# EDGAR Filing Document

**Accession Number:** 0001396092
**File Stem:** 0001396092-26-000319
**Filing Date:** 2026-5
**Character Count:** 95629
**Document Hash:** 429cd48f9e9dabec7f9f731e0e518010
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001396092-26-000319.hdr.sgml**: 20260514

**ACCESSION NUMBER**: 0001396092-26-000319

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260514

**DATE AS OF CHANGE**: 20260514

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** World Funds Trust
- **CENTRAL INDEX KEY:** 0001396092

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22172
- **FILM NUMBER:** 26977595

**BUSINESS ADDRESS:**
- **STREET 1:** 8730 STONY POINT PARKWAY
- **STREET 2:** SUITE 205
- **CITY:** RICHMOND
- **STATE:** VA
- **ZIP:** 23235
- **BUSINESS PHONE:** 804-267-7400

**MAIL ADDRESS:**
- **STREET 1:** 8730 STONY POINT PARKWAY
- **STREET 2:** SUITE 205
- **CITY:** RICHMOND
- **STATE:** VA
- **ZIP:** 23235

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Abacus World Funds Trust
- **DATE OF NAME CHANGE:** 20070410

## Series and Classes Contracts Data

### Curasset Capital Management Limited Term Income Fund (Series ID: S000073807)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000231000 | Class A             | CMIAX           |
| C000231001 | Founders Class      | CMIFX           |
| C000231002 | Institutional Class | CMIIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** World Funds Trust

- **b. Investment Company Act file number:** 811-22172

- **c. CIK number of Registrant:** 0001396092

- **d. LEI of Registrant:** 5493007BOSPYEMKSSY03

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

  - **Street Address 1:** 8730 Stony Point Parkway

  - **City:** Richmond

  - **State:** VA

  - **Foreign country:** US

  - **Zip / Postal Code:** 23235

  - **Telephone number:** 800-673-0550

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

- **a. Name of Series:** Curasset Capital Management Limited Term Income Fund

- **b. EDGAR series identifier (if any):** S000073807

- **c. LEI of Series:** 549300O64BV9SDN0ED95

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $365757659.59

**Total Liabilities:** $793107.62

**Net Assets:** $364964551.97

**Cash Not Reported:** $3046984.01

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3947.81 | **1-Year:** -34537.74 | **5-Year:** -41651.51 | **10-Year:** -1151.06 | **30-Year:** -692.48

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

- **3-Month:** -105.81 | **1-Year:** -2653.82 | **5-Year:** -3125.99 | **10-Year:** 0.00 | **30-Year:** -5049.82

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000231000 |  |  |  |
| Class ID C000231002 |  |  |  |
| Class ID C000231001 | 0.29%                | 0.53%                | -0.39%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $268825.72               | $-257201.99                                |
| Month 2  | $74111.38                | $-112134.54                                |
| Month 3  | $24824.97                | $-1104973.91                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate 1-3 year Index (USD)

