | CUSIP: 05533VAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040406 | PA      | $1043575.72   | 0.03%             | 2036-07-26      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| GSAT Trust 2025-BMF                          | GSAT Trust 2025-BMF                                                              | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1691000 | PA      | $1691528.44   | 0.04%             | 2030-07-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                 | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2920000 | PA      | $2577423.26   | 0.07%             | 2039-05-10      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                | American Home Mortgage Assets Trust 2007-1                                       | CUSIP: 02660BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30705 | PA      | $10620.79     | 0.00%             | 2047-02-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL CLO 37 Ltd                                                                   | CUSIP: 00121MAA3<br>LEI: 254900AZNZG3U1TNSN78 | Long             | ABS-CBDO         | CORP              | KY        |    460000 | PA      | $460460.00    | 0.01%             | 2038-04-22      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Aimco                                        | AIMCO CLO 23 Ltd                                                                 | CUSIP: 00901JAA6<br>LEI: 254900JY4GSBXW978G85 | Long             | ABS-CBDO         | CORP              | KY        |   1690000 | PA      | $1687906.09   | 0.04%             | 2038-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5408000 | PA      | $4822677.56   | 0.13%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo               | Arbor Realty Collateralized Loan Obligation Ltd                                  | CUSIP: 03881UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4810000 | PA      | $4815544.97   | 0.13%             | 2041-01-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3454000 | PA      | $3431841.21   | 0.09%             | 2042-02-15      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-LUNR                                                               | CUSIP: 05594CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4957000 | PA      | $4963187.33   | 0.13%             | 2040-06-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Carbone CLO, LTD                             | Carbone Clo Ltd                                                                  | CUSIP: 141312AA6<br>LEI: 5493005I53NEC017LN87 | Long             | ABS-CBDO         | CORP              | KY        |    321831 | PA      | $322037.01    | 0.01%             | 2031-01-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru               | Onemain Financial Issuance Trust 2025-1                                          | CUSIP: 68270DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1842000 | PA      | $1859295.42   | 0.05%             | 2038-07-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2021-A                                            | CUSIP: 56848DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1620000 | PA      | $1550186.10   | 0.04%             | 2036-03-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                             | Ocean Trails CLO V                                                               | CUSIP: 67515EAT3<br>LEI: 549300RX29DPTX81VW10 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501981.60    | 0.01%             | 2031-10-13      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus               | Residential Mortgage Loan Trust 2020-1                                           | CUSIP: 76119CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622000 | PA      | $573760.17    | 0.02%             | 2060-01-26      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding LVII Ltd                                                    | CUSIP: 55822GAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250466.98    | 0.01%             | 2034-07-27      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | GoldenTree Loan Management US CLO 23 Ltd                                         | CUSIP: 38139KAC3<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | KY        |   1540000 | PA      | $1542583.20   | 0.04%             | 2039-01-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru               | Onemain Financial Issuance Trust 2024-1                                          | CUSIP: 68269NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10618000 | PA      | $11110960.82  | 0.29%             | 2041-05-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP Clo 2019-17 Ltd                                                              | CUSIP: 67113LAW6<br>LEI: 2549003HLFPQ7ATPYA23 | Long             | ABS-CBDO         | CORP              | KY        |   1680000 | PA      | $1685352.31   | 0.04%             | 2037-07-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                 | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28100000 | PA      | $160518.44    | 0.00%             | 2039-05-10      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1061852 | PA      | $864244.19    | 0.02%             | 2051-12-26      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Partners XVI                                                          | CUSIP: 67115LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5340259 | PA      | $5359080.21   | 0.14%             | 2037-10-18      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd               | Golub Capital Partners CLO 71 M                                                  | CUSIP: 38179NAB0<br>LEI: 254900YII88OJ6IAHT32 | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $6018862.20   | 0.16%             | 2037-02-09      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | Goldentree Loan Management US Clo 11 Ltd                                         | CUSIP: 38138KAL4<br>LEI: 549300TMEEKUOKVHYV65 | Long             | ABS-CBDO         | CORP              | KY        |   7920000 | PA      | $7925676.26   | 0.21%             | 2034-10-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    612946 | PA      | $592680.58    | 0.02%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1616700 | PA      | $1629706.67   | 0.04%             | 2064-06-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor               | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0NE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2842321 | PA      | $1251120.18   | 0.03%             | 2035-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust               | Long Beach Mortgage Loan Trust 2006-9                                            | CUSIP: 54251WAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1923522 | PA      | $592325.66    | 0.02%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                   | Affirm Asset Securitization Trust 2025-X1                                        | CUSIP: 00834MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5754352.75   | 0.15%             | 2030-04-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust               | Long Beach Mortgage Loan Trust 2006-WL3                                          | CUSIP: 542514SW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2778875 | PA      | $2560758.11   | 0.07%             | 2036-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VII Ltd.                         | Elmwood CLO VII Ltd                                                              | CUSIP: 29002QAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1210000 | PA      | $1214396.90   | 0.03%             | 2037-10-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 39 Ltd                           | Elmwood CLO 39 Ltd                                                               | CUSIP: 289910AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4495266.45   | 0.12%             | 2038-04-17      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL CLO 12 Ltd                                                                   | CUSIP: 00120BAA8<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4007397.60   | 0.11%             | 2034-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2021-B                                            | CUSIP: 56847JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4403000 | PA      | $4129026.85   | 0.11%             | 2036-11-20      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman Loan Advisers CLO 55 Ltd                                        | CUSIP: 640969AG6<br>LEI: 254900P6M7LX99MHDX34 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1005976.60   | 0.03%             | 2038-04-22      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO Ltd                          | Crown Point CLO IV Ltd                                                           | CUSIP: 22845XAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249875.00    | 0.01%             | 2031-04-20      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 5 Ltd                                                            | CUSIP: 82666VAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    390000 | PA      | $392752.93    | 0.01%             | 2037-04-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2006-SP2                                          | CUSIP: 07325KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    974555 | PA      | $919828.67    | 0.02%             | 2037-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares LVI CLO Ltd                                                                 | CUSIP: 04018NAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2130000 | PA      | $2134035.50   | 0.06%             | 2038-01-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1998900 | PA      | $1888192.32   | 0.05%             | 2064-12-26      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                | GS Mortgage-Backed Securities Trust 2022-NQM1                                    | CUSIP: 36264EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305041 | PA      | $278187.75    | 0.01%             | 2062-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-MF                                             | CUSIP: 05612EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1931176 | PA      | $1934962.62   | 0.05%             | 2039-02-15      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Trust 2021-TY                                                                | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $5493168.45   | 0.15%             | 2038-09-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 25 Ltd                                                              | CUSIP: 33883XAA8<br>LEI: 254900Z25NHHRUZ9O184 | Long             | ABS-CBDO         | CORP              | KY        |   1060000 | PA      | $1063730.67   | 0.03%             | 2037-10-17      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2024-SFR4 Trust                                             | CUSIP: 74334JAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4475468.00   | 0.12%             | 2041-07-17      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                | GS Mortgage-Backed Securities Corp Trust 2020-PJ2                                | CUSIP: 36262DAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1039869 | PA      | $870616.70    | 0.02%             | 2050-07-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2025-INV2                                                                   | CUSIP: 281914AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8738809 | PA      | $8750393.88   | 0.23%             | 2070-05-26      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| TCI-Symphony CLO                             | TCI-Symphony CLO 2017-1 Ltd                                                      | CUSIP: 87232BAH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001450.30   | 0.03%             | 2030-07-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| GALAPAGOS: TL LOAN/TERM                      | GALAPAGOS: TL LOAN/TERM                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   5527522 | PA      | $6511144.94   | 0.17%             | 2026-03-01      | Floating      | 6.14%                 | No            |                  3 | On Loan: No      |
| Concord Music Royalties, LLC                 | Concord Music Royalties LLC                                                      | CUSIP: 20633KAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2133000 | PA      | $2138617.47   | 0.06%             | 2074-10-20      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| INV 2024-IND Mortgage Trust                  | INV 2024-IND Mortgage Trust                                                      | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3510000 | PA      | $3507994.74   | 0.09%             | 2041-11-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2013-2 Ltd                                                              | CUSIP: 92916WAA7<br>LEI: 5493007ASGBOUR3XJY69 | Long             | ABS-CBDO         | CORP              | KY        |    234124 | PA      | $234265.52    | 0.01%             | 2031-04-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2022-2 Ltd                                            | CUSIP: 69701NAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1360000 | PA      | $1363028.72   | 0.04%             | 2030-10-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                      | OHA Credit Partners VII Ltd                                                      | CUSIP: 67102QBK3<br>LEI: 549300LXLBAFTIMXZT54 | Long             | ABS-CBDO         | CORP              | KY        |   2690000 | PA      | $2688172.15   | 0.07%             | 2038-02-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XXVI Ltd                                             | CUSIP: 08186AAJ5<br>LEI: 2549008S0Y5AP2WIEL43 | Long             | ABS-CBDO         | CORP              | KY        |   1920000 | PA      | $1926087.94   | 0.05%             | 2037-07-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman CLO XV                                                          | CUSIP: 64129KBG1<br>LEI: 549300UTI4Y2IA4RUP16 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249958.78    | 0.01%             | 2029-10-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | CARLYLE US CLO 2017-3 Ltd                                                        | CUSIP: 14314FBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2810000 | PA      | $2818295.40   | 0.07%             | 2037-10-21      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue CLO 2022-II Ltd                                                        | CUSIP: 70018CAQ9<br>LEI: 2138008W8XU9WO8BZO09 | Long             | ABS-CBDO         | CORP              | KY        |    430000 | PA      | $431720.82    | 0.01%             | 2037-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding LXXI Ltd                                                    | CUSIP: 55817DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7910000 | PA      | $7898338.29   | 0.21%             | 2038-04-23      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Indymac Home Equity Loan Asset               | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-A                  | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11275 | PA      | $10813.12     | 0.00%             | 2034-07-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| TCW Ltd                                      | TCW CLO 2019-2 Ltd                                                               | CUSIP: 87242BBG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1202038.44   | 0.03%             | 2038-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Cook Park CLO, Ltd                           | Cook Park CLO Ltd                                                                | CUSIP: 21623PAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250401.68    | 0.01%             | 2030-04-17      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi               | Freddie Mac Multiclass Certificates Series 2024-P015                             | CUSIP: 3137HDJN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2439565 | PA      | $2389899.76   | 0.06%             | 2032-11-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2024-2                                        | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1418000 | PA      | $1425758.45   | 0.04%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| DK Trust                                     | DK Trust 2024-SPBX                                                               | CUSIP: 23346LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8186000 | PA      | $8200240.37   | 0.22%             | 2034-03-15      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 54 Senior Loan Fund                                                       | CUSIP: 26244RAF8<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |   1017246 | PA      | $1017447.67   | 0.03%             | 2029-10-19      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                  | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $397367.87    | 0.01%             | 2035-07-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                  | HOMES 2025-NQM2 Trust                                                            | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12946736 | PA      | $12968909.49  | 0.34%             | 2070-02-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2025-2                                                  | CUSIP: 35042NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4057000 | PA      | $4056696.54   | 0.11%             | 2052-04-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2022-ATH3                                                                   | CUSIP: 12664AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1989000 | PA      | $1991103.96   | 0.05%             | 2067-08-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga               | MF1 2022-FL9 LLC                                                                 | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2683699 | PA      | $2684673.60   | 0.07%             | 2037-06-19      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Milos CLO, LTD                               | Milos CLO Ltd                                                                    | CUSIP: 60162PAE2<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |    250373 | PA      | $250573.44    | 0.01%             | 2030-10-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares XXXIX CLO Ltd                                                               | CUSIP: 04015WBN3<br>LEI: 5493005YAOTYJUJV3S58 | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $331082.96    | 0.01%             | 2037-07-18      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Trust 2021-TY                                                                | CUSIP: 05592AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3138000 | PA      | $3106819.26   | 0.08%             | 2038-09-15      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                    | LBA Trust 2024-7IND                                                              | CUSIP: 52109XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2340000 | PA      | $2342193.75   | 0.06%             | 2041-10-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2022-NQM6 Trust                                                             | CUSIP: 12663YAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6437594 | PA      | $6400063.44   | 0.17%             | 2067-12-25      | Variable      | 8.85%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2021-R2                                               | CUSIP: 92538DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $208861.82    | 0.01%             | 2064-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO VII Ltd                                                                 | CUSIP: 87248TAU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1430000 | PA      | $1432417.99   | 0.04%             | 2033-04-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                           | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3174992.60   | 0.08%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    941695 | PA      | $829362.31    | 0.02%             | 2049-07-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2015-C                                          | CUSIP: 78448RAE6<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |    492230 | PA      | $489225.33    | 0.01%             | 2043-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust               | SELF Commercial Mortgage Trust 2024-STRG                                         | CUSIP: 81631WAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435000 | PA      | $432552.69    | 0.01%             | 2034-11-15      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                    | Ashford Hospitality Trust 2018-ASHF                                              | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1128000 | PA      | $1109681.28   | 0.03%             | 2035-04-15      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS STATIC                | GOLUB CAPITAL PARTNERS STATIC 2024-1 LTD                                         | CUSIP: 381929AN8<br>LEI: 25490083RWI1EQQYLH43 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250000.00    | 0.01%             | 2035-07-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer, Ltd.                        | LoanCore 2025 2025-CRE8 Issuer LLC                                               | CUSIP: 53947FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1340000 | PA      | $1335770.56   | 0.04%             | 2042-08-17      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Mortgage-Backed Trust 2007-5                                                | CUSIP: 22944BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1853337 | PA      | $871883.42    | 0.02%             | 2037-08-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2007-1                                            | CUSIP: 07325MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4250333 | PA      | $4019394.77   | 0.11%             | 2037-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                             | Owl Rock CLO V Ltd                                                               | CUSIP: 69120JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1350000 | PA      | $1353295.22   | 0.04%             | 2034-04-20      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-PAT                                                                | CUSIP: 05612FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4722000 | PA      | $4660357.12   | 0.12%             | 2041-03-15      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                            | JP Morgan Resecuritization Trust Series 2014-5                                   | CUSIP: 46642VAR9<br>LEI: 549300I70LJMOFGPXY37 | Long             | ABS-MBS          | CORP              | US        |   9325812 | PA      | $1588447.81   | 0.04%             | 2036-05-27      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2021-1                                                | CUSIP: 92537QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2352452.70   | 0.06%             | 2066-01-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital CLO 5 Ltd                                                       | CUSIP: 25255RAC3<br>LEI: 254900DQ6NEBLANVO137 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1008468.80   | 0.03%             | 2036-10-15      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-11CB                                                 | CUSIP: 12668BWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    979575 | PA      | $442076.63    | 0.01%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Lo               | EDvestinU Private Education Loan Issue No 4 LLC                                  | CUSIP: 28165AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    798474 | PA      | $792067.80    | 0.02%             | 2040-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                   | Morgan Stanley ABS Capital I Inc Trust 2007-NC1                                  | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4750567 | PA      | $2240801.30   | 0.06%             | 2036-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2024-2 Ltd                                               | CUSIP: 056921AA7<br>LEI: 254900KJZFJF5PZOFD13 | Long             | ABS-CBDO         | CORP              | KY        |   5090000 | PA      | $5111374.95   | 0.13%             | 2037-07-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                          | Elmwood CLO II Ltd                                                               | CUSIP: 29001LAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4920000 | PA      | $4935990.00   | 0.13%             | 2037-10-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Regatta 32 Funding Ltd.                      | Regatta 32 Funding Ltd                                                           | CUSIP: 75884AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2900000 | PA      | $2907830.00   | 0.08%             | 2038-07-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization               | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2164585 | PA      | $295414.07    | 0.01%             | 2029-09-01      | Variable      | 8.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32                      | CUSIP: 61691GAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060000 | PA      | $1046624.39   | 0.03%             | 2049-12-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2020-IV Ltd                                                         | CUSIP: 12562RAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1870000 | PA      | $1875824.30   | 0.05%             | 2040-01-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                 | Atrium Hotel Portfolio Trust 2024-ATRM                                           | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2001000 | PA      | $2051028.80   | 0.05%             | 2029-11-10      | Variable      | 9.52%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBW4<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |   1625000 | PA      | $1635134.96   | 0.04%             | 2037-04-28      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P               | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23553807 | PA      | $1341059.55   | 0.04%             | 2030-07-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2021-22 Ltd                                                              | CUSIP: 67117TAQ8<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |    340000 | PA      | $340507.55    | 0.01%             | 2037-10-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Mariner CLO 2016-3 LLC                                                           | CUSIP: 82672NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    890000 | PA      | $892730.97    | 0.02%             | 2037-01-23      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1103454 | PA      | $1110437.56   | 0.03%             | 2064-06-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                | Citigroup Commercial Mortgage Trust 2015-P1                                      | CUSIP: 17324DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    694000 | PA      | $664895.79    | 0.02%             | 2048-09-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                               | Barings CLO Ltd 2015-I                                                           | CUSIP: 056162AQ3<br>LEI: 549300QR3VQZ1T0JUI29 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250680.23    | 0.01%             | 2031-01-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                       | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341B32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282517 | PA      | $127207.69    | 0.00%             | 2035-12-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6217990 | PA      | $4164736.33   | 0.11%             | 2052-02-25      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Regatta XII Funding Ltd.                     | Regatta XII Funding Ltd                                                          | CUSIP: 75888HAW1<br>LEI: 2549001ZYXDVCT6R4I31 | Long             | ABS-CBDO         | CORP              | KY        |   4920000 | PA      | $4938973.98   | 0.13%             | 2037-10-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica               | ABFC 2007-WMC1 Trust                                                             | CUSIP: 04545EAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2561670 | PA      | $2130658.04   | 0.06%             | 2037-06-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance                | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3                   | CUSIP: 52521UAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3340000 | PA      | $2790192.91   | 0.07%             | 2037-10-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-II Ltd                                                         | CUSIP: 17180WAN5<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1503872.85   | 0.04%             | 2037-10-20      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                | BLP Commercial Mortgage Trust 2024-IND2                                          | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2820864 | PA      | $2824389.86   | 0.07%             | 2041-03-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1340000 | PA      | $1345417.75   | 0.04%             | 2036-04-17      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                    | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020679<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -4579000 | PA      | $-3623763.82  | -0.10%            | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                 | GSMSC Resecuritization Trust 2015-5R                                             | CUSIP: 36251QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3688466 | PA      | $2109259.90   | 0.06%             | 2037-04-26      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                          | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1087722 | PA      | $1034269.34   | 0.03%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CML PROJECT SPIDER 6-DEC-2029: CML LOAN/TERM | CML PROJECT SPIDER 6-DEC-2029: CML LOAN/TERM                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2211709 | PA      | $2210199.57   | 0.06%             | 2029-12-06      | Floating      | 7.58%                 | No            |                  3 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2072000 | PA      | $2073225.17   | 0.05%             | 2032-03-15      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg               | Saluda Grade Alternative Mortgage Trust 2024-RTL4                                | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5668000 | PA      | $5702588.40   | 0.15%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1176000 | PA      | $1168076.70   | 0.03%             | 2065-05-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| LV Trust                                     | Fashion Show Mall LLC                                                            | CUSIP: 50245XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362970 | PA      | $366550.01    | 0.01%             | 2041-10-10      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust                 | WinWater Mortgage Loan Trust 2014-3                                              | CUSIP: 97652RBD8<br>LEI: 549300JBTXISBC85OS04 | Long             | ABS-MBS          | CORP              | US        |    923000 | PA      | $701034.93    | 0.02%             | 2044-11-20      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | Reperforming Loan REMIC Trust 2005-R1                                            | CUSIP: 12669GWN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    956325 | PA      | $923326.11    | 0.02%             | 2035-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2024-1                                      | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4624819 | PA      | $4649528.40   | 0.12%             | 2069-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    511900 | PA      | $518375.74    | 0.01%             | 2064-01-25      | Variable      | 8.09%                 | No            |                  2 | On Loan: No      |
| THE 2023-MIC Trust                           | 2023-MIC Trust/THE                                                               | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3089000 | PA      | $3368359.28   | 0.09%             | 2038-12-05      | Variable      | 8.73%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital CLO 10 Ltd                                                      | CUSIP: 25290BAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3011652.30   | 0.08%             | 2038-04-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM XVIII LP                                                                     | CUSIP: 50188GAT0<br>LEI: 549300PYL1KC7BYM8G75 | Long             | ABS-CBDO         | CORP              | KY        |     25533 | PA      | $25535.39     | 0.00%             | 2031-04-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426215 | PA      | $353744.10    | 0.01%             | 2047-06-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 3 Ltd                                                            | CUSIP: 09076VAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2003200.00   | 0.05%             | 2038-01-19      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2022-3 Ltd                                            | CUSIP: 69690CAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250032.80    | 0.01%             | 2031-04-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                         | HalseyPoint CLO 4 Ltd                                                            | CUSIP: 40637LAA8<br>LEI: 549300CMJUK1VCINNF57 | Long             | ABS-CBDO         | CORP              | KY        |    920000 | PA      | $921196.00    | 0.02%             | 2034-04-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 77 B Ltd                                              | CUSIP: 38180QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    471912 | PA      | $472529.07    | 0.01%             | 2038-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust               | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164760 | PA      | $160741.87    | 0.00%             | 2037-01-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle Global Market Strategies CLO 2014-5 Ltd                                  | CUSIP: 14311AAU6<br>LEI: 549300ODZUR61VZRRZ07 | Long             | ABS-CBDO         | CORP              | KY        |    590000 | PA      | $590454.71    | 0.02%             | 2031-07-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust               | BOCA Commercial Mortgage Trust 2024-BOCA                                         | CUSIP: 096817AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2031000 | PA      | $2036077.50   | 0.05%             | 2041-08-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | Cifc Funding 2014-IV-R Ltd                                                       | CUSIP: 12552FBC6<br>LEI: 5493006JGTCIL6LCS728 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000292.90   | 0.03%             | 2035-01-17      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed               | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE4 Trust         | CUSIP: 93934QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195261 | PA      | $49472.52     | 0.00%             | 2036-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2021-6                                                | CUSIP: 92538MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169000 | PA      | $131434.04    | 0.00%             | 2066-10-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5026702 | PA      | $1277762.41   | 0.03%             | 2036-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-PAT                                                                | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2210000 | PA      | $2210000.00   | 0.06%             | 2041-03-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2018-2 Ltd                                                              | CUSIP: 92917JAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    106763 | PA      | $106970.03    | 0.00%             | 2031-07-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                        | Toorak Mortgage Trust 2024-2                                                     | CUSIP: 89055KAA0<br>LEI: 254900ZRJRVK75Z6JJ57 | Long             | ABS-MBS          | CORP              | US        |   1635000 | PA      | $1631630.43   | 0.04%             | 2031-10-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                         | FirstKey Homes 2021-SFR2 Trust                                                   | CUSIP: 33767TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5268855.90   | 0.14%             | 2026-09-17      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                     | Bear Stearns ALT-A Trust 2005-7                                                  | CUSIP: 07386HVX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1306088 | PA      | $445383.48    | 0.01%             | 2035-09-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 17 Ltd                                                        | CUSIP: 67109SAA5<br>LEI: 254900ZA7EPUCGQUTA43 | Long             | ABS-CBDO         | CORP              | BM        |   2140000 | PA      | $2146797.28   | 0.06%             | 2037-04-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL Core CLO 8 LTD                                                               | CUSIP: 00851KAK1<br>LEI: 254900IPV3KA57E31I16 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1503750.00   | 0.04%             | 2038-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                              | AREIT 2023-CRE8 LLC                                                              | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1667962 | PA      | $1673077.08   | 0.04%             | 2041-08-17      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 76 B Ltd                                              | CUSIP: 38180BAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    560000 | PA      | $561120.95    | 0.01%             | 2037-10-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2022-CSMO                                           | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2475000 | PA      | $2493562.50   | 0.07%             | 2027-06-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2020-B17 Mortgage Trust                                                | CUSIP: 08162MBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17599000 | PA      | $338004.63    | 0.01%             | 2053-03-15      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                 | Hudson Yards 2019-55HY Mortgage Trust                                            | CUSIP: 44421MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711882 | PA      | $601123.98    | 0.02%             | 2041-12-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                       | GSAA Home Equity Trust 2006-4                                                    | CUSIP: 362334FD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654658 | PA      | $441278.81    | 0.01%             | 2036-03-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                          | MidOcean Credit CLO XI Ltd                                                       | CUSIP: 59801ABA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1470000 | PA      | $1469863.14   | 0.04%             | 2036-01-18      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                | Mastr Asset Backed Securities Trust 2005-WF1                                     | CUSIP: 57643LKD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1118764 | PA      | $1141711.74   | 0.03%             | 2035-06-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                      | CUSIP: 61764PAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $2483.54      | 0.00%             | 2047-12-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding V CLO Ltd                                                          | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |   1134373 | PA      | $1135507.85   | 0.03%             | 2031-07-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Lo               | EDvestinU Private Education Loan Issue No 1 LLC                                  | CUSIP: 28166GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380484 | PA      | $372331.82    | 0.01%             | 2038-11-25      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                | 1988 CLO 2 Ltd                                                                   | CUSIP: 653947AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2710000 | PA      | $2709069.39   | 0.07%             | 2038-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2022-NQM2 Trust                                                             | CUSIP: 36169KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711000 | PA      | $591077.76    | 0.02%             | 2067-02-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2023-NQM6                                        | CUSIP: 10569DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1511156.85   | 0.04%             | 2063-09-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Betony CLO 2, Ltd.                           | Betony CLO 2 Ltd                                                                 | CUSIP: 08763QAA0<br>LEI: 5493000QRX4XEMRJZO43 | Long             | ABS-CBDO         | CORP              | KY        |     91419 | PA      | $91528.92     | 0.00%             | 2031-04-30      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                    | CUSIP: 93364CAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1962863 | PA      | $1660394.00   | 0.04%             | 2047-05-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                | Bear Stearns Mortgage Funding Trust 2007-AR2                                     | CUSIP: 07401TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163211 | PA      | $155292.63    | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a               | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248P8AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    973523 | PA      | $967206.50    | 0.03%             | 2036-10-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| SPLT_23-1                                    | SPLT_23-1                                                                        | CUSIP: 78474N102<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43129 | PA      | $1984535.87   | 0.05%             | 2030-10-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2025-INV1                                                                   | CUSIP: 26846XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9799657 | PA      | $9824763.12   | 0.26%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    844038 | PA      | $711412.67    | 0.02%             | 2052-02-26      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1566800 | PA      | $1507318.63   | 0.04%             | 2063-10-25      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                         | FREMF 2018-K74 Mortgage Trust                                                    | CUSIP: 30296LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2150000 | PA      | $2111344.72   | 0.06%             | 2051-02-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T               | Renaissance Home Equity Loan Trust 2005-3                                        | CUSIP: 75970NBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    356724 | PA      | $355901.43    | 0.01%             | 2035-11-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Southwick Park CLO, Ltd.                     | Southwick Park CLO LLC                                                           | CUSIP: 846031AQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    380000 | PA      | $379178.67    | 0.01%             | 2032-07-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Lo               | EDvestinU Private Education Loan Issue No 3 LLC                                  | CUSIP: 28166LAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1005689.16   | 0.03%             | 2050-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor               | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3                         | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13893537 | PA      | $13951913.54  | 0.37%             | 2070-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                    | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10030000 | PA      | $10036252.70  | 0.27%             | 2039-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2005-QA10 Trust                                                      | CUSIP: 761118GC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4957410 | PA      | $1937067.26   | 0.05%             | 2035-09-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                         | FS Rialto 2022-Fl4 Issuer LLC                                                    | CUSIP: 30326MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2021202 | PA      | $2021199.57   | 0.05%             | 2039-01-19      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                 | Atrium Hotel Portfolio Trust 2024-ATRM                                           | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6510000 | PA      | $6638107.04   | 0.18%             | 2029-11-10      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-EC1                            | CUSIP: 07387UAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1428198 | PA      | $1377110.92   | 0.04%             | 2035-12-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mo               | Bayview Financial Revolving Asset Trust 2005-E                                   | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    803108 | PA      | $802256.34    | 0.02%             | 2040-12-28      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro               | RAMP Series 2007-RS1 Trust                                                       | CUSIP: 74923RAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2074270 | PA      | $461079.94    | 0.01%             | 2037-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8625000 | PA      | $308078.96    | 0.01%             | 2050-06-15      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12598 | PA      | $10548.47     | 0.00%             | 2028-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust                | Alen 2021-ACEN Mortgage Trust                                                    | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    644000 | PA      | $616630.00    | 0.02%             | 2038-04-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm               | American Home Mortgage Investment Trust 2006-2                                   | CUSIP: 02660YAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15106458 | PA      | $1276507.77   | 0.03%             | 2036-05-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| AGL Core 4 CLO Ltd                           | AGL Core CLO 4 LTD                                                               | CUSIP: 001199AQ1<br>LEI: 549300HS2AZ4GZPCZ864 | Long             | ABS-CBDO         | CORP              | KY        |   4350000 | PA      | $4367878.07   | 0.12%             | 2037-10-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable               | OneMain Direct Auto Receivables Trust 2025-1                                     | CUSIP: 682684AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4519000 | PA      | $4587590.29   | 0.12%             | 2037-07-14      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2020-H                                 | CUSIP: 63942AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1880000 | PA      | $1623836.65   | 0.04%             | 2069-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve               | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24974 | PA      | $17581.22     | 0.00%             | 2046-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 6 Ltd                                                                    | CUSIP: 75010KAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4670000 | PA      | $4689212.85   | 0.12%             | 2037-10-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                       | Service Experts Issuer 2021-1 LLC                                                | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1121848 | PA      | $1093301.06   | 0.03%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-R1 LLC                                                                 | CUSIP: 12530YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177185 | PA      | $170289.79    | 0.00%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus               | LSTAR Commercial Mortgage Trust 2017-5                                           | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8225840 | PA      | $78986.16     | 0.00%             | 2050-03-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                | Starwood Mortgage Residential Trust 2020-3                                       | CUSIP: 85573MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2820000 | PA      | $2598835.01   | 0.07%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL CLO 32 Ltd                                                                   | CUSIP: 00121BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1590000 | PA      | $1594960.96   | 0.04%             | 2037-07-21      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | RAD CLO 21 Ltd                                                                   | CUSIP: 750099AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1200887.40   | 0.03%             | 2037-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust               | PKHL Commercial Mortgage Trust 2021-MF                                           | CUSIP: 69356GAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $517033.53    | 0.01%             | 2038-07-15      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed               | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE3 Trust         | CUSIP: 93934MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5377052 | PA      | $5182106.39   | 0.14%             | 2036-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1788800 | PA      | $1394573.17   | 0.04%             | 2062-03-27      | Fixed         | 3.00%                 | 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        |   1179204 | PA      | $971768.29    | 0.03%             | 2048-10-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust               | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2254822 | PA      | $1942521.67   | 0.05%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    386000 | PA      | $331406.55    | 0.01%             | 2062-04-20      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2024-III Ltd                                                        | CUSIP: 12575WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2900000 | PA      | $2911483.13   | 0.08%             | 2037-07-21      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-GPA3                                           | CUSIP: 123910AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1274353 | PA      | $1275548.04   | 0.03%             | 2039-12-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2503930.25   | 0.07%             | 2037-07-23      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners Clo XXXVII Ltd                                           | CUSIP: 08182TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3470000 | PA      | $3482384.78   | 0.09%             | 2038-01-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu               | JPMDB Commercial Mortgage Securities Trust 2017-C5                               | CUSIP: 46590TAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30000000 | PA      | $156399.00    | 0.00%             | 2050-03-15      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1072000 | PA      | $1088997.60   | 0.03%             | 2051-11-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2021-6                                                | CUSIP: 92538MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462000 | PA      | $339184.97    | 0.01%             | 2066-10-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | GoldenTree Loan Management US CLO 23 Ltd                                         | CUSIP: 38139KAG4<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | KY        |   2470000 | PA      | $2473814.67   | 0.07%             | 2039-01-20      | Floating      | 5.88%                 | 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        |    645891 | PA      | $644586.41    | 0.02%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2023-7                                                  | CUSIP: 03466DAA0<br>LEI: 254900DRGJVOF9SOT744 | Long             | ABS-MBS          | CORP              | US        |   6534164 | PA      | $6491578.13   | 0.17%             | 2067-11-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Stratus CLO                                  | Stratus CLO 2021-1 Ltd                                                           | CUSIP: 863171AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1110.00      | 0.00%             | 2029-12-29      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                  | Homes 2024-Nqm2 Trust                                                            | CUSIP: 43761CAA0<br>LEI: 254900MQRASV1D1NGZ28 | Long             | ABS-MBS          | CORP              | US        |   3419544 | PA      | $3435134.79   | 0.09%             | 2069-10-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares LIX CLO Ltd                                                                 | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250792.55    | 0.01%             | 2034-04-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru               | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2763000 | PA      | $2703888.10   | 0.07%             | 2065-04-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                               | Galaxy 33 CLO Ltd                                                                | CUSIP: 36321EAL9<br>LEI: 3912004FNLYTWOWSZU31 | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1908759.57   | 0.05%             | 2037-04-20      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 15 Ltd                                                                   | CUSIP: 750103AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    820000 | PA      | $823276.31    | 0.02%             | 2034-01-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX 2024-PALM                                                                     | CUSIP: 05612UAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    696635 | PA      | $696015.45    | 0.02%             | 2037-06-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                            | PRPM 2025-RCF2 LLC                                                               | CUSIP: 74448VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2827861 | PA      | $2747153.88   | 0.07%             | 2064-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue CLO 2025-VII Ltd                                                       | CUSIP: 70019HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4498650.00   | 0.12%             | 2038-04-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock Clo 29 Ltd                                                             | CUSIP: 05876GAA2<br>LEI: 254900DD7OSYIC2KWA70 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250062.50    | 0.01%             | 2038-07-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                       | Canyon CLO 2020-3 Ltd                                                            | CUSIP: 13876RAS3<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250998.15    | 0.01%             | 2037-10-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2021-SOAR                                           | CUSIP: 05608WAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2543927 | PA      | $2545516.60   | 0.07%             | 2038-06-15      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                               | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $3385338.82   | 0.09%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc               | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1351648 | PA      | $998991.89    | 0.03%             | 2027-08-15      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust               | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3891837 | PA      | $3322608.70   | 0.09%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra               | VOLT CVI LLC                                                                     | CUSIP: 92873KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6915119 | PA      | $6893677.10   | 0.18%             | 2051-12-26      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-1                                                    | CUSIP: 52603DAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5550000 | PA      | $5681098.77   | 0.15%             | 2032-06-21      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-8R Ltd                                                              | CUSIP: 670898AS4<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |    730000 | PA      | $730907.24    | 0.02%             | 2036-10-17      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XXVII Ltd                                            | CUSIP: 08179PAQ5<br>LEI: 254900WANE6M5S0NC534 | Long             | ABS-CBDO         | CORP              | JE        |   7630000 | PA      | $7658488.89   | 0.20%             | 2037-10-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2020-2 Mortgage Loan Trust                                                  | CUSIP: 19688JAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    761000 | PA      | $763202.64    | 0.02%             | 2065-03-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-HTL Mortgage Trust                                                      | CUSIP: 55286PAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1377734 | PA      | $1371297.55   | 0.04%             | 2037-02-15      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle Global Market Strategies CLO 2014-5 Ltd                                  | CUSIP: 14311AAS1<br>LEI: 549300ODZUR61VZRRZ07 | Long             | ABS-CBDO         | CORP              | KY        |    556423 | PA      | $557235.09    | 0.01%             | 2031-07-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | Goldentree Loan Management US Clo 9 Ltd                                          | CUSIP: 38138JAW3<br>LEI: 549300CQMHYJ3DLMP206 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $747113.78    | 0.02%             | 2037-04-20      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XXXVIII Ltd                                          | CUSIP: 08183FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3570000 | PA      | $3580743.56   | 0.09%             | 2038-01-25      | None          | 5.62%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust               | SELF Commercial Mortgage Trust 2024-STRG                                         | CUSIP: 81631WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2930000 | PA      | $2948964.13   | 0.08%             | 2034-11-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXX LTD                                                     | CUSIP: 55821TAL1<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2507758.75   | 0.07%             | 2037-07-16      | Floating      | 5.62%                 | 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        |   2203886 | PA      | $2230208.32   | 0.06%             | 2030-11-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc               | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22809 | PA      | $7965.56      | 0.00%             | 2019-01-15      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                   | NCMF Trust 2025-MFS                                                              | CUSIP: 62887TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4961000 | PA      | $4951366.23   | 0.13%             | 2033-06-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust                     | Gaea Mortgage Loan Trust 2025-A                                                  | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1688899 | PA      | $1657159.16   | 0.04%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                    | GSMPS Mortgage Loan Trust 2005-RP3                                               | CUSIP: 362341LS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2324843 | PA      | $2000742.09   | 0.05%             | 2035-09-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Mortgage Trust 2023-5C23                                                   | CUSIP: 05493QAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332000 | PA      | $331172.39    | 0.01%             | 2056-12-15      | Variable      | 7.70%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                          | DBGS 2024-SBL                                                                    | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3719000 | PA      | $3719000.00   | 0.10%             | 2034-08-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                  | CUSIP: 95000GAA2<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $12171.50     | 0.00%             | 2049-08-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2021-2                                                   | CUSIP: 61946RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2882517 | PA      | $2113291.28   | 0.06%             | 2047-04-22      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Carlyle C17 CLO                              | Carlyle C17 CLO Ltd                                                              | CUSIP: 14307PAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    543017 | PA      | $543761.68    | 0.01%             | 2031-04-30      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2016-12 Ltd                                                              | CUSIP: 67092RBC1<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |   5360000 | PA      | $5366825.42   | 0.14%             | 2037-10-18      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2006-17                                          | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195782 | PA      | $86438.12     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XXIV Ltd                                                            | CUSIP: 87167QAL2<br>LEI: 5493007X3UVVYJ005O73 | Long             | ABS-CBDO         | CORP              | KY        |    199469 | PA      | $199813.98    | 0.01%             | 2032-01-23      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO 46 Ltd                                                              | CUSIP: 87170WAC4<br>LEI: 2549003KA6F4T4Q34J34 | Long             | ABS-CBDO         | CORP              | KY        |    420000 | PA      | $420739.07    | 0.01%             | 2038-01-20      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7872774 | PA      | $333940.24    | 0.01%             | 2052-02-25      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg               | Saluda Grade Alternative Mortgage Trust 2024-RTL5                                | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4013000 | PA      | $4039173.59   | 0.11%             | 2030-04-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2021-INV1 Trust                                                              | CUSIP: 552747AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $658088.48    | 0.02%             | 2056-01-25      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2386500 | PA      | $2427236.12   | 0.06%             | 2065-05-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1636525 | PA      | $1639082.48   | 0.04%             | 2041-04-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86500 | PA      | $72911.06     | 0.00%             | 2065-05-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO XII Ltd.                         | Elmwood CLO XII Ltd                                                              | CUSIP: 29002YAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1788000 | PA      | $1794466.84   | 0.05%             | 2037-10-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur               | Banc of America Mortgage 2007-4 Trust                                            | CUSIP: 059513CA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    674566 | PA      | $493464.20    | 0.01%             | 2037-12-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                           | A&D Mortgage Trust 2024-NQM5                                                     | CUSIP: 00039KAF7<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |   4238000 | PA      | $4294463.30   | 0.11%             | 2069-11-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2022-VAMF                                                               | CUSIP: 05609TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4996875.00   | 0.13%             | 2039-01-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 29 LTD                                                                        | CUSIP: 74989VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250798.93    | 0.01%             | 2039-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2019-INV3                                             | CUSIP: 92537MAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97398.17     | 0.00%             | 2059-11-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Green Lakes Park CLO LLC                     | Green Lakes Park CLO LLC                                                         | CUSIP: 39310AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12480000 | PA      | $12483120.00  | 0.33%             | 2038-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T               | Morgan Stanley Mortgage Loan Trust 2006-12XS                                     | CUSIP: 61749EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2283762 | PA      | $499032.49    | 0.01%             | 2036-10-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $701050.00    | 0.02%             | 2036-04-17      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2013-II Ltd                                                         | CUSIP: 12549BBA5<br>LEI: 2549009RG3XZEWMXDF59 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250292.53    | 0.01%             | 2030-10-18      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| PGA National Resort Commercial               | PGA Trust 2024-RSR2                                                              | CUSIP: 69381CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1754000 | PA      | $1756806.05   | 0.05%             | 2039-06-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2628000 | PA      | $2637643.97   | 0.07%             | 2043-07-15      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru               | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $161345.95    | 0.00%             | 2065-04-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 20 Ltd                                                              | CUSIP: 33883MAQ7<br>LEI: 25490077CXFU133A8B24 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004932.30   | 0.03%             | 2036-05-20      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1916192 | PA      | $1936726.13   | 0.05%             | 2065-05-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-16                                          | CUSIP: 12544MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4204764 | PA      | $1720092.87   | 0.05%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2024-1                                                  | CUSIP: 349941AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    622900 | PA      | $635997.67    | 0.02%             | 2049-12-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| American Money Management Corp               | AMMC CLO 18 Ltd                                                                  | CUSIP: 001746AN6<br>LEI: 549300F8C2GVHBFFH173 | Long             | ABS-CBDO         | CORP              | KY        |    187753 | PA      | $187871.62    | 0.00%             | 2031-05-26      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5319000 | PA      | $5314374.60   | 0.14%             | 2039-11-09      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                              | Madison Park Funding XL Ltd                                                      | CUSIP: 55821CAA2<br>LEI: 549300UTF8S11AHH4P70 | Long             | ABS-CBDO         | CORP              | KY        |   1108981 | PA      | $1109864.25   | 0.03%             | 2030-05-28      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                         | FirstKey Homes 2022-SFR3 Trust                                                   | CUSIP: 33768EAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6928000 | PA      | $6723069.76   | 0.18%             | 2038-07-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR CLO 35 Ltd                                                                   | CUSIP: 48254LAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000168.00   | 0.03%             | 2038-01-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2025-BHR5                 | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8228000 | PA      | $8228000.00   | 0.22%             | 2040-03-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur               | Bankers Healthcare Group Securitization Trust 2020-A                             | CUSIP: 06616PAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1940000 | PA      | $1936427.10   | 0.05%             | 2031-09-17      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| NJ Trust 2023-GSP                            | NJ Trust 2023-GSP                                                                | CUSIP: 65486XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1470000 | PA      | $1546095.29   | 0.04%             | 2029-01-06      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                   | PRM5 Trust 2025-PRM5                                                             | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1293906.12   | 0.03%             | 2033-03-10      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2019-C53                                   | CUSIP: 95002BAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $934799.00    | 0.02%             | 2052-10-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                          | DBWF 2024-LCRS Mortgage Trust                                                    | CUSIP: 23307KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2423000 | PA      | $2417699.69   | 0.06%             | 2037-04-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| WASH MUT BANK NV                             | WASHINGTON MUTUAL BANK / DEBT NOT ACQUIRED BY JPMORGAN ESCROW                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $0.05         | 0.00%             | 2049-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2017-1 Ltd                                                    | CUSIP: 77340EAW6<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501283.20    | 0.01%             | 2034-04-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840649 | PA      | $397639.38    | 0.01%             | 2052-02-26      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV               | Octagon Investment Partners XVII Ltd                                             | CUSIP: 67590GBJ7<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499903.15    | 0.01%             | 2031-01-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4210000 | PA      | $4223741.02   | 0.11%             | 2037-07-23      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    680200 | PA      | $582324.19    | 0.02%             | 2062-04-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr               | Sofi Professional Loan Program 2018-D Trust                                      | CUSIP: 83401AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $96591.56     | 0.00%             | 2048-02-25      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 9 Ltd                                                         | CUSIP: 67690AAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3890000 | PA      | $3903696.69   | 0.10%             | 2037-10-19      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust               | Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4    | CUSIP: 68389FJK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $394707.65    | 0.01%             | 2035-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                               | Galaxy XXVI CLO Ltd                                                              | CUSIP: 36321LAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    424712 | PA      | $424945.23    | 0.01%             | 2031-11-22      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2016-1 Ltd                                                              | CUSIP: 92915CAQ7<br>LEI: 549300BRUAMTEA33B077 | Long             | ABS-CBDO         | CORP              | KY        |    427060 | PA      | $427482.89    | 0.01%             | 2031-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1676136 | PA      | $1630579.01   | 0.04%             | 2039-02-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                | Agate Bay Mortgage Trust 2015-4                                                  | CUSIP: 00842ACG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $335222.37    | 0.01%             | 2045-06-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance issuance Trust 2024-B                                            | CUSIP: 56847GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1083000 | PA      | $1103924.97   | 0.03%             | 2038-11-20      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                               | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $3375330.36   | 0.09%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Trust 2015-SRCH                                                            | CUSIP: 05547HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172793 | PA      | $169127.32    | 0.00%             | 2035-08-10      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp Mortgage Loan Trust Series 2006-RF4             | CUSIP: 863911AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241679 | PA      | $627397.46    | 0.02%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2024-NQM1                                        | CUSIP: 10570FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566000 | PA      | $572807.23    | 0.02%             | 2063-12-01      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2018-D                                 | CUSIP: 63940UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    462489 | PA      | $457646.65    | 0.01%             | 2059-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock CLO 14 Ltd                                                             | CUSIP: 05874XAL3<br>LEI: 254900GXTF670X967J67 | Long             | ABS-CBDO         | CORP              | KY        |   2539000 | PA      | $2547378.70   | 0.07%             | 2037-07-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1471000 | PA      | $1097546.20   | 0.03%             | 2066-10-25      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort               | First Horizon Alternative Mortgage Securities Trust 2005-AA12                    | CUSIP: 32051GQ81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13424 | PA      | $8221.84      | 0.00%             | 2036-02-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Bank                                         | BANK 2019-BNK22                                                                  | CUSIP: 06540XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2799041.70   | 0.07%             | 2062-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Bean Creek CLO LTD                           | Bean Creek CLO Ltd                                                               | CUSIP: 07378WAS7<br>LEI: 635400STD6UUTEW5KM07 | Long             | ABS-CBDO         | CORP              | KY        |    439241 | PA      | $439138.82    | 0.01%             | 2031-04-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    623900 | PA      | $507475.23    | 0.01%             | 2052-02-26      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Invesco CLO 2022-1, Ltd.                     | Invesco CLO 2022-1 Ltd                                                           | CUSIP: 460988AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    510000 | PA      | $511019.95    | 0.01%             | 2035-04-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| CreekSource (Dunes Creek) CLO                | Creeksource 2024-1 Dunes Creek Clo Ltd                                           | CUSIP: 000000000<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |    960000 | PA      | $959940.19    | 0.03%             | 2038-01-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                         | SCG Commercial Mortgage Trust 2025-DLFN                                          | CUSIP: 78398EAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413000 | PA      | $407847.00    | 0.01%             | 2035-03-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-6 Trust   | CUSIP: 93935GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3911599 | PA      | $1566832.81   | 0.04%             | 2036-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                    | BMP 2024-MF23                                                                    | CUSIP: 05593JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8720000 | PA      | $8730900.00   | 0.23%             | 2041-06-15      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| BSPDF Issuer Ltd                             | BSPDF 2025-FL2 Issuer LLC                                                        | CUSIP: 05615KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1212000 | PA      | $1210204.79   | 0.03%             | 2042-12-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                         | ACE Securities Corp Home Equity Loan Trust Series 2005-AG1                       | CUSIP: 004427CD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352619 | PA      | $291052.63    | 0.01%             | 2035-08-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Trust 2024-1                                           | CUSIP: 39571MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5163458 | PA      | $5265092.53   | 0.14%             | 2059-06-25      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2025-A                                            | CUSIP: 567920AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1224000 | PA      | $1246333.84   | 0.03%             | 2038-05-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 20 Ltd                                                              | CUSIP: 33883MAL8<br>LEI: 25490077CXFU133A8B24 | Long             | ABS-CBDO         | CORP              | KY        |   1330000 | PA      | $1333996.92   | 0.04%             | 2036-05-20      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-1                                    | CUSIP: 922955AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3994885 | PA      | $4026290.48   | 0.11%             | 2055-02-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2022-CM1 Trust                                                              | CUSIP: 36168XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250774 | PA      | $233957.30    | 0.01%             | 2066-12-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 7 Ltd                                                            | CUSIP: 82671EAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    480000 | PA      | $481517.62    | 0.01%             | 2037-10-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2022-3 Ltd                                                     | CUSIP: 69690ABC0<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | JE        |    450000 | PA      | $450115.97    | 0.01%             | 2037-07-20      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd                          | ASSURANT CLO I LTD                                                               | CUSIP: 33836JAE9<br>LEI: 635400A6LSLGJQHVOZ36 | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1406018.04   | 0.04%             | 2034-10-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares XLI Clo Ltd                                                                 | CUSIP: 04016DAU9<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2505677.75   | 0.07%             | 2034-04-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO 2024-NQM6                                                                  | CUSIP: 05613JAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $247944.03    | 0.01%             | 2064-08-01      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2021-RPL9 Trust                                                             | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3429183 | PA      | $3396007.28   | 0.09%             | 2061-02-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding VII Clo Ltd                                                        | CUSIP: 15032FAL0<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | KY        |    179167 | PA      | $179155.01    | 0.00%             | 2031-01-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2007000 | PA      | $1998846.56   | 0.05%             | 2041-06-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                       | Argent Securities Trust 2006-M1                                                  | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2074869 | PA      | $553649.85    | 0.01%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                       | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127000 | PA      | $1016126.30   | 0.03%             | 2032-02-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB3                    | CUSIP: 25151EAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13721 | PA      | $11948.36     | 0.00%             | 2036-07-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 15 Ltd                                                                   | CUSIP: 750103AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1519855 | PA      | $1522735.18   | 0.04%             | 2034-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                | Agate Bay Mortgage Trust 2015-3                                                  | CUSIP: 00841YCG1<br>LEI: 549300GXWD0QSMEEID35 | Long             | ABS-MBS          | CORP              | US        |    832000 | PA      | $511126.64    | 0.01%             | 2045-04-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                             | BBAM US CLO I Ltd                                                                | CUSIP: 054978AL5<br>LEI: 549300LRECI1GZTZLF38 | Long             | ABS-CBDO         | CORP              | KY        |   1851000 | PA      | $1850353.82   | 0.05%             | 2038-03-30      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2024-37 Ltd                                                              | CUSIP: 67120AAA9<br>LEI: 213800VGDQYISNVLCT08 | Long             | ABS-CBDO         | CORP              | JE        |   2180000 | PA      | $2188287.27   | 0.06%             | 2037-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-H4 Mortgage Trust                                                     | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6341786 | PA      | $6386559.48   | 0.17%             | 2070-06-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2017-13 Ltd                                                              | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |   5589000 | PA      | $5610032.52   | 0.15%             | 2037-11-26      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2024-RTL1 Trust                                                              | CUSIP: 59319NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3231000 | PA      | $3241778.62   | 0.09%             | 2029-02-25      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2024-1                                        | CUSIP: 758983AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1637000 | PA      | $1699171.79   | 0.04%             | 2036-07-15      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    735000 | PA      | $654782.84    | 0.02%             | 2062-04-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                              | AREIT 2025-CRE10 Ltd                                                             | CUSIP: 00193DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1398843.88   | 0.04%             | 2029-12-17      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                     | BXMT 2025-FL5 Ltd                                                                | CUSIP: 05613YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12936000 | PA      | $12840259.37  | 0.34%             | 2042-10-18      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | Trinitas CLO XXVIII LTD                                                          | CUSIP: 89640FAA3<br>LEI: 254900DPIAGU6GHOTB83 | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $622264.36    | 0.02%             | 2037-04-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2014 Ltd                                                            | CUSIP: 12549JBC4<br>LEI: 54930034H2IEPBE5Q044 | Long             | ABS-CBDO         | CORP              | KY        |   2100000 | PA      | $2099171.55   | 0.06%             | 2031-01-18      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act               | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742855AB5<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |    581004 | PA      | $587419.07    | 0.02%             | 2051-07-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2022-1 Ltd                                               | CUSIP: 05684UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1203660.96   | 0.03%             | 2035-04-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2019-5                                                  | CUSIP: 03464KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405000 | PA      | $377845.16    | 0.01%             | 2049-10-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XVI Ltd                                              | CUSIP: 08181VAY1<br>LEI: 2549001UGYKGM9DWMY60 | Long             | ABS-CBDO         | CORP              | KY        |    830000 | PA      | $832347.24    | 0.02%             | 2038-01-17      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12353901 | PA      | $517459.21    | 0.01%             | 2064-01-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                | MTN Commercial Mortgage Trust 2022-LPFL                                          | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910000 | PA      | $909431.25    | 0.02%             | 2039-03-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust   | CUSIP: 939344AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124327 | PA      | $116889.60    | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru               | Soundview Home Loan Trust 2007-NS1                                               | CUSIP: 83612QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    447309 | PA      | $427350.80    | 0.01%             | 2037-01-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Merit                                        | MHP 2021-STOR                                                                    | CUSIP: 55293BAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3426000 | PA      | $3423858.75   | 0.09%             | 2038-07-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor               | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-2                | CUSIP: 655378AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    486441 | PA      | $406769.35    | 0.01%             | 2037-06-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3055000 | PA      | $3141174.83   | 0.08%             | 2043-07-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Acquisiti               | Spruce Hill Mortgage Loan Trust 2020-SH2                                         | CUSIP: 85214RAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1618125 | PA      | $1586044.00   | 0.04%             | 2055-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770000 | PA      | $1353272.79   | 0.04%             | 2060-12-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| 720 East CLO Ltd.                            | 720 East CLO VII Ltd                                                             | CUSIP: 81800WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6300000 | PA      | $6301997.10   | 0.17%             | 2037-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    886603 | PA      | $885467.73    | 0.02%             | 2062-04-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3764817 | PA      | $3805146.68   | 0.10%             | 2065-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1655794 | PA      | $1810959.17   | 0.05%             | 2060-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust               | Long Beach Mortgage Loan Trust 2006-7                                            | CUSIP: 54251TAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5324946 | PA      | $2126675.45   | 0.06%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman Loan Advisers CLO 54 Ltd                                        | CUSIP: 64135PAC2<br>LEI: 2549008MU2CMQ0UY7J70 | Long             | ABS-CBDO         | CORP              | JE        |    970000 | PA      | $973638.18    | 0.03%             | 2038-04-23      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8380000 | PA      | $7348137.92   | 0.19%             | 2062-04-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-III Ltd                                                        | CUSIP: 12554VBC9<br>LEI: 254900SVOWCOSOG16T40 | Long             | ABS-CBDO         | CORP              | KY        |   1550000 | PA      | $1551038.81   | 0.04%             | 2038-01-16      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | RAD CLO 27 Ltd                                                                   | CUSIP: 749972AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6320000 | PA      | $6338593.44   | 0.17%             | 2038-01-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2024-SFR2 Trust                                             | CUSIP: 74290XAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1838118.80   | 0.05%             | 2041-04-17      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-H2 Mortgage Trust                                                     | CUSIP: 22758PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11246697 | PA      | $11247259.22  | 0.30%             | 2070-03-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2015-3 Ltd                                                      | CUSIP: 09628JAL5<br>LEI: 5493009UJ1T6R11V4458 | Long             | ABS-CBDO         | CORP              | KY        |    882134 | PA      | $882993.86    | 0.02%             | 2031-04-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                            | Generate CLO 7 Ltd                                                               | CUSIP: 37149LAL1<br>LEI: 25490036G9JNQQPHIX69 | Long             | ABS-CBDO         | CORP              | KY        |   8525000 | PA      | $8557608.98   | 0.23%             | 2037-04-22      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                         | FREMF 2020-K105 Mortgage Trust                                                   | CUSIP: 302975BE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2905000 | PA      | $2736685.17   | 0.07%             | 2053-03-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                          | CBAM 2018-5 Ltd                                                                  | CUSIP: 12481QAE5<br>LEI: 25490038OT2B8HTRW786 | Long             | ABS-CBDO         | CORP              | KY        |    540000 | PA      | $541761.70    | 0.01%             | 2031-04-17      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16151922 | PA      | $297902.82    | 0.01%             | 2052-02-25      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor               | Morgan Stanley Residential Mortgage Loan Trust 2014-1                            | CUSIP: 61763YAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197643 | PA      | $199127.58    | 0.01%             | 2044-06-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2022-4                                                | CUSIP: 92538NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    443000 | PA      | $397757.12    | 0.01%             | 2067-04-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| OPEN Trust                                   | OPEN Trust 2023-AIR                                                              | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    926258 | PA      | $926546.64    | 0.02%             | 2040-11-15      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2007-QH3 Trust                                                       | CUSIP: 74922WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4351697 | PA      | $4210660.83   | 0.11%             | 2037-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                  | VEGAS 2024-GCS                                                                   | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12440000 | PA      | $11743077.61  | 0.31%             | 2036-07-10      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2017-ASHF                                         | CUSIP: 61691KAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    939000 | PA      | $881831.14    | 0.02%             | 2034-11-15      | Floating      | 11.51%                | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2020-1                                    | CUSIP: 92259LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2082737 | PA      | $1889080.46   | 0.05%             | 2050-02-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 15 Ltd                           | Elmwood CLO 15 Ltd                                                               | CUSIP: 29003JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |  10590000 | PA      | $10629986.78  | 0.28%             | 2035-04-22      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1469589 | PA      | $1211563.07   | 0.03%             | 2047-06-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340754 | PA      | $1187589.71   | 0.03%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2022-5 Mortgage Loan Trust                                                  | CUSIP: 19688LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1707000 | PA      | $1578481.51   | 0.04%             | 2067-03-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2019-2                                                   | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    206872 | PA      | $182084.38    | 0.00%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2021-4 Ltd                                                     | CUSIP: 69702EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1740000 | PA      | $1740000.00   | 0.05%             | 2038-07-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-OC1                                                  | CUSIP: 12668BJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581514 | PA      | $573198.94    | 0.02%             | 2036-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2                    | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3655400 | PA      | $3586171.48   | 0.09%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                  | SREIT Trust 2021-MFP2                                                            | CUSIP: 85236WCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1136000 | PA      | $1136710.00   | 0.03%             | 2036-11-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Octagon 66 Ltd                               | Octagon 66 Ltd                                                                   | CUSIP: 67577WAP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6100000 | PA      | $6127138.90   | 0.16%             | 2036-11-16      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-LIFE                                                               | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7582000 | PA      | $7723127.56   | 0.20%             | 2047-06-13      | Variable      | 5.88%                 | 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        |   4862520 | PA      | $4876097.10   | 0.13%             | 2070-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| APS RESECURITIZATION TRUST                   | APS Resecuritization Trust 2016-1                                                | CUSIP: 00192JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2260729 | PA      | $836729.80    | 0.02%             | 2057-07-31      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed               | Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE1 Trust         | CUSIP: 93935KAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196609 | PA      | $61306.01     | 0.00%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                               | Romark CLO Ltd                                                                   | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    695978 | PA      | $696846.21    | 0.02%             | 2030-10-23      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2021-SFR8 Trust                                             | CUSIP: 74333TAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4370541.75   | 0.12%             | 2038-10-17      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO 40 Ltd                                                              | CUSIP: 871989AP4<br>LEI: 25490001HYY3IX1I5Z32 | Long             | ABS-CBDO         | CORP              | BM        |    730000 | PA      | $732360.53    | 0.02%             | 2038-01-05      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2025-2                                                  | CUSIP: 35042NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3942000 | PA      | $3941594.76   | 0.10%             | 2052-04-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Trust 2024-PMDW                                                              | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $649715.71    | 0.02%             | 2041-11-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2023-SHIP                                      | CUSIP: 36270GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11123000 | PA      | $11190763.54  | 0.30%             | 2026-09-06      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2024-6 Ltd                                               | CUSIP: 05685XAA6<br>LEI: 254900HQYGN91X5XN386 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1504114.50   | 0.04%             | 2038-01-21      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2024-NQM3                                        | CUSIP: 10569LAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845000 | PA      | $857933.99    | 0.02%             | 2064-03-25      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 25 Ltd                                                              | CUSIP: 33883XAC4<br>LEI: 254900Z25NHHRUZ9O184 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $651185.21    | 0.02%             | 2037-10-17      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-1                                    | CUSIP: 92261CAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321007 | PA      | $322647.47    | 0.01%             | 2054-01-25      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                | Citigroup Commercial Mortgage Trust 2017-P7                                      | CUSIP: 17325HBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5868649.80   | 0.15%             | 2050-04-14      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                        | Sycamore Tree CLO 2025-6 Ltd                                                     | CUSIP: 87122HAA0<br>LEI: 2138001M3BAXCUCAUG38 | Long             | ABS-CBDO         | CORP              | KY        |   1140000 | PA      | $1139840.97   | 0.03%             | 2038-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| ACRA Trust 2024-NQM1                         | ACRA Trust 2024-NQM1                                                             | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7870246 | PA      | $7874978.02   | 0.21%             | 2064-10-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2024-7                                                | CUSIP: 924925AG5<br>LEI: 213800HQOHEFNJCQYJ07 | Long             | ABS-MBS          | CORP              | US        |    648000 | PA      | $640383.02    | 0.02%             | 2069-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| HET_24                                       | HET_24                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2972398 | PA      | $3027090.16   | 0.08%             | 2054-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT             | CDS CMBX.NA.AAA.6.V1                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |         1 | NC      | $-0.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2024-NPL1 Trust                                                              | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5410243 | PA      | $5424762.96   | 0.14%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | CARLYLE US CLO 2019-1 LTD                                                        | CUSIP: 14316BAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    279295 | PA      | $279713.59    | 0.01%             | 2031-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust               | MSWF Commercial Mortgage Trust 2023-2                                            | CUSIP: 55361AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34013760 | PA      | $2006594.18   | 0.05%             | 2056-12-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2022-INV1                                             | CUSIP: 92539JAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    830000 | PA      | $812907.56    | 0.02%             | 2067-08-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Myers Park CLO LTD                           | Myers Park CLO Ltd                                                               | CUSIP: 62848FAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    540000 | PA      | $540352.46    | 0.01%             | 2030-10-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    902946 | PA      | $824898.50    | 0.02%             | 2053-01-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset Backed Notes Trust 2007-Sea2                                         | CUSIP: 12671CAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    924549 | PA      | $737752.47    | 0.02%             | 2047-06-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2021-A                                            | CUSIP: 56848DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2850000 | PA      | $2724559.82   | 0.07%             | 2036-03-20      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo               | Merrill Lynch Mortgage Investors Trust Series 2006-OPT1                          | CUSIP: 59022VAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1760894 | PA      | $1572386.45   | 0.04%             | 2037-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust 2021-4                                                  | CUSIP: 46652VCA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209079 | PA      | $164659.89    | 0.00%             | 2051-08-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                          | Sandstone Peak Ltd                                                               | CUSIP: 800130AN6<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250656.25    | 0.01%             | 2034-10-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2007-6                                            | CUSIP: 07326FAE8<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |   2574367 | PA      | $2272446.17   | 0.06%             | 2037-12-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO XI Ltd                                                                  | CUSIP: 87249QAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250920.25    | 0.01%             | 2037-04-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                  | STWD Trust 2021-FLWR                                                             | CUSIP: 78485GAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1598000.00   | 0.04%             | 2036-07-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort               | First Horizon Alternative Mortgage Securities Trust 2006-AA7                     | CUSIP: 32052CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2562040 | PA      | $2039749.94   | 0.05%             | 2037-01-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                | American Home Mortgage Assets Trust 2006-4                                       | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79183 | PA      | $39888.34     | 0.00%             | 2046-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2021-BHAR                                                                   | CUSIP: 12659VAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    649000 | PA      | $647163.39    | 0.02%             | 2038-11-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2545900 | PA      | $2427867.24   | 0.06%             | 2065-01-25      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                | Citicorp Mortgage Securities Trust Series 2007-9                                 | CUSIP: 17313VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1461842 | PA      | $1376509.35   | 0.04%             | 2037-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410496 | PA      | $409663.57    | 0.01%             | 2033-02-15      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                 | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $850021.88    | 0.02%             | 2039-05-10      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                             | Owl Rock CLO XVIII LLC                                                           | CUSIP: 69122HAA8<br>LEI: 254900IC5H3CWUYT6A39 | Long             | ABS-CBDO         | CORP              | US        |   2990000 | PA      | $3000684.47   | 0.08%             | 2036-07-24      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                             | Great Wolf Trust 2024-WOLF                                                       | CUSIP: 39152MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1914000 | PA      | $1916990.63   | 0.05%             | 2039-03-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Lyra MUSIC Assets (Delaware) L               | Lyra Music Assets Delaware LP                                                    | CUSIP: 552339AA1<br>LEI: 9845007N9EAB0C048A12 | Long             | ABS-O            | CORP              | US        |   5996394 | PA      | $6016986.00   | 0.16%             | 2064-12-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                        | Sycamore Tree CLO 2024-5 Ltd                                                     | CUSIP: 87122YAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2150000 | PA      | $2154302.58   | 0.06%             | 2036-04-20      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                            | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2878585.20   | 0.08%             | 2037-06-05      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus               | WHARF Commercial Mortgage Trust 2025-DC                                          | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4020000 | PA      | $4098195.83   | 0.11%             | 2040-07-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1512000 | PA      | $1515773.95   | 0.04%             | 2041-10-15      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                           | A&D Mortgage Trust 2024-NQM5                                                     | CUSIP: 00039KAC4<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |   4624083 | PA      | $4642318.32   | 0.12%             | 2069-11-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Thro               | Popular ABS Mortgage Pass-Through Trust 2006-B                                   | CUSIP: 73316PKJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2796956 | PA      | $2644058.94   | 0.07%             | 2036-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage                | STAR 2021-1 Trust                                                                | CUSIP: 85573GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    648000 | PA      | $562032.82    | 0.01%             | 2065-05-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2021-DM                                        | CUSIP: 36265AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1970000 | PA      | $1955225.00   | 0.05%             | 2036-11-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1509000 | PA      | $1516083.70   | 0.04%             | 2031-06-16      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Trust 2022-SSP                                                               | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770000 | PA      | $769279.36    | 0.02%             | 2039-05-15      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                    | NovaStar Mortgage Funding Trust Series 2006-5                                    | CUSIP: 66988YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3635199 | PA      | $1103091.18   | 0.03%             | 2036-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| LoanCore 2022-CRE7 Issuer Ltd.               | LoanCore 2022-CRE7 Issuer Ltd                                                    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3193761 | PA      | $3193924.48   | 0.08%             | 2037-01-17      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Wireless PropCo Funding LLC                  | Wireless PropCo Funding LLC                                                      | CUSIP: 97655EAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4744000 | PA      | $4743949.71   | 0.13%             | 2055-06-25      | Fixed         | 8.51%                 | No            |                  3 | On Loan: No      |
| Banc of America Funding Corpor               | Banc of America Funding 2016-R2 Trust                                            | CUSIP: 05890RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88417 | PA      | $88327.71     | 0.00%             | 2033-05-01      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1640000 | PA      | $1450430.92   | 0.04%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                                                  | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3533000 | PA      | $3662868.88   | 0.10%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | Goldentree Loan Management US Clo 7 Ltd                                          | CUSIP: 38138LAW8<br>LEI: 549300DO8S88M0JNL340 | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $450022.05    | 0.01%             | 2034-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                               | Romark CLO II Ltd                                                                | CUSIP: 77587EAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    150007 | PA      | $150114.95    | 0.00%             | 2031-07-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                 | CD 2017-CD6 Mortgage Trust                                                       | CUSIP: 125039AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336000 | PA      | $319132.90    | 0.01%             | 2050-11-13      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                  | PRKCM 2022-AFC2 Trust                                                            | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5714224 | PA      | $5694250.02   | 0.15%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                     | Brex Commercial Charge Card Master Trust                                         | CUSIP: 05601DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2027000 | PA      | $2042519.12   | 0.05%             | 2027-07-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                 | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1660000 | PA      | $1693533.66   | 0.04%             | 2039-10-05      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                | Bear Stearns Mortgage Funding Trust 2006-SL1                                     | CUSIP: 07400WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235768 | PA      | $232971.07    | 0.01%             | 2036-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                        | Western Alliance Bank                                                            | CUSIP: 95763PND9<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   5220100 | PA      | $5439447.17   | 0.14%             | 2059-07-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                | First Franklin Mortgage Loan Trust 2006-FFH1                                     | CUSIP: 32027NZN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    672319 | PA      | $598989.30    | 0.02%             | 2036-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375600 | PA      | $339511.83    | 0.01%             | 2062-03-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2025-A                                            | CUSIP: 567920AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9101000 | PA      | $9224487.83   | 0.24%             | 2038-05-20      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-KING                                           | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6306970 | PA      | $6306969.94   | 0.17%             | 2034-05-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | Goldentree Loan Management US Clo 11 Ltd                                         | CUSIP: 38138RAJ4<br>LEI: 549300TMEEKUOKVHYV65 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1742178.20   | 0.05%             | 2034-10-20      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                        | Tricon American Homes 2019-SFR1 Trust                                            | CUSIP: 89612LAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1976632.80   | 0.05%             | 2038-03-17      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                  | GSAMP Trust 2006-HE4                                                             | CUSIP: 362439AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2457613.99   | 0.06%             | 2036-06-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                               | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30405000 | PA      | $428391.25    | 0.01%             | 2039-06-10      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 77 CLO Ltd                                                                | CUSIP: 26252VAS0<br>LEI: 254900XGNUOV0Y3IBA68 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2003189.40   | 0.05%             | 2034-05-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust               | BSTN Commercial Mortgage Trust 2025-1C                                           | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4920000 | PA      | $5030353.63   | 0.13%             | 2044-06-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Series 2014-10R                                                             | CUSIP: 12649BAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    861371 | PA      | $286761.54    | 0.01%             | 2036-05-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15869551 | PA      | $15855736.14  | 0.42%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2021-1                                                   | CUSIP: 61947DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    306239 | PA      | $243604.23    | 0.01%             | 2046-12-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust               | HarborView Mortgage Loan Trust 2007-3                                            | CUSIP: 41164UAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1017850 | PA      | $806827.54    | 0.02%             | 2037-05-19      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital Clo 2 Ltd                                                       | CUSIP: 25255LAU6<br>LEI: 2549008BUJNKS7JJUU65 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500716.90    | 0.01%             | 2037-10-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-OC10                                                 | CUSIP: 23245FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458181 | PA      | $395219.75    | 0.01%             | 2036-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru               | THPT 2023-THL Mortgage Trust                                                     | CUSIP: 87252LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1112531 | PA      | $1131588.44   | 0.03%             | 2034-12-10      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| Coast Investment Grade                       | COAST Commercial Mortgage Trust 2023-2HTL                                        | CUSIP: 19033EAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2578278.82   | 0.07%             | 2036-08-15      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital Clo 13 LLC                                                     | CUSIP: 033291BA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3003660.90   | 0.08%             | 2038-04-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 4 Ltd                                                         | CUSIP: 67098DBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    670000 | PA      | $671668.77    | 0.02%             | 2038-01-22      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares Loan Funding IV Ltd                                                         | CUSIP: 04020FAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1160000 | PA      | $1164788.13   | 0.03%             | 2036-10-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |         1 | NC      | $23870.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                      | Home Equity Asset Trust 2006-3                                                   | CUSIP: 437084UT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $265055.81    | 0.01%             | 2036-07-25      | Floating      | 5.03%                 | 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        |    288146 | PA      | $263096.93    | 0.01%             | 2055-07-26      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                        | TRK 2021-INV1 Trust                                                              | CUSIP: 89688WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    657000 | PA      | $536786.28    | 0.01%             | 2056-07-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Thayer Park CLO, Ltd.                        | Thayer Park CLO Ltd                                                              | CUSIP: 883310AL8<br>LEI: 5493000PRLDBEVKBE571 | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $951526.65    | 0.03%             | 2034-04-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    997304 | PA      | $1012566.08   | 0.03%             | 2063-10-25      | Variable      | 7.69%                 | 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        |   1286276 | PA      | $1209766.63   | 0.03%             | 2062-04-20      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust               | Pagaya AI Debt Selection Trust 2021-2                                            | CUSIP: 69546LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81843 | PA      | $81204.20     | 0.00%             | 2029-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2025-800D                                      | CUSIP: 36273XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7583000 | PA      | $7596553.10   | 0.20%             | 2041-11-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                             | Whitebox Clo V Ltd                                                               | CUSIP: 96467PAE8<br>LEI: 254900XFXCOZ882U2O02 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.03%             | 2038-07-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1629000 | PA      | $1409948.21   | 0.04%             | 2067-09-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2023-XL3                                            | CUSIP: 12434GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3279320 | PA      | $3288986.48   | 0.09%             | 2040-12-09      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL CLO 34 LTD                                                                   | CUSIP: 00121JAA0<br>LEI: 254900KKYZC78Z944L27 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2509865.25   | 0.07%             | 2038-01-22      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                  | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    681277 | PA      | $637371.50    | 0.02%             | 2059-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2731547 | PA      | $2713900.29   | 0.07%             | 2064-12-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                    | CFK Trust 2019-FAX                                                               | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2331714.25   | 0.06%             | 2039-01-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2023-H2 Mortgage Trust                                                     | CUSIP: 22757NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1319739 | PA      | $1339612.86   | 0.04%             | 2068-11-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| Arizona Biltmore Trust                       | ARZ Trust 2024-BILT                                                              | CUSIP: 00218TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2710000 | PA      | $2782234.78   | 0.07%             | 2029-06-11      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    792475 | PA      | $795404.71    | 0.02%             | 2064-01-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-1                                                    | CUSIP: 52603DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2447000 | PA      | $2489910.10   | 0.07%             | 2032-06-21      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  36976669 | PA      | $1580974.45   | 0.04%             | 2065-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-PAT                                                                | CUSIP: 05612FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2263000 | PA      | $2222847.14   | 0.06%             | 2041-03-15      | Floating      | 9.70%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain Fuji US Clo II Ltd                                                  | CUSIP: 09629EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1617140 | PA      | $1619889.47   | 0.04%             | 2030-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Trust 2020-EYP                                                              | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1353000 | PA      | $16898.97     | 0.00%             | 2035-10-15      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman CLO XXI Ltd                                                     | CUSIP: 64130DBS8<br>LEI: 549300VBBLOSKH8XQ869 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5015000.50   | 0.13%             | 2039-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Trust 2025-EWEST                                                            | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8457000 | PA      | $8462285.63   | 0.22%             | 2042-06-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru               | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79239 | PA      | $76281.56     | 0.00%             | 2065-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CreekSource (Dunes Creek) CLO                | Creeksource 2024-1 Dunes Creek Clo Ltd                                           | CUSIP: 000000000<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250750.00    | 0.01%             | 2038-01-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2317841.73   | 0.06%             | 2062-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2021-BHAR                                                                   | CUSIP: 12659VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020000 | PA      | $1016175.00   | 0.03%             | 2038-11-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                         | OHA Loan Funding 2013-2 Ltd                                                      | CUSIP: 67104LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    381794 | PA      | $382135.87    | 0.01%             | 2031-05-23      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 8 Ltd                                                      | CUSIP: 03329KBE2<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004206.00   | 0.03%             | 2034-10-27      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M                 | CUSIP: 46652RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572000 | PA      | $569140.00    | 0.02%             | 2033-10-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 104 CLO Ltd                                                               | CUSIP: 26253BAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3370000 | PA      | $3378311.09   | 0.09%             | 2034-08-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                     | OBX 2025-NQM3 Trust                                                              | CUSIP: 67448YAC8<br>LEI: 254900MBGY6CR10DAX67 | Long             | ABS-MBS          | CORP              | US        |   3636117 | PA      | $3655752.81   | 0.10%             | 2064-12-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                  | RAAC Series 2006-SP3 Trust                                                       | CUSIP: 74919QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1661551 | PA      | $1603269.61   | 0.04%             | 2036-08-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2021-4 Ltd                                            | CUSIP: 69702HAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250553.00    | 0.01%             | 2029-10-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNA Trust                                    | FNA 8 LLC                                                                        | CUSIP: 30340WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6687128 | PA      | $6718189.32   | 0.18%             | 2045-03-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79700 | PA      | $63290.03     | 0.00%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset-Backed Certificates Trust 2006-22                                    | CUSIP: 12666BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    463472 | PA      | $393140.57    | 0.01%             | 2047-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust                 | Mastr Specialized Loan Trust                                                     | CUSIP: 57643BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9431 | PA      | $9224.67      | 0.00%             | 2046-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Kings Park CLO Ltd                           | Kings Park CLO Ltd                                                               | CUSIP: 496094AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    810000 | PA      | $811833.92    | 0.02%             | 2035-01-21      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp                                                 | CUSIP: 86359DRU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1482790 | PA      | $1403694.28   | 0.04%             | 2035-07-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680700 | PA      | $686752.85    | 0.02%             | 2063-10-25      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1198500 | PA      | $1038091.92   | 0.03%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak SB Commercial Mortgage Trust 2020-SBC1                                 | CUSIP: 03465BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3736488 | PA      | $3525616.20   | 0.09%             | 2050-05-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2021-LBA                                                                | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1699723 | PA      | $1698660.67   | 0.04%             | 2036-02-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Verdelite Static CLO Ltd                     | Verdelite Static CLO 2024-1 Ltd                                                  | CUSIP: 92338VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    290000 | PA      | $289132.90    | 0.01%             | 2032-07-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2020-C                                                  | CUSIP: 00969HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5905 | PA      | $82.15        | 0.00%             | 2060-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2018-2                                                   | CUSIP: 05682VAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249587.03    | 0.01%             | 2031-07-19      | Floating      | 5.82%                 | 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        |   3438855 | PA      | $3454122.38   | 0.09%             | 2031-02-12      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor               | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22541SD70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213278 | PA      | $160216.31    | 0.00%             | 2043-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-1                                           | CUSIP: 170255AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203534 | PA      | $90012.40     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Clover CLO                                   | Clover CLO 2021-3 LLC                                                            | CUSIP: 18915FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3630000 | PA      | $3632098.14   | 0.10%             | 2035-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7170000 | PA      | $7225152.36   | 0.19%             | 2039-11-09      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2025-NQM5                                        | CUSIP: 10569RAC6<br>LEI: 254900HGOJX787MBR512 | Long             | ABS-MBS          | CORP              | US        |   4232014 | PA      | $4244655.46   | 0.11%             | 2065-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners 48 LP                                                     | CUSIP: 38177DAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1903123.60   | 0.05%             | 2038-04-17      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| DK Trust                                     | DK Trust 2024-SPBX                                                               | CUSIP: 23346LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2860000 | PA      | $2864528.24   | 0.08%             | 2034-03-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-20 Ltd                                                              | CUSIP: 670859AQ0<br>LEI: 25490028U8Y2XMZWXO46 | Long             | ABS-CBDO         | CORP              | KY        |    370000 | PA      | $371554.67    | 0.01%             | 2037-04-18      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-OPO                  | CUSIP: 46655AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2061000 | PA      | $1695985.77   | 0.04%             | 2039-01-05      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2018-1 Ltd                                                              | CUSIP: 92917AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250003.38    | 0.01%             | 2031-04-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5223000 | PA      | $5185803.88   | 0.14%             | 2039-11-09      | Variable      | 8.49%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                | GS Mortgage-Backed Securities Corp Trust 2019-PJ2                                | CUSIP: 36257LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205851 | PA      | $194142.56    | 0.01%             | 2049-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr               | Sofi Professional Loan Program 2019-B LLC                                        | CUSIP: 83404WAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197637 | PA      | $193392.70    | 0.01%             | 2048-08-17      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368400 | PA      | $312660.42    | 0.01%             | 2063-05-25      | None          | 2.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-III Ltd                                                        | CUSIP: 12551YAC7<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |    256000 | PA      | $256509.00    | 0.01%             | 2031-07-18      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point CLO 7 LTD                                                           | CUSIP: 82808UAA3<br>LEI: 254900UZNMKMPK9GWJ82 | Long             | ABS-CBDO         | CORP              | KY        |    760000 | PA      | $762231.66    | 0.02%             | 2038-01-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                             | TRESTLES CLO 2017-1 Ltd                                                          | CUSIP: 89531FAY3<br>LEI: 254900QSBDX181YYBH38 | Long             | ABS-CBDO         | CORP              | KY        |   1470000 | PA      | $1476503.28   | 0.04%             | 2037-07-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2018-3 Ltd                                                              | CUSIP: 92917KAQ7<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |    168767 | PA      | $169032.59    | 0.00%             | 2031-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL Core CLO 27 Ltd                                                              | CUSIP: 00092DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   4000000 | PA      | $4015328.00   | 0.11%             | 2036-10-21      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-TAIL                                                               | CUSIP: 123912AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2986000 | PA      | $2986616.61   | 0.08%             | 2035-06-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2024-H7 Mortgage Trust                                                     | CUSIP: 22757CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9162845 | PA      | $9188745.90   | 0.24%             | 2069-11-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Verdelite Static CLO Ltd                     | Verdelite Static CLO 2024-1 Ltd                                                  | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1429563 | PA      | $1430785.79   | 0.04%             | 2032-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                          | CBAM 2019-10 Ltd                                                                 | CUSIP: 12482NAN1<br>LEI: 254900IPFC9SXD6VQ444 | Long             | ABS-CBDO         | CORP              | KY        |   3509407 | PA      | $3514414.10   | 0.09%             | 2032-04-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                    | College Ave Student Loans 2021-B LLC                                             | CUSIP: 19425AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313015 | PA      | $293824.84    | 0.01%             | 2052-06-25      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12642MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39022 | PA      | $14657.66     | 0.00%             | 2037-10-27      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | Csmc 2022-Nqm1 Trust                                                             | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4360130 | PA      | $3965437.26   | 0.10%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT             | CDS CMBX.NA.BBB-.10                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |         1 | NC      | $-94125.