# EDGAR Filing Document

**Accession Number:** 0000896435
**File Stem:** 0001752724-23-049870
**Filing Date:** 2023-3
**Character Count:** 211537
**Document Hash:** 676b5dcfc5190ccdfaf490a96dac690d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-049870.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-049870

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AIM VARIABLE INSURANCE FUNDS (INVESCO VARIABLE INSURANCE FUNDS)
- **CENTRAL INDEX KEY:** 0000896435
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07452
- **FILM NUMBER:** 23691738

**BUSINESS ADDRESS:**
- **STREET 1:** 11 GREENWAY PLAZA
- **STREET 2:** SUITE 1000
- **CITY:** HOUSTON
- **STATE:** TX
- **ZIP:** 77046
- **BUSINESS PHONE:** 7136261919

**MAIL ADDRESS:**
- **STREET 1:** 11 GREENWAY PLAZA
- **STREET 2:** SUITE 1000
- **CITY:** HOUSTON
- **STATE:** TX
- **ZIP:** 77046

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AIM VARIABLE INSURANCE FUNDS
- **DATE OF NAME CHANGE:** 20000719

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AIM VARIABLE INSURANCE FUNDS INC
- **DATE OF NAME CHANGE:** 19930714

## Series and Classes Contracts Data

### INVESCO V.I. Government Securities Fund (Series ID: S000000179)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000000404 | Series I     |  |
| C000000405 | Series II    |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AIM Variable Insurance Funds (Invesco Variable Insurance Funds)

- **b. Investment Company Act file number:** 811-07452

- **c. CIK number of Registrant:** 0000896435

- **d. LEI of Registrant:** FC4UULIMJMGKBDUARB13

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

  - **Street Address 1:** 11 Greenway Plaza

  - **City:** Houston

  - **State:** TX

  - **Foreign country:** US

  - **Zip / Postal Code:** 77046-1173

  - **Telephone number:** 800-959-4246

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

- **a. Name of Series:** Invesco V.I. Government Securities Fund

- **b. EDGAR series identifier (if any):** S000000179

- **c. LEI of Series:** 549300CE6SMJL1GYPH45

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

- **a. Date of fiscal year-end:** 2022-12-31

- **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:** $375345998.44

**Total Liabilities:** $38154882.89

**Net Assets:** $337191115.55

**Delayed Delivery Securities:** $35834032.82

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -836.40217985 | **1-Year:** -17610.87836543 | **5-Year:** -40478.63837224 | **10-Year:** -41245.37756582 | **30-Year:** -8868.96048956

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000405 | -1.15%               | 2.45%                | -0.50%               |
| Class ID C000000404 | -1.14%               | 2.43%                | -0.40%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1125692.53             | $-2355372.04                               |
| Month 2  | $-151042.78              | $6619966.15                                |
| Month 3  | $880661.65               | $-2416864.29                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Government Bond Index

