Schedule of Investments (unaudited) 
June 30, 2026
BATS: Mortgage Total Return Series
(Percentages shown are based on Net Assets)
 
Security
 
Par
(000)
Value
Asset-Backed Securities
Mosaic Solar Loan Trust, Series 2019-2A, Class A,
2.88%, 09/20/40(a)
USD  
84
$  74,364
Total Asset-Backed Securities — 0.0%
(Cost: $84,431)
74,364
Non-Agency Mortgage-Backed Securities
Commercial Mortgage-Backed Securities — 10.4%
1211 Avenue of the Americas Trust, Series 2015-
1211, Class A1A2, 3.90%, 08/10/35(a)
945
914,287
1301 Trust, Series 2025-1301, Class A, 5.23%,
08/11/42(a)(b)
975
973,824
280 Park Avenue Mortgage Trust, Series 2017-
280P, Class A, (1-mo. CME Term SOFR +
1.18%), 4.79%, 09/15/34(a)(b)
3,928
3,923,090
425 Trust
Series 2026-LEX, Class A, (1-mo. CME Term
SOFR + 1.67%), 07/15/43(a)(b)(c)
1,489
1,489,000
Series 2026-LEX, Class B, (1-mo. CME Term
SOFR + 2.10%), 07/15/43(a)(b)(c)
1,650
1,650,000
Arbor Multifamily Mortgage Securities Trust,
Series 2020-MF1, Class C, 3.72%,
05/15/53(a)(b)
400
371,636
ARES Commercial Mortgage Trust
Series 2024-IND, Class A, (1-mo. CME Term
SOFR + 1.69%), 5.32%, 07/15/41(a)(b)
2,220
2,224,162
Series 2024-IND2, Class A, (1-mo. CME Term
SOFR + 1.44%), 5.07%, 10/15/34(a)(b)
400
401,250
Series 2026-AZURE, Class A, (1-mo. CME Term
SOFR + 1.35%), 4.98%, 03/15/38(a)(b)
2,760
2,759,997
Series 2026-AZURE, Class B, (1-mo. CME
Term SOFR + 1.60%), 5.23%, 03/15/38(a)(b)
419
418,999
Series 2026-AZURE, Class C, (1-mo. CME
Term SOFR + 1.90%), 5.53%, 03/15/38(a)(b)
170
170,212
ARES Trust, Series 2025-IND3, Class A, (1-mo.
CME Term SOFR + 1.50%), 5.13%,
04/15/42(a)(b)
1,070
1,071,989
Atrium Hotel Portfolio Trust, Series 2024-ATRM,
Class A, 5.59%, 11/10/29(a)(b)
550
552,408
Banc of America Merrill Lynch Commercial
Mortgage Securities Trust, Series 2024-BHP,
Class A, (1-mo. CME Term SOFR + 2.35%),
5.98%, 08/15/39(a)(b)
600
602,241
BANK
Series 2017-BNK4, Class AS, 3.78%, 05/15/50
659
647,676
Series 2018-BN11, Class B, 4.48%, 03/15/61(b)
1,769
1,704,315
Series 2021-BN38, Class A5, 2.52%, 12/15/64
5,090
4,473,414
BBCMS Mortgage Trust, Series 2018-TALL,
Class A, (1-mo. CME Term SOFR + 0.92%),
4.55%, 03/15/37(a)(b)
795
751,275
Benchmark Mortgage Trust
Series 2018-B2, Class A5, 3.88%, 02/15/51(b)
1,000
985,045
Series 2025-V18, Class B, 5.95%, 10/15/58
975
980,367
BFLD Trust
Series 2024-UNIV, Class A, (1-mo. CME Term
SOFR + 1.49%), 5.12%, 11/15/41(a)(b)
560
560,525
Series 2024-WRHS, Class A, (1-mo. CME Term
SOFR + 1.49%), 5.12%, 07/15/39(a)(b)
2,012
2,012,841
Series 2025-660F, Class A, (1-mo. CME Term
SOFR + 1.50%), 5.13%, 11/15/42(a)(b)
855
856,870
Series 2025-660F, Class B, (1-mo. CME Term
SOFR + 1.80%), 5.43%, 11/15/42(a)(b)
873
876,272
Security
 