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2099891 | PA      | $1834402.45   | 0.05%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                  | SREIT Trust 2021-MFP2                                                            | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4996875.00   | 0.13%             | 2036-11-15      | Floating      | 5.25%                 | 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        |  16296083 | PA      | $16326455.18  | 0.43%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2024-10                                                 | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-MBS          | CORP              | US        |   2131992 | PA      | $2127278.31   | 0.06%             | 2069-10-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Sand Trust                                   | Sandstone Peak II Ltd                                                            | CUSIP: 80013TAA1<br>LEI: 254900ZRRTOYR8JJD593 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000000.00   | 0.05%             | 2036-07-20      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                       | SLM Private Credit Student Loan Trust 2006-B                                     | CUSIP: 78443CCY8<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-O            | CORP              | US        |   1123281 | PA      | $1090631.83   | 0.03%             | 2039-12-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-VLT6                                                               | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6301248 | PA      | $6297309.72   | 0.17%             | 2042-03-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                             | SpringCastle America Funding LLC                                                 | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    722562 | PA      | $680157.09    | 0.02%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust               | Adjustable Rate Mortgage Trust 2006-2                                            | CUSIP: 007034AL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4067726 | PA      | $3079100.57   | 0.08%             | 2036-05-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XV                                                                    | CUSIP: 03764QBC5<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |    271809 | PA      | $272148.94    | 0.01%             | 2031-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-VI Ltd                                                         | CUSIP: 12555XAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4080000 | PA      | $4094445.24   | 0.11%             | 2037-07-16      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2022-2 Ltd                                            | CUSIP: 69701NAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2730000 | PA      | $2738823.91   | 0.07%             | 2030-10-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2023-NQM4 Trust                                                             | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3568747 | PA      | $3387887.48   | 0.09%             | 2062-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman Loan Advisers Clo 40 Ltd                                        | CUSIP: 64134JAA1<br>LEI: 549300Y2YE54ON4DJE28 | Long             | ABS-CBDO         | CORP              | KY        |   3556725 | PA      | $3560281.77   | 0.09%             | 2033-04-16      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM 35 Ltd                                                                       | CUSIP: 50202QAQ6<br>LEI: 549300KLSB4ZQ2S3TJ95 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3004088.40   | 0.08%             | 2034-10-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Southwick Park CLO, Ltd.                     | Southwick Park CLO LLC                                                           | CUSIP: 846031AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    430351 | PA      | $430962.71    | 0.01%             | 2032-07-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu               | GoodLeap Home Improvement Solutions Trust 2025-1                                 | CUSIP: 38237EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2218813 | PA      | $2268806.18   | 0.06%             | 2049-02-20      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| INCREF LLC                                   | INCREF 2025-FL1 LLC                                                              | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3457000 | PA      | $3463804.07   | 0.09%             | 2042-10-19      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                  | SREIT Trust 2021-MFP                                                             | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2482971 | PA      | $2482970.85   | 0.07%             | 2038-11-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XIX Ltd                                                     | CUSIP: 55819QBJ5<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $331583.34    | 0.01%             | 2037-01-22      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                | RFMSI Series 2005-SA4 Trust                                                      | CUSIP: 76111XYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1701713 | PA      | $970760.21    | 0.03%             | 2035-09-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr               | GreenPoint Mortgage Funding Trust 2006-AR2                                       | CUSIP: 39538WGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13133 | PA      | $12283.77     | 0.00%             | 2036-03-25      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2024-1 Ltd                                            | CUSIP: 69703NAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1150464.14   | 0.03%             | 2032-10-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2438412 | PA      | $2418982.45   | 0.06%             | 2064-12-26      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust               | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5792000 | PA      | $5737700.00   | 0.15%             | 2034-09-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                  | FIGRE Trust 2024-SL1                                                             | CUSIP: 31684JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8114629 | PA      | $8205816.68   | 0.22%             | 2053-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Octagon 56 Ltd                               | Octagon 56 Ltd                                                                   | CUSIP: 67577EAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250760.23    | 0.01%             | 2034-10-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-1                                    | CUSIP: 92261CAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326749 | PA      | $334049.75    | 0.01%             | 2054-01-25      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 76 CLO Ltd                                                                | CUSIP: 26252WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $622460.78    | 0.02%             | 2037-10-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884300 | PA      | $760840.84    | 0.02%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                              | Oaktree CLO 2024-27 Ltd                                                          | CUSIP: 67402UAJ5<br>LEI: 2549005VHJ8BB9WPL105 | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $320921.54    | 0.01%             | 2037-10-22      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                            | Generate CLO 2 Ltd                                                               | CUSIP: 370910AE1<br>LEI: 5493009C48K5WG4EX118 | Long             | ABS-CBDO         | CORP              | KY        |   1990000 | PA      | $1993666.58   | 0.05%             | 2037-10-22      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXVII                                                                | CUSIP: 03769HAA5<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |   1780000 | PA      | $1781786.94   | 0.05%             | 2034-10-22      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-VI Ltd                                                         | CUSIP: 12553SAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    550000 | PA      | $550458.65    | 0.01%             | 2034-10-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2487519 | PA      | $2474463.87   | 0.07%             | 2041-04-15      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2018-MP                                           | CUSIP: 61691DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2184000 | PA      | $1609866.59   | 0.04%             | 2040-07-11      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities                | Thornburg Mortgage Securities Trust 2006-3                                       | CUSIP: 885221AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    958094 | PA      | $574375.68    | 0.02%             | 2046-06-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus               | Republic Finance Issuance Trust 2021-A                                           | CUSIP: 76042UAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3550000 | PA      | $3440854.19   | 0.09%             | 2031-12-22      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2022-3 Ltd                                            | CUSIP: 69690CAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10380000 | PA      | $10388033.08  | 0.27%             | 2031-04-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11446000 | PA      | $142565.65    | 0.00%             | 2039-06-12      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                  | CHNGE Mortgage Trust 2022-1                                                      | CUSIP: 17030JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1944008 | PA      | $1842661.65   | 0.05%             | 2067-01-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Octagon 75 Ltd                               | Octagon 75 Ltd                                                                   | CUSIP: 67579EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000138.80   | 0.03%             | 2038-01-22      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                             | Whitebox CLO III Ltd                                                             | CUSIP: 96467HAL0<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |   8672000 | PA      | $8684822.42   | 0.23%             | 2035-10-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                        | Sycamore Tree CLO 2023-3 Ltd                                                     | CUSIP: 87122FAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005360.40   | 0.03%             | 2037-04-20      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus               | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4430000 | PA      | $4537287.07   | 0.12%             | 2032-08-20      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2007-AHL2                                          | CUSIP: 17312TAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410325 | PA      | $267992.67    | 0.01%             | 2037-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu               | GoodLeap Home Improvement Solutions Trust 2025-2                                 | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9012000 | PA      | $9092381.92   | 0.24%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue CLO 2024-VI Ltd                                                        | CUSIP: 70019KAA5<br>LEI: 213800RLFYTJFPXOL592 | Long             | ABS-CBDO         | CORP              | KY        |    757000 | PA      | $759578.04    | 0.02%             | 2038-01-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS 2018-TALL Mortgage Trust                                                   | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    781000 | PA      | $718696.97    | 0.02%             | 2037-03-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2303399.04   | 0.06%             | 2050-06-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                     | OZLM XXII Ltd                                                                    | CUSIP: 67111VAE6<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500588.90    | 0.01%             | 2031-01-17      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    881100 | PA      | $850582.04    | 0.02%             | 2062-10-25      | None          | 4.25%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324098 | PA      | $241029.23    | 0.01%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                              | Oaktree CLO 2020-1 Ltd                                                           | CUSIP: 67402FAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    820000 | PA      | $816390.03    | 0.02%             | 2038-01-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                  | Visio 2022-1 Trust                                                               | CUSIP: 92838CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1718000 | PA      | $1587447.81   | 0.04%             | 2057-08-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2310664 | PA      | $2323354.06   | 0.06%             | 2065-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25922822 | PA      | $25731172.01  | 0.68%             | 2064-12-26      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 52(               | Golub Capital Partners CLO 52 B R Ltd                                            | CUSIP: 381945AC8<br>LEI: 254900GLBB9HMWF4NZ09 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2011540.00   | 0.05%             | 2037-04-20      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                  | GSAMP Trust 2007-HSBC1                                                           | CUSIP: 362429AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3566000 | PA      | $3553348.55   | 0.09%             | 2047-02-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 Trust  | CUSIP: 93934FJB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2133665 | PA      | $1804503.54   | 0.05%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2021-NQM3 Trust                                                             | CUSIP: 36167HAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1151000 | PA      | $839136.55    | 0.02%             | 2066-05-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5370432 | PA      | $4682045.19   | 0.12%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2642668 | PA      | $2467039.73   | 0.07%             | 2060-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                            | Trimaran CAVU 2024-1 Ltd                                                         | CUSIP: 895971AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    830000 | PA      | $833652.83    | 0.02%             | 2038-01-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset-Backed Certificates Trust 2006-25                                    | CUSIP: 12668HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4232367 | PA      | $3664928.91   | 0.10%             | 2037-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                 | Mastr Resecuritization Trust 2008-1                                              | CUSIP: 55292EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    799410 | PA      | $530281.53    | 0.01%             | 2037-09-27      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420900 | PA      | $358862.37    | 0.01%             | 2063-05-25      | None          | 2.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO VIII Ltd                                             | CUSIP: 08180XAS1<br>LEI: 549300D98ZLKNSI8CN63 | Long             | ABS-CBDO         | CORP              | KY        |   1885000 | PA      | $1885588.31   | 0.05%             | 2031-01-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2021-2                                        | CUSIP: 75907UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1098000 | PA      | $1016370.73   | 0.03%             | 2033-08-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-AC2                            | CUSIP: 07387UGB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1825579 | PA      | $474325.32    | 0.01%             | 2036-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25325525 | PA      | $25487909.87  | 0.67%             | 2065-01-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                   | Morgan Stanley ABS Capital I Inc Trust 2007-SEA1                                 | CUSIP: 61757MAC2<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |     41726 | PA      | $39164.94     | 0.00%             | 2047-02-25      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORP                         | Ambac Assurance Corp                                                             | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |     57743 | PA      | $77952.51     | 0.00%             | N/A             | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-I Ltd                                                          | CUSIP: 12563EAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $691981.20    | 0.02%             | 2037-07-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                       | SLM Private Credit Student Loan Trust 2005-A                                     | CUSIP: 78443CBV5<br>LEI: 549300ZTEFT8CS12SF95 | Long             | ABS-O            | CORP              | US        |    708333 | PA      | $698527.35    | 0.02%             | 2038-12-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                  | RCKT Mortgage Trust 2024-CES2                                                    | CUSIP: 74938PAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737000 | PA      | $772364.21    | 0.02%             | 2044-04-25      | Variable      | 9.89%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                    | GSMPS Mortgage Loan Trust 2006-RP1                                               | CUSIP: 3623413C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36411 | PA      | $29388.06     | 0.00%             | 2036-01-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2025-SPOT                                           | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18701000 | PA      | $18695155.94  | 0.49%             | 2040-04-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6096000 | PA      | $6084089.64   | 0.16%             | 2039-11-09      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 18 Ltd                                                                   | CUSIP: 75009AAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250812.95    | 0.01%             | 2037-07-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2021-VIEW                                                               | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    856000 | PA      | $834531.86    | 0.02%             | 2036-06-15      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                        | Sixth Street CLO XX Ltd                                                          | CUSIP: 83012QAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    970000 | PA      | $971534.35    | 0.03%             | 2034-10-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Greenwood Park CLO, Ltd                      | Greenwood Park CLO Ltd                                                           | CUSIP: 39729RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    106667 | PA      | $106829.17    | 0.00%             | 2031-04-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2018-1745                                  | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190000 | PA      | $1082894.76   | 0.03%             | 2036-06-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                  | PRKCM 2023-AFC1 Trust                                                            | CUSIP: 693981AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4666000 | PA      | $4686077.80   | 0.12%             | 2058-02-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                | MHC Commercial Mortgage Trust 2021-MHC                                           | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    617335 | PA      | $617335.32    | 0.02%             | 2038-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1111000 | PA      | $1109125.52   | 0.03%             | 2032-03-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO IV Ltd                           | Elmwood CLO IV Ltd                                                               | CUSIP: 29002GAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $998042.90    | 0.03%             | 2037-04-18      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2015-LC20                                  | CUSIP: 94989EAJ6<br>LEI: 549300W6NRTMFPYUPG47 | Long             | ABS-MBS          | CORP              | US        |   1764062 | PA      | $26.99        | 0.00%             | 2050-04-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                  | RCKT Mortgage Trust 2024-CES8                                                    | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3821240 | PA      | $3828734.28   | 0.10%             | 2044-11-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                         | Sagard-Halseypoint Clo 8 Ltd                                                     | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |   3670000 | PA      | $3680925.22   | 0.10%             | 2038-01-30      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134500 | PA      | $1160592.71   | 0.03%             | 2063-10-25      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2017-V Ltd                                                          | CUSIP: 12551MAL3<br>LEI: 635400BTAKRBKGRV3X14 | Long             | ABS-CBDO         | CORP              | KY        |   1080000 | PA      | $1083401.24   | 0.03%             | 2037-07-17      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                          | Affirm Master Trust                                                              | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11446000 | PA      | $11533905.28  | 0.30%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2007-HE2                            | CUSIP: 07389YAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28244 | PA      | $26733.09     | 0.00%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1945000 | PA      | $1955933.62   | 0.05%             | 2043-07-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Bank                                         | BANK 2019-BNK22                                                                  | CUSIP: 06540XBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  85561000 | PA      | $564625.60    | 0.01%             | 2062-11-15      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                      | Loanpal Solar Loan 2021-2 Ltd                                                    | CUSIP: 53948QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2896333 | PA      | $2343993.99   | 0.06%             | 2048-03-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2024-38 Ltd                                                              | CUSIP: 67120KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    590000 | PA      | $591778.85    | 0.02%             | 2038-01-21      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                     | Bear Stearns ALT-A Trust 2007-1                                                  | CUSIP: 07386XAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2696693 | PA      | $1298334.21   | 0.03%             | 2047-01-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2013-2 Ltd                                                      | CUSIP: 09626YAS9<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1252607.50   | 0.03%             | 2030-10-22      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 41B-R Ltd                                             | CUSIP: 38178AAA1<br>LEI: 2549005QZPXI5WPU4V74 | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1705693.64   | 0.05%             | 2034-01-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                | CAFL 2024-RTL1 Issuer LLC                                                        | CUSIP: 12770DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3330000 | PA      | $3375665.29   | 0.09%             | 2031-11-28      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin M               | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-H1                  | CUSIP: 59025TAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2117666 | PA      | $1992788.51   | 0.05%             | 2037-10-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                | Mastr Asset Backed Securities Trust 2006-WMC2                                    | CUSIP: 57644TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3175524 | PA      | $636101.06    | 0.02%             | 2036-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1911600 | PA      | $1466433.66   | 0.04%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 14 Ltd                                                           | CUSIP: 82667FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3850000 | PA      | $3860857.00   | 0.10%             | 2038-01-22      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XXI Ltd                                                             | CUSIP: 87166RGE1<br>LEI: 5493005CJY0RF4FJJP54 | Long             | ABS-CBDO         | CORP              | KY        |   1540097 | PA      | $1537812.06   | 0.04%             | 2032-07-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2021-1 Ltd                                                    | CUSIP: 77341KAA9<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3506362.30   | 0.09%             | 2034-07-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2023-1 Ltd                                                     | CUSIP: 69702TAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2003781.40   | 0.05%             | 2038-01-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares LVII CLO Ltd                                                                | CUSIP: 04017NAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    640000 | PA      | $641703.81    | 0.02%             | 2035-01-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Coast Investment Grade                       | COAST Commercial Mortgage Trust 2023-2HTL                                        | CUSIP: 19033EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1482334 | PA      | $1483190.20   | 0.04%             | 2036-08-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2022-VAMF                                                               | CUSIP: 05609TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397000 | PA      | $396255.63    | 0.01%             | 2039-01-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2019-3                                    | CUSIP: 92257HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    471022 | PA      | $397469.97    | 0.01%             | 2049-10-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2376380 | PA      | $2816902.22   | 0.07%             | 2060-03-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus               | WHARF Commercial Mortgage Trust 2025-DC                                          | CUSIP: 92987LAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2354000 | PA      | $2411447.96   | 0.06%             | 2040-07-15      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                | Homeward Opportunities Fund Trust 2022-1                                         | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5311948 | PA      | $5282954.66   | 0.14%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                         | OHA Loan Funding 2015-1 Ltd                                                      | CUSIP: 67109BDC5<br>LEI: 25490072LQI0R2J4XC93 | Long             | ABS-CBDO         | CORP              | KY        |   1360000 | PA      | $1363587.68   | 0.04%             | 2037-01-19      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 29 Ltd                           | Elmwood CLO 29 Ltd                                                               | CUSIP: 289913AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4250000 | PA      | $4265022.90   | 0.11%             | 2037-04-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1449285 | PA      | $1438165.16   | 0.04%             | 2032-03-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                      | BDS 2022-FL11 LLC                                                                | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    868732 | PA      | $869249.96    | 0.02%             | 2039-03-19      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| TTAN                                         | TTAN 2021-MHC                                                                    | CUSIP: 87303TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4202828 | PA      | $4204141.49   | 0.11%             | 2038-03-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                              | Oaktree CLO 2021-2 Ltd                                                           | CUSIP: 67389BAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1948719.83   | 0.05%             | 2035-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd                           | Elmwood CLO 27 Ltd                                                               | CUSIP: 29003FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $252853.55    | 0.01%             | 2037-04-18      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    843259 | PA      | $799656.70    | 0.02%             | 2040-12-17      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Voyager OPTONE Delaware Trust                | Voyager OPTONE Delaware Trust                                                    | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9178520 | PA      | $2002574.92   | 0.05%             | 2038-02-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                          | Sandstone Peak Ltd                                                               | CUSIP: 800130AQ9<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |   3360000 | PA      | $3367839.55   | 0.09%             | 2034-10-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2024-2                                        | CUSIP: 75907AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1665000 | PA      | $1677616.37   | 0.04%             | 2033-12-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust               | HLTN Commercial Mortgage Trust 2024-DPLO                                         | CUSIP: 40424UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2096000 | PA      | $2097310.00   | 0.06%             | 2041-06-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle Global Market Strategies CLO 2014-2R Ltd                                 | CUSIP: 14314LAC9<br>LEI: 549300K65HYRGER5BW54 | Long             | ABS-CBDO         | CORP              | KY        |    499270 | PA      | $499571.58    | 0.01%             | 2031-05-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    372051 | PA      | $197363.73    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Trust 2015-SRCH                                                            | CUSIP: 05547HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12500000 | PA      | $47078.75     | 0.00%             | 2035-08-10      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655000 | PA      | $658074.77    | 0.02%             | 2031-06-16      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2024-RVR                                       | CUSIP: 36272JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1263000 | PA      | $1256324.92   | 0.03%             | 2041-08-10      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2021-21 Ltd                                                              | CUSIP: 671000AL1<br>LEI: 2549000M7NBNQ7XU2038 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1499652.00   | 0.04%             | 2038-01-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO XXVIII Ltd                                                      | CUSIP: 09630PAA1<br>LEI: 5493001GLQHON6UV2U40 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $650000.00    | 0.02%             | 2034-04-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2017-B                                          | CUSIP: 83189DAB6<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |    157832 | PA      | $156038.27    | 0.00%             | 2035-10-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261AAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553820 | PA      | $547827.16    | 0.01%             | 2054-10-25      | Variable      | 9.53%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3895 | PA      | $3629.19      | 0.00%             | 2064-12-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                         | Halseypoint CLO 7 LTD                                                            | CUSIP: 40638LAL3<br>LEI: 5493000LI3XMVBCJEF82 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250000.00    | 0.01%             | 2038-07-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2022-3                                      | CUSIP: 24381YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2742000 | PA      | $2541883.36   | 0.07%             | 2067-06-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2021-2 Ltd                                                    | CUSIP: 77341LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1510000 | PA      | $1512518.38   | 0.04%             | 2034-07-20      | Floating      | 5.69%                 | 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        |   3397071 | PA      | $3421915.48   | 0.09%             | 2065-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                      | Regatta 31 Funding Ltd                                                           | CUSIP: 758962AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1749645.45   | 0.05%             | 2038-03-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       216 | PA      | $212.90       | 0.00%             | 2063-10-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2770000 | PA      | $2390655.15   | 0.06%             | 2062-04-20      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| TCI-Flatiron CLO Ltd                         | TCI-Flatiron Clo 2018-1 Ltd                                                      | CUSIP: 87232AAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    134932 | PA      | $135026.11    | 0.00%             | 2032-01-29      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                 | Saxon Asset Securities Trust 2004-2                                              | CUSIP: 805564QE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396747 | PA      | $300078.34    | 0.01%             | 2035-08-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3538338 | PA      | $3638594.68   | 0.10%             | 2039-05-10      | Variable      | 10.60%                | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2020-VIV2                                           | CUSIP: 05605NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2204000 | PA      | $2027932.80   | 0.05%             | 2044-03-09      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                          | Affirm Master Trust                                                              | CUSIP: 00833BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    897000 | PA      | $902814.35    | 0.02%             | 2033-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2022-3 Mortgage Loan Trust                                                  | CUSIP: 12659YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3015650.05   | 0.08%             | 2067-02-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance issuance Trust 2024-B                                            | CUSIP: 56847GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10404000 | PA      | $10516936.46  | 0.28%             | 2038-11-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | Reperforming Loan REMIC Trust 2005-R3                                            | CUSIP: 126694JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306350 | PA      | $251719.45    | 0.01%             | 2035-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 8 Ltd                                                      | CUSIP: 03329KAY9<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |   6670000 | PA      | $6681368.35   | 0.18%             | 2034-10-27      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-               | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1338000 | PA      | $1278930.51   | 0.03%             | 2036-01-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322000 | PA      | $290025.05    | 0.01%             | 2062-03-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei               | Securitized Asset Backed Receivables LLC Trust 2007-NC2                          | CUSIP: 81378GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    446000 | PA      | $325861.29    | 0.01%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle US CLO 2024-6 Ltd                                                        | CUSIP: 14319PAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $2603382.34   | 0.07%             | 2037-10-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                  | PRKCM 2021-AFC2 Trust                                                            | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    991310 | PA      | $877781.45    | 0.02%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Meacham Park CLO, Ltd.                       | Meacham Park Clo Ltd                                                             | CUSIP: 58286QAE5<br>LEI: 254900ZA60EDHY111387 | Long             | ABS-CBDO         | CORP              | KY        |   2270000 | PA      | $2273116.48   | 0.06%             | 2037-10-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2017-13 Ltd                                                              | CUSIP: 67097LAX4<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |    430000 | PA      | $430856.73    | 0.01%             | 2037-11-26      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                            | Battalion CLO VIII Ltd                                                           | CUSIP: 07132ACC5<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |    264901 | PA      | $264874.26    | 0.01%             | 2030-07-18      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                         | FirstKey Homes 2022-SFR1 Trust                                                   | CUSIP: 33768NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2990000 | PA      | $2952113.11   | 0.08%             | 2039-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    398047 | PA      | $360771.19    | 0.01%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust               | Long Beach Mortgage Loan Trust 2006-5                                            | CUSIP: 54251PAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2931678 | PA      | $1367451.69   | 0.04%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                               | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    894000 | PA      | $934209.17    | 0.02%             | 2041-12-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| EQT Trust 2024-EXTR                          | EQT Trust 2024-EXTR                                                              | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28949000 | PA      | $29594481.64  | 0.78%             | 2041-07-05      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    480000 | PA      | $477336.86    | 0.01%             | 2036-04-17      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                               | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28280000 | PA      | $29276502.36  | 0.77%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10073000 | PA      | $10120285.68  | 0.27%             | 2031-06-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Regatta Funding                              | Regatta XI Funding Ltd                                                           | CUSIP: 75887XAN7<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |   2660000 | PA      | $2668808.59   | 0.07%             | 2037-07-17      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8450000 | PA      | $7436818.81   | 0.20%             | 2062-04-20      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR Clo 33 Ltd                                                                   | CUSIP: 48254QAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500871.95    | 0.01%             | 2034-07-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | CARLYLE US CLO 2021-8 LTD                                                        | CUSIP: 143120AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3004869.00   | 0.08%             | 2034-10-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| AGL CLO 13 Ltd                               | AGL CLO 13 Ltd                                                                   | CUSIP: 00120JAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $652780.83    | 0.02%             | 2034-10-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1651737 | PA      | $1675629.21   | 0.04%             | 2063-10-25      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                             | Trestles CLO VI Ltd                                                              | CUSIP: 894940AQ8<br>LEI: 254900837GHK5VH7YU15 | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1299412.40   | 0.03%             | 2038-04-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  55326032 | PA      | $865122.10    | 0.02%             | 2052-02-26      | Fixed         | 0.26%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2021-B                                          | CUSIP: 78449YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1592742 | PA      | $1493050.10   | 0.04%             | 2051-07-17      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp Mortgage Loan Trust 2007-GEL2                   | CUSIP: 86363MAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1642300 | PA      | $1290262.53   | 0.03%             | 2037-05-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-HB14 LLC                                                               | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    191978 | PA      | $181790.02    | 0.00%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust 2020-1                   | RCKT Mortgage Trust 2020-1                                                       | CUSIP: 749389BK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    882339 | PA      | $792567.60    | 0.02%             | 2050-02-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg               | DBJPM 2017-C6 Mortgage Trust                                                     | CUSIP: 23312JAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11214000 | PA      | $183838.95    | 0.00%             | 2050-06-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XX                                                                    | CUSIP: 03765LAP7<br>LEI: 5493008YDOADR1DMZM86 | Long             | ABS-CBDO         | CORP              | KY        |    439607 | PA      | $440223.79    | 0.01%             | 2031-07-16      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-III Ltd                                                        | CUSIP: 12551YAA1<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |    642839 | PA      | $643709.22    | 0.02%             | 2031-07-18      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                      | BDS 2022-FL12 LLC                                                                | CUSIP: 07336CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    885251 | PA      | $885776.07    | 0.02%             | 2038-08-19      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ACZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357224 | PA      | $317923.59    | 0.01%             | 2035-11-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                   | MIRA Trust 2023-MILE                                                             | CUSIP: 55318EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1978000 | PA      | $2058528.53   | 0.05%             | 2038-06-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                  | VEGAS Trust 2024-TI                                                              | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2520000 | PA      | $2553705.76   | 0.07%             | 2039-11-10      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne               | PRET 2024-RN2 LLC                                                                | CUSIP: 69391YAA5<br>LEI: 254900D7MDAANUUXWQ05 | Long             | ABS-O            | CORP              | US        |   1413159 | PA      | $1422007.87   | 0.04%             | 2054-04-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381JNH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    799823 | PA      | $730988.74    | 0.02%             | 2065-05-16      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3997 | PA      | $1870.52      | 0.00%             | 2060-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    337000 | PA      | $337840.88    | 0.01%             | 2041-10-15      | Floating      | 10.28%                | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6149714 | PA      | $6127757.39   | 0.16%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33997117 | PA      | $951864.89    | 0.03%             | 2065-05-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga               | MF1 2022-FL10 LLC                                                                | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1134178 | PA      | $1137111.07   | 0.03%             | 2037-09-17      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2022-3                                                | CUSIP: 92538UAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2188000 | PA      | $1732981.33   | 0.05%             | 2067-02-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 Trust  | CUSIP: 93934FHV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1049436 | PA      | $887998.87    | 0.02%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                 | Huntington Bank Auto Credit-Linked Notes Series 2024-1                           | CUSIP: 44644NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7077234 | PA      | $7117185.00   | 0.19%             | 2032-05-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2021-SFR5 Trust                                             | CUSIP: 74333FAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1808000 | PA      | $1752926.33   | 0.05%             | 2038-07-17      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Orchard Park CLO, LTD.                       | Orchard Park Clo Ltd                                                             | CUSIP: 68563JAA2<br>LEI: 3912000K0W3TWP1KMO81 | Long             | ABS-CBDO         | CORP              | KY        |  14850000 | PA      | $14904033.21  | 0.39%             | 2037-10-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2019-B                                          | CUSIP: 83192CAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1260922 | PA      | $1230484.70   | 0.03%             | 2037-06-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                  | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2422223 | PA      | $2428278.70   | 0.06%             | 2038-07-15      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2018-C46                                   | CUSIP: 95001QAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3740000 | PA      | $3684508.50   | 0.10%             | 2051-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2023-PL1                                               | CUSIP: 64034UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1760802 | PA      | $1787348.11   | 0.05%             | 2053-11-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3073712 | PA      | $87216.28     | 0.00%             | 2052-02-26      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2019-GC44 Mortgage Trust                                                    | CUSIP: 12655TBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38092981 | PA      | $727751.17    | 0.02%             | 2057-08-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469200 | PA      | $472021.96    | 0.01%             | 2064-01-25      | Variable      | 8.70%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24200110 | PA      | $24454843.18  | 0.65%             | 2065-05-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                          | Sound Point CLO II Ltd                                                           | CUSIP: 83608GAN6<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |     61396 | PA      | $61447.69     | 0.00%             | 2031-01-26      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp H               | Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6         | CUSIP: 04541GTQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    914000 | PA      | $820871.72    | 0.02%             | 2035-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-8R Ltd                                                              | CUSIP: 670898AQ8<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |   3168864 | PA      | $3174400.01   | 0.08%             | 2036-10-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 76 B Ltd                                              | CUSIP: 38180BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    490000 | PA      | $491721.32    | 0.01%             | 2037-10-25      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru               | OneMain Financial Issuance Trust 2023-2                                          | CUSIP: 68269HAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1720000 | PA      | $1770488.36   | 0.05%             | 2036-09-15      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2024-11                                                 | CUSIP: 03463QAA4<br>LEI: 2549009VFCBSE99NTJ29 | Long             | ABS-MBS          | CORP              | US        |   2645121 | PA      | $2654643.54   | 0.07%             | 2069-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2283700 | PA      | $1818018.17   | 0.05%             | 2063-05-25      | None          | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-HYB1                                        | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1107887 | PA      | $947134.30    | 0.03%             | 2037-03-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2007-5                                            | CUSIP: 07325WAE2<br>LEI: 549300I4K1GWFS0CTQ34 | Long             | ABS-MBS          | CORP              | US        |   2029706 | PA      | $1124535.03   | 0.03%             | 2037-10-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015600 | PA      | $1013361.92   | 0.03%             | 2064-06-25      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2015-10 Ltd                                                              | CUSIP: 67092DBD0<br>LEI: 254900FZYL5HDKV64882 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4011568.00   | 0.11%             | 2038-01-26      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust               | Upgrade Master Pass-Thru Trust Series 2025-ST4                                   | CUSIP: 91533MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3263000 | PA      | $3263000.00   | 0.09%             | 2032-08-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2021-SFR9 Trust                                             | CUSIP: 74333QAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2293819.68   | 0.06%             | 2040-11-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock CLO 25 Ltd                                                             | CUSIP: 05876QAQ5<br>LEI: 2549000LY2B016K4LA62 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999303.60    | 0.03%             | 2038-01-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                | Citigroup Commercial Mortgage Trust 2016-P3                                      | CUSIP: 29429CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2635000 | PA      | $2595037.06   | 0.07%             | 2049-04-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                        | Terwin Mortgage Trust Series TMTS 2005-10HE                                      | CUSIP: 881561VF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256769 | PA      | $229186.97    | 0.01%             | 2036-06-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-15                                          | CUSIP: 17025TBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    621521 | PA      | $222490.94    | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2015-I Ltd                                                          | CUSIP: 12548MBF1<br>LEI: 5493001TP5YQV9X08Z14 | Long             | ABS-CBDO         | CORP              | KY        |    628919 | PA      | $629347.36    | 0.02%             | 2031-01-22      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XLII Ltd                                                    | CUSIP: 04966HAG1<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |   1610000 | PA      | $1613527.67   | 0.04%             | 2030-11-21      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                  | CUSIP: 466317AQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2977653 | PA      | $2814565.47   | 0.07%             | 2037-04-15      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                          | Eaton Vance CLO 2014-1R Ltd                                                      | CUSIP: 27830TAC9<br>LEI: 549300FPTLP8I41O7F48 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250167.98    | 0.01%             | 2030-07-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Trust 2019-GSA1                                           | CUSIP: 36261PAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2587000 | PA      | $2439995.28   | 0.06%             | 2052-11-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Regatta 30 Funding Ltd.                      | Regatta 30 Funding Ltd                                                           | CUSIP: 75903UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1510000 | PA      | $1514999.76   | 0.04%             | 2038-01-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                       | Argent Mortgage Loan Trust 2005-W1                                               | CUSIP: 040104MY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36056 | PA      | $29316.32     | 0.00%             | 2035-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                      | Bryant Park Funding 2024-25 Ltd                                                  | CUSIP: 117913AG8<br>LEI: 391200WG98O5N39H7C57 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501921.25    | 0.01%             | 2038-01-18      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| SESAC Finance, LLC                           | Sesac Finance LLC                                                                | CUSIP: 78396YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    665575 | PA      | $678735.15    | 0.02%             | 2054-01-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| Radian Mortgage Capital Trust                | Radian Mortgage Capital Trust 2024-J2                                            | CUSIP: 75023WAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2935009 | PA      | $2928676.53   | 0.08%             | 2055-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                               | Romark WM-R Ltd                                                                  | CUSIP: 77587AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    977215 | PA      | $978118.61    | 0.03%             | 2031-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                          | ASSURANT CLO II LTD                                                              | CUSIP: 04623TAA3<br>LEI: 6354003JXBM4LA5YCP98 | Long             | ABS-CBDO         | CORP              | KY        |     66814 | PA      | $66808.51     | 0.00%             | 2031-04-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2007-HE3                            | CUSIP: 073852AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $347971.76    | 0.01%             | 2037-04-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR 2023-STON Mortgage Trust                                                     | CUSIP: 05593GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2722000 | PA      | $2834540.55   | 0.07%             | 2039-12-05      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M                 | CUSIP: 46652RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    926000 | PA      | $891522.80    | 0.02%             | 2033-10-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC2 Trust | CUSIP: 93936LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    653842 | PA      | $601096.59    | 0.02%             | 2037-06-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur               | BHG Securitization Trust 2022-C                                                  | CUSIP: 08860DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    572862 | PA      | $574757.17    | 0.02%             | 2035-10-17      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                | Homeward Opportunities Fund I Trust 2020-2                                       | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4160000 | PA      | $4145915.49   | 0.11%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2016-3 Ltd                                                      | CUSIP: 09628VAW4<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |   5416877 | PA      | $5422306.45   | 0.14%             | 2030-11-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Trust 2017-PFHP                                                             | CUSIP: 12595KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134634 | PA      | $134236.40    | 0.00%             | 2030-12-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | Cifc Funding 2023-III Ltd                                                        | CUSIP: 12598YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1708122.60   | 0.05%             | 2037-01-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XXIX Ltd                                             | CUSIP: 08186EAL2<br>LEI: 549300DICNUWMUKL3816 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $999000.00    | 0.03%             | 2038-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                    | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3379000 | PA      | $3195440.89   | 0.08%             | 2031-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| MCM 2021-VFN1: NOTE CMO/WHOLE                | MCM 2021-VFN1: NOTE CMO/WHOLE                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1185455 | PA      | $1138588.66   | 0.03%             | 2031-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO VI 2016-2 Ltd                                                           | CUSIP: 87246MAS1<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4508100.00   | 0.12%             | 2034-01-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a               | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248P8AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1793261 | PA      | $1458970.11   | 0.04%             | 2036-10-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3802695 | PA      | $3810919.15   | 0.10%             | 2041-04-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2024-2                                                  | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1091943 | PA      | $1089536.69   | 0.03%             | 2050-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT             | CDS CMBX.NA.BBB-.10                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |         1 | NC      | $-188250.00   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos Clo Xxv                                                                   | CUSIP: 03762YBH9<br>LEI: 254900C9NN5XS59HZV73 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4505726.70   | 0.12%             | 2037-01-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-HB15 LLC                                                               | CUSIP: 15723AAC5<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |    358000 | PA      | $343417.23    | 0.01%             | 2034-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                              | AREIT 2022-CRE7 LLC                                                              | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1295788 | PA      | $1296290.23   | 0.03%             | 2039-06-17      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    873400 | PA      | $857216.68    | 0.02%             | 2064-12-26      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-2                                    | CUSIP: 92259PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610013 | PA      | $1628517.80   | 0.04%             | 2054-04-25      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                 | Post CLO VI Ltd                                                                  | CUSIP: 73742RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1650000 | PA      | $1657880.40   | 0.04%             | 2038-01-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    561274 | PA      | $503281.14    | 0.01%             | 2060-04-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Dewolf Park clo, ltd                         | Dewolf Park CLO Ltd                                                              | CUSIP: 25211AAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3040676 | PA      | $3042194.06   | 0.08%             | 2030-10-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3407106 | PA      | $3310192.26   | 0.09%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-1                                    | CUSIP: 922955AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3994885 | PA      | $4023881.16   | 0.11%             | 2055-02-25      | Variable      | 10.15%                | No            |                  2 | On Loan: No      |
| Milos CLO, LTD                               | Milos CLO Ltd                                                                    | CUSIP: 60162PAG7<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250556.35    | 0.01%             | 2030-10-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2680000 | PA      | $2653377.15   | 0.07%             | 2062-04-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10388582 | PA      | $10520453.30  | 0.28%             | 2063-10-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| AGL CLO 13 Ltd                               | AGL CLO 13 Ltd                                                                   | CUSIP: 00120JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $450900.00    | 0.01%             | 2034-10-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2021-NQM1                                                                   | CUSIP: 126407AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3299166 | PA      | $2594482.29   | 0.07%             | 2065-05-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                    | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6747000 | PA      | $6742783.13   | 0.18%             | 2041-10-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-1                                    | CUSIP: 92261CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3014682 | PA      | $3050777.39   | 0.08%             | 2054-01-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 119 CLO Ltd                                                               | CUSIP: 26254KAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005956.50   | 0.03%             | 2036-04-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-H1 Mortgage Trust                                                     | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3719507 | PA      | $3737200.76   | 0.10%             | 2070-02-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust               | ARES1 2024-IND2                                                                  | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9250000 | PA      | $9258652.45   | 0.24%             | 2034-10-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2021-4 Ltd                                                     | CUSIP: 69702EAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250000.00    | 0.01%             | 2034-10-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                            | PRPM 2024-NQM1 Trust                                                             | CUSIP: 693977AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2067000 | PA      | $2059171.24   | 0.05%             | 2068-12-25      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                          | CBAM 2020-12 Ltd                                                                 | CUSIP: 12509VAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    810000 | PA      | $810804.65    | 0.02%             | 2034-07-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                            | PRPM 2022-NQM1 Trust                                                             | CUSIP: 69378KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335500 | PA      | $326650.89    | 0.01%             | 2067-08-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145000 | PA      | $1145088.39   | 0.03%             | 2064-12-26      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2022-3                                      | CUSIP: 24381YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1349000 | PA      | $1186437.27   | 0.03%             | 2067-06-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Trust 2019-GSA1                                           | CUSIP: 36261PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2530000 | PA      | $2304097.31   | 0.06%             | 2052-11-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2007-QO2 Trust                                                       | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2654156 | PA      | $803781.02    | 0.02%             | 2047-02-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXIX LTD                                                    | CUSIP: 55820CAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11500000 | PA      | $11488500.00  | 0.30%             | 2038-03-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-3                                    | CUSIP: 92258RAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2259088 | PA      | $1586112.71   | 0.04%             | 2051-10-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-I Ltd                                                          | CUSIP: 12553DAW7<br>LEI: 254900RRJV30GDUWIX97 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250638.05    | 0.01%             | 2037-10-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2005-QS15 Trust                                                      | CUSIP: 761118KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3855726 | PA      | $3403648.84   | 0.09%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124000 | PA      | $107088.06    | 0.00%             | 2062-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1699155 | PA      | $1694463.71   | 0.04%             | 2061-01-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1022050 | PA      | $870110.46    | 0.02%             | 2049-07-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Bay View Federal Savings And L               | BAY 2025-LIVN Mortgage Trust                                                     | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13237000 | PA      | $13247691.52  | 0.35%             | 2035-05-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2               | JW Commercial Mortgage Trust 2024-MRCO                                           | CUSIP: 46657XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10813000 | PA      | $10819740.82  | 0.29%             | 2039-06-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    937946 | PA      | $1013345.04   | 0.03%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2022-2                                      | CUSIP: 24380XAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884000 | PA      | $782060.04    | 0.02%             | 2067-03-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                   | NCMF Trust 2025-MFS                                                              | CUSIP: 62887TAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9942000 | PA      | $10093023.95  | 0.27%             | 2033-06-10      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2007-WFHE2                                         | CUSIP: 17312BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4816238.00   | 0.13%             | 2037-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2007-HE5                            | CUSIP: 073859AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6016636 | PA      | $5196953.72   | 0.14%             | 2047-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-3                                    | CUSIP: 92262RAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2218460 | PA      | $2240209.00   | 0.06%             | 2055-06-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos Clo Lii                                                                   | CUSIP: 03771NAA8<br>LEI: 254900XJH54T9O9TH452 | Long             | ABS-CBDO         | CORP              | KY        |   2290000 | PA      | $2285420.00   | 0.06%             | 2038-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun               | Gracie Point International Funding 2024-1 LLC                                    | CUSIP: 38410KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4053000 | PA      | $4060523.18   | 0.11%             | 2028-03-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXVI                                                                 | CUSIP: 03769LAE8<br>LEI: 549300NWD6NYUKJT1J26 | Long             | ABS-CBDO         | CORP              | KY        |    740000 | PA      | $741510.34    | 0.02%             | 2034-07-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                               | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4400000 | PA      | $4591118.40   | 0.12%             | 2041-12-10      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1684 | PA      | $1639.49      | 0.00%             | 2065-05-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2021-VIV5                                           | CUSIP: 05605VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1522000 | PA      | $1373906.36   | 0.04%             | 2044-03-09      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3544100 | PA      | $3545207.53   | 0.09%             | 2038-10-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman Loan Advisers CLO 46 Ltd                                        | CUSIP: 64134QAL1<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | KY        |   1220000 | PA      | $1218712.53   | 0.03%             | 2037-01-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2024-A                                 | CUSIP: 63943CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8293513 | PA      | $8400626.97   | 0.22%             | 2072-10-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2023-DELC                                                               | CUSIP: 05610DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5023000 | PA      | $5054326.44   | 0.13%             | 2038-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2018-1 Ltd                                                    | CUSIP: 77342JAA1<br>LEI: 549300KPFGDIQ0PMP224 | Long             | ABS-CBDO         | CORP              | KY        |    672295 | PA      | $673160.96    | 0.02%             | 2031-05-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1037634 | PA      | $1040730.44   | 0.03%             | 2064-01-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                           | Elmwood CLO I Ltd                                                                | CUSIP: 290015AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250883.70    | 0.01%             | 2037-04-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1734555 | PA      | $1337229.36   | 0.04%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Issuer Trust 2024-2                                    | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1940764 | PA      | $1957045.88   | 0.05%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                    | BXP Trust 2021-601L                                                              | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $876470.45    | 0.02%             | 2044-01-15      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-9CB                                                  | CUSIP: 12667GEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010838 | PA      | $892294.68    | 0.02%             | 2035-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XX Ltd                                               | CUSIP: 08182FAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1360000 | PA      | $1362397.27   | 0.04%             | 2034-07-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                | RFMSI Series 2006-SA4 Trust                                                      | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155517 | PA      | $127744.77    | 0.00%             | 2036-11-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189812 | PA      | $182608.92    | 0.00%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3678425 | PA      | $2649028.86   | 0.07%             | 2063-05-25      | None          | 2.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXXV Ltd                                                    | CUSIP: 55819MAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    720000 | PA      | $720131.90    | 0.02%             | 2032-04-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2024-SFR2 Trust                                             | CUSIP: 74290XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1842941.40   | 0.05%             | 2041-04-17      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                    | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25                      | CUSIP: 61765TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1317809 | PA      | $1314361.21   | 0.03%             | 2048-10-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Clover CLO                                   | Clover CLO 2018-1 LLC                                                            | CUSIP: 18914GAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501815.85    | 0.01%             | 2037-04-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                  | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2287044 | PA      | $2200541.38   | 0.06%             | 2059-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-29CB                                                 | CUSIP: 12667GUS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214519 | PA      | $124187.61    | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2020-4                                                | CUSIP: 92538LAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2596169.94   | 0.07%             | 2065-05-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-6                                    | CUSIP: 92261BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975019 | PA      | $972146.62    | 0.03%             | 2054-12-25      | Variable      | 9.67%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a               | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 14983AAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5468062 | PA      | $186255.86    | 0.00%             | 2036-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | Oak Hill Credit Partners X-R Ltd                                                 | CUSIP: 67707CBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2290000 | PA      | $2287947.70   | 0.06%             | 2038-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 49 Senior Loan Fund                                                       | CUSIP: 26244QAN3<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |    373300 | PA      | $373585.11    | 0.01%             | 2030-07-18      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                          | BHMS 2018-ATLS                                                                   | CUSIP: 05549GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2598886.42   | 0.07%             | 2035-07-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trus               | Spruce Hill Mortgage Loan Trust 2022-SH1                                         | CUSIP: 85213XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680074 | PA      | $651046.68    | 0.02%             | 2057-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1194000 | PA      | $1199604.99   | 0.03%             | 2031-06-16      | Fixed         | 9.28%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                       | SLM Private Credit Student Loan Trust 2005-B                                     | CUSIP: 78443CCB8<br>LEI: 549300FE2YWO5PJ3Q820 | Long             | ABS-O            | CORP              | US        |    561751 | PA      | $547490.00    | 0.01%             | 2039-06-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2021-2                                        | CUSIP: 75907UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    820000 | PA      | $763343.33    | 0.02%             | 2033-08-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-AIRC                                           | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6298028 | PA      | $6321645.87   | 0.17%             | 2039-08-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566000 | PA      | $565469.38    | 0.01%             | 2036-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust               | WMRK Commercial Mortgage Trust 2022-WMRK                                         | CUSIP: 929342AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3829000 | PA      | $3829000.00   | 0.10%             | 2027-11-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-VI Ltd                                                         | CUSIP: 12553SAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    580000 | PA      | $580696.87    | 0.02%             | 2034-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                           | Shackleton 2013-III CLO Ltd                                                      | CUSIP: 81881QAS5<br>LEI: 549300S9WB2KLCOJR134 | Long             | ABS-CBDO         | CORP              | KY        |     53809 | PA      | $53808.96     | 0.00%             | 2030-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1982341 | PA      | $1175126.32   | 0.03%             | 2062-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition               | JP Morgan Mortgage Acquisition Trust 2006-CH1                                    | CUSIP: 46629TAM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3498000 | PA      | $3131711.83   | 0.08%             | 2036-07-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo               | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                           | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     94010 | PA      | $94009.73     | 0.00%             | 2037-01-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                      | BDS 2024-FL13 LLC                                                                | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1946000 | PA      | $1946326.93   | 0.05%             | 2039-09-19      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1311692 | PA      | $591879.99    | 0.02%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2019-C49                                   | CUSIP: 95001WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354000 | PA      | $305386.74    | 0.01%             | 2052-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Commercial Mortgage Trust 2024-UNIV                                         | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1723000 | PA      | $1721189.99   | 0.05%             | 2041-11-15      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 10 Ltd                                                           | CUSIP: 09090JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $3412900.62   | 0.09%             | 2038-01-22      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| CFSP Mortgage Trust                          | CFSP 2024-AHP1 Mortgage Trust                                                    | CUSIP: 15723BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6544817 | PA      | $6269659.07   | 0.17%             | 2037-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2016-3 Ltd                                                      | CUSIP: 09628VAY0<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000739.10   | 0.03%             | 2030-11-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust Series 2024-VIS2                                        | CUSIP: 46658DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3289000 | PA      | $3296177.26   | 0.09%             | 2064-11-25      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2017-1 Ltd                                                              | CUSIP: 92916MAF8<br>LEI: 54930054YW6PM1FPVU95 | Long             | ABS-CBDO         | CORP              | KY        |     52147 | PA      | $52174.26     | 0.00%             | 2030-04-17      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                        | Sixth Street CLO IX Ltd                                                          | CUSIP: 83012CAC9<br>LEI: 549300T5OQR4UD880D68 | Long             | ABS-CBDO         | CORP              | KY        |   1290000 | PA      | $1294273.25   | 0.03%             | 2037-07-21      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se               | Natixis Commercial Mortgage Securities Trust 2017-75B                            | CUSIP: 63874EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1617820.56   | 0.04%             | 2037-04-10      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust               | Carrington Mortgage Loan Trust Series 2006-FRE2                                  | CUSIP: 14454AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1267580 | PA      | $959489.43    | 0.03%             | 2036-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-2                                                    | CUSIP: 52590AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1905000 | PA      | $1907077.97   | 0.05%             | 2034-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133354 | PA      | $108203.62    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2021-FCMT                                  | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4660000 | PA      | $4637105.42   | 0.12%             | 2031-05-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2019-B12 Mortgage Trust                                                | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34569922 | PA      | $970934.27    | 0.03%             | 2052-08-15      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed               | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust         | CUSIP: 93934XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2269918 | PA      | $1708291.02   | 0.05%             | 2036-10-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38379U6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9586694 | PA      | $295164.73    | 0.01%             | 2056-12-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun               | GRACIE POINT INTERNATIONAL FUNDING 2023-1                                        | CUSIP: 383931AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1364575 | PA      | $1366794.87   | 0.04%             | 2026-09-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust               | ILPT Commercial Mortgage Trust 2025-LPF2                                         | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8890000 | PA      | $9020400.30   | 0.24%             | 2042-07-15      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Bayswater Park CLO Ltd                       | Bayswater Park CLO Ltd                                                           | CUSIP: 072929AA0<br>LEI: 254900BXH0PMWI87VS84 | Long             | ABS-CBDO         | CORP              | JE        |    660000 | PA      | $663167.34    | 0.02%             | 2037-01-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                         | CHNGE Mortgage Trust 2022-4                                                      | CUSIP: 12551SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387023 | PA      | $388374.57    | 0.01%             | 2057-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2023-2                                    | CUSIP: 92260AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525052 | PA      | $526260.97    | 0.01%             | 2053-05-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-28CB                                                 | CUSIP: 02147TAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645014 | PA      | $318052.10    | 0.01%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P               | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FNAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12845000 | PA      | $409237.85    | 0.01%             | 2029-06-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Bank5                                        | BANK5 2024-5YR11                                                                 | CUSIP: 06644WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $439988.47    | 0.01%             | 2057-11-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Keycorp Student Loan Trust                   | KeyCorp Student Loan Trust 2004-A                                                | CUSIP: 493268CB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1912062 | PA      | $1835231.73   | 0.05%             | 2042-07-28      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2020-VIV3                                           | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2788437 | PA      | $2592906.50   | 0.07%             | 2044-03-09      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                | BLP Commercial Mortgage Trust 2023-IND                                           | CUSIP: 055531AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1162000 | PA      | $1163089.38   | 0.03%             | 2040-03-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2176244 | PA      | $1298748.18   | 0.03%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 15 Ltd                           | Elmwood CLO 15 Ltd                                                               | CUSIP: 29003JAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1625000 | PA      | $1632734.51   | 0.04%             | 2035-04-22      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Nationstar Home Equity Loan Tr               | Nationstar Home Equity Loan Trust 2007-B                                         | CUSIP: 63860LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $363853.23    | 0.01%             | 2037-04-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2007-3T1                                                  | CUSIP: 02149VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1116639 | PA      | $491765.66    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust   | CUSIP: 939344AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80816 | PA      | $71076.88     | 0.00%             | 2036-05-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor               | Banc of America Funding 2014-R2 Trust                                            | CUSIP: 05968KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7003126 | PA      | $2426953.56   | 0.06%             | 2036-11-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Merit                                        | MHP 2021-STOR                                                                    | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1105000 | PA      | $1105000.00   | 0.03%             | 2038-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor               | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-S5               | CUSIP: 65538AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88281 | PA      | $112023.51    | 0.00%             | 2036-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-AIR2                                           | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3031009 | PA      | $3036679.97   | 0.08%             | 2041-10-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp                                                 | CUSIP: 86359DMC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    602727 | PA      | $516436.51    | 0.01%             | 2035-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                    | College Ave Student Loans 2021-B LLC                                             | CUSIP: 19425AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401138 | PA      | $363115.56    | 0.01%             | 2052-06-25      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA1 Trust | CUSIP: 93935NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130296 | PA      | $105045.49    | 0.00%             | 2046-12-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-13T1                                                 | CUSIP: 12668BZD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1646772 | PA      | $738035.60    | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1783356.72   | 0.05%             | 2052-07-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                   | Morgan Stanley ABS Capital I Inc Trust 2006-HE8                                  | CUSIP: 61750SAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1275648 | PA      | $552438.81    | 0.01%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                          | BWAY Trust 2025-1535                                                             | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    747000 | PA      | $768770.79    | 0.02%             | 2042-05-05      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2020-SPT1 Trust                                                             | CUSIP: 12659LAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8400000 | PA      | $7048911.24   | 0.19%             | 2065-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2022-1                                    | CUSIP: 92258XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5098442 | PA      | $4064685.89   | 0.11%             | 2052-02-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital CLO 9 Ltd                                                       | CUSIP: 25254AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    657000 | PA      | $656343.00    | 0.02%             | 2038-04-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38384CEP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1424527 | PA      | $1149948.67   | 0.03%             | 2065-04-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Myers Park CLO LTD                           | Myers Park CLO Ltd                                                               | CUSIP: 62848FAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1010000 | PA      | $1012229.47   | 0.03%             | 2030-10-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2019-L2                                           | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10215319 | PA      | $308830.54    | 0.01%             | 2052-03-15      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28227541 | PA      | $800953.64    | 0.02%             | 2052-02-26      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2007-4                                            | CUSIP: 07326BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4079969 | PA      | $3820883.11   | 0.10%             | 2037-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                    | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1282000 | PA      | $1281198.75   | 0.03%             | 2041-10-15      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital Clo 1 Ltd                                                       | CUSIP: 25255DAL4<br>LEI: 25490018I1ROE4V49X69 | Long             | ABS-CBDO         | CORP              | KY        |  11025000 | PA      | $11077046.82  | 0.29%             | 2037-10-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2007-6                                             | CUSIP: 17312VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3342148 | PA      | $2459597.17   | 0.06%             | 2037-03-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Long Point Park CLO Ltd                      | Long Point Park CLO Ltd                                                          | CUSIP: 542798AE3<br>LEI: 549300639DPKTBUSCC77 | Long             | ABS-CBDO         | CORP              | KY        |    820000 | PA      | $819783.36    | 0.02%             | 2030-01-17      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                | Homeward Opportunities Fund Trust 2022-1                                         | CUSIP: 43789KAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3077000 | PA      | $3007466.88   | 0.08%             | 2067-07-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                    | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -22139000 | PA      | $-18352580.78 | -0.48%            | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA1 Trust | CUSIP: 93935NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2159159 | PA      | $1943046.42   | 0.05%             | 2046-12-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-HTL Mortgage Trust                                                      | CUSIP: 55286PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190949 | PA      | $190770.04    | 0.01%             | 2037-02-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2009-12                                            | CUSIP: 173097AK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5152148 | PA      | $2243126.15   | 0.06%             | 2037-07-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                          | DBGS 2018-5BP Mortgage Trust                                                     | CUSIP: 33830CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4775000.00   | 0.13%             | 2033-06-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 7 Ltd                                                         | CUSIP: 67098WAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3520000 | PA      | $3530288.26   | 0.09%             | 2037-02-24      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust | CUSIP: 939355AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510808 | PA      | $441454.01    | 0.01%             | 2047-04-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4538250 | PA      | $4498513.27   | 0.12%             | 2061-06-25      | Variable      | 3.75%                 | 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        |    172439 | PA      | $158327.56    | 0.00%             | 2045-11-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor               | TCO Commercial Mortgage Trust 2024-DPM                                           | CUSIP: 87231EAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387000 | PA      | $383142.77    | 0.01%             | 2039-12-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1925525 | PA      | $1939919.38   | 0.05%             | 2064-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur               | BHG Securitization Trust 2021-A                                                  | CUSIP: 08861YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43480 | PA      | $42726.55     | 0.00%             | 2033-11-17      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1979000 | PA      | $1750245.61   | 0.05%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2021-2                                                    | CUSIP: 52604DAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4630000 | PA      | $4314046.95   | 0.11%             | 2032-04-20      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                        | One Bryant Park Trust 2019-OBP                                                   | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1930000 | PA      | $1757074.90   | 0.05%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX 2024-PALM                                                                     | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9565962 | PA      | $9565961.54   | 0.25%             | 2037-06-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne               | PRET 2024-NPL5 LLC                                                               | CUSIP: 74143QAA3<br>LEI: 254900YWXIBNNDQF0Y67 | Long             | ABS-O            | CORP              | US        |   3540084 | PA      | $3543916.39   | 0.09%             | 2054-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru               | OneMain Financial Issuance Trust 2021-1                                          | CUSIP: 68269MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4390911.08   | 0.12%             | 2036-06-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256829 | PA      | $196215.64    | 0.01%             | 2052-02-26      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Regatta XIX Funding Ltd                      | Regatta XIX Funding Ltd                                                          | CUSIP: 75888EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250860.50    | 0.01%             | 2035-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136622 | PA      | $124594.50    | 0.00%             | 2049-03-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                            | PRPM 2025-NQM1 Trust                                                             | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9993702 | PA      | $10075282.74  | 0.27%             | 2069-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2021-4 Ltd                                               | CUSIP: 05685AAQ1<br>LEI: 254900YJBP8866ZPO033 | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $350595.00    | 0.01%             | 2034-10-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 60 CLO Ltd                                                                | CUSIP: 26251NAB6<br>LEI: 549300KI3ILQQHC87U86 | Long             | ABS-CBDO         | CORP              | KY        |    141969 | PA      | $142147.36    | 0.00%             | 2031-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Orchard Park CLO, LTD.                       | Orchard Park Clo Ltd                                                             | CUSIP: 68563JAC8<br>LEI: 3912000K0W3TWP1KMO81 | Long             | ABS-CBDO         | CORP              | KY        |   1340000 | PA      | $1342643.15   | 0.04%             | 2037-10-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-R1 LLC                                                                 | CUSIP: 12530YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1285299 | PA      | $1261260.37   | 0.03%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo               | Structured Asset Investment Loan Trust 2004-10                                   | CUSIP: 86358EPB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82501 | PA      | $90166.15     | 0.00%             | 2034-11-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2005-J2                                          | CUSIP: 12669GV81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2189640 | PA      | $1395873.31   | 0.04%             | 2035-08-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS 2018-CHRS Mortgage Trust                                                   | CUSIP: 05491VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $540345.65    | 0.01%             | 2038-08-05      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-22T1                                                 | CUSIP: 12667GGN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    981745 | PA      | $865121.25    | 0.02%             | 2035-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle Global Market Strategies CLO 2014-3-R Ltd                                | CUSIP: 14315LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    137027 | PA      | $137015.00    | 0.00%             | 2031-07-27      | Floating      | 5.59%                 | 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        |    221054 | PA      | $208224.90    | 0.01%             | 2067-01-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| BEECH                                        | BEECH                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | IE        |   2382173 | PA      | $2806080.23   | 0.07%             | 2027-05-17      | Floating      | 6.05%                 | No            |                  3 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-6                                    | CUSIP: 92261BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1543394 | PA      | $1538474.67   | 0.04%             | 2054-12-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housin               | Lehman ABS Manufactured Housing Contract Trust 2002-A                            | CUSIP: 52519SAX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360922 | PA      | $357184.86    | 0.01%             | 2033-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-2                  | CHNGE Mortgage Trust 2022-2                                                      | CUSIP: 12546YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6533086 | PA      | $6356075.55   | 0.17%             | 2067-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-6                                    | CUSIP: 92261BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    843043 | PA      | $842411.32    | 0.02%             | 2054-12-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Regatta VII Funding Ltd                      | Regatta VII Funding Ltd                                                          | CUSIP: 75888ABJ4<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250400.28    | 0.01%             | 2034-06-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Trust 2015-GC32                                           | CUSIP: 36250PAL9<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |    881000 | PA      | $855000.54    | 0.02%             | 2048-07-10      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust               | Long Beach Mortgage Loan Trust 2006-2                                            | CUSIP: 542514TQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    531888 | PA      | $415164.10    | 0.01%             | 2046-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2007-6                                             | CUSIP: 17312VAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    999243 | PA      | $924538.70    | 0.02%             | 2037-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-OA11                                                 | CUSIP: 02147DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192069 | PA      | $178453.36    | 0.00%             | 2046-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XII-B Ltd                                            | CUSIP: 081917AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1702284.63   | 0.04%             | 2037-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Wildwood Park CLO LTD                        | Wildwood Park CLO Ltd                                                            | CUSIP: 968209AA4<br>LEI: 254900BZ1VFIEIOEK304 | Long             | ABS-CBDO         | CORP              | JE        |   2390000 | PA      | $2400010.75   | 0.06%             | 2037-10-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                  | STWD Trust 2021-FLWR                                                             | CUSIP: 78485GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100700 | PA      | $1100012.23   | 0.03%             | 2036-07-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding LXII Ltd                                                    | CUSIP: 55817HAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $1800000.00   | 0.05%             | 2036-07-17      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-2                                                    | CUSIP: 52590AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    935000 | PA      | $931536.85    | 0.02%             | 2034-02-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2015-PC1 Mortgage Trust                                                     | CUSIP: 12593GAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1560490 | PA      | $1519136.68   | 0.04%             | 2050-07-10      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-XL5                                            | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900844 | PA      | $2903563.67   | 0.08%             | 2041-03-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housin               | Pagaya AI Technology in Housing Trust 2023-1                                     | CUSIP: 69547YAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $827470.80    | 0.02%             | 2040-10-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                 | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2932000 | PA      | $2935880.50   | 0.08%             | 2040-04-13      | Variable      | 10.66%                | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6778636 | PA      | $6451691.24   | 0.17%             | 2061-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXIX Ltd                                                             | CUSIP: 03766HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   5000000 | PA      | $5014933.50   | 0.13%             | 2035-04-21      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-GPA3                                           | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4060302 | PA      | $4064108.15   | 0.11%             | 2039-12-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9077614 | PA      | $8581727.17   | 0.23%             | 2062-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Regatta Funding                              | Regatta XI Funding Ltd                                                           | CUSIP: 75887XAQ0<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |   4650000 | PA      | $4663032.56   | 0.12%             | 2037-07-17      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV               | Octagon Investment Partners XVII Ltd                                             | CUSIP: 67590GBG3<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |    100650 | PA      | $100683.76    | 0.00%             | 2031-01-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2018-3 Ltd                                                      | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1182579 | PA      | $1183863.31   | 0.03%             | 2030-10-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381JDG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    791415 | PA      | $717880.10    | 0.02%             | 2063-09-16      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2020-2                                                   | CUSIP: 61946PAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1064840 | PA      | $871570.30    | 0.02%             | 2046-08-20      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                         | FREMF 2018-KW05 Trust                                                            | CUSIP: 30307MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4100000 | PA      | $3784176.59   | 0.10%             | 2028-04-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XVIII-R                                                               | CUSIP: 03767NAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1350000 | PA      | $1353384.45   | 0.04%             | 2038-01-22      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT             | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |         1 | NC      | $-37510.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    878800 | PA      | $887548.54    | 0.02%             | 2064-01-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle Global Market Strategies CLO 2015-1 Ltd                                  | CUSIP: 14311DBN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    186197 | PA      | $186383.78    | 0.00%             | 2031-07-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 5 Ltd                                                         | CUSIP: 67113GAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $2606117.02   | 0.07%             | 2037-10-18      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                         | FirstKey Homes 2022-SFR2 Trust                                                   | CUSIP: 33767PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2681000 | PA      | $2610244.92   | 0.07%             | 2039-07-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2024-A                                            | CUSIP: 567928AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2913598.52   | 0.08%             | 2036-09-22      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1380000 | PA      | $1394126.37   | 0.04%             | 2039-05-10      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 32 LTD /old                                                                   | CUSIP: 74988CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11850000 | PA      | $11892848.42  | 0.31%             | 2039-10-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 43B Ltd                                               | CUSIP: 38180PAA4<br>LEI: 2549006E2S3MDN9M6Q69 | Long             | ABS-CBDO         | CORP              | KY        |   2716221 | PA      | $2725099.51   | 0.07%             | 2037-10-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                      | CIT Mortgage Loan Trust 2007-1                                                   | CUSIP: 12559QAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293000 | PA      | $273628.10    | 0.01%             | 2037-10-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2020-B19 Mortgage Trust                                                | CUSIP: 08162WBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22523162 | PA      | $1084328.08   | 0.03%             | 2053-09-15      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                    | HIH Trust 2024-61P                                                               | CUSIP: 40444VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2364609 | PA      | $2366086.95   | 0.06%             | 2041-10-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL Core CLO 38 Ltd                                                              | CUSIP: 00852QAA9<br>LEI: 254900ZPMRHE5M6S8F18 | Long             | ABS-CBDO         | CORP              | KY        |   3650000 | PA      | $3653650.00   | 0.10%             | 2038-01-22      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                 | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    498000 | PA      | $373878.23    | 0.01%             | 2039-05-10      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2007-FLX2                                       | CUSIP: 45668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3899884 | PA      | $3442602.30   | 0.09%             | 2037-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2200 | PA      | $1972.98      | 0.00%             | 2064-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                      | NYMT 2024-RR1 Trust                                                              | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4857430 | PA      | $4829310.34   | 0.13%             | 2064-05-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2188471 | PA      | $2910666.76   | 0.08%             | 2051-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                          | SG Residential Mortgage Trust 2022-2                                             | CUSIP: 78434KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3715000 | PA      | $3633684.22   | 0.10%             | 2062-08-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM 36 Ltd                                                                       | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4810000 | PA      | $4812688.79   | 0.13%             | 2034-01-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VIII Ltd                         | Elmwood CLO VIII Ltd                                                             | CUSIP: 290021AN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $230766.85    | 0.01%             | 2037-04-20      | Floating      | 12.27%                | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060937 | PA      | $1053932.83   | 0.03%             | 2033-02-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust               | SELF Commercial Mortgage Trust 2024-STRG                                         | CUSIP: 81631WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3007000 | PA      | $2998894.03   | 0.08%             | 2034-11-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                        | Sixth Street CLO XIV Ltd                                                         | CUSIP: 83013NAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1949172.62   | 0.05%             | 2038-01-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust                    | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2173240 | PA      | $1987239.54   | 0.05%             | 2046-08-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2025-40 Ltd                                                              | CUSIP: 67570FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2720000 | PA      | $2715931.70   | 0.07%             | 2038-04-16      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus               | CSAIL 2019-C17 Commercial Mortgage Trust                                         | CUSIP: 12597BAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3634909 | PA      | $151577.54    | 0.00%             | 2052-09-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Regatta XXVII Funding Ltd.                   | Regatta XXVII Funding Ltd                                                        | CUSIP: 758970AA5<br>LEI: 213800A3LAH3GG226R43 | Long             | ABS-CBDO         | CORP              | JE        |   2040000 | PA      | $2047509.04   | 0.05%             | 2037-04-26      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2017-2 Ltd                                                    | CUSIP: 77340GAL5<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1253286.88   | 0.03%             | 2029-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Trust 2014-SAF1                                                             | CUSIP: 12648FAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1576890 | PA      | $1175077.68   | 0.03%             | 2044-03-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                           | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2099000 | PA      | $2044655.42   | 0.05%             | 2038-07-17      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2022-1 Mortgage Loan Trust                                                  | CUSIP: 19688HAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227000 | PA      | $193363.37    | 0.01%             | 2066-12-27      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T               | Ready Capital Mortgage Financing 2023-FL11 LLC                                   | CUSIP: 75575RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1088132 | PA      | $1086413.17   | 0.03%             | 2039-10-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                         | SCG 2024-MSP Mortgage Trust                                                      | CUSIP: 78436EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8372000 | PA      | $8377232.50   | 0.22%             | 2041-04-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                         | OHA Loan Funding 2016-1 Ltd                                                      | CUSIP: 67110UAW9<br>LEI: 54930016024GMIAF7A82 | Long             | ABS-CBDO         | CORP              | KY        |   2640000 | PA      | $2649694.87   | 0.07%             | 2037-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2022-4                                    | CUSIP: 92259KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1009843 | PA      | $1022784.22   | 0.03%             | 2052-08-25      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                              | Oaktree CLO 2024-27 Ltd                                                          | CUSIP: 67402UAC0<br>LEI: 2549005VHJ8BB9WPL105 | Long             | ABS-CBDO         | CORP              | KY        |    610000 | PA      | $610898.59    | 0.02%             | 2037-10-22      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| HONO Mortgage Trust                          | HONO 2021-LULU Mortgage Trust                                                    | CUSIP: 40390MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6615700 | PA      | $6566082.25   | 0.17%             | 2036-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2024-CBM Mortgage Trust                                                     | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630000 | PA      | $640692.86    | 0.02%             | 2041-12-10      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-V Ltd                                                          | CUSIP: 12554XAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2255490.23   | 0.06%             | 2035-01-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga               | MF1 2025-FL19 LLC                                                                | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4467000 | PA      | $4479091.72   | 0.12%             | 2042-05-18      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2018-3 Ltd                                                      | CUSIP: 09630AAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6350000 | PA      | $6367754.60   | 0.17%             | 2030-10-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust 2021-4                                                  | CUSIP: 46652VCB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157034 | PA      | $115252.47    | 0.00%             | 2051-08-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2022-NQM1                                           | CUSIP: 06744DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2883527 | PA      | $2868512.95   | 0.08%             | 2052-07-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-76                                                   | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327284 | PA      | $297497.18    | 0.01%             | 2036-02-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                  | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8799429 | PA      | $8799428.88   | 0.23%             | 2038-07-15      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12756686 | PA      | $11468975.47  | 0.30%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2023-INV1                                             | CUSIP: 92539FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3183323.52   | 0.08%             | 2068-02-25      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-J7                                                   | CUSIP: 23244FAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2794291 | PA      | $1308204.82   | 0.03%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    789300 | PA      | $696534.20    | 0.02%             | 2063-05-25      | None          | 3.00%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                               | CarVal CLO VC Ltd                                                                | CUSIP: 14687LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1210828.88   | 0.03%             | 2034-10-15      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance                | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2                   | CUSIP: 52521VAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13669 | PA      | $13660.03     | 0.00%             | 2037-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-3                                    | CUSIP: 92258RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2230330 | PA      | $1879751.54   | 0.05%             | 2051-10-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 76 B Ltd                                              | CUSIP: 38180BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    790000 | PA      | $793092.06    | 0.02%             | 2037-10-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Wellington Management CLO                    | Wellington Management CLO 1 Ltd                                                  | CUSIP: 94957JAA2<br>LEI: 213800W7PWM3WCMD7X28 | Long             | ABS-CBDO         | CORP              | JE        |    550000 | PA      | $551550.51    | 0.01%             | 2036-10-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo               | Banc of America Alternative Loan Trust 2006-4                                    | CUSIP: 05950AAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    392843 | PA      | $338180.59    | 0.01%             | 2046-05-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru               | Soundview Home Loan Trust 2004-WMC1                                              | CUSIP: 83611MBW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81988 | PA      | $69055.16     | 0.00%             | 2035-01-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                    | NYCT Trust 2024-3ELV                                                             | CUSIP: 62956HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1564000 | PA      | $1547541.56   | 0.04%             | 2029-08-15      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17313JAK0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $973922.70    | 0.03%             | 2037-07-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-1                                                    | CUSIP: 52603DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1205000 | PA      | $1225906.27   | 0.03%             | 2032-06-21      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2017-C39                                   | CUSIP: 95000XAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $939397.20    | 0.02%             | 2050-09-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-I Ltd                                                          | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |   1390000 | PA      | $1393475.00   | 0.04%             | 2038-01-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se               | Wells Fargo Mortgage Backed Securities 2006-AR15 Trust                           | CUSIP: 94985AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622704 | PA      | $596945.65    | 0.02%             | 2036-10-25      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| CENT Trust                                   | CENT Trust 2023-CITY                                                             | CUSIP: 12516WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5474066 | PA      | $5480869.72   | 0.14%             | 2038-09-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466900 | PA      | $443664.07    | 0.01%             | 2065-05-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| ACREC LLC                                    | ACREC 2023-FL2 LLC                                                               | CUSIP: 00501BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2233902 | PA      | $2235383.66   | 0.06%             | 2038-02-19      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR1 Trust | CUSIP: 93934FJQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060738 | PA      | $876474.97    | 0.02%             | 2036-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                       | GSAA Home Equity Trust 2007-2                                                    | CUSIP: 3622EUAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23954 | PA      | $4269.93      | 0.00%             | 2037-03-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                      | Regatta VI Funding Ltd                                                           | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3008116.20   | 0.08%             | 2034-04-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc               | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TDY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1551399 | PA      | $1560010.16   | 0.04%             | 2032-11-15      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-55CW                                                 | CUSIP: 12668AUP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412393 | PA      | $306742.05    | 0.01%             | 2035-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                            | Battalion CLO 18 Ltd                                                             | CUSIP: 07134QAQ9<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002981.40   | 0.03%             | 2036-10-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                | Mastr Asset Backed Securities Trust 2006-AM2                                     | CUSIP: 57645FAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215617 | PA      | $200510.29    | 0.01%             | 2036-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding XI Clo Ltd                                                         | CUSIP: 15033LAY8<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249739.33    | 0.01%             | 2032-05-29      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Securities Cash Management  | Dreyfus Treasury Securities Cash Management                                      | CUSIP: 261941108<br>LEI: 549300U78VESCW509025 | Long             | STIV             | RF                | US        |  23647180 | NS      | $23647180.05  | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| Long Beach Mortgage Loan Trust               | Long Beach Mortgage Loan Trust 2006-7                                            | CUSIP: 54251TAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1228834 | PA      | $491330.25    | 0.01%             | 2036-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV               | Octagon Investment Partners XV Ltd                                               | CUSIP: 67590EAS3<br>LEI: 549300VYCI9AZ4NZBX86 | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $350087.57    | 0.01%             | 2030-07-19      | Floating      | 5.88%                 | 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        |  11362827 | PA      | $11281075.97  | 0.30%             | 2057-03-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-RTL1                                 | CUSIP: 92262GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16000000 | PA      | $16158083.20  | 0.43%             | 2030-03-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                 | Navient Education Loan Trust 2025-A                                              | CUSIP: 63943EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1410000 | PA      | $1419969.12   | 0.04%             | 2055-07-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000779 | PA      | $989779.77    | 0.03%             | 2053-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                   | NCMF Trust 2025-MFS                                                              | CUSIP: 62887TAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9322000 | PA      | $9407313.08   | 0.25%             | 2033-06-10      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162552 | PA      | $74210.25     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2023-DELC                                                               | CUSIP: 05610DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $272531.25    | 0.01%             | 2038-05-15      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust               | PKHL Commercial Mortgage Trust 2021-MF                                           | CUSIP: 69356GAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1967000 | PA      | $574328.00    | 0.02%             | 2038-07-15      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23545064 | PA      | $757965.04    | 0.02%             | 2064-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                         | Steele Creek Clo 2017-1 Ltd                                                      | CUSIP: 85816VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     31085 | PA      | $31112.86     | 0.00%             | 2030-10-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                        | TRK 2021-INV2 Trust                                                              | CUSIP: 87267TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5929000 | PA      | $4769246.69   | 0.13%             | 2056-11-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act               | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742857AA3<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |    433566 | PA      | $446662.58    | 0.01%             | 2051-07-25      | Floating      | 10.33%                | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital Clo 3 Ltd                                                       | CUSIP: 25255JAL1<br>LEI: 254900L1QJX98W5ORK78 | Long             | ABS-CBDO         | CORP              | KY        |    282408 | PA      | $283342.57    | 0.01%             | 2038-01-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2025-1                                                    | CUSIP: 52604QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5984000 | PA      | $6030754.79   | 0.16%             | 2034-09-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                   | AMSR 2021-SFR2 Trust                                                             | CUSIP: 00179VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3756200 | PA      | $3640764.84   | 0.10%             | 2038-08-17      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2020-2 Ltd                                                              | CUSIP: 92918HAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3009589.80   | 0.08%             | 2038-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24115000 | PA      | $218918.38    | 0.01%             | 2043-07-15      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-18 Ltd                                                              | CUSIP: 671078AW3<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1103521.87   | 0.03%             | 2037-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1242000 | PA      | $1214524.85   | 0.03%             | 2028-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                      | Fremont Home Loan Trust 2006-3                                                   | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1722366 | PA      | $1260538.93   | 0.03%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE                 | CUSIP: 46646GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2073000 | PA      | $2005879.16   | 0.05%             | 2038-09-06      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                         | New Mountain CLO 2 Ltd                                                           | CUSIP: 64754LAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3120000 | PA      | $3129336.91   | 0.08%             | 2038-01-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus               | Residential Mortgage Loan Trust 2019-2                                           | CUSIP: 76119DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656000 | PA      | $647529.60    | 0.02%             | 2059-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus               | Residential Mortgage Loan Trust 2019-3                                           | CUSIP: 76119NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3102000 | PA      | $3046921.82   | 0.08%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                   | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3298000 | PA      | $3469751.27   | 0.09%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2               | JW Trust 2024-BERY                                                               | CUSIP: 46676AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1701059.95   | 0.04%             | 2039-11-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust               | Home Partners of America 2021-2 Trust                                            | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5759495 | PA      | $5546975.48   | 0.15%             | 2026-12-17      | None          | 3.80%                 | No            |                  2 | On Loan: No      |
