# EDGAR Filing Document

**Accession Number:** 0000809593
**File Stem:** 0001752724-23-036975
**Filing Date:** 2023-2
**Character Count:** 80347
**Document Hash:** 0d8dc17ca378a2c1c5e267c9d0739239
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-036975.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-036975

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AMERICAN BEACON FUNDS
- **CENTRAL INDEX KEY:** 0000809593
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04984
- **FILM NUMBER:** 23658715

**BUSINESS ADDRESS:**
- **STREET 1:** 220 EAST LAS COLINAS BOULEVARD
- **STREET 2:** SUITE 1200
- **CITY:** IRVING
- **STATE:** TX
- **ZIP:** 75039
- **BUSINESS PHONE:** 8173916100

**MAIL ADDRESS:**
- **STREET 1:** 220 EAST LAS COLINAS BOULEVARD
- **STREET 2:** SUITE 1200
- **CITY:** IRVING
- **STATE:** TX
- **ZIP:** 75039

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AMERICAN AADVANTAGE FUNDS
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AMERICAN EAGLE FUNDS
- **DATE OF NAME CHANGE:** 19890813

## Series and Classes Contracts Data

### American Beacon SSI Alternative Income Fund (Series ID: S000064203)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000207658 | R5 Class       | SSIJX           |
| C000207659 | Y Class        | PSCIX           |
| C000207660 | Investor Class | PSCAX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AMERICAN BEACON FUNDS

- **b. Investment Company Act file number:** 811-04984

- **c. CIK number of Registrant:** 0000809593

- **d. LEI of Registrant:** 549300EXCES9V5RWB620

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

  - **Street Address 1:** 220 EAST LAS COLINAS BOULEVARD

  - **City:** IRVING

  - **State:** TX

  - **Foreign country:** US

  - **Zip / Postal Code:** 75039

  - **Telephone number:** 817-391-6100

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

- **a. Name of Series:** American Beacon SSI Alternative Income Fund

- **b. EDGAR series identifier (if any):** S000064203

- **c. LEI of Series:** 549300523RIXBJ3JBK48

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

- **a. Date of fiscal year-end:** 2023-06-30

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $132807368.05

**Total Liabilities:** $21612557.72

**Net Assets:** $111194810.33

**Cash Not Reported:** $22893445.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1.88000000 | **1-Year:** -281.64000000 | **5-Year:** -77.24000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