Par
(000)
Value
Commercial Mortgage-Backed Securities (continued)
BFLD Trust
Series 2025-EWEST, Class A, (1-mo. CME
Term SOFR + 1.55%), 5.18%, 06/15/42(a)(b)
USD  
1,537
$  1,537,000
Series 2025-FPM, Class A, 5.18%,
10/10/40(a)(b)
1,268
1,264,158
BMO Mortgage Trust, Series 2024-C8, Class A5,
5.60%, 03/15/57(b)
555
572,996
BPR Mortgage Trust, Series 2025-ALDR, Class A,
5.67%, 06/05/42(a)
850
863,613
BPR Trust, Series 2025-STAR, Class B, 5.56%,
11/05/42(a)(b)
795
783,771
BRCK Trust, Series 2025-830B, Class A, 4.96%,
12/10/42(a)(b)
793
784,846
BSTN Commercial Mortgage Trust, Series 2025-
HUB, Class A, 5.06%, 04/13/41(a)(b)
760
753,178
BWAY Mortgage Trust, Series 2025-1535, Class A,
6.52%, 05/05/42(a)(b)
993
1,002,211
BX Commercial Mortgage Trust
Series 2024-AIRC, Class A, (1-mo. CME Term
SOFR + 1.69%), 5.32%, 08/15/41(a)(b)
3,278
3,290,503
Series 2024-GPA3, Class A, (1-mo. CME Term
SOFR + 1.29%), 4.92%, 12/15/39(a)(b)
835
836,202
Series 2024-MF, Class A, (1-mo. CME Term
SOFR + 1.44%), 5.07%, 02/15/39(a)(b)
2,364
2,367,858
Series 2024-XL4, Class A, (1-mo. CME Term
SOFR + 1.44%), 5.07%, 02/15/39(a)(b)
1,871
1,874,643
Series 2025-BCAT, Class A, (1-mo. CME Term
SOFR + 1.38%), 5.01%, 08/15/42(a)(b)
1,435
1,438,508
Series 2025-JDI, Class A, (1-mo. CME Term
SOFR + 1.40%), 5.03%, 11/15/42(a)(b)
1,226
1,229,278
Series 2025-SPOT, Class A, (1-mo. CME Term
SOFR + 1.44%), 5.07%, 04/15/40(a)(b)
1,559
1,560,399
Series 2026-LP3, Class A, (1-mo. CME Term
SOFR + 1.38%), 5.01%, 04/15/43(a)(b)
1,590
1,594,899
Series 2026-VLT9, Class A, (1-mo. CME Term
SOFR + 1.70%), 5.33%, 03/15/45(a)(b)
2,337
2,335,539
BX Trust
Series 2019-OC11, Class D, 4.08%,
12/09/41(a)(b)
1,489
1,407,192
Series 2021-LBA, Class AV, (1-mo. CME Term
SOFR + 1.16%), 4.79%, 02/15/36(a)(b)
65
64,850
Series 2025-LIFE, Class A, 6.08%,
06/13/47(a)(b)
2,000
1,988,943
Series 2025-LUNR, Class A, (1-mo. CME Term
SOFR + 1.50%), 5.13%, 06/15/40(a)(b)
1,984
1,988,284
Series 2025-OMG, Class A, (1-mo. CME Term
SOFR + 1.35%), 4.98%, 10/15/42(a)(b)
1,015
1,015,634
Series 2025-TAIL, Class A, (1-mo. CME Term
SOFR + 1.40%), 5.03%, 06/15/35(a)(b)
1,618
1,622,093
Series 2025-VLT6, Class A, (1-mo. CME Term
SOFR + 1.44%), 5.07%, 03/15/42(a)(b)
2,420
2,416,975
Series 2025-VOLT, Class A, (1-mo. CME Term
SOFR + 1.70%), 5.33%, 12/15/44(a)(b)
2,923
2,925,740
Series 2026-CLS, Class A, (1-mo. CME Term
SOFR + 1.40%), 5.03%, 05/15/43(a)(b)
738
738,692
Series 2026-PNDA, Class A, (1-mo. CME Term
SOFR + 1.30%), 4.93%, 05/15/43(a)(b)
1,545
1,548,380
CEDR Commercial Mortgage Trust, Series 2022-
SNAI, Class A, (1-mo. CME Term SOFR +
0.99%), 4.61%, 02/15/39(a)(b)
2,270
2,256,333
CFK Trust, Series 2020-MF2, Class B, 2.79%,
03/15/39(a)
1,254
1,173,247
1
Schedule of Investments (unaudited) (continued)
June 30, 2026
BATS: Mortgage Total Return Series
(Percentages shown are based on Net Assets)
Security
 