- **Index Identifier:** 5747USD1

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Default                  | Fannie Mae 12/25/2041 VAR% 144A                           | CUSIP: 20754LAJ8<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1100000 | PA      | $1128431.70   | 0.31%             | 2041-12-25      | Floating      | 9.66%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal National Mortgage Assoc.                          | CUSIP: 20754LAB5<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    684241 | PA      | $686574.95    | 0.19%             | 2026-12-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Default                  | Trocolor Auto Securitization Trust                        | CUSIP: 89616KAE4<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $252000.00    | 0.07%             | 2028-06-15      | Fixed         | 13.45%                | No            |                  2 | On Loan: No      |
| Default                  | Angel Oak Mortgage Trust                                  | CUSIP: 03465CAA3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $38910.42     | 0.01%             | 2066-01-25      | Fixed         | 0.91%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae-CAS 10/25/2041 VAR%                            | CUSIP: 20754RAF3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $2119874.40   | 0.58%             | 2041-10-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Default                  | X-Caliber Funding LLC                                     | CUSIP: 98373XBD1<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $686717.22    | 0.19%             | 2030-11-15      | Fixed         | 8.58%                 | No            |                  2 | On Loan: No      |
| Default                  | PRA Health Sciences, Inc.                                 | CUSIP: 45569KAA1<br>LEI: N/A | Long             | DBT              | CORP              | US        |    110000 | PA      | $109117.91    | 0.03%             | 2026-07-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal National Mortgage Assoc.                          | CUSIP: 3136AAL86<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1050000 | PA      | $73330.49     | 0.02%             | 2032-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Default                  | MPLX LP 02/15/2031 4.8000%                                | CUSIP: 55336VCA6<br>LEI: N/A | Long             | DBT              | CORP              | US        |    550000 | PA      | $551258.40    | 0.15%             | 2031-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Default                  | Winwater Mortgage Loan Trust                              | CUSIP: 97655JCC4<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $118599.83    | 0.03%             | 2046-01-20      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal National Mortgage Assoc.                          | CUSIP: 30711XY32<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1000000 | PA      | $1084517.00   | 0.30%             | 2031-01-25      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| Default                  | The Goldman Sachs Group, Inc.                             | CUSIP: 38144GAG6<br>LEI: N/A | Long             | DBT              | CORP              | US        |    500000 | PA      | $495531.50    | 0.14%             | 2164-07-21      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal National Mortgage Assoc.                          | CUSIP: 20753XAA2<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1225000 | PA      | $380254.87    | 0.10%             | 2042-03-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Default                  | GLS Auto Receivables 04/17/2028 6.15% 144A                | CUSIP: 36265NAE3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $869542.01    | 0.24%             | 2028-04-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Default                  | TransCanada Pipelines Ltd.                                | CUSIP: 89352LAG5<br>LEI: N/A | Long             | DBT              | CORP              | CA        |   1150000 | PA      | $1243861.85   | 0.34%             | 2029-06-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Default                  | First Investors Auto Owner Trust                          | CUSIP: 32057KAE0<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $497823.00    | 0.14%             | 2029-06-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Default                  | Trinity Rail Leasing LP                                   | CUSIP: 89657BAB0<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $50102.83     | 0.01%             | 2049-10-18      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 10/25/2044 VAR% 144A                          | CUSIP: 35564NFA6<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1100000 | PA      | $568800.19    | 0.16%             | 2044-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Default                  | Brean Asset Backed 05/25/2065 4.7500% 144A                | CUSIP: 10638GAG8<br>LEI: N/A | Long             | DBT              | UST               | US        |    336000 | PA      | $274827.08    | 0.08%             | 2065-05-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Default                  | The Huntington Nat Bank 02/20/2034 VAR% 144A              | CUSIP: 44644NAZ2<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $549982.40    | 0.15%             | 2034-02-20      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Default                  | Mastec Inc 08/15/2029 6.625% 144A                         | CUSIP: 576323AQ2<br>LEI: N/A | Long             | DBT              | CORP              | US        |    550000 | PA      | $550000.00    | 0.15%             | 2029-08-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Default                  | US Treasury N/B 07/15/2027 4.375%                         | CUSIP: 91282CKZ3<br>LEI: N/A | Long             | DBT              | UST               | US        |   1800000 | PA      | $1812234.60   | 0.50%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Default                  | BreanAsset Backed Sec 07/25/2065 4.50% 144A               | CUSIP: 10638KAE4<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    578000 | PA      | $515365.09    | 0.14%             | 2065-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Default                  | Golun Capital Partners 04/25/2034 VAR% 144A               | CUSIP: 38180UAA3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1095270.00   | 0.30%             | 2034-04-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae 02/25/2037 1.5000%                             | CUSIP: 31423XPH8<br>LEI: N/A | Long             | DBT              | USGSE             | US        |  13200000 | PA      | $454394.86    | 0.12%             | 2037-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Default                  | US Treasury 11/30/2028 4.375%                             | CUSIP: 91282CJN2<br>LEI: N/A | Long             | DBT              | UST               | US        |   2101000 | PA      | $2130052.63   | 0.58%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal Home Loan Mortgage Corp.                          | CUSIP: 35564KRE1<br>LEI: N/A | Long             | DBT              | USGSE             | US        |    580000 | PA      | $64308.92     | 0.02%             | 2042-02-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac Stacr 05/25/2044 VAR% 144A                    | CUSIP: 35564NDA8<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1100000 | PA      | $1099318.00   | 0.30%             | 2044-05-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Default                  | Velocity Commercial Capital                               | CUSIP: 92259HAA5<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $135061.97    | 0.04%             | 2053-11-25      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Default                  | COMM Mortgage Trust                                       | CUSIP: 20048KAG2<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |     65000 | PA      | $19494.41     | 0.01%             | 2033-09-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Default                  | Avid Automobile Receivables Trust                         | CUSIP: 05368QAC1<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $345635.24    | 0.09%             | 2027-12-15      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Default                  | Exeter Automobile Receivables Trust                       | CUSIP: 30166QAG4<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    962500 | PA      | $941256.66    | 0.26%             | 2029-10-15      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 04/25/2029 VAR%                               | CUSIP: 3137G0LU1<br>LEI: N/A | Long             | DBT              | USGSE             | US        |    468789 | PA      | $150374.93    | 0.04%             | 2029-04-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Default                  | Celanese US Holdings 07/15/2032 6.629%                    | CUSIP: 15089QAP9<br>LEI: N/A | Long             | DBT              | CORP              | US        |    275000 | PA      | $287032.35    | 0.08%             | 2032-07-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 02/25/2048 VAR% 144A                          | CUSIP: 3137G1CL9<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   8255000 | PA      | $149277.53    | 0.04%             | 2048-02-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                      | US 5YR NOTE (CBT) Jun26                                   | CUSIP: N/A<br>LEI: N/A       | N/A              | DIR              |  | US        |       374 | PA      | $-602451.17   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Default                  | Freddie Mac STACR 10/25/2041 VAR% 144A                    | CUSIP: 35564KKY4<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1160000 | PA      | $870651.77    | 0.24%             | 2041-10-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Default                  | Arivo Acceptance Auto Loan Rec'ls Trust                   | CUSIP: 04047JAA3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $103420.87    | 0.03%             | 2029-01-16      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 11/25/2043 VAR% 144A                          | CUSIP: 35564K3F4<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   3550000 | PA      | $3056206.36   | 0.84%             | 2043-11-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Default                  | US Treasury 07/31/2027 3.875%                             | CUSIP: 91282CNP2<br>LEI: N/A | Long             | DBT              | UST               | US        |   5000000 | PA      | $5001955.00   | 1.37%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Default                  | ZAIS CLO 01/20/2032 VAR%                                  | CUSIP: 98887YAQ0<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    530000 | PA      | $532279.00    | 0.15%             | 2032-01-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Default                  | Exeter Automobile Receivables Trust                       | CUSIP: 30166QAF6<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1941250 | PA      | $1055929.77   | 0.29%             | 2028-07-17      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Default                  | EQT Corp 04/01/2029 6.3750% 144A                          | CUSIP: 26884LAZ2<br>LEI: N/A | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1156253.28   | 0.32%             | 2029-04-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Default                  | M&T Equipment Notes 07/15/2030 5.74%                      | CUSIP: 551925AB6<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $151385.85    | 0.04%             | 2030-07-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Default                  | Ford Holdings LLC 03/01/2030 9.30%                        | CUSIP: 345277AE7<br>LEI: N/A | Long             | DBT              | CORP              | US        |    990000 | PA      | $1107408.06   | 0.30%             | 2030-03-01      | Fixed         | 9.30%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac-Star 05/25/2044 Var%                          | CUSIP: 35564NCX9<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    916000 | PA      | $425091.13    | 0.12%             | 2044-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae 07/25/2044 VAR% 144A                           | CUSIP: 20754XAC7<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1100000 | PA      | $1054302.06   | 0.29%             | 2044-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Default                  | Bridgecrest Lending Au 10/16/2028 5.370%                  | CUSIP: 10805NAD7<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1654657.95   | 0.45%             | 2028-10-16      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Default                  | Bank of America Corp.                                     | CUSIP: 060505GB4<br>LEI: N/A | Long             | DBT              | CORP              | US        |    125000 | PA      | $123482.38    | 0.03%             | 2164-06-19      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Default                  | Crossroads Asset Trusts 08/20/2032 8.32% 144A             | CUSIP: 22767VAF5<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $280645.20    | 0.08%             | 2032-08-20      | Fixed         | 8.32%                 | No            |                  2 | On Loan: No      |
| Default                  | TREASURY 08/31/2026 3.75%                                 | CUSIP: 91282CLH2<br>LEI: N/A | Long             | DBT              | UST               | US        |  62000000 | PA      | $61990204.00  | 16.99%            | 2026-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Default                  | Generate CLO 07/20/2037 VAR% 144A                         | CUSIP: 37148BAA8<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $436975.00    | 0.12%             | 2037-07-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal Home Loan Mortgage Corp.                          | CUSIP: 35564KWS4<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   3162500 | PA      | $848879.01    | 0.23%             | 2042-05-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Default                  | United Auto Credit Securitization Trust                   | CUSIP: 90944DAJ0<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $260278.58    | 0.07%             | 2028-11-10      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Default                  | Tricolor Auto Securitization Trust 02/15/2028 6.570% 144A | CUSIP: 89616PAB9<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    720000 | PA      | $504000.00    | 0.14%             | 2028-02-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| Default                  | Banque Federative du Credit Mutuel                        | CUSIP: 06675FAY3<br>LEI: N/A | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1972734.00   | 0.54%             | 2026-10-04      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Default                  | Exeter Automobile Receivables Trust                       | CUSIP: 30167JAF1<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1695000 | PA      | $472311.02    | 0.13%             | 2028-06-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Default                  | Tallgrass NRG PRTNR/FIN 01/15/2028 5.50% 144A             | CUSIP: 87470LAD3<br>LEI: N/A | Long             | DBT              | CORP              | US        |    500000 | PA      | $495770.50    | 0.14%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Default                  | X-Caliber Funding LLC 08/04/2027 12.000% 144A             | CUSIP: 98373XBP4<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $550950.40    | 0.15%             | 2027-08-04      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Default                  | Generate CLO Ltd 07/22/2037 VAR% 144A                     | CUSIP: 37148XAA0<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $1197960.00   | 0.33%             | 2037-07-22      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 05/25/2048 VAR%                               | CUSIP: 3137G1CT2<br>LEI: N/A | Long             | DBT              | USGSE             | US        |  28617180 | PA      | $411159.29    | 0.11%             | 2048-05-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Default                  | Transamerica Capital II                                   | CUSIP: 893472AA8<br>LEI: N/A | Long             | DBT              | CORP              | US        |    825000 | PA      | $834184.73    | 0.23%             | 2026-12-01      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| Default                  | United Auto Credit Securitization Turst                   | CUSIP: 90944KAF2<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $254977.20    | 0.07%             | 2029-04-10      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 02/25/2042 VAR% 144A                          | CUSIP: 35564KRF8<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   2600000 | PA      | $2622677.20   | 0.72%             | 2042-02-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE               | Federal National Mortgage Assoc.                          | CUSIP: 3136BNFA9<br>LEI: N/A | Long             | DBT              | USGSE             | US        |  33025657 | PA      | $45030.27     | 0.01%             | 2047-02-25      | Floating      | 0.11%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal Home Loan Mortgage Corp.                          | CUSIP: 35564KQC6<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1350000 | PA      | $1360125.00   | 0.37%             | 2042-01-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Default                  | GLS Auto Receivables Trust 10/15/2027 3.510% 144A         | CUSIP: 36261EAE7<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    357500 | PA      | $101657.99    | 0.03%             | 2027-10-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Default                  | Teva Pharmaceutical Industries Ltd.                       | CUSIP: 88167AAP6<br>LEI: N/A | Long             | DBT              | CORP              | US        |    100000 | PA      | $99769.90     | 0.03%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac Stacr 03/25/2052 VAR% 144A                    | CUSIP: 35564KL49<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1165415 | PA      | $1224656.54   | 0.34%             | 2052-03-25      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| Default                  | Toll Bros Finance Corp.                                   | CUSIP: 88947EAS9<br>LEI: N/A | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1001514.00   | 0.27%             | 2027-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Default                  | Credit Suisse Mortgage Trust                              | CUSIP: 12648HBE4<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   2989000 | PA      | $451180.82    | 0.12%             | 2044-04-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Default                  | Oceaneering Intl Inc 02/01/2028 6.00%                     | CUSIP: 675232AB8<br>LEI: N/A | Long             | DBT              | CORP              | US        |    350000 | PA      | $351423.45    | 0.10%             | 2028-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Default                  | Upstart Securitization 06/20/2033 7.92% 144A              | CUSIP: 91683VAB0<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $62089.30     | 0.02%             | 2033-06-20      | Fixed         | 7.92%                 | No            |                  2 | On Loan: No      |