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

- **3-Month:** -327.66000000 | **1-Year:** -6707.22000000 | **5-Year:** -11457.31000000 | **10-Year:** -1870.51000000 | **30-Year:** -1509.86000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000207659 | 0.76%                | 0.54%                | 0.22%                |
| Class ID C000207658 | 0.76%                | 0.54%                | 0.15%                |
| Class ID C000207660 | 0.86%                | 0.43%                | 0.20%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-12180.60               | $324458.36                                 |
| Month 2  | $245202.92               | $661044.75                                 |
| Month 3  | $208586.27               | $-270159.88                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WORKIVA INC                                  | Workiva, Inc.                                | CUSIP: 98139AAB1<br>LEI: 529900RTOQ8GRWHY1O58 | Long             | DBT              | CORP              | US        |    542000 | PA      | $668286.00    | 0.60%             | 2026-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| TripAdvisor Inc                              | TripAdvisor, Inc.                            | CUSIP: 896945201<br>LEI: 549300XVG45PT5BART17 | Short            | EC               | CORP              | US        |     -7206 | NS      | $-129563.88   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Ligand Pharmaceuticals Inc                   | Ligand Pharmaceuticals, Inc.                 | CUSIP: 53220K504<br>LEI: 5493008K7TB0IKP37H79 | Short            | EC               | CORP              | US        |      -139 | NS      | $-9285.20     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CRYOPORT INC                                 | CryoPort, Inc.                               | CUSIP: 229050AC3<br>LEI: 9845004D8538BT8JF626 | Long             | DBT              | CORP              | US        |   1298000 | PA      | $951563.80    | 0.86%             | 2026-12-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| SOFI TECHNOLOGIES INC                        | SoFi Technologies, Inc.                      | CUSIP: 83406FAA0<br>LEI: 549300SW81JCMVZDDY09 | Long             | DBT              | CORP              | US        |   1657000 | PA      | $1134216.50   | 1.02%             | 2026-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT VACATION WORLDW                     | Marriott Vacations Worldwide Corp.           | CUSIP: 57164YAE7<br>LEI: 549300WA6BT5H4F7IO94 | Long             | DBT              | CORP              | US        |    424000 | PA      | $418700.00    | 0.38%             | 2027-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JAZZ INVESTMENTS I LTD                       | Jazz Investments I Ltd.                      | CUSIP: 472145AD3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    907000 | PA      | $892828.13    | 0.80%             | 2024-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BIGCOMMERCE HOLDINGS INC                     | BigCommerce Holdings, Inc.                   | CUSIP: 08975PAB4<br>LEI: 549300MOVEFQ78DMPG58 | Long             | DBT              | CORP              | US        |   1414000 | PA      | $1003940.00   | 0.90%             | 2026-10-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Exact Sciences Corp                          | Exact Sciences Corp.                         | CUSIP: 30063P105<br>LEI: 549300VM3X1FYD4N9Z14 | Short            | EC               | CORP              | US        |     -5863 | NS      | $-290277.13   | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| MITEK SYSTEMS INC                            | Mitek Systems, Inc.                          | CUSIP: 606710AA9<br>LEI: 549300ABZAQ3R25XG118 | Long             | DBT              | CORP              | US        |    700000 | PA      | $574000.00    | 0.52%             | 2026-02-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| PENNYMAC CORP                                | PennyMac Corp.                               | CUSIP: 70932AAF0<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              |  | US        |    827000 | PA      | $669353.13    | 0.60%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOPGOLF CALL BRAN CORP                       | Topgolf Callaway Brands Corp.                | CUSIP: 131193AE4<br>LEI: 5493005UB0KFRKBPCU72 | Long             | DBT              | CORP              | US        |    572000 | PA      | $743957.50    | 0.67%             | 2026-05-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Everbridge Inc                               | Everbridge, Inc.                             | CUSIP: 29978A104<br>LEI: 549300WCY0UMR64ATW81 | Short            | EC               | CORP              | US        |      -480 | NS      | $-14198.40    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SUNNOVA ENERGY INTL INC                      | Sunnova Energy International, Inc.           | CUSIP: 86745KAF1<br>LEI: 549300JK1Y1VVC3JU540 | Long             | DBT              | CORP              | US        |    880000 | PA      | $680680.00    | 0.61%             | 2026-12-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY TRUST INC                       | Arbor Realty Trust, Inc.                     | CUSIP: 038923850<br>LEI: 549300ASFUWYQO0RW077 | Long             | EP               |  | US        |     42020 | NS      | $758881.20    | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co                 | Pioneer Natural Resources Co.                | CUSIP: 723787107<br>LEI: FY8JBF7CCL2VE4F1B628 | Short            | EC               | CORP              | US        |     -3624 | NS      | $-827685.36   | -0.74%            |  |  |  | No            |                  1 | On Loan: No      |
| MESA LABORATORIES INC                        | Mesa Laboratories, Inc.                      | CUSIP: 59064RAA7<br>LEI: 549300ZCG738WLX8ZW79 | Long             | DBT              | CORP              | US        |    497000 | PA      | $446306.00    | 0.40%             | 2025-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FIVE9 INC                                    | Five9, Inc.                                  | CUSIP: 338307AD3<br>LEI: 254900MXP6EWY0SFFR59 | Long             | DBT              | CORP              | US        |    348000 | PA      | $318768.00    | 0.29%             | 2025-06-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| REDWOOD TRUST INC                            | Redwood Trust, Inc.                          | CUSIP: 758075AD7<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | DBT              | CORP              | US        |   1652000 | PA      | $1495060.00   | 1.34%             | 2024-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| HELIX ENERGY SOLUTIONS                       | Helix Energy Solutions Group, Inc.           | CUSIP: 42330PAK3<br>LEI: 416AP2JOUTCWEGSOZW41 | Long             | DBT              | CORP              | US        |    588000 | PA      | $812391.28    | 0.73%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MARCUS CORPORATION                           | Marcus Corp.                                 | CUSIP: 566330AA4<br>LEI: 549300NL0OKPNEMP6B79 | Long             | DBT              | CORP              | US        |    375000 | PA      | $547734.38    | 0.49%             | 2025-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Topgolf Callaway Brands Corp                 | Topgolf Callaway Brands Corp.                | CUSIP: 131193104<br>LEI: 5493005UB0KFRKBPCU72 | Short            | EC               | CORP              | US        |    -24458 | NS      | $-483045.50   | -0.43%            |  |  |  | No            |                  1 | On Loan: No      |
| RBC BEARINGS INC                             | RBC Bearings, Inc.                           | CUSIP: 75524B203<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      3847 | NS      | $395586.61    | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| ENVESTNET INC                                | Envestnet, Inc.                              | CUSIP: 29404KAF3<br>LEI: 549300HLWZ5OKIDM8737 | Long             | DBT              | CORP              | US        |    593000 | PA      | $636289.00    | 0.57%             | 2027-12-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Splunk Inc                                   | Splunk, Inc.                                 | CUSIP: 848637104<br>LEI: 549300XGDSGBP6UEI867 | Short            | EC               | CORP              | US        |     -1176 | NS      | $-101241.84   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| REALOGY GROUP/CO-ISSUER                      | Realogy Group LLC/Realogy Co.-Issuer Corp.   | CUSIP: 75606DAP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1319000 | PA      | $921981.00    | 0.83%             | 2026-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Jazz Pharmaceuticals PLC                     | Jazz Pharmaceuticals PLC                     | CUSIP: 000000000<br>LEI: 635400GAUMJCLEZRRV50 | Short            | EC               | CORP              | IE        |     -1129 | NS      | $-179860.99   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Workiva Inc                                  | Workiva, Inc.                                | CUSIP: 98139A105<br>LEI: 529900RTOQ8GRWHY1O58 | Short            | EC               | CORP              | US        |     -4590 | NS      | $-385422.30   | -0.35%            |  |  |  | No            |                  1 | On Loan: No      |