| Point Broadband Funding LLC                  | Point Broadband Funding LLC                                                      | CUSIP: 73052AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8114000 | PA      | $8113922.11   | 0.21%             | 2055-07-20      | Fixed         | 8.16%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                | CitiMortgage Alternative Loan Trust Series 2007-A6                               | CUSIP: 18976GAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    803347 | PA      | $680223.55    | 0.02%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                      | OHA Credit Partners XII Ltd                                                      | CUSIP: 67109YBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1705934.53   | 0.05%             | 2037-04-23      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset-Backed Certificates Trust 2006-14                                    | CUSIP: 23243LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    823347 | PA      | $706077.17    | 0.02%             | 2037-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman Loan Advisers CLO 34 Ltd                                        | CUSIP: 64132YAS1<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000822.00   | 0.03%             | 2035-01-20      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2018-1 Ltd                                                              | CUSIP: 92917AAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    295819 | PA      | $295893.97    | 0.01%             | 2031-04-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR3 Trust | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2623445 | PA      | $2289652.18   | 0.06%             | 2046-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2018-A                                          | CUSIP: 78449PAC3<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |    765067 | PA      | $764627.31    | 0.02%             | 2036-02-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman Loan Advisers CLO 32 Ltd                                        | CUSIP: 64132DAL2<br>LEI: 5493007YBEOXQIHH3C54 | Long             | ABS-CBDO         | CORP              | KY        |    910000 | PA      | $909540.27    | 0.02%             | 2032-01-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| First NLC Trust                              | First NLC Trust 2007-1                                                           | CUSIP: 32115BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705211 | PA      | $349980.63    | 0.01%             | 2037-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2013-I Ltd                                                          | CUSIP: 12549AAN0<br>LEI: 549300PC4RPZFE70AI24 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250835.48    | 0.01%             | 2030-07-16      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd                           | Elmwood CLO 27 Ltd                                                               | CUSIP: 29003FAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1210000 | PA      | $1214128.28   | 0.03%             | 2037-04-18      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    612000 | PA      | $614872.91    | 0.02%             | 2031-06-16      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-1                                    | CUSIP: 92259TAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1740357 | PA      | $1223494.78   | 0.03%             | 2051-05-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne               | PRET 2021-RN4 LLC                                                                | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4320135 | PA      | $4316665.95   | 0.11%             | 2051-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Juniper Valley Park CLO, Ltd                 | Juniper Valley Park CLO Ltd                                                      | CUSIP: 48206KAS5<br>LEI: 213800ACSV8GAJ4CCO70 | Long             | ABS-CBDO         | CORP              | JE        |   1800000 | PA      | $1802200.14   | 0.05%             | 2036-07-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                | BAMLL Trust 2024-BHP                                                             | CUSIP: 05493WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820000 | PA      | $824091.39    | 0.02%             | 2039-08-15      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2022-3 Ltd                                                     | CUSIP: 69690AAS6<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | JE        |   1480000 | PA      | $1485208.12   | 0.04%             | 2037-07-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $776268.40    | 0.02%             | 2066-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                  | GSAMP Trust 2007-H1                                                              | CUSIP: 36245YAW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9116 | PA      | $4508.65      | 0.00%             | 2047-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                            | PRPM 2025-NQM2 Trust                                                             | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12625316 | PA      | $12694967.83  | 0.34%             | 2070-04-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                             | Whitebox Clo I Ltd                                                               | CUSIP: 96467FAU4<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |   5076790 | PA      | $5081540.86   | 0.13%             | 2036-07-24      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                  | STWD Trust 2021-FLWR                                                             | CUSIP: 78485GAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1390400 | PA      | $1389531.00   | 0.04%             | 2036-07-15      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5452000 | PA      | $5382460.83   | 0.14%             | 2032-03-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2016-12 Ltd                                                              | CUSIP: 67092RAY4<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2509701.75   | 0.07%             | 2037-10-18      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2021-B                                            | CUSIP: 56847JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3620000 | PA      | $3328349.27   | 0.09%             | 2036-11-20      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | GoldenTree Loan Management US CLO 16 Ltd                                         | CUSIP: 38090AAQ1<br>LEI: 549300KYU0TCMXRAI217 | Long             | ABS-CBDO         | CORP              | JE        |   2690000 | PA      | $2687294.67   | 0.07%             | 2038-01-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2006-1                                            | CUSIP: 07324SDE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4469269 | PA      | $4171148.50   | 0.11%             | 2036-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                    | NYCT Trust 2024-3ELV                                                             | CUSIP: 62956HAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405315 | PA      | $402362.77    | 0.01%             | 2029-08-15      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trus               | 3650R 2021-PF1 Commercial Mortgage Trust                                         | CUSIP: 88575JAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $610703.46    | 0.02%             | 2055-11-15      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2021-VINO                                           | CUSIP: 05608KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    837900 | PA      | $837638.16    | 0.02%             | 2038-05-15      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                   | 1345T 2025-AOA                                                                   | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11519000 | PA      | $11536976.55  | 0.30%             | 2030-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 53 CLO Ltd                                                                | CUSIP: 26243EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1234568 | PA      | $1235185.02   | 0.03%             | 2031-01-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                  | VEGAS 2024-GCS                                                                   | CUSIP: 92254BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5520000 | PA      | $5436582.86   | 0.14%             | 2036-07-10      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T               | Morgan Stanley Mortgage Loan Trust 2006-12XS                                     | CUSIP: 61749EAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560675 | PA      | $151438.55    | 0.00%             | 2036-10-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2019-16 Ltd                                                              | CUSIP: 67570QAK7<br>LEI: 254900XAI48J82ID5O83 | Long             | ABS-CBDO         | CORP              | KY        |   1295282 | PA      | $1296204.44   | 0.03%             | 2033-04-10      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 30 Ltd                           | Elmwood CLO 30 Ltd                                                               | CUSIP: 29001JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1705704.35   | 0.05%             | 2037-07-17      | Floating      | 5.71%                 | 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        |   1523142 | PA      | $1528625.79   | 0.04%             | 2064-01-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                               | Galaxy XX CLO Ltd                                                                | CUSIP: 36320MAL2<br>LEI: 549300S1CAKZT00VQL17 | Long             | ABS-CBDO         | CORP              | KY        |    541790 | PA      | $541753.50    | 0.01%             | 2031-04-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| harvest commercial capital loa               | Harvest Commercial Capital Loan Trust 2020-1                                     | CUSIP: 41754FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    669000 | PA      | $663570.86    | 0.02%             | 2052-04-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2020-3 Ltd                                                     | CUSIP: 69701RAY3<br>LEI: 549300IUW4WDDDVSMS20 | Long             | ABS-CBDO         | CORP              | JE        |    960000 | PA      | $963937.92    | 0.03%             | 2036-11-15      | Floating      | 5.98%                 | 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        |  12802725 | PA      | $12925630.72  | 0.34%             | 2056-03-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2023-SHIP                                      | CUSIP: 36270GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1322000 | PA      | $1313889.79   | 0.03%             | 2038-09-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| TTAN                                         | TTAN 2021-MHC                                                                    | CUSIP: 87303TAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2814703 | PA      | $2817341.65   | 0.07%             | 2038-03-15      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4725 | PA      | $4489.42      | 0.00%             | 2065-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                      | Loanpal Solar Loan 2020-2 Ltd                                                    | CUSIP: 53948KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    749105 | PA      | $632273.35    | 0.02%             | 2047-07-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9888305 | PA      | $8683356.08   | 0.23%             | 2060-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39               | Octagon Investment Partners 39 Ltd                                               | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    702241 | PA      | $702785.87    | 0.02%             | 2030-10-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO                                 | AGL Core CLO 2 Ltd                                                               | CUSIP: 001200AJ3<br>LEI: 549300EIBQDZ5WXOZ105 | Long             | ABS-CBDO         | CORP              | KY        |   3770000 | PA      | $3783827.98   | 0.10%             | 2037-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Commercial Mortgage Trust 2024-UNIV                                         | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3790000 | PA      | $3794737.50   | 0.10%             | 2041-11-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-J4                                                   | CUSIP: 23242WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3281179 | PA      | $1870615.36   | 0.05%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2779300 | PA      | $2648045.33   | 0.07%             | 2064-06-25      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| Regatta XVIII Funding Ltd                    | Regatta XVIII Funding Ltd                                                        | CUSIP: 75884EAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10972136 | PA      | $10966564.35  | 0.29%             | 2038-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 93 CLO Ltd                                                                | CUSIP: 26190TAS0<br>LEI: 5493009K6Z2DW3X76185 | Long             | ABS-CBDO         | CORP              | KY        |    670000 | PA      | $671268.85    | 0.02%             | 2038-01-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 58B Ltd                                               | CUSIP: 38178TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1780000 | PA      | $1783473.67   | 0.05%             | 2035-01-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4530454.00   | 0.12%             | 2052-07-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                   | AMSR 2021-SFR1 Trust                                                             | CUSIP: 00179DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2872000 | PA      | $2667301.07   | 0.07%             | 2038-06-17      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2024-CES2                                        | CUSIP: 10570PAA1<br>LEI: 2549009UFWL9U1TS6959 | Long             | ABS-MBS          | CORP              | US        |   1463158 | PA      | $1468245.28   | 0.04%             | 2054-09-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                          | 522 Funding CLO 2019-5 Ltd                                                       | CUSIP: 33829WAC3<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |    430000 | PA      | $431043.31    | 0.01%             | 2035-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Hospitality Investors Trust                  | HIT Trust 2022-HI32                                                              | CUSIP: 40442AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    599999 | PA      | $600748.80    | 0.02%             | 2039-07-15      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                       | Service Experts Issuer 2024-1 LLC                                                | CUSIP: 81758FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2187129 | PA      | $2226287.47   | 0.06%             | 2035-11-20      | Fixed         | 6.39%                 | 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        |   1124000 | PA      | $1136877.22   | 0.03%             | 2031-06-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884670 | PA      | $878187.55    | 0.02%             | 2054-10-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XVI Ltd                                                             | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |   1154234 | PA      | $1155958.36   | 0.03%             | 2031-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                     | OZLM XVIII Ltd                                                                   | CUSIP: 67112GAC2<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |    550000 | PA      | $550994.24    | 0.01%             | 2031-04-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Rialto Real Estate Fund LP                   | RIAL 2022-FL8 Issuer Ltd                                                         | CUSIP: 76243NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   4404507 | PA      | $4407553.59   | 0.12%             | 2037-01-19      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | RAD CLO 21 Ltd                                                                   | CUSIP: 750099AN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1997189.00   | 0.05%             | 2037-01-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    408216 | PA      | $190950.27    | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-1                                    | CUSIP: 92259TAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1984864 | PA      | $1321094.67   | 0.03%             | 2051-05-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                 | AGL Core CLO 36 Ltd                                                              | CUSIP: 00121WAE3<br>LEI: 2549000U240BORO02Z85 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $750195.08    | 0.02%             | 2038-01-23      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust                | KSL Commercial Mortgage Trust 2024-HT2                                           | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6119000 | PA      | $6107192.78   | 0.16%             | 2039-12-15      | None          | 5.85%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trus               | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1693000 | PA      | $1691161.91   | 0.04%             | 2039-12-15      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                              | Lehman XS Trust Series 2007-20N                                                  | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18788 | PA      | $18298.95     | 0.00%             | 2037-12-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    746963 | PA      | $349405.50    | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-I Ltd                                                          | CUSIP: 12553DAY3<br>LEI: 254900RRJV30GDUWIX97 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251030.43    | 0.01%             | 2037-10-20      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572600 | PA      | $569549.13    | 0.02%             | 2063-10-25      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2020-III Ltd                                                        | CUSIP: 12560EAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    970000 | PA      | $971902.75    | 0.03%             | 2034-10-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman Loan Advisers CLO 34 Ltd                                        | CUSIP: 64132YAQ5<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |    876498 | PA      | $876807.52    | 0.02%             | 2035-01-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2005-QO2 Trust                                                       | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650529 | PA      | $552285.26    | 0.01%             | 2045-09-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2017-3 Ltd                                                    | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |    769195 | PA      | $769278.90    | 0.02%             | 2030-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust Series 2025-NQM2                                        | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6280020 | PA      | $6302583.02   | 0.17%             | 2065-09-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                    | LBA Trust 2024-7IND                                                              | CUSIP: 52109XAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    592000 | PA      | $593110.00    | 0.02%             | 2041-10-15      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock CLO 25 Ltd                                                             | CUSIP: 05876QAS1<br>LEI: 2549000LY2B016K4LA62 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $480159.70    | 0.01%             | 2038-01-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1882500 | PA      | $1899941.74   | 0.05%             | 2064-12-26      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 64 CLO Ltd                                                                | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    221016 | PA      | $221236.62    | 0.01%             | 2031-04-18      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-AC1                            | CUSIP: 07387UCF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113229 | PA      | $116643.34    | 0.00%             | 2036-02-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    999137 | PA      | $507936.70    | 0.01%             | 2035-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding II CLO Ltd                                                         | CUSIP: 15032TBE5<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $751736.33    | 0.02%             | 2034-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust 2020-5                                                  | CUSIP: 46653JCA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3542641 | PA      | $3087281.92   | 0.08%             | 2050-12-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T               | CWHEQ Revolving Home Equity Loan Trust Series 2006-I                             | CUSIP: 12668FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110486 | PA      | $105724.39    | 0.00%             | 2037-01-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-MF                                             | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615458 | PA      | $616419.85    | 0.02%             | 2039-02-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC       | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $9036.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2021-4 Ltd                                            | CUSIP: 69702HAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251596.23    | 0.01%             | 2029-10-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                    | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    316000 | PA      | $314836.55    | 0.01%             | 2041-10-15      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3734848 | PA      | $3739504.77   | 0.10%             | 2039-02-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                                 | ELP Commercial Mortgage Trust 2021-ELP                                           | CUSIP: 26863LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660275 | PA      | $659450.11    | 0.02%             | 2038-11-15      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    698000 | PA      | $502284.43    | 0.01%             | 2060-12-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 41 Senior Loan Fund                                                       | CUSIP: 26244KAN6<br>LEI: 5493000CMI5L15ZSNM78 | Long             | ABS-CBDO         | CORP              | KY        |   1038875 | PA      | $1039159.34   | 0.03%             | 2031-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2021-3 Ltd                                                     | CUSIP: 69688FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    390000 | PA      | $390995.51    | 0.01%             | 2035-01-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO XXIX Ltd                                                        | CUSIP: 09630KAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    420000 | PA      | $422744.41    | 0.01%             | 2034-07-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                   | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2385775 | PA      | $2440612.52   | 0.06%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13995491 | PA      | $14089503.35  | 0.37%             | 2064-06-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor               | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13670 | PA      | $11610.74     | 0.00%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securit               | SG Commercial Mortgage Securities Trust 2016-C5                                  | CUSIP: 78419CAK0<br>LEI: 549300SZQW4U3UN4A157 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $959065.60    | 0.03%             | 2048-10-10      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| CART                                         | CONE Trust 2024-DFW1                                                             | CUSIP: 20682AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2330000 | PA      | $2312286.87   | 0.06%             | 2041-08-15      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2007-FLX5                                       | CUSIP: 45669WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2334182 | PA      | $2133508.62   | 0.06%             | 2037-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                          | Elmwood CLO II Ltd                                                               | CUSIP: 29001LBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $901757.25    | 0.02%             | 2037-10-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust                     | FBR Securitization Trust                                                         | CUSIP: 30246QCQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1586323 | PA      | $1574068.86   | 0.04%             | 2035-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-HY1 Trust | CUSIP: 93936AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    423995 | PA      | $326611.52    | 0.01%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                 | SG Mortgage Securities Trust 2006-FRE2                                           | CUSIP: 784208AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182347 | PA      | $37376.18     | 0.00%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Westways Funding Ltd                         | WEST Trust 2025-ROSE                                                             | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1836000 | PA      | $1859098.35   | 0.05%             | 2035-04-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta               | Greystone CRE Notes 2025-FL4 LLC                                                 | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1731000 | PA      | $1732141.08   | 0.05%             | 2043-01-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                           | Shackleton 2013-IV-R CLO Ltd                                                     | CUSIP: 81882HAA3<br>LEI: 5493000LHXWSIZGUY418 | Long             | ABS-CBDO         | CORP              | KY        |    113556 | PA      | $113620.59    | 0.00%             | 2031-04-13      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                   | SDAL Trust 2025-DAL                                                              | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1651000 | PA      | $1653869.11   | 0.04%             | 2042-04-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2021-A                                            | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $677885.88    | 0.02%             | 2036-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 2 Ltd                                                            | CUSIP: 09077LAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    630000 | PA      | $632124.68    | 0.02%             | 2037-10-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VI Ltd.                          | Elmwood CLO VI Ltd                                                               | CUSIP: 29001VAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2394000 | PA      | $2401436.24   | 0.06%             | 2037-07-18      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor               | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP1              | CUSIP: 65535VHG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284472 | PA      | $274066.59    | 0.01%             | 2035-02-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXIV Ltd                                                    | CUSIP: 55820NAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    740000 | PA      | $739862.58    | 0.02%             | 2029-10-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2021-3                                      | CUSIP: 24381VAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3670731 | PA      | $2743392.39   | 0.07%             | 2066-08-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200678 | PA      | $2215462.94   | 0.06%             | 2065-01-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                            | Generate CLO 9 LTD                                                               | CUSIP: 37147LAN9<br>LEI: 549300OYEZ11WGJ2SS19 | Long             | ABS-CBDO         | CORP              | KY        |   1867592 | PA      | $1873188.99   | 0.05%             | 2038-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Dwight 2025-FL1 Issuer LLC                   | Dwight 2025-FL1 Issuer LLC                                                       | CUSIP: 233636AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4725000 | PA      | $4721649.03   | 0.12%             | 2042-09-18      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | GoldenTree Loan Management US CLO 24 Ltd                                         | CUSIP: 38139VAC9<br>LEI: 254900PS1VHPJR2OTF82 | Long             | ABS-CBDO         | CORP              | KY        |   7500000 | PA      | $7489869.00   | 0.20%             | 2038-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                           | BMO 2023-C5 Mortgage Trust                                                       | CUSIP: 055988AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8038537 | PA      | $375396.45    | 0.01%             | 2056-06-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                    | College Ave Student Loans 2021-C LLC                                             | CUSIP: 19424WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2849019 | PA      | $2642570.36   | 0.07%             | 2055-07-26      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Riserva CLO, Ltd.                            | Riserva Clo Ltd                                                                  | CUSIP: 76761RAY5<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1101980.00   | 0.03%             | 2034-01-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-14                                          | CUSIP: 12544DAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6053783 | PA      | $3021267.77   | 0.08%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 36 Ltd                           | Elmwood CLO 36 Ltd                                                               | CUSIP: 29004MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1483000 | PA      | $1488055.70   | 0.04%             | 2037-10-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6200000 | PA      | $6238671.88   | 0.16%             | 2041-10-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                    | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1276797 | PA      | $1133558.76   | 0.03%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital Clo 2 Ltd                                                       | CUSIP: 25255LAS1<br>LEI: 2549008BUJNKS7JJUU65 | Long             | ABS-CBDO         | CORP              | KY        |   9990000 | PA      | $10037160.79  | 0.27%             | 2037-10-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                        | Sixth Street CLO XIV Ltd                                                         | CUSIP: 83013RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1229922.50   | 0.03%             | 2038-01-20      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| Rain City Mortgage Trust                     | Rain City Mortgage Trust 2024-RTL1                                               | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1256000 | PA      | $1265393.88   | 0.03%             | 2029-11-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei               | Securitized Asset Backed Receivables LLC Trust 2007-BR1                          | CUSIP: 81378KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    374537 | PA      | $157152.30    | 0.00%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253723 | PA      | $253722.57    | 0.01%             | 2038-04-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo               | Banc of America Alternative Loan Trust 2006-7                                    | CUSIP: 059469AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2254383 | PA      | $598236.33    | 0.02%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                               | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33570000 | PA      | $71222.11     | 0.00%             | 2039-06-10      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| MCM 2021-VFN1: CERT CMO/WHOLE                | MCM 2021-VFN1: CERT CMO/WHOLE                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1588222 | PA      | $1093817.81   | 0.03%             | 2031-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Generate CLO 8 Ltd.                          | Generate CLO 8 Ltd                                                               | CUSIP: 37148EAN4<br>LEI: 2549002O2LJ1LE1W2D54 | Long             | ABS-CBDO         | CORP              | KY        |   4990000 | PA      | $5012070.77   | 0.13%             | 2038-01-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securit               | SG Commercial Mortgage Securities Trust 2019-PREZ                                | CUSIP: 78430EAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3391000 | PA      | $2843784.50   | 0.08%             | 2039-09-15      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | TRINITAS CLO IV LTD                                                              | CUSIP: 89640XBM7<br>LEI: 635400UFTIJ9NEWTCB16 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250097.45    | 0.01%             | 2031-10-18      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 8 Ltd                                                      | CUSIP: 03329KBC6<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005726.00   | 0.03%             | 2034-10-27      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding II CLO Ltd                                                         | CUSIP: 15032TBG0<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499697.35    | 0.01%             | 2034-04-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Wellington Management CLO                    | Wellington Management Clo 4 Ltd                                                  | CUSIP: 94957LAA7<br>LEI: 213800VJVBC3KZIDZU56 | Long             | ABS-CBDO         | CORP              | KY        |   1520000 | PA      | $1517845.70   | 0.04%             | 2038-04-18      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| KSLCMT_25-MAK                                | KSLCMT_25-MAK                                                                    | CUSIP: 50116JAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5699000 | PA      | $5811294.24   | 0.15%             | 2042-06-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    271011 | PA      | $245581.45    | 0.01%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXIV                                                                  | CUSIP: 03759CAV2<br>LEI: 549300PPHIOJQEKPJH29 | Long             | ABS-CBDO         | CORP              | KY        |    340000 | PA      | $339957.16    | 0.01%             | 2030-10-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | CARLYLE US CLO 2017-3 Ltd                                                        | CUSIP: 14314FAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4610000 | PA      | $4628440.00   | 0.12%             | 2037-10-21      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                          | Sandstone Peak Ltd                                                               | CUSIP: 800130AS5<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |   1290000 | PA      | $1293381.74   | 0.03%             | 2034-10-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 3 Ltd                                                            | CUSIP: 09076VAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    730000 | PA      | $729491.99    | 0.02%             | 2038-01-19      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2024-NQM3                                    | CUSIP: 647910AG3<br>LEI: 213800HBIGZVLLQA9I67 | Long             | ABS-MBS          | CORP              | US        |   1596000 | PA      | $1568285.78   | 0.04%             | 2064-11-25      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XVIII Ltd                                                   | CUSIP: 55819BAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    390000 | PA      | $390814.32    | 0.01%             | 2030-10-21      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO X Ltd                                                | CUSIP: 08181LAW7<br>LEI: 549300MYLNCW81S1Y182 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501304.75    | 0.01%             | 2034-04-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust                          | Cali 2024-Sun                                                                    | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2390000 | PA      | $2392987.50   | 0.06%             | 2041-07-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization               | Mortgage Loan Resecuritization Trust                                             | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119839 | PA      | $117563.51    | 0.00%             | 2036-04-16      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                | First Franklin Mortgage Loan Trust 2006-FF17                                     | CUSIP: 32028KAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1292675 | PA      | $1109617.47   | 0.03%             | 2036-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                            | Trimaran CAVU 2024-1 Ltd                                                         | CUSIP: 895971AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $620559.86    | 0.02%             | 2038-01-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                   | Impac Secured Assets Trust 2006-3                                                | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1243847 | PA      | $1129461.35   | 0.03%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXVI                                                                 | CUSIP: 03769LAJ7<br>LEI: 549300NWD6NYUKJT1J26 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249645.35    | 0.01%             | 2034-07-20      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor               | Banc of America Funding Corp                                                     | CUSIP: 05990QAB9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |   1806448 | PA      | $1533996.42   | 0.04%             | 2036-03-27      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2319000 | PA      | $2297827.99   | 0.06%             | 2041-06-15      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2014-C                                             | CUSIP: 17323GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317000 | PA      | $314791.71    | 0.01%             | 2054-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7969342 | PA      | $282708.43    | 0.01%             | 2060-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-2                                    | CUSIP: 92259MAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1863704 | PA      | $1420867.44   | 0.04%             | 2051-08-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2022-CHM1 Trust                                                              | CUSIP: 552758AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5161863 | PA      | $5049039.91   | 0.13%             | 2056-09-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2007-2                                            | CUSIP: 07325XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22725 | PA      | $20949.07     | 0.00%             | 2037-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2021-1                                      | CUSIP: 24380VAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1620000 | PA      | $1478531.39   | 0.04%             | 2065-05-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust               | ARES Commercial Mortgage Trust 2024-IND                                          | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5730000 | PA      | $5738953.13   | 0.15%             | 2041-07-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Buckhorn Park CLO, Ltd.                      | Buckhorn Park CLO Ltd                                                            | CUSIP: 118382BA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4810000 | PA      | $4810370.37   | 0.13%             | 2034-07-18      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne               | PRET 2024-NPL4 LLC                                                               | CUSIP: 74143RAA1<br>LEI: 254900OXVJK5CT5B2O86 | Long             | ABS-O            | CORP              | US        |   4300320 | PA      | $4307050.28   | 0.11%             | 2054-07-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 81 B Ltd                                              | CUSIP: 38181DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249526.78    | 0.01%             | 2038-07-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust Series 2024-VIS1                                        | CUSIP: 465970AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $988098.80    | 0.03%             | 2064-07-25      | Variable      | 8.07%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 32 LTD /old                                                                   | CUSIP: 74988CAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2690000 | PA      | $2698265.83   | 0.07%             | 2039-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2005-HE8                            | CUSIP: 073879J82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3276356 | PA      | $3157172.47   | 0.08%             | 2035-08-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Dewolf Park clo, ltd                         | Dewolf Park CLO Ltd                                                              | CUSIP: 25211AAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501098.15    | 0.01%             | 2030-10-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO VII Ltd                                                                 | CUSIP: 87248UAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $599386.98    | 0.02%             | 2033-04-15      | Floating      | 11.57%                | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T               | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3650824 | PA      | $3249633.21   | 0.09%             | 2036-05-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Silver Point Capital CLO 1, Lt               | Silver Point CLO 1 Ltd                                                           | CUSIP: 828085AN0<br>LEI: 549300UJUGKIKZF7CD63 | Long             | ABS-CBDO         | CORP              | JE        |   1820000 | PA      | $1825824.00   | 0.05%             | 2038-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates               | WaMu Asset-Backed Certificates WaMu Series 2007-HE3 Trust                        | CUSIP: 93364EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95308 | PA      | $84456.16     | 0.00%             | 2037-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2020-C                                 | CUSIP: 63941KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1851501 | PA      | $1863166.06   | 0.05%             | 2068-11-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr               | GoodLeap Sustainable Home Solutions Trust 2022-3                                 | CUSIP: 38237TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    355852 | PA      | $320811.00    | 0.01%             | 2049-07-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                | American Home Mortgage Assets Trust 2006-6                                       | CUSIP: 008684AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4025385 | PA      | $3432753.54   | 0.09%             | 2046-12-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur               | BHG Securitization Trust 2021-A                                                  | CUSIP: 08861YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3714000 | PA      | $3587291.69   | 0.09%             | 2033-11-17      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2017-2 Ltd                                                    | CUSIP: 77340GAN1<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002249.00   | 0.03%             | 2029-10-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1717000 | PA      | $1274417.84   | 0.03%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor               | TCO Commercial Mortgage Trust 2024-DPM                                           | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8232000 | PA      | $8229427.50   | 0.22%             | 2039-12-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2380 | PA      | $2301.93      | 0.00%             | 2064-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2024-A                                            | CUSIP: 567928AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1969000 | PA      | $2031441.32   | 0.05%             | 2036-09-22      | Fixed         | 6.77%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8471000 | PA      | $8471296.49   | 0.22%             | 2042-02-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-I Ltd                                                          | CUSIP: 17181NAG9<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |   1630000 | PA      | $1632368.72   | 0.04%             | 2038-01-18      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman CLO XX Ltd                                                      | CUSIP: 64130TBJ3<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |   1935000 | PA      | $1933920.08   | 0.05%             | 2039-04-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi               | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606FAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5740000 | PA      | $590705.70    | 0.02%             | 2022-02-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                 | USD/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-124253.35   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2022-NQM4 Trust                                                             | CUSIP: 36170HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3017284 | PA      | $3006180.50   | 0.08%             | 2067-09-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition                | Bayview Financial Mortgage Pass-Through Trust 2006-A                             | CUSIP: 07325NDD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5459000 | PA      | $5522674.87   | 0.15%             | 2041-02-28      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV               | Octagon Investment Partners XVI Ltd                                              | CUSIP: 67590BAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    206844 | PA      | $207154.47    | 0.01%             | 2030-07-17      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH                  | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035953 | PA      | $891548.25    | 0.02%             | 2035-06-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                | Mastr Asset Backed Securities Trust 2007-HE1                                     | CUSIP: 576457AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83274 | PA      | $70413.19     | 0.00%             | 2037-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2024-2 LTD                                                     | CUSIP: 69703LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2300000 | PA      | $2305594.29   | 0.06%             | 2037-07-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2007-OA2                                                  | CUSIP: 02149LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120806 | PA      | $102618.52    | 0.00%             | 2047-03-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 28 Ltd                                                                        | CUSIP: 74989NAA7<br>LEI: 254900ZSKVCYOXP11C98 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250941.05    | 0.01%             | 2037-04-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                    | CFK Trust 2019-FAX                                                               | CUSIP: 12528XAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2336704.76   | 0.06%             | 2039-01-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                       | CSTL Commercial Mortgage Trust 2024-GATE                                         | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7600000 | PA      | $7593866.04   | 0.20%             | 2041-11-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-HE7                            | CUSIP: 07388HAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76018 | PA      | $74233.92     | 0.00%             | 2036-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2023-2                                                | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4333000 | PA      | $4328243.67   | 0.11%             | 2068-03-25      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2006-AR5 Trust                    | CUSIP: 93362YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135368 | PA      | $123964.49    | 0.00%             | 2046-06-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5590000 | PA      | $4918108.83   | 0.13%             | 2062-04-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO V-B Ltd                                              | CUSIP: 08181JAH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2366000 | PA      | $2376263.00   | 0.06%             | 2037-07-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 55B LTD                                               | CUSIP: 38178LAA7<br>LEI: 254900ZZ9HHZTOQ1XK24 | Long             | ABS-CBDO         | CORP              | KY        |    580000 | PA      | $580548.22    | 0.02%             | 2034-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 Trust                    | CUSIP: 933634AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17185 | PA      | $16021.57     | 0.00%             | 2037-03-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| SESAC Finance, LLC                           | Sesac Finance LLC                                                                | CUSIP: 78396YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2458040 | PA      | $2446959.16   | 0.06%             | 2049-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | RAD CLO 23 Ltd                                                                   | CUSIP: 75009CAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1090000 | PA      | $1096681.70   | 0.03%             | 2037-04-20      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2086780 | PA      | $602891.67    | 0.02%             | 2028-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                | UBS Commercial Mortgage Trust                                                    | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5204684 | PA      | $253384.86    | 0.01%             | 2052-10-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2023-XL3                                            | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4185072 | PA      | $4196807.70   | 0.11%             | 2040-12-09      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2024-C                                          | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2295820 | PA      | $2279379.93   | 0.06%             | 2052-06-17      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2015-CCRE26 Mortgage Trust                                                  | CUSIP: 12593QBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3199376 | PA      | $3184838.71   | 0.08%             | 2048-10-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3                    | CUSIP: 46590RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17400000 | PA      | $116125.86    | 0.00%             | 2049-08-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                          | Cbam 2018-7 Ltd                                                                  | CUSIP: 12482JAC4<br>LEI: 2549002XHTMWO4GGPF51 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501093.75    | 0.01%             | 2031-07-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241500 | PA      | $216744.51    | 0.01%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392718 | PA      | $387587.04    | 0.01%             | 2060-04-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    631568 | PA      | $187938.29    | 0.00%             | 2060-12-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                       | Canyon CLO 2018-1 Ltd                                                            | CUSIP: 13877BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    262086 | PA      | $262333.97    | 0.01%             | 2031-07-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 15 Ltd                                                                   | CUSIP: 750100AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4534402.50   | 0.12%             | 2034-01-20      | Floating      | 10.73%                | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XX Ltd                                                              | CUSIP: 87166VAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    640000 | PA      | $638623.68    | 0.02%             | 2032-01-16      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                    | GSMPS Mortgage Loan Trust 2004-4                                                 | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2492632 | PA      | $2234706.30   | 0.06%             | 2034-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2487689.10   | 0.07%             | 2052-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trus               | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $314409.38    | 0.01%             | 2039-12-15      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2025-800D                                      | CUSIP: 36273XAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2125000 | PA      | $2117418.85   | 0.06%             | 2041-11-25      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trus               | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12510713 | PA      | $12510710.50  | 0.33%             | 2039-12-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                             | SLG Office Trust 2021-OVA                                                        | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3936000 | PA      | $3452244.74   | 0.09%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 2 LTD                                                         | CUSIP: 67707EBJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2610000 | PA      | $2614412.73   | 0.07%             | 2038-01-21      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                    | CIM Trust 2019-J2                                                                | CUSIP: 12558TBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    832060 | PA      | $674465.68    | 0.02%             | 2049-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora               | Chase Mortgage Finance Trust Series 2007-S6                                      | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8990365 | PA      | $3616528.79   | 0.10%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                       | GSAA Home Equity Trust 2006-18                                                   | CUSIP: 3622ELAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1326644 | PA      | $363293.66    | 0.01%             | 2036-11-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2022-SFR1 Trust                                             | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4658554.00   | 0.12%             | 2041-02-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622015 | PA      | $618812.52    | 0.02%             | 2033-02-15      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| RMIT_21-3                                    | RMIT_21-3                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10210000 | PA      | $9776075.00   | 0.26%             | 2033-10-17      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2019-1                                                   | CUSIP: 61946CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1214730 | PA      | $1140224.96   | 0.03%             | 2043-12-21      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                               | Carval Clo VIII-C Ltd                                                            | CUSIP: 14686NAL5<br>LEI: 254900NZG2CMHKHNPU97 | Long             | ABS-CBDO         | CORP              | JE        |    770000 | PA      | $773168.94    | 0.02%             | 2037-10-22      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBU8<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $802400.24    | 0.02%             | 2037-04-28      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  36992389 | PA      | $1703954.51   | 0.04%             | 2064-12-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2021-2 Ltd                                                              | CUSIP: 92919AAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    810000 | PA      | $811497.20    | 0.02%             | 2038-04-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-2                                    | CUSIP: 92259QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1687486 | PA      | $1701889.98   | 0.04%             | 2054-06-25      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1109000 | PA      | $1118411.31   | 0.03%             | 2064-06-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                           | A&D Mortgage Trust 2025-NQM2                                                     | CUSIP: 00250EAC0<br>LEI: 9845004ECDEDFFFFC959 | Long             | ABS-MBS          | CORP              | US        |   5860563 | PA      | $5895066.86   | 0.16%             | 2070-06-25      | Variable      | 5.79%                 | 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        |   6086062 | PA      | $6115336.72   | 0.16%             | 2064-11-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                          | BHMS 2018-ATLS                                                                   | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3988156 | PA      | $3986071.79   | 0.11%             | 2035-07-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Issuer Trust 2024-2                                    | CUSIP: 39571XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1685000 | PA      | $1694550.92   | 0.04%             | 2059-10-27      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru               | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1048694.46   | 0.03%             | 2065-04-25      | Variable      | 5.16%                 | 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        |   2910000 | PA      | $3023788.86   | 0.08%             | 2047-02-10      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                      | CIT Mortgage Loan Trust 2007-1                                                   | CUSIP: 12559QAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2144000 | PA      | $2073444.18   | 0.05%             | 2037-10-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2024-A                                          | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1662769 | PA      | $1690757.71   | 0.04%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002495.70   | 0.03%             | 2041-10-15      | Floating      | 9.19%                 | No            |                  2 | On Loan: No      |
| SPLT_24-1                                    | SPLT_24-1                                                                        | CUSIP: 83407R105<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135500 | PA      | $3818519.94   | 0.10%             | 2031-02-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 66B Ltd                                               | CUSIP: 38181AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    290000 | PA      | $291042.78    | 0.01%             | 2038-07-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO                                   | AB BSL CLO 3 Ltd                                                                 | CUSIP: 00037QAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2080000 | PA      | $2082955.26   | 0.06%             | 2038-04-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Race Point CLO Ltd                           | Race Point IX CLO Ltd                                                            | CUSIP: 74982WAA4<br>LEI: 549300C3570PBQ31OI09 | Long             | ABS-CBDO         | CORP              | KY        |     75676 | PA      | $75713.53     | 0.00%             | 2030-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-H1 Mortgage Trust                                                     | CUSIP: 22758NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1405000 | PA      | $1419165.91   | 0.04%             | 2070-02-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2021-4                                                  | CUSIP: 03464EAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $140148.44    | 0.00%             | 2065-01-20      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-III Ltd                                                        | CUSIP: 12564DAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $510254.95    | 0.01%             | 2036-07-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                       | Argent Securities Trust 2006-W2                                                  | CUSIP: 040104RW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540878 | PA      | $296362.77    | 0.01%             | 2036-03-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Lt               | Octagon Investment Partners 18-R Ltd                                             | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    880089 | PA      | $880253.79    | 0.02%             | 2031-04-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2015-IV Ltd                                                         | CUSIP: 12550TAY1<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | KY        |   1720000 | PA      | $1723664.80   | 0.05%             | 2034-04-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-59                                                   | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    827572 | PA      | $812931.87    | 0.02%             | 2035-11-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 6 Ltd                                                      | CUSIP: 03328QBN0<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |   3720000 | PA      | $3742674.89   | 0.10%             | 2034-04-22      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXXVII Ltd                                                  | CUSIP: 55817EAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    570000 | PA      | $571995.00    | 0.02%             | 2037-04-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                 | CD 2016-CD1 Mortgage Trust                                                       | CUSIP: 12514MBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4116304 | PA      | $4042229.34   | 0.11%             | 2049-08-10      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5040974 | PA      | $5026815.76   | 0.13%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261ABA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1423941 | PA      | $1420895.22   | 0.04%             | 2054-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd                          | Elmwood CLO III Ltd                                                              | CUSIP: 29002HBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1080000 | PA      | $1082789.10   | 0.03%             | 2037-07-18      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                | First Franklin Mortgage Loan Trust 2006-FF16                                     | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    436526 | PA      | $175588.51    | 0.00%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164991 | PA      | $152857.38    | 0.00%             | 2062-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5806541 | PA      | $5172525.69   | 0.14%             | 2051-12-26      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                            | Generate CLO 2 Ltd                                                               | CUSIP: 370910AC5<br>LEI: 5493009C48K5WG4EX118 | Long             | ABS-CBDO         | CORP              | KY        |   2020000 | PA      | $2028080.00   | 0.05%             | 2037-10-22      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Merit                                        | MHP 2021-STOR                                                                    | CUSIP: 55293BAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1917000 | PA      | $1911851.51   | 0.05%             | 2038-07-15      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2019-2 Ltd                                                              | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3613543 | PA      | $3620683.32   | 0.10%             | 2032-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2019-H6                                           | CUSIP: 61769JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470000 | PA      | $376251.78    | 0.01%             | 2052-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                     | OBX 2019-EXP1 Trust                                                              | CUSIP: 67448QAC5<br>LEI: 549300ELWOCL265HSB73 | Long             | ABS-MBS          | CORP              | US        |     52295 | PA      | $51559.49     | 0.00%             | 2059-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXIV                                                                 | CUSIP: 03768WAL9<br>LEI: 5493001VH1Y9SEPJKZ47 | Long             | ABS-CBDO         | CORP              | KY        |   1450000 | PA      | $1453152.30   | 0.04%             | 2035-01-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2014-II-R Ltd                                                       | CUSIP: 12548RAH7<br>LEI: 549300O8WGQU5B6HEB94 | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10039987.00  | 0.27%             | 2037-10-24      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Trust 2017-GS6                                            | CUSIP: 36253PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1946802.60   | 0.05%             | 2050-05-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3596466 | PA      | $3063849.96   | 0.08%             | 2052-02-25      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2013-II Ltd                                                         | CUSIP: 12549BAY4<br>LEI: 2549009RG3XZEWMXDF59 | Long             | ABS-CBDO         | CORP              | KY        |    945848 | PA      | $946989.14    | 0.03%             | 2030-10-18      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a               | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 12498NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14243 | PA      | $11579.39     | 0.00%             | 2036-12-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                | Bear Stearns Mortgage Funding Trust 2007-AR4                                     | CUSIP: 07401YAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14182 | PA      | $13597.92     | 0.00%             | 2037-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock CLO 15 Ltd                                                             | CUSIP: 05875TAJ6<br>LEI: 254900DRHPTI08KKW784 | Long             | ABS-CBDO         | CORP              | KY        |   4600000 | PA      | $4615199.32   | 0.12%             | 2038-01-15      | Floating      | 5.59%                 | 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        |   2262249 | PA      | $2188672.29   | 0.06%             | 2057-09-24      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                          | Elmwood CLO II Ltd                                                               | CUSIP: 29001LBE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249799.50    | 0.01%             | 2037-10-20      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                             | Whitebox Clo II Ltd                                                              | CUSIP: 96466CAW8<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |   9171000 | PA      | $9206530.29   | 0.24%             | 2037-10-24      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2821969 | PA      | $2829905.96   | 0.07%             | 2039-02-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T               | CWABS Revolving Home Equity Loan Trust Series 2004-U                             | CUSIP: 126673VE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7436 | PA      | $7417.62      | 0.00%             | 2034-03-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust               | Carrington Mortgage Loan Trust Series 2007-FRE1                                  | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3621400 | PA      | $3501475.05   | 0.09%             | 2037-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus               | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4072000 | PA      | $4171542.08   | 0.11%             | 2032-08-20      | Fixed         | 9.49%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2015-LC19 Mortgage Trust                                                    | CUSIP: 200474BF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296000 | PA      | $291519.36    | 0.01%             | 2048-02-10      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust               | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585000 | PA      | $573300.00    | 0.02%             | 2034-09-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Series 2014-9R                                                              | CUSIP: 12648UBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58808 | PA      | $48347.76     | 0.00%             | 2036-08-27      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust               | WMRK Commercial Mortgage Trust 2022-WMRK                                         | CUSIP: 929342AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1435000 | PA      | $1435000.00   | 0.04%             | 2027-11-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXI Ltd                                                     | CUSIP: 55820JBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    490426 | PA      | $491407.56    | 0.01%             | 2032-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XLVIII Ltd                                                  | CUSIP: 55821WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500370.20    | 0.01%             | 2033-04-19      | Floating      | 10.78%                | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-2                                                    | CUSIP: 52590AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2948000 | PA      | $2971753.80   | 0.08%             | 2034-02-21      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2022-2 Ltd                                            | CUSIP: 69701NAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251747.83    | 0.01%             | 2030-10-15      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                           | A&D Mortgage Trust 2023-NQM5                                                     | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |   4955778 | PA      | $5021816.93   | 0.13%             | 2068-11-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2006-QA10 Trust                                                      | CUSIP: 74922NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1311651 | PA      | $1145334.40   | 0.03%             | 2036-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2021-LBA                                                                | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    593898 | PA      | $593526.95    | 0.02%             | 2036-02-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                | Citicorp Mortgage Securities Trust Series 2008-2                                 | CUSIP: 17314DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230761 | PA      | $192811.67    | 0.01%             | 2038-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu               | GoodLeap Home Improvement Solutions Trust 2025-1                                 | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9769714 | PA      | $9891240.25   | 0.26%             | 2049-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr               | Sofi Professional Loan Program 2018-B Trust                                      | CUSIP: 83404RAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156000 | PA      | $150096.93    | 0.00%             | 2047-08-25      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                      | Regatta 31 Funding Ltd                                                           | CUSIP: 758962AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1630000 | PA      | $1631776.05   | 0.04%             | 2038-03-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2006-4                                            | CUSIP: 07325BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    934391 | PA      | $882179.98    | 0.02%             | 2036-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2021-2                                                  | CUSIP: 35042PAA8<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |   1021371 | PA      | $970461.98    | 0.03%             | 2042-01-15      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Octagon 57 Ltd                               | Octagon 57 Ltd                                                                   | CUSIP: 67592XAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    870000 | PA      | $871655.18    | 0.02%             | 2034-10-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2018-15 Ltd                                                              | CUSIP: 67112KAG4<br>LEI: 254900WK4JKXAXOKTL68 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4505870.70   | 0.12%             | 2038-01-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO XXV Ltd                                                         | CUSIP: 09627FBA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    490000 | PA      | $491460.49    | 0.01%             | 2038-01-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254900 | PA      | $230110.77    | 0.01%             | 2061-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XIX Ltd                                                             | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600468 | PA      | $601028.99    | 0.02%             | 2031-04-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2020-FACT                                                                   | CUSIP: 126395AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134000 | PA      | $1048760.62   | 0.03%             | 2037-10-15      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T               | CWHEQ Revolving Home Equity Loan Trust Series 2006-C                             | CUSIP: 126685DJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290300 | PA      | $287516.37    | 0.01%             | 2036-05-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                         | FirstKey Homes 2022-SFR1 Trust                                                   | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3970153.60   | 0.10%             | 2039-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXXI Ltd                                                    | CUSIP: 55819DBA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $511617.36    | 0.01%             | 2037-07-23      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2019-1 Ltd                                                     | CUSIP: 69700GAJ1<br>LEI: 549300Y43K78UTRMTN21 | Long             | ABS-CBDO         | CORP              | KY        |   2380000 | PA      | $2385547.78   | 0.06%             | 2034-11-14      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-8R Ltd                                                              | CUSIP: 670898AU9<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250671.18    | 0.01%             | 2036-10-17      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Commercial Mortgage Trust 2024-PARK                                          | CUSIP: 05593UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    879000 | PA      | $896336.52    | 0.02%             | 2039-11-05      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1068000 | PA      | $684814.52    | 0.02%             | 2060-12-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM XVII LP                                                                      | CUSIP: 50190AAK8<br>LEI: 549300K6S4MWQOINB710 | Long             | ABS-CBDO         | CORP              | KY        |   2281879 | PA      | $2283961.88   | 0.06%             | 2031-10-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                            | PRPM 2025-NQM1 Trust                                                             | CUSIP: 74391EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2636000 | PA      | $2678422.20   | 0.07%             | 2069-11-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1298743 | PA      | $1448862.97   | 0.04%             | 2061-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| DBSG 2024-ALTA Mortgage Trust                | DBSG 2024-ALTA Mortgage Trust                                                    | CUSIP: 239918AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1612641 | PA      | $1641016.87   | 0.04%             | 2037-06-10      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2020-III Ltd                                                        | CUSIP: 12560EAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7680000 | PA      | $7687680.00   | 0.20%             | 2034-10-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fillmore Park CLO, Ltd.                      | Fillmore Park CLO Ltd 2018-1A                                                    | CUSIP: 31722PAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250104.70    | 0.01%             | 2030-07-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-               | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035000 | PA      | $1005946.83   | 0.03%             | 2036-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu               | JPMDB Commercial Mortgage Securities Trust 2016-C4                               | CUSIP: 46646RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8570000 | PA      | $68308.90     | 0.00%             | 2049-12-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2022-4                                    | CUSIP: 92259KAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    833264 | PA      | $848180.00    | 0.02%             | 2052-08-25      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                            | Generate CLO 20 Ltd                                                              | CUSIP: 370912AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1930000 | PA      | $1933956.89   | 0.05%             | 2038-01-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2017-A                                          | CUSIP: 78448WAC9<br>LEI: 5493000RGRVHYZAIY180 | Long             | ABS-O            | CORP              | US        |     84737 | PA      | $84751.82     | 0.00%             | 2034-09-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                        | Sixth Street CLO XX Ltd                                                          | CUSIP: 83012QAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    970000 | PA      | $970000.00    | 0.03%             | 2038-07-17      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO Ltd                                                  | CUSIP: 08182DAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1460000 | PA      | $1458540.00   | 0.04%             | 2038-04-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                       | Canyon Capital CLO 2016-1 Ltd                                                    | CUSIP: 13887PAK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    554153 | PA      | $554723.24    | 0.01%             | 2031-07-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278700 | PA      | $250718.46    | 0.01%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                           | Seasoned Loans Structured Transaction Trust Series 2020-3                        | CUSIP: 35564CHL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    433837 | PA      | $428430.54    | 0.01%             | 2060-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                           | Subway Funding LLC                                                               | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3587970 | PA      | $3675764.40   | 0.10%             | 2054-07-30      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                | Starwood Mortgage Residential Trust 2020-INV                                     | CUSIP: 85573EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $233953.07    | 0.01%             | 2055-11-25      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P               | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HBC77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1413000 | PA      | $1447340.99   | 0.04%             | 2031-10-25      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-6CB                                                  | CUSIP: 12668BSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172413 | PA      | $64796.13     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                      | Bryant Park Funding 2023-19 Ltd                                                  | CUSIP: 11765AAQ2<br>LEI: 5493004CTFWJSWYD8564 | Long             | ABS-CBDO         | CORP              | KY        |    720000 | PA      | $719346.38    | 0.02%             | 2038-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corporation                 | MERIT Securities Corp                                                            | CUSIP: 589962CW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    844143 | PA      | $815796.32    | 0.02%             | 2033-12-28      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Point Au Roche Park CLO, Ltd                 | Point Au Roche Park CLO Ltd                                                      | CUSIP: 73052VAA3<br>LEI: 5493000RMLD359CPH591 | Long             | ABS-CBDO         | CORP              | KY        |    580000 | PA      | $581465.95    | 0.02%             | 2034-07-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Trust 2018-GS10                                           | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4100000 | PA      | $4009454.78   | 0.11%             | 2051-07-10      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC       | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $4603.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2024-NQM1                                                                   | CUSIP: 26845DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8654896 | PA      | $8682546.61   | 0.23%             | 2069-11-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                       | GSAA Home Equity Trust 2006-14                                                   | CUSIP: 36298YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4474270 | PA      | $1325098.47   | 0.03%             | 2036-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-11CB                                                 | CUSIP: 12667GJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66880 | PA      | $53739.15     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-HE5                            | CUSIP: 07388CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2146286 | PA      | $2090443.98   | 0.06%             | 2036-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2013-3 Ltd                                                              | CUSIP: 92916XAJ6<br>LEI: 5493003QPCHR7P2XIW55 | Long             | ABS-CBDO         | CORP              | KY        |    229153 | PA      | $229569.10    | 0.01%             | 2031-10-18      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 21 Ltd                                                              | CUSIP: 33883PAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1201647.60   | 0.03%             | 2037-10-19      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2022-A                                             | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5689682 | PA      | $5684990.01   | 0.15%             | 2062-09-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS ISSUER TRUS               | Stream Innovations 2025-1 Issuer Trust                                           | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3577000 | PA      | $3602709.69   | 0.10%             | 2045-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2021-VIEW                                                               | CUSIP: 05606GAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2542000 | PA      | $2543503.08   | 0.07%             | 2036-06-15      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point CLO 8 Ltd                                                           | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |   4090000 | PA      | $4088233.12   | 0.11%             | 2038-04-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2018-2 Ltd                                                    | CUSIP: 77342KAC4<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $621183.46    | 0.02%             | 2031-10-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2006-1                                            | CUSIP: 07324SDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10029 | PA      | $9376.31      | 0.00%             | 2036-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38379RHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2543673 | PA      | $71277.80     | 0.00%             | 2057-08-16      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr               | Sofi Professional Loan Program 2018-A LLC                                        | CUSIP: 83406EAD7<br>LEI: 5493002WMPR84WZ75V46 | Long             | ABS-O            | CORP              | US        |    290000 | PA      | $280436.79    | 0.01%             | 2042-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                 | NY Commercial Mortgage Trust 2025-299P                                           | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    697000 | PA      | $720972.69    | 0.02%             | 2047-02-10      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo               | Merrill Lynch Mortgage Investors Trust Series 2006-AF2                           | CUSIP: 59023NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514756 | PA      | $271168.55    | 0.01%             | 2037-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                    | GSMPS Mortgage Loan Trust 2005-RP2                                               | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43682 | PA      | $40935.21     | 0.00%             | 2035-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| WASH MUT BANK FA                             | WASHINGTON MUTUAL BANK / DEBT NOT ACQUIRED BY JPMORGAN ESCROW                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $0.03         | 0.00%             | 2049-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Oak Hill Credit                              | OHA Credit Funding 9 Ltd                                                         | CUSIP: 67690AAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1890000 | PA      | $1894408.43   | 0.05%             | 2037-10-19      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-I Ltd                                                          | CUSIP: 12553DAS6<br>LEI: 254900RRJV30GDUWIX97 | Long             | ABS-CBDO         | CORP              | KY        |   4297000 | PA      | $4312603.70   | 0.11%             | 2037-10-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2024-A                                          | CUSIP: 831943AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2415000 | PA      | $2477595.83   | 0.07%             | 2056-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2022-1                                                | CUSIP: 92538WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1507000 | PA      | $1145373.80   | 0.03%             | 2067-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2277177.08   | 0.06%             | 2039-06-12      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Regatta XXIV Funding Ltd.                    | Regatta XXIV Funding Ltd                                                         | CUSIP: 75889HAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1080000 | PA      | $1083638.63   | 0.03%             | 2038-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1174247 | PA      | $979534.83    | 0.03%             | 2052-02-26      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                  | Houston Galleria Mall Trust 2025-HGLR                                            | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327000 | PA      | $335507.07    | 0.01%             | 2045-02-05      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding XIV CLO Ltd                                                        | CUSIP: 15034AAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1480000 | PA      | $1483127.39   | 0.04%             | 2037-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-2                                    | CUSIP: 92259PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3225069 | PA      | $3273919.40   | 0.09%             | 2054-04-25      | Variable      | 10.72%                | No            |                  2 | On Loan: No      |
| Hartwick Park CLO, Ltd.                      | Hartwick Park CLO Ltd                                                            | CUSIP: 417403AQ5<br>LEI: 2549003E1ZAWJG55NM75 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2002484.40   | 0.05%             | 2037-01-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    456000 | PA      | $458140.60    | 0.01%             | 2038-06-16      | Fixed         | 13.31%                | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2018-2 Ltd                                                      | CUSIP: 09629VAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1320000 | PA      | $1326357.12   | 0.04%             | 2031-08-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                | MASTR Reperforming Loan Trust 2005-1                                             | CUSIP: 576436AT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1764069 | PA      | $1230372.03   | 0.03%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Trust 2024-1                                           | CUSIP: 39571MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    764000 | PA      | $777673.46    | 0.02%             | 2059-06-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Bank                                         | BANK 2019-BNK22                                                                  | CUSIP: 06540XBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37947496 | PA      | $849056.25    | 0.02%             | 2062-11-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei               | Securitized Asset Backed Receivables LLC Trust 2007-BR1                          | CUSIP: 81378KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1996158 | PA      | $837159.25    | 0.02%             | 2037-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2024-1                                                  | CUSIP: 03465XAA7<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |    940734 | PA      | $936633.02    | 0.02%             | 2068-08-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2025-A                                            | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3732000 | PA      | $3795422.35   | 0.10%             | 2038-05-20      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2021-4 Ltd                                                     | CUSIP: 69702EAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    660000 | PA      | $660000.00    | 0.02%             | 2038-07-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                 | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1110000 | PA      | $1121891.76   | 0.03%             | 2040-04-13      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Mill City Solar Loan Ltd.                    | Mill City Solar Loan 2019-1 Ltd                                                  | CUSIP: 59982WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    888364 | PA      | $812961.11    | 0.02%             | 2043-03-20      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                       | Cascade MH Asset Trust 2019-MH1                                                  | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4258380 | PA      | $4059733.80   | 0.11%             | 2044-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 5 Ltd                                                            | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1810000 | PA      | $1816607.04   | 0.05%             | 2037-04-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2007-AHL2                                          | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    881318 | PA      | $575739.43    | 0.02%             | 2037-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                       | SLM Private Education Loan Trust 2010-C                                          | CUSIP: 78445QAE1<br>LEI: 549300JEA36NHBYED811 | Long             | ABS-O            | CORP              | US        |   2129860 | PA      | $2231163.58   | 0.06%             | 2041-10-15      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2023-3                                                | CUSIP: 92539GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $415759.57    | 0.01%             | 2068-03-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                | RFMSI Series 2006-SA2 Trust                                                      | CUSIP: 749574AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    398083 | PA      | $282352.77    | 0.01%             | 2036-08-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD 2024-VICT Mortgage Trust                                                    | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2970000 | PA      | $2977425.00   | 0.08%             | 2041-07-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOA               | Harvest Commercial Capital Loan Trust 2019-1                                     | CUSIP: 41753CAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1536000 | PA      | $1435395.38   | 0.04%             | 2046-09-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| CRSO 2023-BRND A                             | CRSO 2023-BRND A                                                                 | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1929098 | PA      | $2023896.58   | 0.05%             | 2040-07-12      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer