# EDGAR Filing Document

**Accession Number:** 0000896435
**File Stem:** 0000896435-26-000174
**Filing Date:** 2026-2
**Character Count:** 173032
**Document Hash:** 37bbe71b35ff4f055b22a085dbf51263
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000896435-26-000174.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0000896435-26-000174

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AIM VARIABLE INSURANCE FUNDS (INVESCO VARIABLE INSURANCE FUNDS)
- **CENTRAL INDEX KEY:** 0000896435

**ORGANIZATION NAME:**
- **EIN:** 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:** 26698647

**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:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**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:** $385911067.90

**Total Liabilities:** $61717444.20

**Net Assets:** $324193623.70

**Delayed Delivery Securities:** $61235279.20

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2549.95608162 | **1-Year:** -15216.52328889 | **5-Year:** -29856.82752640 | **10-Year:** -36006.52211955 | **30-Year:** -8540.53283257

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

- **3-Month:** -28.32470030 | **1-Year:** -325.16181839 | **5-Year:** -804.95193538 | **10-Year:** -1262.80442588 | **30-Year:** -106.58157455

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000405 | 0.40%                | 0.76%                | -0.09%               |
| Class ID C000000404 | 0.47%                | 0.66%                | 0.09%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-78398.45               | $884732.50                                 |
| Month 2  | $27830.71                | $732884.69                                 |
| Month 3  | $-115673.13              | $-68404.61                                 |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38377YX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    966478 | PA      | $1004819.11   | 0.31%             | 2039-01-20      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213CPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       558 | PA      | $566.29       | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | 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        |     85891 | PA      | $89954.51     | 0.03%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association, ARM                                     | CUSIP: 31418MKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9587 | PA      | $9883.08      | 0.00%             | 2038-03-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31391ANB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23234 | PA      | $24410.84     | 0.01%             | 2031-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202DJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1616 | PA      | $1682.39      | 0.00%             | 2030-08-20      | Fixed         | 7.50%                 | 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        |    156384 | PA      | $159110.12    | 0.05%             | 2030-10-20      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31413FJF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43024 | PA      | $45681.40     | 0.01%             | 2037-07-01      | Fixed         | 8.00%                 | 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        |      4976 | PA      | $5234.29      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31387VQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       163 | PA      | $162.35       | 0.00%             | 2027-10-01      | Fixed         | 8.00%                 | 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      | $4858751.50   | 1.50%             | 2029-04-25      | Fixed         | 3.02%                 | 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        |     19710 | PA      | $20725.03     | 0.01%             | 2028-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BMZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4327 | PA      | $4467.79      | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | 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        |        23 | PA      | $23.69        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36207V3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2688 | PA      | $2718.56      | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38377FZZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    655312 | PA      | $656310.04    | 0.20%             | 2040-05-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association, TBA                                  | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7500000 | PA      | $7306640.63   | 2.25%             | 2056-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31390RXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1025 | PA      | $1064.12      | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36290UXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58522 | PA      | $62646.74     | 0.02%             | 2034-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38378CE94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    190984 | PA      | $192830.13    | 0.06%             | 2041-07-20      | Variable      | 4.53%                 | 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        |     15190 | PA      | $15415.40     | 0.00%             | 2035-02-01      | Fixed         | 8.00%                 | 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       |       415 | NC      | $35660.90     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3138ERQT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615258 | PA      | $603432.96    | 0.19%             | 2031-12-01      | 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        |     14858 | PA      | $15750.74     | 0.00%             | 2032-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole Corporate and Investment Bank         | Credit Agricole Corporate and Investment Bank                                  | CUSIP: 22532XF52<br>LEI: 254900BN8XS34XZDJ223 | Long             | DBT              | CORP              | FR        |   6000000 | PA      | $6002991.00   | 1.85%             | 2026-08-28      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36209BR75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       143 | PA      | $147.24       | 0.00%             | 2028-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36212TBV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1295 | PA      | $1339.24      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | 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        |    189352 | PA      | $200488.36    | 0.06%             | 2035-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36209FBP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       269 | PA      | $277.25       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs, IO                                                          | CUSIP: 3136BFCF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   2262950 | PA      | $316993.07    | 0.10%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31409X4U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34489 | PA      | $36285.61     | 0.01%             | 2036-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 3136AUPW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   1021396 | PA      | $1002404.52   | 