Par
(000)
Value
Commercial Mortgage-Backed Securities (continued)
CHI Commercial Mortgage Trust, Series 2025-
110W, Class A, 5.10%, 12/13/40(a)(b)
USD  
1,430
$  1,420,098
CIP Commercial Mortgage Trust, Series 2025-
SBAY, Class A, (1-mo. CME Term SOFR +
1.40%), 5.03%, 10/15/37(a)(b)
1,367
1,370,417
Citigroup Commercial Mortgage Trust,
Series 2023-SMRT, Class A, 6.02%,
06/12/40(a)(b)
1,370
1,389,846
Commercial Mortgage Trust, Series 2024-WCL1,
Class A, (1-mo. CME Term SOFR + 1.84%),
5.47%, 06/15/41(a)(b)
1,454
1,453,546
CONE Trust, Series 2024-DFW1, Class A, (1-mo.
CME Term SOFR + 1.64%), 5.27%,
08/15/41(a)(b)
930
926,222
CRSO Trust, Series 2023-BRND, 7.12%,
07/10/40(a)
763
781,337
CSTL Commercial Mortgage Trust
Series 2025-GATE2, Class A, 4.71%,
11/10/42(a)(b)
1,100
1,079,208
Series 2026-GATE3, Class A, 4.85%,
02/10/43(a)(b)
1,895
1,879,051
CVLR Trust, Series 2026-R3LX, Class A, (1-mo.
CME Term SOFR + 1.55%), 5.15%,
06/15/43(a)(b)
940
940,000
DBC Mortgage Trust, Series 2025-DBC, Class A,
(1-mo. CME Term SOFR + 1.35%), 4.98%,
11/15/42(a)(b)
1,785
1,786,673
DK Trust, Series 2025-LXP, Class A, (1-mo. CME
Term SOFR + 1.59%), 5.23%, 08/15/37(a)(b)
340
341,063
Extended Stay America Trust, Series 2026-ESH2,
Class A, (1-mo. CME Term SOFR + 1.20%),
4.83%, 02/15/43(a)(b)
1,284
1,285,185
Grace Mortgage Trust, Series 2020-GRCE,
Class B, 2.60%, 12/10/40(a)
900
802,978
GS Mortgage Securities Trust, Series 2021-ROSS,
Class A, (1-mo. CME Term SOFR + 1.41%),
5.04%, 06/15/36(a)(b)
730
700,800
GSAT Trust, Series 2025-BMF, Class A, (1-mo.
CME Term SOFR + 1.50%), 5.13%,
07/15/40(a)(b)
2,519
2,519,601
GWT, Series 2024-WLF2, Class A, (1-mo. CME
Term SOFR + 1.69%), 5.32%, 05/15/41(a)(b)
1,570
1,573,925
Hudson Yards Mortgage Trust, Series 2019-30HY,
Class D, 3.56%, 07/10/39(a)(b)
669
618,074
ILPT Commercial Mortgage Trust, Series 2025-
LPF2, Class A, 5.47%, 07/13/42(a)(b)
2,454
2,466,171
INTOWN Mortgage Trust, Series 2025-STAY,
Class A, (1-mo. CME Term SOFR + 1.35%),
4.98%, 03/15/42(a)(b)
2,084
2,084,000
INV Mortgage Trust, Series 2024-IND, Class A,
(1-mo. CME Term SOFR + 1.74%), 5.37%,
11/15/41(a)(b)
640
634,400
JPMorgan Chase Commercial Mortgage Securities
Trust
Series 2021-2NU, Class A, 1.97%, 01/05/40(a)
1,210
1,124,975
Series 2024-IGLG, Class A, 5.35%,
11/09/39(a)(b)
440
439,959
Series 2025-BHR5, Class A, (1-mo. CME Term
SOFR + 1.69%), 5.32%, 03/15/40(a)(b)
248
248,051
LEX Trust, Series 2026-450, Class B, (1-mo. CME
Term SOFR + 1.70%), 5.33%, 03/15/43(a)(b)
1,598
1,602,994
Security
 