| CONMED Corp                                  | CONMED Corp.                                 | CUSIP: 207410101<br>LEI: Z6C0YCECH9DCU5ZIQW84 | Short            | EC               | CORP              | US        |     -2016 | NS      | $-178698.24   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| ARRAY TECHNOLOGIES INC                       | Array Technologies, Inc.                     | CUSIP: 04271TAB6<br>LEI: 549300JM5FECYJQ85V37 | Long             | DBT              | CORP              | US        |    988000 | PA      | $1004302.00   | 0.90%             | 2028-12-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                               | Sabre Global, Inc.                           | CUSIP: 78573NAE2<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |    704000 | PA      | $754617.60    | 0.68%             | 2025-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHEGG INC                                    | Chegg, Inc.                                  | CUSIP: 163092AF6<br>LEI: 549300AKX7O8JG0O3G77 | Long             | DBT              | CORP              | US        |   1743000 | PA      | $1367209.20   | 1.23%             | 2026-09-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SFL Corp Ltd                                 | SFL Corp. Ltd.                               | CUSIP: 000000000<br>LEI: 549300RLYYPSB0C7RH77 | Short            | EC               | CORP              | BM        |     -7802 | NS      | $-71934.44    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| WISDOMTREE INVESTMENTS                       | WisdomTree, Inc.                             | CUSIP: 000000000<br>LEI: 549300WIU8IS7UFO7871 | Long             | DBT              | CORP              | US        |    219000 | PA      | $202684.50    | 0.18%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AGNC INVESTMENT CORP                         | AGNC Investment Corp.                        | CUSIP: 00123Q872<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               |  | US        |     25036 | NS      | $482694.08    | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Mesa Laboratories Inc                        | Mesa Laboratories, Inc.                      | CUSIP: 59064R109<br>LEI: 549300ZCG738WLX8ZW79 | Short            | EC               | CORP              | US        |      -663 | NS      | $-110197.23   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| EVERBRIDGE INC                               | Everbridge, Inc.                             | CUSIP: 29978AAC8<br>LEI: 549300WCY0UMR64ATW81 | Long             | DBT              | CORP              | US        |    554000 | PA      | $499301.78    | 0.45%             | 2024-12-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| MACOM Technology Solutions Holdings Inc      | MACOM Technology Solutions Holdings, Inc.    | CUSIP: 55405Y100<br>LEI: N/A                  | Short            | EC               | CORP              | US        |     -4851 | NS      | $-305515.98   | -0.27%            |  |  |  | No            |                  1 | On Loan: No      |
| PRA Group Inc                                | PRA Group, Inc.                              | CUSIP: 69354N106<br>LEI: 549300Q5HW3JSSB86K27 | Short            | EC               | CORP              | US        |     -2186 | NS      | $-73843.08    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Halozyme Therapeutics Inc                    | Halozyme Therapeutics, Inc.                  | CUSIP: 40637H109<br>LEI: 529900242I3SV9AGM753 | Short            | EC               | CORP              | US        |     -8772 | NS      | $-499126.80   | -0.45%            |  |  |  | No            |                  1 | On Loan: No      |
| INNOVIVA INC                                 | Innoviva, Inc.                               | CUSIP: 88338TAB0<br>LEI: 549300ACOX4QTBES6535 | Long             | DBT              | CORP              | US        |   1113000 | PA      | $1111664.40   | 1.00%             | 2023-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| NY COMMUNITY CAP TRUST V                     | New York Community Capital Trust V           | CUSIP: 64944P307<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     20409 | NS      | $895685.13    | 0.81%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RELIC INC                                | New Relic, Inc.                              | CUSIP: 64829BAB6<br>LEI: 549300AB8FY2HQILL804 | Long             | DBT              | CORP              | US        |    698000 | PA      | $682644.00    | 0.61%             | 2023-05-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| New Relic Inc                                | New Relic, Inc.                              | CUSIP: 64829B100<br>LEI: 549300AB8FY2HQILL804 | Short            | EC               | CORP              | US        |      -244 | NS      | $-13773.80    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Upstart Holdings Inc                         | Upstart Holdings, Inc.                       | CUSIP: 91680M107<br>LEI: 549300WNB47JRNENIC75 | Short            | EC               | CORP              | US        |     -1473 | NS      | $-19473.06    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| PEBBLEBROOK HOTEL TRUST                      | Pebblebrook Hotel Trust                      | CUSIP: 70509VAA8<br>LEI: 5493004Q1NNH6JXCSI52 | Long             | DBT              |  | US        |   1235000 | PA      | $1015787.50   | 0.91%             | 2026-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SUNNOVA ENERGY INTL INC                      | Sunnova Energy International, Inc.           | CUSIP: 86745KAG9<br>LEI: 549300JK1Y1VVC3JU540 | Long             | DBT              | CORP              | US        |    367000 | PA      | $296352.50    | 0.27%             | 2028-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| National Financial Services Corp.            | Option                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |     -1060 | NC      | $-96460.00    | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| SUMMIT HOTEL PROPERTIES                      | Summit Hotel Properties, Inc.                | CUSIP: 866082AA8<br>LEI: 254900OBQWJK6X20LS71 | Long             | DBT              | CORP              | US        |    973000 | PA      | $830942.00    | 0.75%             | 2026-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Snap Inc                                     | Snap, Inc.                                   | CUSIP: 83304A106<br>LEI: 549300JNC0L6VP8A2Q35 | Short            | EC               | CORP              | US        |     -3343 | NS      | $-29919.85    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Insmed Inc                                   | Insmed, Inc.                                 | CUSIP: 457669307<br>LEI: 529900Q55QAG41CCAC11 | Short            | EC               | CORP              | US        |    -22310 | NS      | $-445753.80   | -0.40%            |  |  |  | No            |                  1 | On Loan: No      |
| I3 VERTICALS LLC                             | i3 Verticals LLC                             | CUSIP: 44933TAB2<br>LEI: 549300VET627YPCK1T69 | Long             | DBT              | CORP              | US        |    968000 | PA      | $868780.00    | 0.78%             | 2025-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                                | PRA Group, Inc.                              | CUSIP: 69354NAB2<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |   1011000 | PA      | $995329.50    | 0.90%             | 2023-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Coherus Biosciences Inc                      | Coherus Biosciences, Inc.                    | CUSIP: 19249H103<br>LEI: 5493007IL8W5MV932D26 | Short            | EC               | CORP              | US        |    -25900 | NS      | $-205128.00   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| SoFi Technologies Inc                        | SoFi Technologies, Inc.                      | CUSIP: 83406F102<br>LEI: 549300SW81JCMVZDDY09 | Short            | EC               | CORP              | US        |    -29195 | NS      | $-134588.95   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Progress Software Corp                       | Progress Software Corp.                      | CUSIP: 743312100<br>LEI: 549300R65B3JG6972S24 | Short            | EC               | CORP              | US        |    -12407 | NS      | $-625933.15   | -0.56%            |  |  |  | No            |                  1 | On Loan: No      |