- **Index Identifier:** 100% BB-US Gov

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31387UK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3563 | PA      | $3560.87      | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31283H2G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36220 | PA      | $36524.69     | 0.01%             | 2032-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31388KLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       676 | PA      | $693.35       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 91282CBN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5557000 | PA      | $5519973.26   | 1.64%             | 2023-02-28      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36203W3Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       116 | PA      | $116.43       | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36208LME4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21257 | PA      | $21477.50     | 0.01%             | 2027-12-20      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31390UFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       919 | PA      | $919.43       | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31409YBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56382 | PA      | $56306.68     | 0.02%             | 2036-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31389TQW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12590 | PA      | $12569.53     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association, ARM                                     | CUSIP: 31407UMP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    795337 | PA      | $813533.96    | 0.24%             | 2034-10-01      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association, ARM                                     | CUSIP: 31418MKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15549 | PA      | $15731.74     | 0.00%             | 2038-03-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 3136A4BW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    509960 | PA      | $503244.57    | 0.15%             | 2041-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213DG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       135 | PA      | $140.59       | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200AN70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       224 | PA      | $230.41       | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36205WBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9588 | PA      | $9583.42      | 0.00%             | 2024-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213FLD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45909 | PA      | $47246.36     | 0.01%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202EFS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56434 | PA      | $57152.13     | 0.02%             | 2035-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 3617LEKR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3724893 | PA      | $3320683.08   | 0.98%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31292GWC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2424 | PA      | $2514.64      | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36224FEE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         5 | PA      | $4.95         | 0.00%             | 2023-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                   | U.S. Treasury 10 Year Notes Future                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       228 | NC      | $-145359.48   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36203PAL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       280 | PA      | $288.05       | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                              | COLT Mortgage Loan Trust, Series 2021-4, Class A1                              | CUSIP: 19688GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4258340 | PA      | $3478168.09   | 1.03%             | 2066-10-25      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31335PJ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17683 | PA      | $17783.95     | 0.01%             | 2027-05-20      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31346YXT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1921097 | PA      | $1705271.25   | 0.51%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BSS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31154 | PA      | $32975.85     | 0.01%             | 2032-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31411EUN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14 | PA      | $14.18        | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31379TDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2407 | PA      | $2472.36      | 0.00%             | 2028-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403DH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13047 | PA      | $13047.57     | 0.00%             | 2034-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust, Series 2018-4A, Class A1S                 | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1195663 | PA      | $1150847.33   | 0.34%             | 2048-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140L0D95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4309970 | PA      | $3523985.75   | 1.05%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36204JG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        63 | PA      | $62.46        | 0.00%             | 2024-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31404LTJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5018 | PA      | $5292.85      | 0.00%             | 2034-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200AGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3991 | PA      | $4212.57      | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213DG51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       127 | PA      | $130.37       | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213UV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1267 | PA      | $1304.36      | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36224CWA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        91 | PA      | $90.94        | 0.00%             | 2023-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BWB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9924 | PA      | $10187.04     | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31406PC72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91787 | PA      | $94153.94     | 0.03%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201YUX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78466 | PA      | $79379.98     | 0.02%             | 2033-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31298GCK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17719 | PA      | $18246.44     | 0.01%             | 2030-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31293WQG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       961 | PA      | $977.63       | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31389R7K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12058 | PA      | $12635.95     | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213UBD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1267 | PA      | $1304.50      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31406NT20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2157 | PA      | $2159.32      | 0.00%             | 2035-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp., ARM                                          | CUSIP: 31326MNX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1242983 | PA      | $1203466.64   | 0.36%             | 2048-01-01      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31391WT43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345056 | PA      | $370499.18    | 0.11%             | 2032-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31404KXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2834 | PA      | $2970.00      | 0.00%             | 2034-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202SZQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68731 | PA      | $70821.58     | 0.02%             | 2029-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371JBE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       147 | PA      | $153.68       | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs. | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series KG01, Class A7   | CUSIP: 3137FMD25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   5000000 | PA      | $4738694.50   | 1.41%             | 2026-04-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202THG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138079 | PA      | $142100.45    | 0.04%             | 2027-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3138ALLV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1029070 | PA      | $1014645.31   | 0.30%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128MJDG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194798 | PA      | $203155.62    | 0.06%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202SF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26695 | PA      | $27430.94     | 0.01%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 912828XT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2500000 | PA      | $2409082.03   | 0.71%             | 2024-05-31      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36206FXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1406 | PA      | $1405.58      | 0.00%             | 2025-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 3136A5QP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    319848 | PA      | $317611.74    | 0.09%             | 2041-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200SR77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       478 | PA      | $477.53       | 0.00%             | 2031-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31287TPP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       167 | PA      | $166.85       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31389GSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36042 | PA      | $36834.69     | 0.01%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                   | Starwood Mortgage Residential Trust, Series 2022-1, Class A1                   | CUSIP: 85573TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1733595 | PA      | $1459367.42   | 0.43%             | 2066-12-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202SDX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       375 | PA      | $385.64       | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31391BB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2663 | PA      | $2731.69      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31335PLS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    305689 | PA      | $310716.82    | 0.09%             | 2030-10-20      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201MNR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11596 | PA      | $12141.27     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140HFN54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2323307 | PA      | $2134267.08   | 0.63%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31406QLU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15715 | PA      | $15722.67     | 0.00%             | 2029-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36208QRR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4947 | PA      | $4963.15      | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 3137AKPS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    205754 | PA      | $205430.12    | 0.06%             | 2040-03-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31297PQY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8531 | PA      | $8759.82      | 0.00%             | 2035-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371M7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29898 | PA      | $31301.97     | 0.01%             | 2036-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 912828ZB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9159000 | PA      | $8144712.28   | 2.42%             | 2027-02-28      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31389D3X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       427 | PA      | $426.09       | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31412LQS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60411 | PA      | $61387.54     | 0.02%             | 2027-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                     | Mello Mortgage Capital Acceptance, Series 2021-INV1, Class A4                  | CUSIP: 58549KAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    523754 | PA      | $450167.82    | 0.13%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31405S4M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29693 | PA      | $29549.07     | 0.01%             | 2032-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 9128285U0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1861070.86   | 0.55%             | 2023-12-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: —       |