Par
(000)
Value
Commercial Mortgage-Backed Securities (continued)
LQR Trust, Series 2025-CALI, Class A, (1-mo.
CME Term SOFR + 1.60%), 5.23%,
01/15/43(a)(b)
USD  
1,281
$  1,279,399
LUX, Series 2023-LION, Class A, (1-mo. CME
Term SOFR + 2.69%), 6.32%, 08/15/40(a)(b)
880
884,059
Manhattan West Mortgage Trust, Series 2026-
2MW, Class A, 5.50%, 06/10/48(a)(b)
1,350
1,359,623
MCR Mortgage Trust, Series 2024-HF1, Class A,
(1-mo. CME Term SOFR + 1.79%), 5.42%,
12/15/41(a)(b)
1,207
1,208,925
MF1, Series 2021-W10, Class B, (1-mo. CME
Term SOFR + 1.37%), 5.00%, 12/15/34(a)(b)
640
636,143
MLTI Trust
Series 2026-MLTI, Class A10, (1-mo. CME Term
SOFR + 1.40%), 5.02%, 06/15/31(a)(b)
1,520
1,520,000
Series 2026-SF75, Class B, (1-mo. CME Term
SOFR + 1.70%), 5.33%, 03/15/36(a)(b)
1,127
1,127,703
Morgan Stanley Capital I Trust
Series 2018-H3, Class B, 4.62%, 07/15/51(b)
739
720,837
Series 2018-MP, Class A, 4.42%, 07/11/40(a)(b)
1,000
941,175
Series 2024-NSTB, Class A, 3.90%,
09/24/57(a)(b)
563
551,494
National Commercial Mortgage Trust, Series 2026-
IND, Class A, (1-mo. CME Term SOFR +
1.35%), 4.98%, 06/15/43(a)(b)
2,101
2,101,924
NCMF Trust, Series 2025-MFS, Class A, 5.05%,
06/10/33(a)(b)
2,179
2,160,765
NJ, Series 2025-WBRK, Class A, 5.87%,
03/05/35(a)(b)
1,485
1,515,809
NRTH Commercial Mortgage Trust, Series 2025-
PARK, Class A, (1-mo. CME Term SOFR +
1.39%), 5.02%, 10/15/40(a)(b)
2,396
2,401,990
NYC Commercial Mortgage Trust
Series 2025-11X, Class A, (1-mo. CME Term
SOFR + 1.74%), 5.37%, 10/15/40(a)(b)
860
862,956
Series 2025-28L, Class A, 4.82%, 11/05/38(a)(b)
589
584,215
Series 2025-3BP, Class A, (1-mo. CME Term
SOFR + 1.21%), 4.84%, 02/15/42(a)(b)
1,401
1,400,562
Series 2025-77C, Class A, 4.95%, 01/10/36(a)(b)
2,785
2,757,382
Series 2026-1PARK, Class A, (1-mo. CME Term
SOFR + 1.25%), 4.88%, 02/15/43(a)(b)
1,090
1,089,319
PENN Commercial Mortgage Trust, Series 2025-
P11, Class A, 5.52%, 08/10/42(a)(b)
406
410,038
PLYM Commercial Mortgage Trust, Series 2026-
IND, Class A, (1-mo. CME Term SOFR +
1.25%), 4.88%, 03/15/43(a)(b)
3,735
3,737,327
PRM Trust, Series 2025-PRM6, Class A, 4.63%,
07/05/33(a)(b)
1,748
1,728,799
PRM5 Trust, Series 2025-PRM5, Class A, 4.62%,
03/10/33(a)(b)
2,572
2,548,688
SDAL Trust, Series 2025-DAL, Class A, (1-mo.
CME Term SOFR + 2.44%), 6.07%,
04/15/42(a)(b)
2,128
2,129,875
SHRN Trust, Series 2025-MF18, Class A, (1-mo.
CME Term SOFR + 1.20%), 4.83%,
10/15/40(a)(b)
461
460,712
SLG Trust
Series 2026-PAT, Class A, 4.93%, 02/15/39(a)(b)
805
795,306
Series 2026-PAT, Class B, 5.21%, 02/15/39(a)(b)
1,065
1,052,278
UNIV Trust, Series 2025-APTS, Class A, (1-mo.
CME Term SOFR + 1.65%), 5.28%,
11/15/42(a)(b)
2,541
2,533,770
2
Schedule of Investments (unaudited) (continued)
June 30, 2026
BATS: Mortgage Total Return Series
(Percentages shown are based on Net Assets)
Security
 
Par
(000)
Value
Commercial Mortgage-Backed Securities (continued)
Wells Fargo Commercial Mortgage Trust
Series 2018-AUS, Class A, 4.19%,
08/17/36(a)(b)
USD  
2,417
$  2,360,490
Series 2024-1CHI, Class A, 5.48%,
07/15/35(a)(b)
1,090
1,090,864
WEST Trust, Series 2025-ROSE, Class A, 5.45%,
04/10/35(a)(b)
1,309
1,308,073
WHARF Commercial Mortgage Trust, Series 2025-
DC, Class A, 5.53%, 07/15/40(a)(b)
1,027
1,037,572
 
150,374,306
Interest Only Commercial Mortgage-Backed Securities — 0.1%
Arbor Multifamily Mortgage Securities Trust,
Series 2020-MF1, Class XA, 1.04%,
05/15/53(a)(b)
1,513
42,569
BANK
Series 2020-BN29, Class XA, 1.41%,
11/15/53(b)
3,895
176,510
Series 2021-BN33, Class XA, 1.09%,
05/15/64(b)
14,335
506,697
Benchmark Mortgage Trust, Series 2020-B21,
Class XA, 1.51%, 12/17/53(a)(b)
3,617
172,412
BMO Mortgage Trust, Series 2023-C5, Class XA,
0.96%, 06/15/56(b)
8,451
323,532
UBS Commercial Mortgage Trust, Series 2019-
C17, Class XA, 1.58%, 10/15/52(b)
9,384
351,591
Wells Fargo Commercial Mortgage Trust
Series 2018-C44, Class XA, 0.86%, 05/15/51(b)
7,359
75,673
Series 2020-C58, Class XA, 1.90%, 07/15/53(b)
4,258
248,525
 