| EXACT SCIENCES CORP                          | Exact Sciences Corp.                         | CUSIP: 30063PAB1<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |   1723000 | PA      | $1421475.00   | 1.28%             | 2027-03-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Upwork Inc                                   | Upwork, Inc.                                 | CUSIP: 91688F104<br>LEI: 5493004QJ6WWBXVE2S70 | Short            | EC               | CORP              | US        |     -6273 | NS      | $-65490.12    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| BigCommerce Holdings Inc                     | BigCommerce Holdings, Inc.                   | CUSIP: 08975P108<br>LEI: 549300MOVEFQ78DMPG58 | Short            | EC               | CORP              | US        |     -3888 | NS      | $-33981.12    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BENTLEY SYSTEMS                              | Bentley Systems, Inc.                        | CUSIP: 08265TAD1<br>LEI: 549300WVEHPGE0Z56F71 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $948310.00    | 0.85%             | 2027-07-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| PINDUODUO INC                                | Pinduoduo, Inc.                              | CUSIP: 722304AC6<br>LEI: 5493000573DS7005T657 | Long             | DBT              | CORP              | KY        |    339000 | PA      | $314422.50    | 0.28%             | 2025-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SEMTECH CORP                                 | Semtech Corp.                                | CUSIP: 816850AE1<br>LEI: 549300J7WUY317SW6O61 | Long             | DBT              | CORP              | US        |    550000 | PA      | $562375.00    | 0.51%             | 2027-11-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| REDWOOD TRUST INC                            | Redwood Trust, Inc.                          | CUSIP: 758075AC9<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | DBT              | CORP              | US        |    316000 | PA      | $308100.00    | 0.28%             | 2023-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                     | Snap, Inc.                                   | CUSIP: 83304AAF3<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |   1194000 | PA      | $834009.00    | 0.75%             | 2027-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MFA FINANCIAL INC                            | MFA Financial, Inc.                          | CUSIP: 55272XAA0<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | DBT              | CORP              | US        |   2594000 | PA      | $2321630.00   | 2.09%             | 2024-06-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Perficient Inc                               | Perficient, Inc.                             | CUSIP: 71375U101<br>LEI: 549300HTBXKL2755T650 | Short            | EC               | CORP              | US        |     -2918 | NS      | $-203763.94   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Stride Inc                                   | Stride, Inc.                                 | CUSIP: 86333M108<br>LEI: 254900BRWS3AFONWU277 | Short            | EC               | CORP              | US        |    -14015 | NS      | $-438389.20   | -0.39%            |  |  |  | No            |                  1 | On Loan: No      |
| VERINT SYSTEMS INC                           | Verint Systems, Inc.                         | CUSIP: 92343XAC4<br>LEI: 549300KEQJS5FRVUCO94 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1157100.00   | 1.04%             | 2026-04-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CryoPort Inc                                 | CryoPort, Inc.                               | CUSIP: 229050307<br>LEI: 9845004D8538BT8JF626 | Short            | EC               | CORP              | US        |     -1637 | NS      | $-28401.95    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Ziff Davis Inc                               | Ziff Davis, Inc.                             | CUSIP: 48123V102<br>LEI: 5493008OJYGLHD7MXA18 | Short            | EC               | CORP              | US        |     -5606 | NS      | $-443434.60   | -0.40%            |  |  |  | No            |                  1 | On Loan: No      |
| HAEMONETICS CORP                             | Haemonetics Corp.                            | CUSIP: 405024AB6<br>LEI: 549300ZEL6TXZS6F5F95 | Long             | DBT              | CORP              | US        |   1307000 | PA      | $1079974.10   | 0.97%             | 2026-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sabre Corp                                   | Sabre Corp.                                  | CUSIP: 78573M104<br>LEI: 529900VKCYZW8GZ4WW58 | Short            | EC               | CORP              | US        |    -49159 | NS      | $-303802.62   | -0.27%            |  |  |  | No            |                  1 | On Loan: No      |
| Bandwidth Inc                                | Bandwidth, Inc.                              | CUSIP: 05988J103<br>LEI: 549300QC70JB7MUGXM66 | Short            | EC               | CORP              | US        |     -1755 | NS      | $-40277.25    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Royal Caribbean Cruises Ltd                  | Royal Caribbean Cruises Ltd.                 | CUSIP: 000000000<br>LEI: K2NEH8QNVW44JIWK7Z55 | Short            | EC               | CORP              | LR        |     -4020 | NS      | $-198708.60   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Envestnet Inc                                | Envestnet, Inc.                              | CUSIP: 29404K106<br>LEI: 549300HLWZ5OKIDM8737 | Short            | EC               | CORP              | US        |     -8524 | NS      | $-525930.80   | -0.47%            |  |  |  | No            |                  1 | On Loan: No      |
| LIGAND PHARMACEUTICALS I                     | Ligand Pharmaceuticals, Inc.                 | CUSIP: 53220KAF5<br>LEI: 5493008K7TB0IKP37H79 | Long             | DBT              | CORP              | US        |    695000 | PA      | $676321.88    | 0.61%             | 2023-05-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| WINNEBAGO INDUSTRIES                         | Winnebago Industries, Inc.                   | CUSIP: 974637AB6<br>LEI: 549300B7OYKYJLTE3G11 | Long             | DBT              | CORP              | US        |    477000 | PA      | $500253.75    | 0.45%             | 2025-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LYONDELLBASELL ADVANCED                      | Lyondellbasell Advanced Polymers, Inc.       | CUSIP: 67054E202<br>LEI: 5493004OGK9A7CGV3B42 | Long             | EP               | CORP              | US        |      1026 | NS      | $872100.00    | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| Marcus Corp/The                              | Marcus Corp.                                 | CUSIP: 566330106<br>LEI: 549300NL0OKPNEMP6B79 | Short            | EC               | CORP              | US        |    -29850 | NS      | $-429541.50   | -0.39%            |  |  |  | No            |                  1 | On Loan: No      |
| CARNIVAL CORP                                | Carnival Corp.                               | CUSIP: 143658BU5<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    396000 | PA      | $353628.00    | 0.32%             | 2027-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NCL Corp Ltd                                 | NCL Corp. Ltd.                               | CUSIP: 62886HBJ9<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |   1657000 | PA      | $1188897.50   | 1.07%             | 2027-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Kaman Corp                                   | Kaman Corp.                                  | CUSIP: 483548103<br>LEI: 5493003YK076OLTEQF95 | Short            | EC               | CORP              | US        |      -554 | NS      | $-12354.20    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| M/A-COM TECH SOLUTIONS                       | MACOM Technology Solutions Holdings, Inc.    | CUSIP: 55405YAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    735000 | PA      | $727282.50    | 0.65%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                            | DISH Network Corp.                           | CUSIP: 25470MAF6<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |   1211000 | PA      | $772618.00    | 0.69%             | 2025-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                     | Pioneer Natural Resources Co.                | CUSIP: 723787AP2<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    393000 | PA      | $916476.00    | 0.82%             | 2025-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| KKR REAL ESTATE FIN                          | KKR Real Estate Finance Trust, Inc.          | CUSIP: 48251KAB6<br>LEI: 549300K23AYZDZ2REL62 | Long             | DBT              | CORP              | US        |   1349000 | PA      | $1323935.32   | 1.19%             | 2023-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| UPSTART HOLDINGS INC                         | Upstart Holdings, Inc.                       | CUSIP: 91680MAB3<br>LEI: 549300WNB47JRNENIC75 | Long             | DBT              | CORP              | US        |   1745000 | PA      | $916125.00    | 0.82%             | 2026-08-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Array Technologies Inc                       | Array Technologies, Inc.                     | CUSIP: 04271T100<br>LEI: 549300JM5FECYJQ85V37 | Short            | EC               | CORP              | US        |    -32934 | NS      | $-636614.22   | -0.57%            |  |  |  | No            |                  1 | On Loan: No      |