0.31%             | 2056-12-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3700000 | PA      | $3644789.04   | 1.12%             | 2027-05-15      | Fixed         | 2.38%                 | 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        |      1657 | PA      | $1715.23      | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36210QSB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       519 | PA      | $538.68       | 0.00%             | 2029-02-15      | 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        |       604 | PA      | $634.74       | 0.00%             | 2028-01-01      | Fixed         | 7.00%                 | 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        |      6929 | PA      | $7267.57      | 0.00%             | 2035-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31388KH70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6966 | PA      | $7057.79      | 0.00%             | 2031-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200Q6R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7791 | PA      | $8108.03      | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140X7FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3127087 | PA      | $2971381.44   | 0.92%             | 2035-07-01      | Fixed         | 2.50%                 | 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        |      9921 | PA      | $10014.59     | 0.00%             | 2030-11-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association, ARM                                     | CUSIP: 3138EMFR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89515 | PA      | $92909.95     | 0.03%             | 2042-02-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association, ARM                                     | CUSIP: 3138X3HM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66534 | PA      | $68699.69     | 0.02%             | 2043-08-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403G3D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63030 | PA      | $63486.41     | 0.02%             | 2033-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201MM25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21935 | PA      | $22762.89     | 0.01%             | 2032-09-15      | Fixed         | 6.50%                 | 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        |   1252256 | PA      | $1127842.34   | 0.35%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36292ASN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23683 | PA      | $24027.82     | 0.01%             | 2037-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36291SGB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20628 | PA      | $20759.72     | 0.01%             | 2029-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31409AGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37214 | PA      | $38341.65     | 0.01%             | 2029-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200ACF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1166 | PA      | $1216.02      | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200AGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2056 | PA      | $2157.21      | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31409X6A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25104 | PA      | $25446.91     | 0.01%             | 2036-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Mizuho Bank Ltd.                                      | Mizuho Bank Ltd.                                                               | CUSIP: 60710TE98<br>LEI: RB0PEZSDGCO3JS6CEU02 | Long             | DBT              | CORP              | JP        |   9000000 | PA      | $9002731.50   | 2.78%             | 2026-02-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36241LKW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    942083 | PA      | $980025.63    | 0.30%             | 2033-12-20      | Fixed         | 6.10%                 | 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        |     19050 | PA      | $19911.17     | 0.01%             | 2036-10-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3138X3XR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1738840 | PA      | $1699911.08   | 0.52%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200K7J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1949 | PA      | $2008.58      | 0.00%             | 2033-02-15      | 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        |    841171 | PA      | $787222.27    | 0.24%             | 2045-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association, TBA                                  | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12050000 | PA      | $12024343.14  | 3.71%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371JBE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        69 | PA      | $70.82        | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 31397FLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    307928 | PA      | $304943.64    | 0.09%             | 2037-03-15      | Floating      | 4.47%                 | 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        |       687 | PA      | $709.51       | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36241KKE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145105 | PA      | $151469.25    | 0.05%             | 2035-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31416BWZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21692 | PA      | $22888.71     | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31406EPY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21055 | PA      | $21852.86     | 0.01%             | 2034-12-01      | Fixed         | 6.50%                 | 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        |     19361 | PA      | $19902.12     | 0.01%             | 2037-01-01      | Fixed         | 5.00%                 | 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       |        99 | NC      | $-33506.28    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213RHL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       518 | PA      | $529.75       | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3138LRKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142786 | PA      | $141665.63    | 0.04%             | 2027-05-01      | Fixed         | 3.50%                 | 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        |   3264587 | PA      | $2824526.71   | 0.87%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                      | Bank of Montreal                                                               | CUSIP: 06367DPS8<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   8000000 | PA      | $8003062.40   | 2.47%             | 2026-03-19      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31406EPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38788 | PA      | $40258.53     | 0.01%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36241KG93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95856 | PA      | $100470.32    | 0.03%             | 2030-12-15      | Fixed         | 8.00%                 | 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        |     96004 | PA      | $99525.79     | 0.03%             | 