1,897,509
Total Non-Agency Mortgage-Backed Securities — 10.5%
(Cost: $154,041,739)
152,271,815
U.S. Government Sponsored Agency Securities
Collateralized Mortgage Obligations — 5.6%
Fannie Mae
Series 2011-8, Class ZA, 4.00%, 02/25/41
448
431,934
Series 2017-100, Class ZJ, 3.50%, 12/25/47
3,280
2,945,273
Series 2018-32, Class PS, (SOFR (30-day) +
7.10%), 2.87%, 05/25/48(b)
1,566
1,309,293
Series 2018-76, Class ZL, 4.00%, 10/25/58
5,042
4,638,909
Series 2022-25, Class KL, 4.00%, 05/25/52
1,500
1,374,937
Series 2024-95, Class FC, (SOFR (30-day) +
1.40%), 5.03%, 12/25/54(b)
127
128,163
Series 2025-18, Class FH, (SOFR (30-day) +
1.40%), 5.03%, 08/25/54(b)
208
210,436
Series 2025-2, Class FG, (SOFR (30-day) +
1.45%), 5.08%, 02/25/55(b)
805
808,745
Series 2025-33, Class DV, 5.50%, 04/25/36
2,104
2,153,789
Series 2025-35, Class FJ, (SOFR (30-day) +
1.60%), 5.23%, 05/25/55(b)
482
490,399
Series 2025-40, Class EV, 5.00%, 06/25/36
665
672,055
Series 2025-42, Class FA, (SOFR (30-day) +
1.50%), 5.13%, 06/25/55(b)
289
293,397
Series 2025-42, Class FE, (SOFR (30-day) +
1.55%), 5.18%, 06/25/55(b)
540
549,505
Freddie Mac
Series 4355, Class ZL, 4.00%, 06/15/44
2,520
2,371,587
Series 454, Class DA, 4.00%, 05/25/27
52,480
52,240,011
Series 4758, Class Z, 4.00%, 02/15/48
1,621
1,517,154
Series 5468, Class FM, (SOFR (30-day) +
1.20%), 4.83%, 11/25/54(b)
2,488
2,500,961
Security
 
Par
(000)
Value
Collateralized Mortgage Obligations (continued)
Freddie Mac
Series 5468, Class MF, (SOFR (30-day) +
1.30%), 4.93%, 11/25/54(b)
USD  
1,925
$  1,939,554
Series 5479, Class FB, (SOFR (30-day) +
1.40%), 5.03%, 12/25/54(b)
224
226,109
Series 5491, Class FA, (SOFR (30-day) +
1.30%), 4.93%, 01/25/55(b)
816
822,513
Series 5515, Class FB, (SOFR (30-day) +
1.40%), 5.03%, 03/25/55(b)
314
317,237
Series 5518, Class FC, (SOFR (30-day) +
1.32%), 4.95%, 03/25/55(b)
941
949,284
Series 5539, Class FC, (SOFR (30-day) +
1.50%), 5.13%, 05/25/55(b)
400
406,037
Series 5543, Class FC, (SOFR (30-day) +
1.50%), 5.13%, 06/25/55(b)
304
308,698
Series 5543, Class FG, (SOFR (30-day) +
1.50%), 5.13%, 06/25/55(b)
310
314,730
Series 5543, Class FM, (SOFR (30-day) +
1.50%), 5.13%, 06/25/55(b)
409
415,429
Series 5544, Class HV, 5.00%, 05/25/36
646
647,216
Series 5570, Class FA, (SOFR (30-day) +
1.40%), 5.03%, 05/25/55(b)
452
456,867
 
81,440,222
Commercial Mortgage-Backed Securities — 1.2%
Freddie Mac
Series K082, Class A2, 3.92%, 09/25/28(b)
2,400
2,371,478
Series K139, Class A2, 2.59%, 01/25/32(b)
12,000
10,877,331
Series K154, Class A2, 3.42%, 04/25/32
3,500
3,393,222
 
16,642,031
Interest Only Collateralized Mortgage Obligations — 1.3%
Fannie Mae
Series 2013-10, Class PI, 3.00%, 02/25/43
767
88,729
Series 2015-66, Class AS, (SOFR (30-day) +
6.14%), 2.51%, 09/25/45(b)
1,328
65,576
Series 2020-27, Class IJ, 4.50%, 05/25/50
3,763
698,038
Series 2021-23, Class CI, 3.50%, 07/25/46
1,868
328,104
Series 2021-41, Class IO, 3.50%, 07/25/51
3,563
625,607
Series 2021-88, Class IO, 2.50%, 12/25/51
1,725
223,120
Series 2024-7, Class IA, 3.50%, 11/25/49
4,090
499,373
Series 427, Class C21, 2.00%, 03/25/50
2,678
334,285
Series 435, Class C24, 2.00%, 04/25/52
19,152
2,390,158
Freddie Mac
Series 5052, Class KI, 4.00%, 12/25/50
9,938
2,011,998
Series 5109, Class ID, 2.50%, 05/25/51
1,630
245,735
Series 5112, Class KI, 3.50%, 06/25/51
1,151
210,235
Series 5119, Class IC, 4.00%, 06/25/51
2,654
531,199
Ginnie Mae
Series 2020-151, Class MI, 2.50%, 10/20/50
9,169
1,346,931
Series 2021-104, Class IH, 3.00%, 06/20/51
3,915
649,171
Series 2021-149, Class KI, 3.00%, 08/20/51
7,317
1,206,744
Series 2021-193, Class IA, 3.00%, 11/20/51
11,087
1,863,730
Series 2021-87, Class NI, 3.00%, 05/20/51
6,321
1,035,959
Series 2022-5, Class LI, 3.50%, 01/20/52
9,453
1,733,096
Series 2022-78, Class IO, 3.00%, 08/20/51
6,167
1,068,489
Series 2024-180, Class IE, 6.50%, 11/20/54
838
183,425
Series 2024-6, Class ES, (SOFR (30-day) +
6.05%), 2.44%, 07/20/53(b)
4,119
262,752
Series 2025-174, Class IH, 5.50%, 05/20/54
1,122
178,391
Series 2025-214, Class DI, 5.50%, 12/20/55
3,974
841,628
3
Schedule of Investments (unaudited) (continued)
June 30, 2026
BATS: Mortgage Total Return Series
(Percentages shown are based on Net Assets)
Security
 
Par
(000)
Value
Interest Only Collateralized Mortgage Obligations (continued)
Ginnie Mae
Series 2026-12, Class KI, 5.50%, 01/20/56
USD  
1,766
$  356,723
Series 2026-8, Class NI, 6.00%, 01/20/56
2,349
526,588
 
19,505,784
Interest Only Commercial Mortgage-Backed Securities — 0.1%
Freddie Mac
Series K110, Class X1, 1.75%, 04/25/30(b)
1,105
55,860
Series K116, Class X1, 1.51%, 07/25/30(b)
2,015
92,466
Series K119, Class X1, 1.01%, 09/25/30(b)
3,222
103,859
Series K122, Class X1, 0.95%, 11/25/30(b)
4,913
154,812
Ginnie Mae
Series 2016-151, Class IO, 0.88%, 06/16/58(b)
15,839
720,427
Series 2017-61, Class IO, 0.69%, 05/16/59(b)
906
30,466
 
1,157,890
Mortgage-Backed Securities — 134.4%
Fannie Mae Mortgage-Backed Securities
1.50%, 12/01/35 - 04/01/52
37,237
30,847,906
2.00%, 10/01/31 - 04/01/52
128,195
106,647,077
2.50%, 09/01/27 - 04/01/52
75,119
65,090,431
3.00%, 04/01/28 - 06/01/52
33,116
29,869,959
3.50%, 03/01/29 - 04/01/52
18,964
17,602,936
4.00%, 02/01/31 - 05/01/52
23,018
21,814,154
4.50%, 06/01/40 - 03/01/56
69,581
67,089,457
5.00%, 02/01/35 - 05/01/56(d)
118,252
116,685,994
5.50%, 05/01/34 - 03/01/56
32,113
32,444,094
5.81%, 06/01/31
3,574
3,655,483
6.00%, 02/01/38 - 12/01/55
30,200
31,138,347
6.50%, 07/01/37 - 08/01/53
6,940
7,197,022
Freddie Mac Mortgage-Backed Securities
1.50%, 04/01/36 - 04/01/52
10,573
8,501,828
2.00%, 01/01/36 - 02/01/52
94,857
78,201,538
2.50%, 02/01/30 - 01/01/53
73,305
62,444,592
3.00%, 09/01/27 - 08/01/52
47,731
42,583,807
3.50%, 02/01/31 - 06/01/50
16,512
15,339,713
4.00%, 08/01/40 - 06/01/52
14,122
13,481,921
4.50%, 12/01/39 - 01/01/56
21,325
20,515,159
5.00%, 05/01/28 - 07/01/56
68,316
67,538,298
5.50%, 01/01/28 - 05/01/56
25,429
25,686,840
6.00%, 12/01/36 - 11/01/55
35,821
36,815,732
6.50%, 02/01/53 - 09/01/55
10,889
11,346,412
Ginnie Mae Mortgage-Backed Securities
2.00%, 08/20/50 - 07/15/56(e)
120,821
99,023,584
2.50%, 04/20/51 - 07/15/56(e)
51,608
44,112,668
3.00%, 12/20/44 - 07/15/56(e)
35,919
31,920,376
3.50%, 01/15/42 - 07/15/56(e)
32,343
29,508,573
4.00%, 04/20/39 - 07/15/56(e)
27,487
25,752,863
4.50%, 09/20/39 - 07/15/56(e)
59,509
57,380,158
5.00%, 07/15/33 - 07/15/56(e)
75,977
74,981,220
5.50%, 07/15/38 - 07/15/56(e)
72,208
72,583,860
6.00%, 03/20/53 - 07/15/56(e)
35,015
35,752,653
6.50%, 07/15/56(e)
17,366
17,977,251
Uniform Mortgage-Backed Securities
1.50%, 07/01/41(e)
2,664
2,372,494
2.00%, 07/01/41 - 07/01/56(e)
5,243
4,640,783
2.50%, 07/01/41 - 07/01/56(e)
58,151
49,077,966
3.00%, 07/01/41 - 07/01/56(e)
13,314
11,728,876
3.50%, 07/01/41 - 07/01/56(e)
30,162
27,377,203
4.00%, 07/01/41 - 07/01/56(e)
17,396
16,342,213
4.50%, 07/01/41 - 07/01/56(e)
92,868
90,205,858
5.00%, 07/01/56(e)
66,074
64,917,823
5.50%, 07/01/56(e)
218,405
219,102,856
Security
 