| ENVESTNET INC                                | Envestnet, Inc.                              | CUSIP: 29404KAE6<br>LEI: 549300HLWZ5OKIDM8737 | Long             | DBT              | CORP              | US        |   1164000 | PA      | $1050510.00   | 0.94%             | 2025-08-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| RWT HOLDINGS INC                             | RWT Holdings, Inc.                           | CUSIP: 749772AD1<br>LEI: Z31FN4C0IQMCYFAEUP31 | Long             | DBT              | CORP              | US        |    719000 | PA      | $603061.25    | 0.54%             | 2025-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Permian Resources Corp                       | Permian Resources Corp.                      | CUSIP: 71424F105<br>LEI: 529900NXUJPOKU7OJ511 | Short            | EC               | CORP              | US        |    -75937 | NS      | $-713807.80   | -0.64%            |  |  |  | No            |                  1 | On Loan: No      |
| 8X8 INC                                      | 8x8, Inc.                                    | CUSIP: 282914AB6<br>LEI: 254900XWSOC5U1BRW939 | Long             | DBT              | CORP              | US        |   1084000 | PA      | $986429.88    | 0.89%             | 2024-02-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| American Beacon U.S. Government Money Market | American Beacon U.S. Government Money Market | CUSIP: 02368W200<br>LEI: 549300EXCES9V5RWB620 | Long             | STIV             | RF                | US        |   3177163 | NS      | $3177162.75   | 2.86%             |  |  |  | No            |                  1 | On Loan: No      |
| INSMED INC                                   | Insmed, Inc.                                 | CUSIP: 457669AB5<br>LEI: 529900Q55QAG41CCAC11 | Long             | DBT              | CORP              | US        |   1082000 | PA      | $892650.00    | 0.80%             | 2028-06-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JetBlue Airways Corp                         | JetBlue Airways Corp.                        | CUSIP: 477143101<br>LEI: 54930070J9H97ZO93T57 | Short            | EC               | CORP              | US        |     -6620 | NS      | $-42897.60    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| WISDOMTREE INVESTMENTS                       | WisdomTree, Inc.                             | CUSIP: 97717PAB0<br>LEI: 549300WIU8IS7UFO7871 | Long             | DBT              | CORP              | US        |    898000 | PA      | $920450.00    | 0.83%             | 2023-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ZIFF DAVIS INC                               | Ziff Davis, Inc.                             | CUSIP: 48123VAD4<br>LEI: 5493008OJYGLHD7MXA18 | Long             | DBT              | CORP              | US        |    994000 | PA      | $991018.00    | 0.89%             | 2026-11-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| WisdomTree Inc                               | WisdomTree, Inc.                             | CUSIP: 97717P104<br>LEI: 549300WIU8IS7UFO7871 | Short            | EC               | CORP              | US        |    -60528 | NS      | $-329877.60   | -0.30%            |  |  |  | No            |                  1 | On Loan: No      |
| NRG ENERGY INC                               | NRG Energy, Inc.                             | CUSIP: 629377CG5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   1123000 | PA      | $1110085.50   | 1.00%             | 2048-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bentley Systems Inc                          | Bentley Systems, Inc.                        | CUSIP: 08265T208<br>LEI: 549300WVEHPGE0Z56F71 | Short            | EC               | CORP              | US        |     -5915 | NS      | $-218618.40   | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| Magnite Inc                                  | Magnite, Inc.                                | CUSIP: 55955D100<br>LEI: 54930018FR2YX1HHSB02 | Short            | EC               | CORP              | US        |     -3595 | NS      | $-38071.05    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| LANTHEUS HOLDINGS INC                        | Lantheus Holdings, Inc.                      | CUSIP: 516544AA1<br>LEI: 5299005HUB5IOJGO7S39 | Long             | DBT              | CORP              | US        |    254000 | PA      | $255752.60    | 0.23%             | 2027-12-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Lumentum Holdings Inc                        | Lumentum Holdings, Inc.                      | CUSIP: 55024U109<br>LEI: 549300JLWRRC38DWEF52 | Short            | EC               | CORP              | US        |     -2886 | NS      | $-150562.62   | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| Affiliated Managers Group Inc                | Affiliated Managers Group, Inc.              | CUSIP: 008252108<br>LEI: 2JE75BUE3T1BLCYYGK54 | Short            | EC               | CORP              | US        |      -797 | NS      | $-126268.71   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| NRG Energy Inc                               | NRG Energy, Inc.                             | CUSIP: 629377508<br>LEI: 5E2UPK5SW04M13XY7I38 | Short            | EC               | CORP              | US        |    -11634 | NS      | $-370193.88   | -0.33%            |  |  |  | No            |                  1 | On Loan: No      |
| LENDINGTREE INC                              | LendingTree, Inc.                            | CUSIP: 52603BAD9<br>LEI: 549300ISY5YHUJZTON08 | Long             | DBT              | CORP              | US        |   1805000 | PA      | $1313318.00   | 1.18%             | 2025-07-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                         | Western Digital Corp.                        | CUSIP: 958102AP0<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |    609000 | PA      | $580072.50    | 0.52%             | 2024-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Cable One Inc                                | Cable One, Inc.                              | CUSIP: 12685J105<br>LEI: 549300648QS85T0XSH18 | Short            | EC               | CORP              | US        |      -153 | NS      | $-108914.58   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Beauty Health Co/The                         | Beauty Health Co.                            | CUSIP: 88331L108<br>LEI: 5493001Z2JZQT4C63C50 | Short            | EC               | CORP              | US        |    -18798 | NS      | $-171061.80   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| BLACKLINE INC                                | Blackline, Inc.                              | CUSIP: 09239BAD1<br>LEI: 529900P9N7PK9LV5EK56 | Long             | DBT              | CORP              | US        |   1065000 | PA      | $907246.88    | 0.82%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EZCORP INC                                   | EZCORP, Inc.                                 | CUSIP: 302301AG1<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |    424000 | PA      | $410220.00    | 0.37%             | 2029-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST                      | New York Mortgage Trust, Inc.                | CUSIP: 649604865<br>LEI: 549300JFGR0M7ULHWG48 | Long             | EP               |  | US        |     23304 | NS      | $385215.12    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| PERFICIENT INC                               | Perficient, Inc.                             | CUSIP: 71375UAF8<br>LEI: 549300HTBXKL2755T650 | Long             | DBT              | CORP              | US        |   1607000 | PA      | $1241407.50   | 1.12%             | 2026-11-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                      | Royal Caribbean Cruises Ltd.                 | CUSIP: 780153BP6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    256000 | PA      | $321536.00    | 0.29%             | 2025-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRIDE INC                                   | Stride, Inc.                                 | CUSIP: 86333MAA6<br>LEI: 254900BRWS3AFONWU277 | Long             | DBT              | CORP              | US        |   1233000 | PA      | $1098109.80   | 0.99%             | 2027-09-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Five9 Inc                                    | Five9, Inc.                                  | CUSIP: 338307101<br>LEI: 254900MXP6EWY0SFFR59 | Short            | EC               | CORP              | US        |      -905 | NS      | $-61413.30    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| UPWORK INC                                   | Upwork, Inc.                                 | CUSIP: 91688FAB0<br>LEI: 5493004QJ6WWBXVE2S70 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1229769.24   | 1.11%             | 2026-08-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CHEESECAKE FACTORY (THE)                     | Cheesecake Factory, Inc.                     | CUSIP: 163072AA9<br>LEI: 529900872XMLK10SY247 | Long             | DBT              | CORP              | US        |   1411000 | PA      | $1156138.13   | 1.04%             | 2026-06-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Carnival Corp                                | Carnival Corp.                               | CUSIP: 143658300<br>LEI: F1OF2ZSX47CR0BCWA982 | Short            | EC               | CORP              | PA        |    -17741 | NS      | $-142992.46   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Cheesecake Factory Inc/The                   | Cheesecake Factory, Inc.                     | CUSIP: 163072101<br>LEI: 529900872XMLK10SY247 | Short            | EC               | CORP              | US        |     -6397 | NS      | $-202848.87   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Air Transport Services Group Inc             | Air Transport Services Group, Inc.           | CUSIP: 00922R105<br>LEI: 5493000F3MSFGIXTQE27 | Short            | EC               | CORP              | US        |    -15578 | NS      | $-404716.44   | -0.36%            |  |  |  | No            |                  1 | On Loan: No      |