2037-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31390UFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       682 | PA      | $716.55       | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31396PZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    339070 | PA      | $336627.13    | 0.10%             | 2037-03-25      | Floating      | 4.44%                 | 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        |     30666 | PA      | $31870.98     | 0.01%             | 2034-10-01      | 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        |    143798 | PA      | $145119.24    | 0.04%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38381VCJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   1426064 | PA      | $1315465.85   | 0.41%             | 2048-11-20      | Fixed         | 3.00%                 | 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        |    356615 | PA      | $359491.16    | 0.11%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 3136ARAZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    826197 | PA      | $820707.98    | 0.25%             | 2056-02-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| BNP Paribas S.A.                                      | BNP Paribas S.A.                                                               | CUSIP: 05593DEJ8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   9000000 | PA      | $9001701.00   | 2.78%             | 2026-02-06      | Floating      | 4.04%                 | 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        |   2961539 | PA      | $2246730.42   | 0.69%             | 2062-04-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403C7D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281061 | PA      | $288461.62    | 0.09%             | 2035-05-01      | Fixed         | 5.50%                 | 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        |    239685 | PA      | $246892.13    | 0.08%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202SF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17495 | PA      | $17844.62     | 0.01%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371NCK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8 | PA      | $8.30         | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association, ARM                                     | CUSIP: 31410KWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27764 | PA      | $28934.73     | 0.01%             | 2035-05-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31386XQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54578 | PA      | $56708.15     | 0.02%             | 2031-03-01      | 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        |       395 | PA      | $402.86       | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Trust, Series 2025-HE2, Class A1                 | CUSIP: 362934AA9<br>LEI: 254900J0PZAB9KZBPX66 | Long             | ABS-MBS          | CORP              | US        |   3318081 | PA      | $3335067.94   | 1.03%             | 2065-12-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BBD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       154 | PA      | $157.26       | 0.00%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association, TBA                                  | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12000000 | PA      | $9941202.24   | 3.07%             | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3133C56G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2843840 | PA      | $2925901.82   | 0.90%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371KK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5544 | PA      | $5825.65      | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213UV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       791 | PA      | $817.29       | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31388SLU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       145 | PA      | $150.72       | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38380GJC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   1388706 | PA      | $1352647.88   | 0.42%             | 2047-08-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36292ASP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60867 | PA      | $62038.99     | 0.02%             | 2037-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Corp Trust 2025-NQM6    | GS Mortgage-Backed Securities Corp Trust 2025-NQM6, Series 2025-NQM6, Class A1 | CUSIP: 362933AA1<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |   3287201 | PA      | $3287347.20   | 1.01%             | 2029-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae ACES                                       | Fannie Mae ACES, Series 2019-M5, Class A2                                      | CUSIP: 3136B4KB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   4551854 | PA      | $4473995.14   | 1.38%             | 2029-02-25      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $5066992.20   | 1.56%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association, TBA                                  | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7620000 | PA      | $6574035.98   | 2.03%             | 2056-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31388HCW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50731 | PA      | $53304.88     | 0.02%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213HF46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4444 | PA      | $4590.86      | 0.00%             | 2031-03-15      | 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        |   4656916 | PA      | $4801558.64   | 1.48%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                    | Freddie Mac STRIPS                                                             | CUSIP: 31351DDT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    426446 | PA      | $421504.93    | 0.13%             | 2037-10-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36290U3K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       213 | PA      | $212.95       | 0.00%             | 2026-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31409YBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47608 | PA      | $48644.41     | 0.02%             | 2036-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes/Bonds                             | U.S. Treasury Notes/Bonds                                                      | CUSIP: 91282CLL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9800000 | PA      | $9783156.25   | 3.02%             | 2027-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371M5N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13183 | PA      | $13950.14     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31395DRG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    526674 | PA      | $521054.30    | 0.16%             | 2036-05-25      | Floating      | 4.29%                 | 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        |       562 | PA      | $577.36       | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36291JSP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22376 | PA      | $22832.74     | 0.01%             | 2029-04-15      | 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        |      2951 | PA      | $3061.75      | 0.00%             | 