| Default                  | GoldenTree Loan Management 07/20/2037 VAR% 144A           | CUSIP: 38139MAA3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $468140.63    | 0.13%             | 2037-07-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac Stacr 05/25/2043 VAR% 144A                    | CUSIP: 35564KX87<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1100000 | PA      | $1148438.50   | 0.31%             | 2043-05-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Default                  | Lendbuzz Securitization Trust                             | CUSIP: 525931AB7<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $182099.77    | 0.05%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Default                  | Avis Budget Rental Car 08/20/2029 5.87% 144A              | CUSIP: 05377RKN3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $141073.52    | 0.04%             | 2029-08-20      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Default                  | Provident Funding Mortgage Trust                          | CUSIP: 74388JAA3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $600159.46    | 0.16%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Default                  | DT Auto Owner Trust 12/15/2027 3.400% 144A                | CUSIP: 23345YAG6<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    624000 | PA      | $150882.48    | 0.04%             | 2027-12-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac Stacr 06/25/2043 VAR% 144A                    | CUSIP: 35564K2G3<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   2750000 | PA      | $2808278.00   | 0.77%             | 2043-06-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Default                  | ICG US CLO Ltd 01/15/2031 VAR                             | CUSIP: BCC2FMLA6<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    530000 | PA      | $425357.94    | 0.12%             | 2031-01-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Default                  | Ally Financial Inc Perpetual                              | CUSIP: 02005NBM1<br>LEI: N/A | Long             | DBT              | CORP              | US        |    275000 | PA      | $272433.15    | 0.07%             | 2057-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Default                  | US Treasury                                               | CUSIP: 912828Z78<br>LEI: N/A | Long             | DBT              | UST               | US        |   1107000 | PA      | $1086838.21   | 0.30%             | 2027-01-31      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| Default                  | Venture CDO Ltd  10/20/2034 VAR% 144A                     | CUSIP: 92331DBL1<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $552496.00    | 0.15%             | 2034-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Default                  | Shackleton CLO Ltd 08/15/2030 VAR% 144A                   | CUSIP: 81883EAJ0<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1002000 | PA      | $852630.44    | 0.23%             | 2030-08-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal National Mortgage Assoc.                          | CUSIP: 20755CAA6<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $506044.08    | 0.14%             | 2043-10-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Default                  | Timken Co.                                                | CUSIP: 88738TAA8<br>LEI: N/A | Long             | DBT              | CORP              | US        |    480000 | PA      | $500915.52    | 0.14%             | 2028-05-08      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANKSHARE | First Citizens Bancshare                                  | CUSIP: 31959XAA1<br>LEI: N/A | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1005319.00   | 0.28%             | 2164-06-19      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal National Mortgage Assoc.                          | CUSIP: 20755AAB8<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1074000 | PA      | $598181.15    | 0.16%             | 2043-01-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Default                  | Cheniere Energy Inc. 10/15/2028 4.625%                    | CUSIP: 16411RAK5<br>LEI: N/A | Long             | DBT              | CORP              | US        |    500000 | PA      | $498736.50    | 0.14%             | 2028-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Default                  | US Treasury 02/15/2027 4.000%                             | CUSIP: 91282CKA8<br>LEI: N/A | Long             | DBT              | UST               | US        |   4000000 | PA      | $4012436.00   | 1.10%             | 2027-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Default                  | Flagship Credit Auto 09/15/2028 3.16% 144A                | CUSIP: 33844WAJ9<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1150000 | PA      | $1128938.90   | 0.31%             | 2028-09-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Default                  | Hubbell, Inc.                                             | CUSIP: 443510AH5<br>LEI: N/A | Long             | DBT              | CORP              | US        |   1079000 | PA      | $1061375.61   | 0.29%             | 2027-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Default                  | Voya CLO Ltd 10/15/2037 VAR% 144A                         | CUSIP: 92944YAA9<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1375000 | PA      | $1373625.00   | 0.38%             | 2037-10-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Default                  | US Treasury                                               | CUSIP: 91282CJP7<br>LEI: N/A | Long             | DBT              | UST               | US        |   5000000 | PA      | $5021435.00   | 1.38%             | 2026-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Default                  | Veros Auto Receivables Trust 11/15/2028 8.320% 144A       | CUSIP: 924933AC8<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1001000 | PA      | $1015536.52   | 0.28%             | 2028-11-15      | Fixed         | 8.32%                 | No            |                  2 | On Loan: No      |
| Default                  | Sofi Consumer Loan Pro 06/25/2034 4.82% 144A              | CUSIP: 83407HAA5<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $254012.32    | 0.07%             | 2034-06-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Default                  | Federated Government Obligations Fund                     | CUSIP: 60934N104<br>LEI: N/A | Long             | STIV             | RF                | US        |  56116457 | NS      | $56116457.40  | 15.38%            |  |  |  | No            |                  1 | On Loan: No      |
| Default                  | Switch ABS Issuer 06/25/2054 6.20% 144A                   | CUSIP: 871044AG8<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $541341.35    | 0.15%             | 2054-06-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Default                  | Saratoga Invest Corp 04/20/2033 Var% 144A                 | CUSIP: 80349BBF3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $553025.00    | 0.15%             | 2033-04-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae- Cas 03/25/2042 VAR% 144A                      | CUSIP: 20753XAB0<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   6120000 | PA      | $6238281.24   | 1.71%             | 2042-03-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac- Stacr 01/25/2042 VAR%                        | CUSIP: 35564KPU7<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $81325.40     | 0.02%             | 2042-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Default                  | SMB Private Education Loan Trust                          | CUSIP: 78449UAB4<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $465465.45    | 0.13%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE               | Federal National Mortgage Assoc.                          | CUSIP: 3136BMXV5<br>LEI: N/A | Long             | DBT              | USGSE             | US        |  27788800 | PA      | $47519.55     | 0.01%             | 2046-02-25      | Floating      | 0.16%                 | No            |                  2 | On Loan: No      |