| RBC Bearings Inc                             | RBC Bearings, Inc.                           | CUSIP: 75524B104<br>LEI: N/A                  | Short            | EC               | CORP              | US        |     -1421 | NS      | $-297486.35   | -0.27%            |  |  |  | No            |                  1 | On Loan: No      |
| Sunnova Energy International Inc             | Sunnova Energy International, Inc.           | CUSIP: 86745K104<br>LEI: 549300JK1Y1VVC3JU540 | Short            | EC               | CORP              | US        |    -22250 | NS      | $-400722.50   | -0.36%            |  |  |  | No            |                  1 | On Loan: No      |
| PENNYMAC CORP                                | PennyMac Corp.                               | CUSIP: 70932AAD5<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |   2181000 | PA      | $1946542.50   | 1.75%             | 2024-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NCR Corp                                     | NCR Corp.                                    | CUSIP: 62886E207<br>LEI: 549300YKTY8JX1DV2R67 | Long             | EP               | CORP              | US        |       767 | NS      | $823604.60    | 0.74%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENBRIER COS INC                           | Greenbrier Cos., Inc.                        | CUSIP: 393657AM3<br>LEI: 5493001GAGGFR30BP390 | Long             | DBT              | CORP              | US        |   1399000 | PA      | $1233218.50   | 1.11%             | 2028-04-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Pebblebrook Hotel Trust                      | Pebblebrook Hotel Trust                      | CUSIP: 70509V100<br>LEI: 5493004Q1NNH6JXCSI52 | Short            | EC               |  | US        |    -24251 | NS      | $-324720.89   | -0.29%            |  |  |  | No            |                  1 | On Loan: No      |
| PROGRESS SOFTWARE CORP                       | Progress Software Corp.                      | CUSIP: 743312AB6<br>LEI: 549300R65B3JG6972S24 | Long             | DBT              | CORP              | US        |   1186000 | PA      | $1212092.00   | 1.09%             | 2026-04-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Marriott Vacations Worldwide Corp            | Marriott Vacations Worldwide Corp.           | CUSIP: 57164Y107<br>LEI: 549300WA6BT5H4F7IO94 | Short            | EC               | CORP              | US        |     -1108 | NS      | $-149125.72   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| READY CAPITAL CORP                           | Ready Capital Corp.                          | CUSIP: 75574U200<br>LEI: 549300MYWGZUG7ZUYO87 | Long             | EP               |  | US        |     27721 | NS      | $688312.43    | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| ENCORE CAP EUR FINANCE                       | Encore Capital Europe Finance Ltd.           | CUSIP: 29260UAA5<br>LEI: 549300DAVHQDMISMVB09 | Long             | DBT              | CORP              | JE        |    480000 | PA      | $565920.00    | 0.51%             | 2023-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RINGCENTRAL INC                              | RingCentral, Inc.                            | CUSIP: 76680RAF4<br>LEI: 549300C8EH0H1614VE84 | Long             | DBT              | CORP              | US        |   1319000 | PA      | $1132691.25   | 1.02%             | 2025-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMG Capital Trust II                         | AMG Capital Trust II                         | CUSIP: 00170F209<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     15520 | NS      | $787795.20    | 0.71%             |  |  |  | No            |                  2 | On Loan: No      |
| Verint Systems Inc                           | Verint Systems, Inc.                         | CUSIP: 92343X100<br>LEI: 549300KEQJS5FRVUCO94 | Short            | EC               | CORP              | US        |     -8583 | NS      | $-311391.24   | -0.28%            |  |  |  | No            |                  1 | On Loan: No      |
| Ceridian HCM Holding Inc                     | Ceridian HCM Holding, Inc.                   | CUSIP: 15677J108<br>LEI: 549300T64GVCHFJ8L449 | Short            | EC               | CORP              | US        |     -3011 | NS      | $-193155.65   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| JOYY INC                                     | JOYY, Inc.                                   | CUSIP: 98426TAD8<br>LEI: 549300N6CHVU5CQZPW24 | Long             | DBT              | CORP              | KY        |    594000 | PA      | $567270.00    | 0.51%             | 2025-06-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| NCR Corp                                     | NCR Corp.                                    | CUSIP: 62886E108<br>LEI: 549300YKTY8JX1DV2R67 | Short            | EC               | CORP              | US        |    -12791 | NS      | $-299437.31   | -0.27%            |  |  |  | No            |                  1 | On Loan: No      |
| NEXTGEN HEALTHCARE INC                       | NextGen Healthcare, Inc.                     | CUSIP: 65343CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    397000 | PA      | $412977.55    | 0.37%             | 2027-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GRANITE POINT MTGE TRST                      | Granite Point Mortgage Trust, Inc.           | CUSIP: 38741LAC1<br>LEI: 529900VX2HQZ76AYIE02 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1272480.00   | 1.14%             | 2023-10-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fluor Corp                                   | Fluor Corp.                                  | CUSIP: 343412102<br>LEI: CQ7WZ4NOFWT7FAE6Q943 | Short            | EC               | CORP              | US        |    -28732 | NS      | $-995851.12   | -0.90%            |  |  |  | No            |                  1 | On Loan: No      |
| Etsy Inc                                     | Etsy, Inc.                                   | CUSIP: 29786A106<br>LEI: 54930089Q7XT501AEA40 | Short            | EC               | CORP              | US        |     -1880 | NS      | $-225186.40   | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| NextGen Healthcare Inc                       | NextGen Healthcare, Inc.                     | CUSIP: 65343C102<br>LEI: N/A                  | Short            | EC               | CORP              | US        |     -9925 | NS      | $-186391.50   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| LIVEPERSON INC                               | LivePerson, Inc.                             | CUSIP: 538146AD3<br>LEI: 549300IN2P1JZ20G7N40 | Long             | DBT              | CORP              | US        |   1313000 | PA      | $936300.30    | 0.84%             | 2026-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DISH Network Corp                            | DISH Network Corp.                           | CUSIP: 25470M109<br>LEI: 529900U350CWHH15G169 | Short            | EC               | CORP              | US        |    -11849 | NS      | $-166359.96   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| ZILLOW GROUP INC                             | Zillow Group, Inc.                           | CUSIP: 98954MAH4<br>LEI: 2549002XEELQDIR6FU05 | Long             | DBT              | CORP              | US        |    584000 | PA      | $555384.00    | 0.50%             | 2025-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Encore Capital Group Inc                     | Encore Capital Group, Inc.                   | CUSIP: 292554102<br>LEI: 5493000UVC6H49CIH830 | Short            | EC               | CORP              | US        |     -7584 | NS      | $-363576.96   | -0.33%            |  |  |  | No            |                  1 | On Loan: No      |
| Greenbrier Cos Inc/The                       | Greenbrier Cos., Inc.                        | CUSIP: 393657101<br>LEI: 5493001GAGGFR30BP390 | Short            | EC               | CORP              | US        |    -12612 | NS      | $-422880.36   | -0.38%            |  |  |  | No            |                  1 | On Loan: No      |
| ETSY INC                                     | Etsy, Inc.                                   | CUSIP: 29786AAN6<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |    904000 | PA      | $771835.20    | 0.69%             | 2028-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Impinj Inc                                   | Impinj, Inc.                                 | CUSIP: 453204109<br>LEI: 549300M26VGKSMMWWN17 | Short            | EC               | CORP              | US        |     -2732 | NS      | $-298279.76   | -0.27%            |  |  |  | No            |                  1 | On Loan: No      |