| Freddie Mac Multifamily Structured Pass-Through Ctfs. | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series KS11, Class AFX1 | CUSIP: 3137FNAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   5000000 | PA      | $4546195.50   | 1.35%             | 2028-12-25      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association, ARM                                     | CUSIP: 31410KWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65030 | PA      | $66128.53     | 0.02%             | 2035-05-01      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31293AHV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43683 | PA      | $44351.77     | 0.01%             | 2028-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202DJ85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3415 | PA      | $3576.61      | 0.00%             | 2030-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Invesco Government & Agency Portfolio                 | Invesco Government & Agency Portfolio, Institutional Class                     | CUSIP: 825252885<br>LEI: 5493007T1J7WZ5QI1A47 | Long             | STIV             | RF                | US        |   3967567 | NS      | $3967567.29   | 1.18%             |  |  |  | No            |                  1 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 9128284S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $6253367.34   | 1.85%             | 2023-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31406MEH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8532 | PA      | $8507.02      | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5480000 | PA      | $5209210.95   | 1.54%             | 2025-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140X7FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4774452 | PA      | $4385914.63   | 1.30%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201MZ21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       443 | PA      | $456.08       | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31402RYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7381 | PA      | $7370.73      | 0.00%             | 2033-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38380GJC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   1836269 | PA      | $1773781.24   | 0.53%             | 2047-08-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31397NL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   1245055 | PA      | $1301961.95   | 0.39%             | 2039-06-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31283HHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1432 | PA      | $1488.64      | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp., ARM                                          | CUSIP: 3128QSYV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36723 | PA      | $37370.81     | 0.01%             | 2036-10-01      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31391WT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290586 | PA      | $307243.39    | 0.09%             | 2032-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31391ANZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1541 | PA      | $1552.40      | 0.00%             | 2032-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371EYH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        88 | PA      | $89.04        | 0.00%             | 2024-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31418SK32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285725 | PA      | $295243.76    | 0.09%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3133G8PE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3720658 | PA      | $3417577.84   | 1.01%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Bank                                | Federal Home Loan Bank                                                         | CUSIP: 3130AJHU6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | CORP              | US        |  14500000 | PA      | $13329357.15  | 3.95%             | 2025-04-14      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3133L7GP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2513421 | PA      | $2318280.12   | 0.69%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36291ACF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132232 | PA      | $136099.73    | 0.04%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128PJPB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       457 | PA      | $456.26       | 0.00%             | 2023-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 91282CBR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $6637148.42   | 1.97%             | 2024-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31384VL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10416 | PA      | $10804.65     | 0.00%             | 2029-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31400DWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72 | PA      | $74.63        | 0.00%             | 2033-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31383XL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278114 | PA      | $289331.77    | 0.09%             | 2029-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31383HX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       275 | PA      | $281.84       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371M2Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32208 | PA      | $34803.76     | 0.01%             | 2036-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 31398KNS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    270347 | PA      | $271061.51    | 0.08%             | 2039-11-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36291SB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29126 | PA      | $29157.63     | 0.01%             | 2025-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128M7XB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354769 | PA      | $360173.59    | 0.11%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31407JAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152189 | PA      | $159109.28    | 0.05%             | 2036-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31335PHC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14989 | PA      | $15033.22     | 0.00%             | 2030-11-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140QCM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4639847 | PA      | $4273765.14   | 1.27%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                              | Angel Oak Mortgage Trust, Series 2020-6, Class A2                              | CUSIP: 03465AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749888 | PA      | $645612.08    | 0.19%             | 2065-05-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp., ARM                                          | CUSIP: 31347AKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267539 | PA      | $271633.00    | 0.08%             | 2038-07-01      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31402BAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8708 | PA      | $8691.69      | 0.00%             | 2024-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36207FZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1430 | PA      | $1429.32      | 0.00%             | 2026-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3138LRKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505772 | PA      | $496892.81    | 0.15%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201A3E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        20 | PA      | $20.99        | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $347203.12    | 0.10%             | 2029-08-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31409AGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74617 | PA      | $76854.90     | 0.02%             | 2029-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201FBE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1871 | PA      | $1920.29      | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31296UE23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16523 | PA      | $16861.56     | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                    | Freddie Mac STRIPS                                                             | CUSIP: 31351DDT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    813811 | PA      | $800207.62    | 0.24%             | 2037-10-15      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128LDAC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97867 | PA      | $100080.55    | 0.03%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200ABK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       101 | PA      | $106.62       | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                          | Chase Mortgage Finance Corp., Series 2016-SH2, Class M3                        | CUSIP: 16164AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1236224 | PA      | $1072634.53   | 0.32%             | 2045-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36241KG93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242641 | PA      | $257631.55    | 0.08%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213HF46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6671 | PA      | $6864.92      | 0.00%             | 2031-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 9128282A7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7450000 | PA      | $6792304.69   | 2.01%             | 2026-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36204C3L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4201 | PA      | $4198.33      | 0.00%             | 2023-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31298TWA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1338 | PA      | $1376.43      | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4500000 | PA      | $3891972.65   | 1.15%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31287RN62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14501 | PA      | $14990.94     | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 3137A06D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   1085911 | PA      | $1058254.95   | 0.31%             | 2036-11-15      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371KAE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4686 | PA      | $4809.30      | 0.00%             | 2031-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36204U5S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       127 | PA      | $126.76       | 0.00%             | 2024-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31406KEV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2339 | PA      | $2332.73      | 0.00%             | 2035-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BMX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3032 | PA      | $3120.85      | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31411HUP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        44 | PA      | $45.47        | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213KAA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52783 | PA      | $53147.10     | 0.02%             | 2031-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31297D6Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38616 | PA      | $39656.99     | 0.01%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31298QAN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1646 | PA      | $1645.01      | 0.00%             | 2031-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3132GGFR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    415785 | PA      | $412436.41    | 0.12%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213AMH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54195 | PA      | $55777.97     | 0.02%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association, ARM                                     | CUSIP: 3140F4PY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334577 | PA      | $334844.15    | 0.10%             | 2044-05-01      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371KK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10457 | PA      | $10935.82     | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371M5N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19790 | PA      | $20682.53     | 0.01%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200QSM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       348 | PA      | $349.43       | 0.00%             | 2032-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213LLB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       745 | PA      | $779.22       | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31375GCF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1687 | PA      | $1683.06      | 0.00%             | 2025-10-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs. | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K092, Class AM   | CUSIP: 3137FLYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   5000000 | PA      | $4534041.00   | 1.34%             | 2029-04-25      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36212DTT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107342 | PA      | $110468.16    | 0.03%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36224TNY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        14 | PA      | $13.96        | 0.00%             | 2023-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31388HCW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91798 | PA      | $93753.30     | 0.03%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202U6T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7539 | PA      | $7739.49      | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BMN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11186 | PA      | $11511.63     | 0.00%             | 2029-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3133A0D27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2608661 | PA      | $2315598.17   | 0.69%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31335GQG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       386 | PA      | $385.64       | 0.00%             | 2026-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202DLG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2828 | PA      | $2960.55      | 0.00%             | 2031-01-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36204GXN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1491 | PA      | $1490.56      | 0.00%             | 2023-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140KEMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3521432 | PA      | $3171222.91   | 0.94%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 3617MKMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2429766 | PA      | $2286552.39   | 0.68%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31407NHJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83067 | PA      | $86516.51     | 0.03%             | 2035-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31292GHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        39 | PA      | $40.33        | 0.00%             | 2023-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                          | United States Treasury Bills                                                   | CUSIP: 912796ZE2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1337000 | PA      | $1315438.46   | 0.39%             | 2023-05-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36205WCL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6560 | PA      | $6556.50      | 0.00%             | 2024-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31396PZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    496404 | PA      | $486594.67    | 0.14%             | 2037-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36290UZ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47521 | PA      | $47764.23     | 0.01%             | 2025-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3132GGF34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    601887 | PA      | $597904.50    | 0.18%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36209BR75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       401 | PA      | $407.39       | 0.00%             | 2028-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31384VNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208197 | PA      | $217954.80    | 0.06%             | 2030-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403DUJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104423 | PA      | $109043.90    | 0.03%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31297DX86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102969 | PA      | $106720.26    | 0.03%             | 2034-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36223V7J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       158 | PA      | $157.54       | 0.00%             | 2023-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31359QLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     43680 | PA      | $44173.16     | 0.01%             | 2027-09-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs. | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series KLU1, Class A2   | CUSIP: 3137FMCK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   5000000 | PA      | $4738952.00   | 1.41%             | 2025-12-25      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38377FZZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    928776 | PA      | $924405.26    | 0.27%             | 2040-05-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust                 | NextGear Floorplan Master Owner Trust, Series 2021-1A, Class A                 | CUSIP: 65341KBQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1858751.20   | 0.55%             | 2026-07-15      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31405MST5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2463 | PA      | $2526.26      | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association, ARM                                     | CUSIP: 3138X3HM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232492 | PA      | $231070.93    | 0.07%             | 2043-08-01      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| INVESCO PRIVATE GOVERNMENT FUND                       | INVESCO PRIVATE GOVERNMENT FUND                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | PF                | US        |    533963 | NS      | $533962.78    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $6260898.42   | 1.86%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31409ASR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35212 | PA      | $35219.03     | 0.01%             | 2036-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31292HJ88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       255 | PA      | $262.32       | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213CPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       793 | PA      | $799.08       | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31388NEG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       301 | PA      | $309.15       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201KDP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2678 | PA      | $2752.41      | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128M7S49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13466 | PA      | $14092.75     | 0.00%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371KWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5630 | PA      | $5976.76      | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3138ERQT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1215230 | PA      | $1163646.54   | 0.35%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31287XG26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        34 | PA      | $35.29        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae ACES                                       | Fannie Mae ACES                                                                | CUSIP: 3136ATTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    231199 | PA      | $230692.85    | 0.07%             | 2023-09-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201KAR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1750 | PA      | $1796.51      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 912828M56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2800000 | PA      | $2650812.50   | 0.79%             | 2025-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36212SUR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       558 | PA      | $561.42       | 0.00%             | 2031-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                   | U.S. Treasury 2 Year Notes Future                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       182 | NC      | $48342.11     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36208ETC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33638 | PA      | $33628.03     | 0.01%             | 2027-10-20      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31408XNX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21793 | PA      | $21812.13     | 0.01%             | 2035-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202DMC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6684 | PA      | $7068.87      | 0.00%             | 2031-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31292HRM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43171 | PA      | $45537.19     | 0.01%             | 2032-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225AWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       135 | PA      | $139.18       | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128M8FR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    462546 | PA      | $477487.82    | 0.14%             | 2033-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31374F5L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19682 | PA      | $20125.57     | 0.01%             | 2026-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201NGE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5378 | PA      | $5659.55      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 31396JKN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    472181 | PA      | $466983.47    | 0.14%             | 2036-03-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36210BMG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43974 | PA      | $44169.63     | 0.01%             | 