Par
(000)
Value
Mortgage-Backed Securities (continued)
Uniform Mortgage-Backed Securities
6.00%, 07/01/56(e)
USD  
43,955
$  44,932,947
6.50%, 07/01/56(e)
17,558
18,161,421
 
1,950,392,346
Principal Only Collateralized Mortgage Obligations — 0.7%
Fannie Mae
Series 2023-36, Class AO, 0.00%, 08/25/50(f)
3,070
2,215,192
Series 2024-16, Class PO, 0.00%, 03/25/51(f)
1,371
970,857
Freddie Mac
Series 5319, Class PO, 0.00%, 08/25/50(f)
6,109
4,280,347
Series 5341, Class AO, 0.00%, 06/25/50(f)
3,348
2,379,979
Ginnie Mae, Series 2022-195, Class PO, 0.00%,
11/20/52(f)
404
322,522
 
10,168,897
Total U.S. Government Sponsored Agency Securities — 143.3%
(Cost: $2,135,000,911)
2,079,307,170
Total Long-Term Investments — 153.8%
(Cost: $2,289,127,081)
2,231,653,349
 
 
 
 
Shares
 
Short-Term Securities
Money Market Funds — 0.6%
BNY Dreyfus Treasury Securities Cash Management,
Institutional Class, 3.53%(g)
9,449,340
9,449,340
 
 
 
Par
(000)
 
U.S. Treasury Obligations(h) — 1.6%
U.S. Treasury Bills, 3.57%,07/14/26
USD  
23,099
23,069,163
Total Short-Term Securities — 2.2%
(Cost: $32,518,643)
32,518,503
Total Investments Before TBA Sale Commitments — 156.0%
(Cost: $2,321,645,724)
2,264,171,852
TBA Sale Commitments(e)
Mortgage-Backed Securities — (33.9)%
Ginnie Mae Mortgage-Backed Securities
4.50%, 07/15/56
(27,330
)
(26,236,216
)
5.00%, 07/15/56
(28,319
)
(27,916,935
)
5.50%, 07/15/56
(31,116
)
(31,268,904
)
6.00%, 07/15/56
(14,508
)
(14,811,677
)
6.50%, 07/15/56
(8,744
)
(9,058,262
)
Uniform Mortgage-Backed Securities
2.00%, 07/01/56
(20,480
)
(16,348,702
)
2.50%, 07/01/41
(37
)
(34,588
)
3.50%, 07/01/56
(4,700
)
(4,263,781
)
4.50%, 07/01/56
(94,527
)
(90,546,527
)
5.00%, 07/01/56
(162,553
)
(159,708,612
)
5.50%, 07/01/56
(45,725
)
(45,871,102
)
4
Schedule of Investments (unaudited) (continued)
June 30, 2026
BATS: Mortgage Total Return Series
(Percentages shown are based on Net Assets)
Security
 