| HALOZYME THERAPEUTICS IN                     | Halozyme Therapeutics, Inc.                  | CUSIP: 40637HAD1<br>LEI: 529900242I3SV9AGM753 | Long             | DBT              | CORP              | US        |   1263000 | PA      | $1222741.88   | 1.10%             | 2027-03-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| EZCORP Inc                                   | EZCORP, Inc.                                 | CUSIP: 302301106<br>LEI: 5493003K6PG3ZQ7TUQ63 | Short            | EC               | CORP              | US        |    -10038 | NS      | $-81809.70    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Zillow Group Inc                             | Zillow Group, Inc.                           | CUSIP: 98954M200<br>LEI: 2549002XEELQDIR6FU05 | Short            | EC               | CORP              | US        |     -3036 | NS      | $-97789.56    | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Anywhere Real Estate Inc                     | Anywhere Real Estate, Inc.                   | CUSIP: 75605Y106<br>LEI: 5493004HBTOTE9DI9P12 | Short            | EC               | CORP              | US        |    -21434 | NS      | $-136963.26   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| APOLLO CMMRL REAL EST FI                     | Apollo Commercial Real Estate Finance, Inc.  | CUSIP: 03762UAC9<br>LEI: 549300E0AN7M2AQHSY29 | Long             | DBT              | CORP              | US        |   2213000 | PA      | $2152142.50   | 1.94%             | 2023-10-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                      | Starwood Property Trust, Inc.                | CUSIP: 85571BAH8<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    522000 | PA      | $506013.75    | 0.46%             | 2023-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                       | Patrick Industries, Inc.                     | CUSIP: 703343AB9<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |    521000 | PA      | $516102.60    | 0.46%             | 2023-02-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Cowen Inc                                    | Cowen, Inc.                                  | CUSIP: 223622606<br>LEI: 5493008QI0EFC5WBED75 | Short            | EC               | CORP              | US        |    -34024 | NS      | $-1314006.88  | -1.18%            |  |  |  | No            |                  1 | On Loan: No      |
| BANDWIDTH INC                                | Bandwidth, Inc.                              | CUSIP: 05988JAD5<br>LEI: 549300QC70JB7MUGXM66 | Long             | DBT              | CORP              | US        |   1254000 | PA      | $779862.60    | 0.70%             | 2028-04-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Groupon Inc                                  | Groupon, Inc.                                | CUSIP: 399473206<br>LEI: 5299005W5W1R5POQJL03 | Short            | EC               | CORP              | US        |     -2603 | NS      | $-22333.74    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| TWO HARBORS INV CORP                         | Two Harbors Investment Corp.                 | CUSIP: 90187BAB7<br>LEI: 549300ZUIBT6KH4HU823 | Long             | DBT              | CORP              | US        |   1712000 | PA      | $1460650.67   | 1.31%             | 2026-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                       | Patrick Industries, Inc.                     | CUSIP: 703343AF0<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |    803000 | PA      | $650430.00    | 0.58%             | 2028-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CABLE ONE INC                                | Cable One, Inc.                              | CUSIP: 12685JAG0<br>LEI: 549300648QS85T0XSH18 | Long             | DBT              | CORP              | US        |   1432000 | PA      | $1063976.00   | 0.96%             | 2028-03-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines Inc                          | Spirit Airlines, Inc.                        | CUSIP: 848577102<br>LEI: 549300DCAFIXFNFR3304 | Short            | EC               | CORP              | US        |     -5343 | NS      | $-104081.64   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| COHERUS BIOSCIENCES INC                      | Coherus Biosciences, Inc.                    | CUSIP: 19249HAB9<br>LEI: 5493007IL8W5MV932D26 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $724275.00    | 0.65%             | 2026-04-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| KAMAN CORP                                   | Kaman Corp.                                  | CUSIP: 483548AF0<br>LEI: 5493003YK076OLTEQF95 | Long             | DBT              | CORP              | US        |    719000 | PA      | $668310.50    | 0.60%             | 2024-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| 8x8 Inc                                      | 8x8, Inc.                                    | CUSIP: 282914100<br>LEI: 254900XWSOC5U1BRW939 | Short            | EC               | CORP              | US        |     -4228 | NS      | $-18264.96    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                     | Permian Resources Operating LLC              | CUSIP: 15136AAA0<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    561000 | PA      | $947248.50    | 0.85%             | 2028-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Semtech Corp                                 | Semtech Corp.                                | CUSIP: 816850101<br>LEI: 549300J7WUY317SW6O61 | Short            | EC               | CORP              | US        |     -8837 | NS      | $-253533.53   | -0.23%            |  |  |  | No            |                  1 | On Loan: No      |
| Lantheus Holdings Inc                        | Lantheus Holdings, Inc.                      | CUSIP: 516544103<br>LEI: 5299005HUB5IOJGO7S39 | Short            | EC               | CORP              | US        |     -1736 | NS      | $-88466.56    | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| GROUPON INC                                  | Groupon, Inc.                                | CUSIP: 399473AF4<br>LEI: 5299005W5W1R5POQJL03 | Long             | DBT              | CORP              | US        |    880000 | PA      | $506000.00    | 0.46%             | 2026-03-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Haemonetics Corp                             | Haemonetics Corp.                            | CUSIP: 405024100<br>LEI: 549300ZEL6TXZS6F5F95 | Short            | EC               | CORP              | US        |     -2231 | NS      | $-175468.15   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Norwegian Cruise Line Holdings Ltd           | Norwegian Cruise Line Holdings Ltd.          | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               | CORP              | BM        |    -23987 | NS      | $-293600.88   | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| Winnebago Industries Inc                     | Winnebago Industries, Inc.                   | CUSIP: 974637100<br>LEI: 549300B7OYKYJLTE3G11 | Short            | EC               | CORP              | US        |     -4865 | NS      | $-256385.50   | -0.23%            |  |  |  | No            |                  1 | On Loan: No      |
| MFA FINANCIAL INC                            | MFA Financial, Inc.                          | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               |  | US        |     39169 | NS      | $689374.40    | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| Patrick Industries Inc                       | Patrick Industries, Inc.                     | CUSIP: 703343103<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Short            | EC               | CORP              | US        |     -4417 | NS      | $-267670.20   | -0.24%            |  |  |  | No            |                  1 | On Loan: No      |
| GDS HOLDINGS LIMITED                         | GDS Holdings Ltd.                            | CUSIP: 36165LAB4<br>LEI: 391200MGV8DDCHTN2R77 | Long             | DBT              | CORP              | KY        |    594000 | PA      | $567641.25    | 0.51%             | 2025-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ProShares Short 20+ Year Treasury            | ProShares Short 20+ Year Treasury            | CUSIP: 74347X849<br>LEI: MNF315G62CW700KJGX62 | Long             | EC               | RF                | US        |     65461 | NS      | $1484655.48   | 1.34%             |  |  |  | No            |                  1 | On Loan: No      |