2028-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128M7S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18156 | PA      | $19250.78     | 0.01%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200RHK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16143 | PA      | $16136.17     | 0.00%             | 2032-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403GKH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37891 | PA      | $38929.71     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31287SW60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30651 | PA      | $30668.16     | 0.01%             | 2032-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                            | GCAT Trust, Series 2020-NQM1, Class A3                                         | CUSIP: 36167FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2715738 | PA      | $2607444.04   | 0.77%             | 2060-01-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38378HSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |     11921 | PA      | $11620.09     | 0.00%             | 2042-01-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36292ASP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69639 | PA      | $70316.20     | 0.02%             | 2037-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36292ASN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30867 | PA      | $31062.52     | 0.01%             | 2037-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                    | Canadian Imperial Bank of Commerce                                             | CUSIP: 13606KCC8<br>LEI: 549300H8L46OOZOFHU82 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $10000000.00  | 2.97%             | 2023-02-21      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371FMY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1387 | PA      | $1409.12      | 0.00%             | 2026-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371H6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       184 | PA      | $192.08       | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association, Series 2019-30, Class MA             | CUSIP: 38381R6D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    361704 | PA      | $333692.44    | 0.10%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36291SGB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66408 | PA      | $68168.62     | 0.02%             | 2029-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31392BZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    264247 | PA      | $273919.46    | 0.08%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31394FN92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     66854 | PA      | $67412.43     | 0.02%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                   | Bank of Nova Scotia                                                            | CUSIP: 06417MQ24<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   2900000 | PA      | $2902249.91   | 0.86%             | 2023-12-13      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31402CKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34342 | PA      | $34227.84     | 0.01%             | 2033-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31374SCZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       790 | PA      | $791.36       | 0.00%             | 2025-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31390GZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62569 | PA      | $65747.19     | 0.02%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403UVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140046 | PA      | $143682.34    | 0.04%             | 2034-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp., ARM                                          | CUSIP: 3128S5EJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193168 | PA      | $193640.15    | 0.06%             | 2037-11-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31406TQU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177040 | PA      | $183313.23    | 0.05%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128K6MD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26674 | PA      | $26652.03     | 0.01%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31413YTV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       143 | PA      | $146.56       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403DVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14 | PA      | $14.83        | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 9128285N6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2500000 | PA      | $2406054.70   | 0.71%             | 2025-11-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202DJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3259 | PA      | $3421.21      | 0.00%             | 2030-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36206MBW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        19 | PA      | $19.88        | 0.00%             | 2026-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3138M47C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621858 | PA      | $610936.76    | 0.18%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36211D3F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11198 | PA      | $11217.44     | 0.00%             | 2029-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31356JEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1976 | PA      | $1974.85      | 0.00%             | 2024-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31413FJF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112675 | PA      | $118908.02    | 0.04%             | 2037-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31378RU98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9990 | PA      | $10259.07     | 0.00%             | 2024-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust, Series 2020-NQM1, Class A3                | CUSIP: 64830VAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1158191 | PA      | $1027411.24   | 0.30%             | 2060-01-26      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36294SGU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20801 | PA      | $20802.41     | 0.01%             | 2036-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213FF57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       270 | PA      | $279.59       | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36207FDD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15636 | PA      | $15663.89     | 0.00%             | 2026-09-20      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128MJAZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41563 | PA      | $43888.66     | 0.01%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31373V5Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6054 | PA      | $6041.56      | 0.00%             | 2025-02-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31298BP21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84133 | PA      | $85241.68     | 0.03%             | 2030-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                          | Chase Mortgage Finance Corp., Series 2016-SH1, Class M3                        | CUSIP: 16163YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    960949 | PA      | $806173.23    | 0.24%             | 2045-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128FBZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       501 | PA      | $500.31       | 0.00%             | 2024-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403G3D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78196 | PA      | $78594.86     | 0.02%             | 2033-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae ACES                                       | Fannie Mae ACES                                                                | CUSIP: 3136B4KB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   5000000 | PA      | $4651391.50   | 1.38%             | 2029-02-25      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31287SAH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1745 | PA      | $1748.37      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 91282CCC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2824101.57   | 0.84%             | 2024-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31416SNY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122993 | PA      | $129673.00    | 0.04%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust, Series 2021-D, Class A1A                     | CUSIP: 78449MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2033640 | PA      | $1783180.17   | 0.53%             | 2053-03-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31378QWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3495 | PA      | $3489.32      | 0.00%             | 2026-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36206MYZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10197 | PA      | $10184.76     | 0.00%             | 2025-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36203DFQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        80 | PA      | $80.48        | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31416BWZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25598 | PA      | $26542.43     | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36204DMQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1058 | PA      | $1058.34      | 0.00%             | 2024-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36291SDF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54316 | PA      | $55897.99     | 0.02%             | 2027-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities              | Fannie Mae Connecticut Avenue Securities, Series 2022-R03, Class 1M1           | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2059874 | PA      | $2046594.82   | 0.61%             | 2042-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31390RXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1358 | PA      | $1392.78      | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 3137BKJ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    523474 | PA      | $518192.00    | 0.15%             | 2044-09-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31297F4L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12409 | PA      | $12381.73     | 0.00%             | 2034-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371J7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       510 | PA      | $528.69       | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 3617LELS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1922881 | PA      | $1716662.35   | 0.51%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31413FJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2713 | PA      | $2717.30      | 0.00%             | 2037-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 3617MKLS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2588338 | PA      | $2408752.96   | 0.71%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36210BR80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20554 | PA      | $20545.74     | 0.01%             | 2029-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36210EJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1299 | PA      | $1300.53      | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38378CE94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    248946 | PA      | $245288.50    | 0.07%             | 2041-07-20      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association, Series 2019-29, Class PE             | CUSIP: 38381TJF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   1629654 | PA      | $1513238.50   | 0.45%             | 2048-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36205WA22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8863 | PA      | $8858.88      | 0.00%             | 2024-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust           | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 12A1        | CUSIP: 07384M3Y6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204395 | PA      | $189915.92    | 0.06%             | 2035-01-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| INVESCO PRIVATE PRIME FUND                            | INVESCO PRIVATE PRIME FUND                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | PF                | US        |   1372635 | NS      | $1373047.11   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403DJA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37991 | PA      | $38472.89     | 0.01%             | 2034-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31386L4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37824 | PA      | $38507.99     | 0.01%             | 2030-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 912828G38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3200000 | PA      | $3074124.99   | 0.91%             | 2024-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36212CSW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26567 | PA      | $26553.38     | 0.01%             | 2031-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31283HTS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3501 | PA      | $3628.56      | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31384VMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1268 | PA      | $1282.40      | 0.00%             | 2025-01-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213Y4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4516 | PA      | $4512.76      | 0.00%             | 2031-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31409X4U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45295 | PA      | $45520.61     | 0.01%             | 2036-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31298WZ32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22533 | PA      | $22518.23     | 0.01%             | 2028-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36205WCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4013 | PA      | $4011.59      | 0.00%             | 2024-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31384WNM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1328 | PA      | $1379.21      | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31400DMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9470 | PA      | $9516.91      | 0.00%             | 2026-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31388SLU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       362 | PA      | $371.36       | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs, Series 2021-11, Class MI, IO                                | CUSIP: 3136BFCF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   2648197 | PA      | $360214.39    | 0.11%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36290VQB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21860 | PA      | $22439.64     | 0.01%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31405G2U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29232 | PA      | $29542.33     | 0.01%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3132GGGS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322748 | PA      | $315411.13    | 0.09%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association, Series 2020-137, Class A             | CUSIP: 38380P4N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   3171216 | PA      | $2569023.56   | 0.76%             | 2062-04-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust             | Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class XA          | CUSIP: 06054AAY5<br>LEI: 5493005NJP8BSE187672 | Long             | ABS-MBS          | CORP              | US        |  13031395 | PA      | $214337.77    | 0.06%             | 2048-09-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213NEZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       539 | PA      | $555.08       | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371GGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1937 | PA      | $1977.33      | 0.00%             | 2028-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31390KTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24976 | PA      | $25604.54     | 0.01%             | 2032-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36209FBP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       561 | PA      | $577.45       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 3136AUPW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   1750362 | PA      | $1698672.14   | 0.50%             | 2056-12-25      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140K9ND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2433630 | PA      | $2162742.83   | 0.64%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 91282CBG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3557000 | PA      | $3546293.82   | 1.05%             | 2023-01-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 912828ZV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1625464.84   | 0.48%             | 2027-06-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36205EUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       220 | PA      | $219.48       | 0.00%             | 2024-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31418NA67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4249 | PA      | $4230.45      | 0.00%             | 2023-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38376CJ26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    432393 | PA      | $433605.67    | 0.13%             | 2039-09-16      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 9128283F5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2900000 | PA      | $2672984.38   | 0.79%             | 2027-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 3137AMK30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   1738345 | PA      | $1703655.51   | 0.51%             | 2042-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association, ARM                                     | CUSIP: 3138EMFR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145808 | PA      | $143110.29    | 0.04%             | 2042-02-01      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       205 | PA      | $205.49       | 0.00%             | 2027-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3138X3XR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2438501 | PA      | $2355885.72   | 0.70%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31408XQE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57723 | PA      | $59211.58     | 0.02%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31409X6A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68624 | PA      | $68796.68     | 0.02%             | 2036-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31387VQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1928 | PA      | $1925.04      | 0.00%             | 2027-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36290UXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71686 | PA      | $73773.54     | 0.02%             | 2034-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36205WAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11255 | PA      | $11250.00     | 0.00%             | 2024-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36208VUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       403 | PA      | $406.57       | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201ASW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       350 | PA      | $359.45       | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202SA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3854 | PA      | $3958.98      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213Y3T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14685 | PA      | $14692.57     | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31406EPY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34239 | PA      | $35179.70     | 0.01%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371MVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47125 | PA      | $48339.96     | 0.01%             | 2026-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213EYN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1188 | PA      | $1223.04      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38382DCA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   2920641 | PA      | $2570532.13   | 0.76%             | 2049-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31335GGF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       359 | PA      | $360.94       | 0.00%             | 2024-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp., ARM                                          | CUSIP: 31300LV85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    925389 | PA      | $938645.25    | 0.28%             | 2035-09-01      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31387VJZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7680 | PA      | $7710.54      | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200K7J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3225 | PA      | $3405.22      | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust                         | SG Residential Mortgage Trust, Series 2021-2, Class A1                         | CUSIP: 78432YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3464977 | PA      | $2799175.72   | 0.83%             | 2061-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs, Series 331, Class AF                                       | CUSIP: 31397HZX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    728771 | PA      | $713419.59    | 0.21%             | 2037-06-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128M66Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30941 | PA      | $31662.26     | 0.01%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31413URS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50159 | PA      | $50359.37     | 0.01%             | 2037-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31397QXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |         5 | PA      | $5.40         | 0.00%             | 2026-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31409XBQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177233 | PA      | $180570.63    | 0.05%             | 2036-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128K84V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308940 | PA      | $322890.65    | 0.10%             | 2035-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3133G6XH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2049590 | PA      | $1890489.17   | 0.56%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200Q6R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17012 | PA      | $17904.28     | 0.01%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BBD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       830 | PA      | $857.63       | 0.00%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36290UZB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58459 | PA      | $60161.49     | 0.02%             | 2030-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    441315 | PA      | $451435.45    | 0.13%             | 2034-08-20      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association, Series 2019-52, Class JL             | CUSIP: 38381VCJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   2046287 | PA      | $1902349.75   | 0.56%             | 2048-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201MM25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41866 | PA      | $43180.89     | 0.01%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200KKW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1204 | PA      | $1267.85      | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36205WBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5081 | PA      | $5087.83      | 0.00%             | 2024-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31298W4P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5284 | PA      | $5277.35      | 0.00%             | 2026-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                    | Uniform Mortgage-Backed Securities, TBA                                        | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14300000 | PA      | $14339741.13  | 4.25%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403C7D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421926 | PA      | $435852.35    | 0.13%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 3136AKWD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    738754 | PA      | $717801.36    | 0.21%             | 2044-08-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31287QAK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66796 | PA      | $68640.78     | 0.02%             | 2032-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202SEZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23691 | PA      | $24319.12     | 0.01%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 3137A8QF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |         1 | PA      | $1.08         | 0.00%             | 2026-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36290U3K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29123 | PA      | $29151.48     | 0.01%             | 2026-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1786816.41   | 0.53%             | 2028-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers VII Ltd.                  | Textainer Marine Containers VII Ltd., Series 2021-2A, Class B                  | CUSIP: 88315LAR9<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |   3466667 | PA      | $2887501.42   | 0.86%             | 2046-04-20      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36206UEB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1373 | PA      | $1374.38      | 0.00%             | 2025-11-20      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities              | Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M2           | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    797064 | PA      | $801674.63    | 0.24%             | 2025-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31404JAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122617 | PA      | $121126.68    | 0.04%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225AUK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3225 | PA      | $3229.61      | 0.00%             | 2024-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31418ND31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26495 | PA      | $26468.91     | 0.01%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31335PKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50962 | PA      | $52265.33     | 0.02%             | 2032-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36290UZA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51784 | PA      | $52031.56     | 0.02%             | 2025-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31416TL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223794 | PA      | $221213.95    | 0.07%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3135G06G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   4000000 | PA      | $3598010.32   | 1.07%             | 2025-11-07      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31412PXH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567727 | PA      | $562827.65    | 0.17%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36212TBV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2101 | PA      | $2166.96      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200XFC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       422 | PA      | $434.74       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36290UZQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57654 | PA      | $57944.40     | 0.02%             | 2025-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3133KQDB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5968289 | PA      | $6033563.38   | 1.79%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 313637V80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3835794.84   | 1.14%             | 2028-10-01      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202DLW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6650 | PA      | $6936.70      | 0.00%             | 2031-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128M7SU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21389 | PA      | $22363.53     | 0.01%             | 2035-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 3136A35Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    319598 | PA      | $318653.37    | 0.09%             | 2041-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31402RJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57140 | PA      | $58664.93     | 0.02%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs. | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K093, Class A1   | CUSIP: 3137FMCQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   1787784 | PA      | $1694419.48   | 0.50%             | 2028-12-25      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31406EPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94072 | PA      | $96761.85     | 0.03%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31386XQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94375 | PA      | $99881.42     | 0.03%             | 2031-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36291JSP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67940 | PA      | $69937.50     | 0.02%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31385PXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41594 | PA      | $42779.71     | 0.01%             | 2030-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31298JNR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16386 | PA      | $16364.46     | 0.00%             | 2030-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31307TDP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2019681 | PA      | $1926404.52   | 0.57%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201J2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2517 | PA      | $2583.80      | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31388KH70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15198 | PA      | $15197.50     | 0.00%             | 2031-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31376KAR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        73 | PA      | $74.70        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31292HQY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       690 | PA      | $724.62       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7500000 | PA      | $7064355.45   | 2.10%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36241LKW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1840860 | PA      | $1918818.09   | 0.57%             | 2033-12-20      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                              | COLT Mortgage Loan Trust, Series 2020-2, Class A1                              | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146646 | PA      | $143693.35    | 0.04%             | 2065-03-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36210Q5T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1221 | PA      | $1256.37      | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128LXUG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48796 | PA      | $49938.77     | 0.01%             | 2035-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36224ES53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       114 | PA      | $113.63       | 0.00%             | 2023-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Bonds                                   | U.S. Treasury Bonds                                                            | CUSIP: 912810FP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3200000 | PA      | $3514437.50   | 1.04%             | 2031-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31388Q5P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2524 | PA      | $2520.80      | 0.00%             | 2032-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 31397FLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    498133 | PA      | $486646.45    | 0.14%             | 2037-03-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3135G05Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   6000000 | PA      | $5169786.84   | 1.53%             | 2027-10-08      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201PKP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15156 | PA      | $15596.96     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31389SRN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25212 | PA      | $25509.09     | 0.01%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp., ARM                                          | CUSIP: 31300MP56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333405 | PA      | $336302.97    | 0.10%             | 2043-06-01      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31418MJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37772 | PA      | $39936.00     | 0.01%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38375A4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |     18440 | PA      | $18433.01     | 0.01%             | 2025-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200ACF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1890 | PA      | $1995.14      | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31297FQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45431 | PA      | $46741.34     | 0.01%             | 2034-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201Q3C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       379 | PA      | $389.92       | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31418MJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31474 | PA      | $33697.67     | 0.01%             | 2032-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 3136AA2X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    929550 | PA      | $872733.48    | 0.26%             | 2028-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 91282CAZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $8051484.42   | 2.39%             | 2025-11-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Israel Government AID Bond                            | Israel Government AID Bond                                                     | CUSIP: 46513EKL5<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   3800000 | PA      | $3820956.77   | 1.13%             | 2024-11-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association, TBA                                  | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3800000 | PA      | $3686855.15   | 1.09%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371JFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       347 | PA      | $363.08       | 0.00%             | 2030-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 912828T91<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    625000 | PA      | $609521.53    | 0.18%             | 2023-10-31      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36205WAJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14045 | PA      | $14065.71     | 0.00%             | 2024-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200RG89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       244 | PA      | $250.69       | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                   | U.S. Treasury Long Bond Future                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -50 | NC      | $59134.45     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36207JYX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15048 | PA      | $15069.05     | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201M3D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        93 | PA      | $95.55        | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 31396FWG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    619658 | PA      | $612560.02    | 0.18%             | 2035-12-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140QACL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1071531 | PA      | $1024030.73   | 0.30%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                    | Uniform Mortgage-Backed Securities, TBA                                        | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13900000 | PA      | $13698921.35  | 4.06%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202TCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20602 | PA      | $21201.87     | 0.01%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FRESB Mortgage Trust                                  | FRESB Mortgage Trust, Series 2019-SB63, Class A5H                              | CUSIP: 30298BAE3<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   2915474 | PA      | $2820723.52   | 0.84%             | 2039-02-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31283HRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10388 | PA      | $10847.86     | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31398NHW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    678965 | PA      | $653026.35    | 0.19%             | 2040-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140Q7A72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1818807 | PA      | $1732785.82   | 0.51%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128LXJ35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40475 | PA      | $41188.31     | 0.01%             | 2035-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $932539.06    | 0.28%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 912828R28<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $3962875.80   | 1.18%             | 2023-04-30      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $2364171.89   | 0.70%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BMZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9985 | PA      | $10275.63     | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 91282CBC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $6256796.84   | 1.86%             | 2025-12-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                   | U.S. Treasury 10 Year Ultra Future                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        68 | NC      | $-48484.40    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201SYW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       528 | PA      | $542.85       | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31386Q2B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99372 | PA      | $105545.51    | 0.03%             | 2030-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31389PGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19494 | PA      | $19444.73     | 0.01%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp., ARM                                          | CUSIP: 3128NHRN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435672 | PA      | $440237.89    | 0.13%             | 2036-10-01      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BWT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         6 | PA      | $6.69         | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31391ANB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59300 | PA      | $59927.09     | 0.02%             | 2031-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 31283GRY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       533 | PA      | $539.41       | 0.00%             | 2025-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36204KHY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        33 | PA      | $32.59        | 0.00%             | 2024-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31407SAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42249 | PA      | $42235.77     | 0.01%             | 2035-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31418MJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28499 | PA      | $30338.73     | 0.01%             | 2033-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48637 | PA      | $50676.84     | 0.02%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201Q5D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       179 | PA      | $184.09       | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3132DMJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3358983 | PA      | $2973981.22   | 0.88%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31391ANA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1007 | PA      | $1034.21      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213J7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98494 | PA      | $100820.51    | 0.03%             | 2031-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36212CRF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36963 | PA      | $37063.97     | 0.01%             | 2031-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140JGLN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1294444 | PA      | $1235457.06   | 0.37%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213RHL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       741 | PA      | $763.17       | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38379C2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    956459 | PA      | $937768.99    | 0.28%             | 2041-09-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31385NHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1818 | PA      | $1842.74      | 0.00%             | 2026-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202TEV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1801 | PA      | $1802.17      | 0.00%             | 2024-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36210QSB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1746 | PA      | $1796.39      | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36241KKE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    396037 | PA      | $414813.32    | 0.12%             | 2035-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: N/A<br>LEI: 549300M8ZYFG0OCMTT87       | Long             | DBT              | USGA              | US        |   3840000 | PA      | $3634214.17   | 1.08%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128MJA34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29542 | PA      | $29775.72     | 0.01%             | 2034-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 3137AAV34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    517674 | PA      | $515199.98    | 0.15%             | 2040-03-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 3136ARAZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   1369455 | PA      | $1372010.94   | 0.41%             | 2056-02-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31385HUT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       256 | PA      | $264.20       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3133ADEA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4433850 | PA      | $3814103.39   | 1.13%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31386GYD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5873 | PA      | $5884.11      | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp., ARM                                          | CUSIP: 31300LWG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    920354 | PA      | $930407.86    | 0.28%             | 2036-07-01      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36207V3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10745 | PA      | $10872.51     | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36205WBJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18225 | PA      | $18253.20     | 0.01%             | 2024-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers VII Ltd.                  | Textainer Marine Containers VII Ltd., Series 2020-3A, Class A                  | CUSIP: 88315LAJ7<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |   1984944 | PA      | $1719948.22   | 0.51%             | 2045-09-20      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3133G6VJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1556426 | PA      | $1435825.25   | 0.43%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128M7P42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567687 | PA      | $588121.31    | 0.17%             | 2033-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31376UVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       407 | PA      | $406.31       | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                   | U.S. Treasury 5 Year Notes Future                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       273 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36205Q7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12059 | PA      | $12079.81     | 0.00%             | 2025-08-20      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3128F7N67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        36 | PA      | $36.18        | 0.00%             | 2026-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31409X5C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22233 | PA      | $22258.06     | 0.01%             | 2036-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                             | MFA Trust, Series 2021-INV2, Class A1                                          | CUSIP: 552732AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4481059 | PA      | $3679339.95   | 1.09%             | 2056-11-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371NCK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12 | PA      | $12.66        | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31417SCQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37098 | PA      | $37028.98     | 0.01%             | 2024-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp., ARM                                          | CUSIP: 3128LU4Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17624 | PA      | $17550.62     | 0.01%             | 2038-01-01      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371KLV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       511 | PA      | $533.88       | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31395DRG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    927582 | PA      | $908113.72    | 0.27%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36292ASE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79824 | PA      | $80984.72     | 0.02%             | 2036-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38377YX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   1710517 | PA      | $1762163.24   | 0.52%             | 2039-01-20      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 312938Z48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395986 | PA      | $392137.12    | 0.12%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36179MQH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    466970 | PA      | $426350.57    | 0.13%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac, Series 2021-DNA3, Class M2                                        | CUSIP: 35564KEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1240000 | PA      | $1216897.56   | 0.36%             | 2033-10-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200KK48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1142 | PA      | $1175.65      | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** AIM Variable Insurance Funds (Invesco Variable Insurance Funds)

**Signature:** Sheri Morris

**Name of Signer:** Sheri Morris

**Title:** President