Par
(000)
Value
Mortgage-Backed Securities (continued)
Uniform Mortgage-Backed Securities
6.00%, 07/01/56
USD  
(64,827
)
$  (66,166,187
)
6.50%, 07/01/56
(60
)
(62,062
)
Total TBA Sale Commitments — (33.9)%
(Proceeds: $(491,057,476))
(492,293,555
)
Total Investments Net of TBA Sale Commitments — 122.1%
(Cost: $1,830,588,248)
1,771,878,297
Liabilities in Excess of Other Assets — (22.1)%
(320,456,888
)
Net Assets — 100.0%
$  1,451,421,409
 
(a)
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.
(b)
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.
(c)
When-issued security.
(d)
All or a portion of the security has been pledged as collateral in connection with
outstanding TBA commitments.
(e)
Represents or includes a TBA transaction.
(f)
Zero-coupon bond.
(g)
Annualized 7-day yield as of period end.
(h)
Rates are discount rates or a range of discount rates as of period end.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts 
Description
Number of
Contracts
Expiration
Date
Notional
Amount
(000)
Value/
Unrealized
Appreciation
(Depreciation)
Long Contracts
 
 
U.S. Treasury Notes (2 Year)
197
09/30/26
$  40,608
$  (25,008
)
Short Contracts
 
 
U.S. Treasury Bonds (30 Year)
225
09/21/26
25,538
(324,992
)
U.S. Treasury Notes (10 Year)
223
09/21/26
24,506
(55,512
)
U.S. Ultra Treasury Notes (10 Year)
112
09/21/26
12,597
(86,845
)
U.S. Treasury Notes (5 Year)
380
09/30/26
40,678
(28,626
)
 
 
 
(495,975
)
 
 
 
$  (520,983
)
OTC Credit Default Swaps — Buy Protection 
Reference Obligation/Index
Financing
Rate
Paid
by the
Fund
Payment
Frequency
Counterparty
Termination
Date
Notional
Amount
(000)
Value
Upfront
Premium
Paid
(Received)
Unrealized
Appreciation
(Depreciation)
CMBX.NA.10.BBB-
3.00
% 
Monthly
Goldman Sachs International
11/17/59
USD
3,892
$1,160,883
$156,950
$1,003,933
CMBX.NA.10.BBB-
3.00
Monthly
Goldman Sachs International
11/17/59
USD
4,087
1,218,926
172,869
1,046,057
 
 
 
 
 
$2,379,809
$329,819
$2,049,990
OTC Credit Default Swaps — Sell Protection 
Reference Obligation/Index
Financing
Rate
Received
by
the Fund
Payment
Frequency
Counterparty
Termination
Date
Credit
Rating(a)
Notional
Amount
(000)(b)
Value
Upfront
Premium
Paid
(Received)
Unrealized
Appreciation
(Depreciation)
CMBX.NA.10.BBB-
3.00
% 
Monthly
Goldman Sachs International
11/17/59
BBB-
USD
4,305
$(1,284,075
)
$(263,922
)
$(1,020,153
)
CMBX.NA.10.BBB-
3.00
Monthly
J.P. Morgan Securities LLC
11/17/59
BBB-
USD
3,674
(1,095,734
)
(226,959
)
(868,775
)
 
 
 
 
 
 
$(2,379,809
)
$(490,881
)
$(1,888,928
)
 
(a)
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.
(b)
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.
5
Schedule of Investments (unaudited) (continued)
June 30, 2026
BATS: Mortgage Total Return Series
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:
• Level 1 — Unadjusted price quotations in active markets/exchanges that the Fund has the ability to access for identical assets or liabilities;
• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and
• 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
Investments
Long-Term Investments
Asset-Backed Securities
$  —
$  74,364
$  —
$  74,364
Non-Agency Mortgage-Backed Securities
—
152,271,815
—
152,271,815
U.S. Government Sponsored Agency Securities
—
2,079,307,170
—
2,079,307,170
Short-Term Securities
Money Market Funds
9,449,340
—
—
9,449,340
U.S. Treasury Obligations
—
23,069,163
—
23,069,163
Liabilities
TBA Sale Commitments
—
(492,293,555
)
—
(492,293,555
)
 
$  9,449,340
$  1,762,428,957
$  —
$  1,771,878,297
Derivative Financial Instruments(a)
Assets
Credit Contracts
$  —
$  2,049,990
$  —
$  2,049,990
Liabilities
Credit Contracts
—
(1,888,928
)
—
(1,888,928
)
Interest Rate Contracts
(520,983
)
—
—
(520,983
)
 
$  (520,983
)
$  161,062
$  —
$  (359,921
)
 
(a)
Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.
 
Currency Abbreviation 
USD
United States Dollar
 
Portfolio Abbreviation 
CME
Chicago Mercantile Exchange
IO
Interest Only
OTC
Over-the-Counter
SOFR
Secured Overnight Financing Rate
TBA
To-be-Announced
6