| Default                  | ING Groep NV                                              | CUSIP: 456837AH6<br>LEI: N/A | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1994020.00   | 0.55%             | 2027-03-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae 01/25/2044 VAR% 144A                           | CUSIP: 20753UAB6<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1100000 | PA      | $1108559.10   | 0.30%             | 2044-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Default                  | Targa Resources Partners LP                               | CUSIP: 87612BBQ4<br>LEI: N/A | Long             | DBT              | CORP              | US        |    500000 | PA      | $504567.50    | 0.14%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal Home Loan Mortgage Corp.                          | CUSIP: 35566CAH8<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1000000 | PA      | $338532.92    | 0.09%             | 2050-12-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Default                  | GLS Auto Rec 10/15/2027 2.48% 144A                        | CUSIP: 36263DAD9<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    675000 | PA      | $204837.02    | 0.06%             | 2027-10-15      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Default                  | Arivo Acceptance Auto 02/15/2029 7.700% 144A              | CUSIP: 04047JAB1<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    825000 | PA      | $842061.83    | 0.23%             | 2029-02-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Default                  | Sequoia Mortgage Trust                                    | CUSIP: 81748AAD6<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $58731.68     | 0.02%             | 2050-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae 02/25/2030 VAR%                                | CUSIP: 30711XSX3<br>LEI: N/A | Long             | DBT              | USGSE             | US        |    850000 | PA      | $206992.52    | 0.06%             | 2030-02-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal National Mortgage Assoc.                          | CUSIP: 3136BNEW2<br>LEI: N/A | Long             | DBT              | USGSE             | US        |  49821831 | PA      | $48116.71     | 0.01%             | 2046-11-25      | Floating      | 0.11%                 | No            |                  2 | On Loan: No      |
| Default                  | Benefit Street Partners 07/15/2037 VAR% 144A              | CUSIP: 08179MAL3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1060000 | PA      | $740145.00    | 0.20%             | 2037-07-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal Home Loan Mortgage Corp.                          | CUSIP: 35564KT58<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1730000 | PA      | $864875.82    | 0.24%             | 2043-04-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal Home Loan Mortgage Corp.                          | CUSIP: 35564KX79<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $771327.12    | 0.21%             | 2043-05-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 08/25/2044 VAR% 144A                          | CUSIP: 35564NDY6<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1650000 | PA      | $1293702.01   | 0.35%             | 2044-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Default                  | Credit Suisse Mortgage Trust                              | CUSIP: 12648HBC8<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   3940000 | PA      | $397223.80    | 0.11%             | 2037-04-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Default                  | Q0RV0 Inc 04/01/2031 3.375% 144A                          | CUSIP: 74736KAJ0<br>LEI: N/A | Long             | DBT              | CORP              | US        |   1213000 | PA      | $1097135.45   | 0.30%             | 2031-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Default                  | Greensky Home Imp 06/25/2060 4.9300% 144A                 | CUSIP: 39571VAB4<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $131901.91    | 0.04%             | 2060-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Default                  | Tricolor Auto 01/16/2029 5.12%                            | CUSIP: 89617QAA8<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $671334.59    | 0.18%             | 2029-01-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae 12/25/2041 VAR% 144A                           | CUSIP: 20754AAB9<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   2210000 | PA      | $2191276.99   | 0.60%             | 2041-12-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal National Mortgage Assoc.                          | CUSIP: 20753ACJ1<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   2605000 | PA      | $775845.04    | 0.21%             | 2043-04-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Default                  | Venture Global Lng 04/01/2028 8.125% 144A                 | CUSIP: 92332YAA9<br>LEI: N/A | Long             | DBT              | CORP              | US        |    500000 | PA      | $511360.50    | 0.14%             | 2028-06-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Default                  | US TREASURY N/B 11/15/2027 4.125%                         | CUSIP: 91282CLX7<br>LEI: N/A | Long             | DBT              | UST               | US        |   3305800 | PA      | $3320005.02   | 0.91%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae - CAS 05/25/2044 VAR% 144A                     | CUSIP: 20753GAC5<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1100000 | PA      | $1098630.50   | 0.30%             | 2044-05-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae - CAS 03/25/2042 VAR% 144A                     | CUSIP: 20753YCK6<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1000000 | PA      | $1013712.00   | 0.28%             | 2042-03-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Default                  | GCAT Trust                                                | CUSIP: 36167YAA6<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $92351.21     | 0.03%             | 2066-08-25      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Default                  | Crown City CLO 07/15/2037 VAR% 144A                       | CUSIP: 22823EAN8<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $428055.72    | 0.12%             | 2037-07-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac STACR 11/25/2041 VAR% 144A                    | CUSIP: 35564KND7<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $558593.75    | 0.15%             | 2041-11-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac Stacr 09/25/2042 VAR% 144A                    | CUSIP: 35564KH44<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   2671000 | PA      | $2754468.75   | 0.75%             | 2042-09-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae 03/25/2042 VAR% 144A                           | CUSIP: 20753YCH3<br>LEI: N/A | Long             | DBT              | USGSE             | US        |    400000 | PA      | $115292.89    | 0.03%             | 2042-03-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal National Mortgage Assoc.                          | CUSIP: 20754MBZ9<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1104000 | PA      | $402444.30    | 0.11%             | 2042-06-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Default                  | Carvana Auto Receivables Trust                            | CUSIP: 14687HAC7<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $90709.55     | 0.02%             | 2028-09-11      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| Default                  | Carvana Auto Receivables Trust                            | CUSIP: 14686GAE6<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1777050 | PA      | $334916.56    | 0.09%             | 2028-12-11      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae 06/25/2042 VAR% 144A                           | CUSIP: 20754MCB1<br>LEI: N/A | Long             | DBT              | USGSE             | US        |    950000 | PA      | $987107.00    | 0.27%             | 2042-06-25      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| Default                  | Space Coast Credit 11/15/2028 4.67% 144A                  | CUSIP: 80620BAB3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $407066.53    | 0.11%             | 2028-11-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Default                  | Nissan Motor Acc  03/09/2028 2.75% 144A                   | CUSIP: 654740BT5<br>LEI: N/A | Long             | DBT              | CORP              | US        |    350000 | PA      | $327228.30    | 0.09%             | 2028-03-09      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae Cas 07/25/2045 VAR% 144A                       | CUSIP: 20753CAC4<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1550000 | PA      | $1554789.50   | 0.43%             | 2045-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal Home Loan Mortgage Corp.                          | CUSIP: 35564K3G2<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1000000 | PA      | $385561.48    | 0.11%             | 2043-11-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Default                  | Avis Budget Rental Car 08/20/2031 6.24% 144A              | CUSIP: 05377RKS2<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101888.30    | 0.03%             | 2031-08-20      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| Default                  | Connecticut Avenue Securities Trust                       | CUSIP: 20753DAA6<br>LEI: N/A | Long             | DBT              | USGSE             | US        |    700000 | PA      | $208303.21    | 0.06%             | 2042-09-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 02/25/2045 VAR% 144A                          | CUSIP: 35564NGZ0<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1170000 | PA      | $529882.20    | 0.15%             | 2045-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Default                  | US Treasury 10/15/2028 2.375%                             | CUSIP: 91282CJH5<br>LEI: N/A | Long             | DBT              | UST               | US        |   8000000 | PA      | $8793018.53   | 2.41%             | 2028-10-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Default                  | Chesapeake Funding II 10/15/2035 6.16% 144A               | CUSIP: 165183CZ5<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    153000 | PA      | $44316.91     | 0.01%             | 2035-10-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Default                  | US TREASURY N/B 04/30/2027 3.75%                          | CUSIP: 91282CMY4<br>LEI: N/A | Long             | DBT              | UST               | US        |   3900000 | PA      | $3898346.40   | 1.07%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Default                  | US Treasury N/B 06/30/2026 4.625%                         | CUSIP: 91282CKY6<br>LEI: N/A | Long             | DBT              | UST               | US        |   4000000 | PA      | $4008624.00   | 1.10%             | 2026-06-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Default                  | Harvest SBA Loan Trust                                    | CUSIP: 41755NAA8<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $244629.41    | 0.07%             | 2047-06-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Default                  | Carvana Auto Receivables Trust                            | CUSIP: 14686KAF4<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $26848.84     | 0.01%             | 2028-03-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac Stacr 04/25/2043 VAR%                         | CUSIP: 35564KT66<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1545000 | PA      | $1603316.03   | 0.44%             | 2043-04-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac- STACR 12/25/2041 VAR% 144A                   | CUSIP: 35564KPP8<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1650030.40   | 0.45%             | 2041-12-25      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| Default                  | Connecticut Avenue Securities Trust                       | CUSIP: 20755DAB2<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   2980000 | PA      | $3068112.64   | 0.84%             | 2042-07-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Default                  | MOO Securitization Trus 12/25/2065 4.50% 144A             | CUSIP: 614872AA7<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |     99000 | PA      | $95373.83     | 0.03%             | 2065-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 03/25/2043 VAR% 144A                          | CUSIP: 35564KP37<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1150000 | PA      | $536191.65    | 0.15%             | 2043-03-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Default                  | CCO HLDGS LLC 06/01/2029 5.375% 144A                      | CUSIP: 1248EPCB7<br>LEI: N/A | Long             | DBT              | CORP              | US        |    275000 | PA      | $271219.58    | 0.07%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Default                  | US Treasury 11/30/2026 4.25%                              | CUSIP: 91282CLY5<br>LEI: N/A | Long             | DBT              | UST               | US        |    714700 | PA      | $717079.95    | 0.20%             | 2026-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Default                  | Ocwen Loan Investment Trust 02/25/2037 3.000% 144A        | CUSIP: 675952AA3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $119609.33    | 0.03%             | 2037-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Default                  | Carvana Auto Rec Trust 01/10/2031 4.74%                   | CUSIP: 146919AF2<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $547291.80    | 0.15%             | 2031-01-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Default                  | GS Mortgage-Backed Sec 10/25/2055 Var% 144A               | CUSIP: 36272NAA2<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $232811.02    | 0.06%             | 2055-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal National Mortgage Assoc.                          | CUSIP: 207942AA1<br>LEI: N/A | Long             | DBT              | USGSE             | US        |    720214 | PA      | $272242.46    | 0.07%             | 2043-06-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Default                  | Ballyrock Ltd 07/20/2037 VAR% 144A                        | CUSIP: 05874XAJ8<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $374475.00    | 0.10%             | 2037-07-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Default                  | BGC GROUP INC 04/02/2030 6.1500% 144A                     | CUSIP: 05555LAD3<br>LEI: N/A | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1118803.40   | 0.31%             | 2030-04-02      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal Home Loan Mortgage Corp.                          | CUSIP: 35564K2F5<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   2675000 | PA      | $308834.63    | 0.08%             | 2043-06-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Default                  | Ocwen Loan Investment Trust 02/25/2037 3.000% 144A        | CUSIP: 675952AE5<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $473567.00    | 0.13%             | 2037-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Default                  | Nova Chemicals Corp 06/01/2027 5.25% 144A                 | CUSIP: 66977WAR0<br>LEI: N/A | Long             | DBT              | CORP              | US        |    500000 | PA      | $499237.50    | 0.14%             | 2027-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Default                  | General Motors Financial Co.                              | CUSIP: 37045XCA2<br>LEI: N/A | Long             | DBT              | CORP              | US        |    500000 | PA      | $486810.00    | 0.13%             | 2027-09-30      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Default                  | Exeter Automobile Recei  06/15/2027 VAR%                  | CUSIP: 30166AAF1<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1281500 | PA      | $303285.37    | 0.08%             | 2027-06-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Default                  | Saluda Grace Alternative Mortgage 04/25/2030 VAR% 144A    | CUSIP: 795935AA3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $259694.50    | 0.07%             | 2030-04-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 09/25/2042 VAR%                               | CUSIP: 35564KH36<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1000000 | PA      | $136905.40    | 0.04%             | 2042-09-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Default                  | GLS Auto Rec Trust 05/15/2029 5.64% 144A                  | CUSIP: 36263XAJ2<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500874.50    | 0.14%             | 2029-05-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Default                  | DT Auto Owner Trust 03/15/2029 5.53% 144A                 | CUSIP: 23345YAJ0<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $999452.00    | 0.27%             | 2029-03-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Default                  | Flagship Credit Auto 07/16/2029 5.6400% 144A              | CUSIP: 33846BAG9<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1654507.80   | 0.45%             | 2029-07-16      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal Home Loan Mortgage Corp.                          | CUSIP: 35564KYN3<br>LEI: N/A | Long             | DBT              | USGSE             | US        |     70000 | PA      | $20083.50     | 0.01%             | 2042-06-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae 05/25/2042 VAR% 144A                           | CUSIP: 20754NAB1<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1650000 | PA      | $593822.62    | 0.16%             | 2042-05-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae 07/25/2043 VAR% 144A                           | CUSIP: 20754EAB1<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1000000 | PA      | $1021850.00   | 0.28%             | 2043-07-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae- Cas 12/25/2041 VAR% 144A                      | CUSIP: 20754LAF6<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1900000 | PA      | $1917151.30   | 0.53%             | 2041-12-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Default                  | EPR Properties                                            | CUSIP: 26884UAE9<br>LEI: N/A | Long             | DBT              | CORP              | US        |    220000 | PA      | $219705.86    | 0.06%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 01/25/2051 VAR% 144A                          | CUSIP: 35564KAH2<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $638391.11    | 0.17%             | 2051-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Default                  | Mill City Mortgage Trust                                  | CUSIP: 59980YAB1<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1905000 | PA      | $362199.70    | 0.10%             | 2066-04-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae 10/25/2041 VAR% 144A                           | CUSIP: 20754RAB2<br>LEI: N/A | Long             | DBT              | USGSE             | US        |    375000 | PA      | $161753.04    | 0.04%             | 2041-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Default                  | Sound Point CLO LTD 07/18/2031 VAR% 144A                  | CUSIP: 83607EAC6<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    530000 | PA      | $531590.00    | 0.15%             | 2031-07-18      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal National Mortgage Assoc.                          | CUSIP: 3136AJGA8<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |  13817854 | PA      | $61832.26     | 0.02%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal Home Loan Mortgage Corp.                          | CUSIP: 35564KHE2<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    135026 | PA      | $25905.68     | 0.01%             | 2034-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Default                  | Energy Transfer LP                                        | CUSIP: 29273VAJ9<br>LEI: N/A | Long             | DBT              | CORP              | US        |    600000 | PA      | $597982.80    | 0.16%             | 2028-02-15      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Default                  | Multifamily Structured 11/25/2045 Var% 144A               | CUSIP: 355913AA2<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $598662.84    | 0.16%             | 2045-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Default                  | Carvana Auto Receivables Trust                            | CUSIP: 14686KAD9<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    960000 | PA      | $73346.50     | 0.02%             | 2028-03-10      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Default                  | JP Morgan Mortgage Trust                                  | CUSIP: 46591LAC5<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $30304.19     | 0.01%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae - CAS 03/25/2045 VAR% 144A                     | CUSIP: 20754VAC1<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1100000 | PA      | $1110475.30   | 0.30%             | 2045-03-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Default                  | BreanAsset Backed Sec 01/25/2065 5.0000% 144A             | CUSIP: 10638FAC9<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    412500 | PA      | $400170.79    | 0.11%             | 2065-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Default                  | JP Morgan Mortgage Trust                                  | CUSIP: 46643KAA9<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $17864.39     | 0.00%             | 2029-10-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 03/25/2042 VAR% 144A                          | CUSIP: 35564KTJ8<br>LEI: N/A | Long             | DBT              | USGSE             | US        |    250000 | PA      | $258672.50    | 0.07%             | 2042-03-25      | Floating      | 8.91%                 | No            |                  2 | On Loan: No      |
| Default                  | Washington Gas Light Co.                                  | CUSIP: 93884PCJ7<br>LEI: N/A | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1012830.00   | 0.28%             | 2026-10-09      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| Default                  | US Treasury N/B 12/15/2027 4.00%                          | CUSIP: 91282CMB4<br>LEI: N/A | Long             | DBT              | UST               | US        |   1655600 | PA      | $1660061.84   | 0.45%             | 2027-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal National Mortgage Assoc.                          | CUSIP: 20754EAA3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1781119 | PA      | $546206.45    | 0.15%             | 2043-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Default                  | Lendbuzz Sec 05/15/2030 5.18% 144A                        | CUSIP: 52611JAB6<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $945481.04    | 0.26%             | 2030-05-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Default                  | Crossroads Asset Trusts 08/20/2030 5.90%                  | CUSIP: 227927AB6<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $107851.00    | 0.03%             | 2030-08-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Default                  | Carvana Auto Receivables Trust                            | CUSIP: 14686MAF0<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $177338.35    | 0.05%             | 2028-11-10      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Default                  | US Treasury N/B 12/31/2026 4.25%                          | CUSIP: 91282CME8<br>LEI: N/A | Long             | DBT              | UST               | US        |   5312000 | PA      | $5330634.50   | 1.46%             | 2026-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac Stacr 05/25/2044 VAR% 144A                    | CUSIP: 35564NCW1<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1400000 | PA      | $1119060.81   | 0.31%             | 2044-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac Stacr 03/25/2044 VAR%                         | CUSIP: 35564NBX0<br>LEI: N/A | Long             | DBT              | USGSE             | US        |    375000 | PA      | $95466.13     | 0.03%             | 2044-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Default                  | Lendbuzz Securitization Trust 05/15/2029 5.990% 144A      | CUSIP: 525920AB0<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $199141.59    | 0.05%             | 2029-05-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| Default                  | Carvana Auto Receivables Trust                            | CUSIP: 14686KAB3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    432000 | PA      | $60705.88     | 0.02%             | 2028-03-10      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Default                  | Domtar Corp.                                              | CUSIP: 70478JAA2<br>LEI: N/A | Long             | DBT              | CORP              | US        |    100000 | PA      | $65000.00     | 0.02%             | 2028-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Default                  | Gov. National Mortgage 11/20/2051 3.00%                   | CUSIP: 38383DP36<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |  11929408 | PA      | $1582209.41   | 0.43%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Default                  | Atlas Senior Loan Fund LTD 04/22/2031 VAR% 144A           | CUSIP: 04942VBA1<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    559000 | PA      | $477027.74    | 0.13%             | 2031-04-22      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Default                  | Constellium SE 06/15/2028 5.625% 144A                     | CUSIP: 21039CAA2<br>LEI: N/A | Long             | DBT              | CORP              | US        |    350000 | PA      | $348274.50    | 0.10%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae - CAS 12/25/2042 VAR% 144A                     | CUSIP: 207932AB0<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1230000 | PA      | $1278588.69   | 0.35%             | 2042-12-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Default                  | Citigroup Mortgage Loan Trust                             | CUSIP: 17328PAQ6<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $47469.48     | 0.01%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 05/25/2042 VAR% 144A                          | CUSIP: 35564KXA2<br>LEI: N/A | Long             | DBT              | USGSE             | US        |    478188 | PA      | $499106.33    | 0.14%             | 2042-05-25      | Floating      | 8.91%                 | No            |                  2 | On Loan: No      |
| Default                  | Polus Capital Management 10/20/2037 VAR% 144A             | CUSIP: 73163EAA7<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $867986.84    | 0.24%             | 2037-10-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Default                  | Bluemountain CLO Ltd 10/20/2030 var% 144A                 | CUSIP: 09629EAE1<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $520728.00    | 0.14%             | 2030-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Default                  | CoreVest American Finance Trust 10/15/2054 2.911% 144A    | CUSIP: 21873NAJ8<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1040000 | PA      | $986938.16    | 0.27%             | 2054-10-15      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Default                  | Helmerich & Payne Inc 12/01/2029 4.85% 144A               | CUSIP: 423452AM3<br>LEI: N/A | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1099913.10   | 0.30%             | 2029-12-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae- CAS 12/25/2042 Var%                           | CUSIP: 207932AA2<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $1261316.66   | 0.35%             | 2042-12-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Default                  | Energen Corp 02/15/2028 7.125%                            | CUSIP: 29265AAS5<br>LEI: N/A | Long             | DBT              | CORP              | US        |    525000 | PA      | $543739.35    | 0.15%             | 2028-02-18      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Default                  | Alliance Res Op/Finance 06/15/29 8.625% 144A              | CUSIP: 01879NAC9<br>LEI: N/A | Long             | DBT              | CORP              | US        |    550000 | PA      | $571317.45    | 0.16%             | 2029-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac STACR 05/25/2042 VAR% 144A                    | CUSIP: 35564KWT2<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   2870000 | PA      | $2930987.50   | 0.80%             | 2042-05-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Default                  | US Treasury N/B 05/31/2026 4.875%                         | CUSIP: 91282CKS9<br>LEI: N/A | Long             | DBT              | UST               | US        |  10000000 | PA      | $10016480.00  | 2.74%             | 2026-05-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 05/25/2045 VAR% 144A                          | CUSIP: 35564NHZ9<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1100000 | PA      | $461645.12    | 0.13%             | 2045-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Default                  | BorgWarner, Inc.                                          | CUSIP: 099724AC0<br>LEI: N/A | Long             | DBT              | CORP              | US        |    600000 | PA      | $633048.00    | 0.17%             | 2029-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Default                  | US Treasury N/B 02/28/2027 4.125%                         | CUSIP: 91282CMP3<br>LEI: N/A | Long             | DBT              | UST               | US        |   5600000 | PA      | $5618289.60   | 1.54%             | 2027-02-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Default                  | Finance of America Structured 03/25/2056 Var% 144A        | CUSIP: 316930AD8<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1060315.63   | 0.29%             | 2056-03-25      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac STACR 08/25/2044 VAR% 144A                    | CUSIP: 35564NEC3<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   2620000 | PA      | $2624917.74   | 0.72%             | 2044-08-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Default                  | US Treasury 01/15/2027 4.000%                             | CUSIP: 91282CJT9<br>LEI: N/A | Long             | DBT              | UST               | US        |  21000000 | PA      | $21041433.00  | 5.77%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                      | US 2YR NOTE (CBT) Jun26                                   | CUSIP: N/A<br>LEI: N/A       | N/A              | DIR              |  | US        |       447 | PA      | $-692093.68   | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| Default                  | Voya CLO Ltd 10/18/2031 VAR% 144A                         | CUSIP: 92916XAL1<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    901310 | PA      | $903292.88    | 0.25%             | 2031-10-18      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae 04/25/2042 VAR% 144A                           | CUSIP: 20754DAA5<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   2295000 | PA      | $112693.79    | 0.03%             | 2042-04-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal Home Loan Mortgage Corp.                          | CUSIP: 3137AQH35<br>LEI: N/A | Long             | DBT              | USGSE             | US        |  28479666 | PA      | $2664.55      | 0.00%             | 2027-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Default                  | Hasbro, Inc.                                              | CUSIP: 418056AH0<br>LEI: N/A | Long             | DBT              | CORP              | US        |    798000 | PA      | $826681.72    | 0.23%             | 2028-07-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 01/25/2042 VAR% 144A                          | CUSIP: 35564KPV5<br>LEI: N/A | Long             | DBT              | USGSE             | US        |    720000 | PA      | $723517.92    | 0.20%             | 2042-01-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Default                  | Hecla Mining CO 02/15/2028 7.25%                          | CUSIP: 422704AH9<br>LEI: N/A | Long             | DBT              | CORP              | US        |    194000 | PA      | $193857.99    | 0.05%             | 2028-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac STACR 03/25/2052 VAR% 144A                    | CUSIP: 35564KL31<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $111086.49    | 0.03%             | 2052-03-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Default                  | PEAC Solutions Rec 10/20/2031 4.65%144A                   | CUSIP: 69392BAC0<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $551695.65    | 0.15%             | 2031-10-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Default                  | Timken Co.                                                | CUSIP: 887389AK0<br>LEI: N/A | Long             | DBT              | CORP              | US        |    500000 | PA      | $498796.50    | 0.14%             | 2028-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Default                  | Venture CDO Ltd  07/15/2032 VAR%                          | CUSIP: 92328XBF5<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1104510.00   | 0.30%             | 2032-07-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Default                  | Aqua Finance Trust                                        | CUSIP: 038413AA8<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $148371.53    | 0.04%             | 2046-07-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Default                  | Lad Auto Receivables Trust                                | CUSIP: 501687AC1<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    726000 | PA      | $648520.44    | 0.18%             | 2030-04-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Default                  | Phillips 66 Partners LP                                   | CUSIP: 718549AF5<br>LEI: N/A | Long             | DBT              | CORP              | US        |    540000 | PA      | $525672.72    | 0.14%             | 2028-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae Cas 02/25/20244 VAR% 144A                      | CUSIP: 20754GAE0<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   2035000 | PA      | $2035630.85   | 0.56%             | 2044-02-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Default                  | Saluda Grace Alternative Mortgage 02/25/2030 7.500% 144A  | CUSIP: 79584CAA9<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $2378.91      | 0.00%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Default                  | GLS Auto Receivables Trust 07/15/2027 1.480% 144A         | CUSIP: 36263LAG4<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $79493.83     | 0.02%             | 2027-07-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Default                  | CPS Auto Trust                                            | CUSIP: 12663BAD0<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $618600.66    | 0.17%             | 2028-08-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Default                  | NGC Ltd 04/20/2038 VAR% 144A                              | CUSIP: 652942AA1<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $1056720.00   | 0.29%             | 2038-04-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Default                  | Federal National Mortgage Assoc.                          | CUSIP: 20755DAA4<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   1795002 | PA      | $920050.98    | 0.25%             | 2042-07-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac Stacr 03/25/2042 VAR% 144A                    | CUSIP: 35564KTA7<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   5235000 | PA      | $332228.28    | 0.09%             | 2042-03-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Default                  | Fannie Mae - CAS 04/25/2043 VAR% 144A                     | CUSIP: 20753AAA2<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   2355000 | PA      | $2465616.71   | 0.68%             | 2043-04-25      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac- STACR 11/25/2041 VAR% 144A                   | CUSIP: 35564KMH9<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1221685 | PA      | $1224724.55   | 0.34%             | 2041-11-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Default                  | CPS Auto Trust                                            | CUSIP: 12663BAE8<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1112112.10   | 0.30%             | 2029-10-15      | Fixed         | 7.14%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 05/25/2048 VAR% 144A                          | CUSIP: 3137G1CV7<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   7710000 | PA      | $221547.23    | 0.06%             | 2048-05-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Default                  | Freddie Mac 11/25/2043 VAR% 144A                          | CUSIP: 35564NAA1<br>LEI: N/A | Long             | DBT              | USGSE             | US        |   2200000 | PA      | $2294201.80   | 0.63%             | 2043-11-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Default                  | CPS Auto Trust                                            | CUSIP: 12664WAE1<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $487876.95    | 0.13%             | 2030-11-15      | Fixed         | 10.72%                | No            |                  2 | On Loan: No      |
| Default                  | Saluda Grade Alternative Mortgage Trust                   | CUSIP: 79582GAA2<br>LEI: N/A | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $357312.05    | 0.10%             | 2053-06-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-08

**Name of Applicant:** World Funds Trust

**Signature:** Ann MacDonald

**Name of Signer:** Ann MacDonald

**Title:** Principal Financial Officer