| SFL CORP LTD                                 | SFL Corp. Ltd.                               | CUSIP: 824689AG8<br>LEI: 549300RLYYPSB0C7RH77 | Long             | DBT              | CORP              | BM        |    643000 | PA      | $623388.50    | 0.56%             | 2023-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CONMED CORP                                  | CONMED Corp.                                 | CUSIP: 207410AG6<br>LEI: Z6C0YCECH9DCU5ZIQW84 | Long             | DBT              | CORP              | US        |    605000 | PA      | $551155.00    | 0.50%             | 2027-06-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES INC                          | Spirit Airlines, Inc.                        | CUSIP: 848577AB8<br>LEI: 549300DCAFIXFNFR3304 | Long             | DBT              | CORP              | US        |    653000 | PA      | $525665.00    | 0.47%             | 2026-05-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| National Financial Services Corp.            | Option                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      1060 | NC      | $323300.00    | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| RingCentral Inc                              | RingCentral, Inc.                            | CUSIP: 76680R206<br>LEI: 549300C8EH0H1614VE84 | Short            | EC               | CORP              | US        |      -377 | NS      | $-13345.80    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| IMPINJ INC                                   | Impinj, Inc.                                 | CUSIP: 453204AD1<br>LEI: 549300M26VGKSMMWWN17 | Long             | DBT              | CORP              | US        |    396000 | PA      | $475200.00    | 0.43%             | 2027-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| INFINERA CORP                                | Infinera Corp.                               | CUSIP: 45667GAC7<br>LEI: 549300ZOF66WPV3H0H17 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1101375.00   | 0.99%             | 2024-09-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP                           | Rithm Capital Corp.                          | CUSIP: 64828T508<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EP               |  | US        |     36984 | NS      | $636124.80    | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Infinera Corp                                | Infinera Corp.                               | CUSIP: 45667G103<br>LEI: 549300ZOF66WPV3H0H17 | Short            | EC               | CORP              | US        |    -39900 | NS      | $-268926.00   | -0.24%            |  |  |  | No            |                  1 | On Loan: No      |
| SPLUNK INC                                   | Splunk, Inc.                                 | CUSIP: 848637AF1<br>LEI: 549300XGDSGBP6UEI867 | Long             | DBT              | CORP              | US        |    948000 | PA      | $799922.40    | 0.72%             | 2027-06-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Chegg Inc                                    | Chegg, Inc.                                  | CUSIP: 163092109<br>LEI: 549300AKX7O8JG0O3G77 | Short            | EC               | CORP              | US        |     -3242 | NS      | $-81925.34    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| CERIDIAN HCM HOLDING INC                     | Ceridian HCM Holding, Inc.                   | CUSIP: 15677JAD0<br>LEI: 549300T64GVCHFJ8L449 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1003592.50   | 0.90%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GRANITE POINT MTGE TRST                      | Granite Point Mortgage Trust, Inc.           | CUSIP: 38741L305<br>LEI: 529900VX2HQZ76AYIE02 | Long             | EP               |  | US        |     33087 | NS      | $567772.92    | 0.51%             |  |  |  | No            |                  2 | On Loan: No      |
| LendingTree Inc                              | LendingTree, Inc.                            | CUSIP: 52603B107<br>LEI: 549300ISY5YHUJZTON08 | Short            | EC               | CORP              | US        |      -180 | NS      | $-3839.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| I3 Verticals Inc                             | I3 Verticals, Inc.                           | CUSIP: 46571Y107<br>LEI: 549300944CYWVP06CJ97 | Short            | EC               | CORP              | US        |     -8303 | NS      | $-202095.02   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Helix Energy Solutions Group Inc             | Helix Energy Solutions Group, Inc.           | CUSIP: 42330P107<br>LEI: 416AP2JOUTCWEGSOZW41 | Short            | EC               | CORP              | US        |    -54801 | NS      | $-404431.38   | -0.36%            |  |  |  | No            |                  1 | On Loan: No      |
| LUMENTUM HOLDINGS INC                        | Lumentum Holdings, Inc.                      | CUSIP: 55024UAD1<br>LEI: 549300JLWRRC38DWEF52 | Long             | DBT              | CORP              | US        |    639000 | PA      | $547942.50    | 0.49%             | 2026-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| BEAUTY HEALTH CO/THE                         | Beauty Health Co.                            | CUSIP: 88331LAA6<br>LEI: 5493001Z2JZQT4C63C50 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1186920.00   | 1.07%             | 2026-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FLUOR CORP                                   | Fluor Corp.                                  | CUSIP: 343412607<br>LEI: CQ7WZ4NOFWT7FAE6Q943 | Long             | EP               | CORP              | US        |       710 | NS      | $1166863.70   | 1.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LIBERTY TRIPADVISOR HOLD                     | Liberty TripAdvisor Holdings, Inc.           | CUSIP: 531465AA0<br>LEI: 5299006PCRAU736ZJ155 | Long             | DBT              | CORP              | US        |   2075000 | PA      | $1487775.00   | 1.34%             | 2051-06-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Blackline Inc                                | Blackline, Inc.                              | CUSIP: 09239B109<br>LEI: 529900P9N7PK9LV5EK56 | Short            | EC               | CORP              | US        |     -2130 | NS      | $-143285.10   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| MAGNITE INC                                  | Magnite, Inc.                                | CUSIP: 55955DAB6<br>LEI: 54930018FR2YX1HHSB02 | Long             | DBT              | CORP              | US        |   1949000 | PA      | $1494688.10   | 1.34%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                         | JetBlue Airways Corp.                        | CUSIP: 477143AP6<br>LEI: 54930070J9H97ZO93T57 | Long             | DBT              | CORP              | US        |    662000 | PA      | $482649.01    | 0.43%             | 2026-04-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Cowen Inc                                    | Cowen, Inc.                                  | CUSIP: 223622507<br>LEI: 5493008QI0EFC5WBED75 | Long             | EP               | CORP              | US        |       930 | NS      | $1418901.00   | 1.28%             |  |  |  | No            |                  2 | On Loan: No      |
| LivePerson Inc                               | LivePerson, Inc.                             | CUSIP: 538146101<br>LEI: 549300IN2P1JZ20G7N40 | Short            | EC               | CORP              | US        |     -4366 | NS      | $-44271.24    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Mitek Systems Inc                            | Mitek Systems, Inc.                          | CUSIP: 606710200<br>LEI: 549300ABZAQ3R25XG118 | Short            | EC               | CORP              | US        |    -15750 | NS      | $-152617.50   | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| HERBALIFE LTD                                | Herbalife Nutrition Ltd.                     | CUSIP: 42703MAD5<br>LEI: 549300BA7TYPBSZZIA41 | Long             | DBT              | CORP              | KY        |   1197000 | PA      | $1103634.00   | 0.99%             | 2024-03-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| AIR TRANSPORT SERVICES G                     | Air Transport Services Group, Inc.           | CUSIP: 00922RAB1<br>LEI: 5493000F3MSFGIXTQE27 | Long             | DBT              | CORP              | US        |    903000 | PA      | $935778.90    | 0.84%             | 2024-10-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| DIGITALBRIDGE GROUP INC                      | DigitalBridge Group, Inc.                    | CUSIP: 19624RAA4<br>LEI: 549300XG87L902AGBO89 | Long             | DBT              |  | US        |    746000 | PA      | $734810.00    | 0.66%             | 2023-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chimera Investment Corp                      | Chimera Investment Corp.                     | CUSIP: 16934Q406<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               |  | US        |     28077 | NS      | $556205.37    | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| BLACKSTONE MORTGAGE TR                       | Blackstone Mortgage Trust, Inc.              | CUSIP: 09257WAC4<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1284618.75   | 1.16%             | 2023-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY TRUST INC                       | Arbor Realty Trust, Inc.                     | CUSIP: 038923AZ1<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              |  | US        |   1357000 | PA      | $1341394.50   | 1.21%             | 2025-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Summit Hotel Properties Inc                  | Summit Hotel Properties, Inc.                | CUSIP: 866082100<br>LEI: 254900OBQWJK6X20LS71 | Short            | EC               |  | US        |    -42812 | NS      | $-309102.64   | -0.28%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-24

**Name of Applicant:** AMERICAN BEACON FUNDS

**Signature:** Sonia Bates

**Name of Signer:** Sonia Bates

**Title:** Treasurer