2026-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36208ETC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14012 | PA      | $14069.75     | 0.00%             | 2027-10-20      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Trust, Series 2025-HE2, Class M1                 | CUSIP: 362934AB7<br>LEI: 254900J0PZAB9KZBPX66 | Long             | ABS-MBS          | CORP              | US        |    810000 | PA      | $813297.51    | 0.25%             | 2065-12-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31384VL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4485 | PA      | $4602.97      | 0.00%             | 2029-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 9128282A7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7450000 | PA      | $7356195.41   | 2.27%             | 2026-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213DG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        62 | PA      | $63.90        | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Bills                                   | U.S. Treasury Bills                                                            | CUSIP: 912797QN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3576000 | PA      | $3530498.28   | 1.09%             | 2026-05-14      | None          | 0.00%                 | 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        |     21468 | PA      | $22485.50     | 0.01%             | 2032-07-01      | 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        |        46 | PA      | $48.46        | 0.00%             | 2033-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association, ARM                                     | CUSIP: 31407UMP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254060 | PA      | $262895.37    | 0.08%             | 2034-10-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BWB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5689 | PA      | $5867.83      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 31396FWG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    345082 | PA      | $343725.07    | 0.11%             | 2035-12-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201J2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1789 | PA      | $1863.99      | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403DH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        70 | PA      | $69.39        | 0.00%             | 2034-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371M7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7132 | PA      | $7618.11      | 0.00%             | 2036-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213NEZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       384 | PA      | $407.33       | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140QCM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3376457 | PA      | $3208357.19   | 0.99%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3133BWWF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4350646 | PA      | $4457796.30   | 1.38%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31391BB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2010 | PA      | $2085.79      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | 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        |      5046 | PA      | $5298.31      | 0.00%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association, TBA                                  | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6985000 | PA      | $7053820.69   | 2.18%             | 2056-01-01      | Fixed         | 5.50%                 | 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        |     10071 | PA      | $10525.86     | 0.00%             | 2035-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31389R7K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6560 | PA      | $6806.06      | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213FF57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       154 | PA      | $157.54       | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36208QRR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1051 | PA      | $1063.32      | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | 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        |    267344 | PA      | $270076.16    | 0.08%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31418MJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12353 | PA      | $12971.18     | 0.00%             | 2033-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4500000 | PA      | $4259619.14   | 1.31%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                    | Ellington Financial Mortgage Trust, Series 2022-3, Class A1                    | CUSIP: 31573EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    751881 | PA      | $750029.87    | 0.23%             | 2067-08-25      | Variable      | 5.00%                 | 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        |      4475 | PA      | $4501.78      | 0.00%             | 2031-08-01      | Fixed         | 8.50%                 | 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        |      4382 | PA      | $4423.57      | 0.00%             | 2030-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                               | Standard Chartered Bank                                                        | CUSIP: 85325VRU6<br>LEI: RILFO74KP1CM8P6PCT96 | Long             | DBT              | CORP              | GB        |   9000000 | PA      | $9007056.00   | 2.78%             | 2026-07-24      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202DLW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2690 | PA      | $2796.58      | 0.00%             | 2031-02-20      | Fixed         | 7.50%                 | 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        |       707 | PA      | $734.36       | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31359QLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        45 | PA      | $45.28        | 0.00%             | 2027-09-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 3136A35Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     10497 | PA      | $10495.28     | 0.00%             | 2041-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36294SGU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16885 | PA      | $17553.07     | 0.01%             | 2036-12-15      | Fixed         | 7.00%                 | 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        |     36442 | PA      | $38316.49     | 0.01%             | 2030-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202SEZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17038 | PA      | $17225.70     | 0.01%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31379TDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1004 | PA      | $1041.86      | 0.00%             | 2028-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31409ASR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28736 | PA      | $30195.79     | 0.01%             | 2036-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 31396JKN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    172141 | PA      | $170819.69    | 0.05%             | 2036-03-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| BofA Securities Inc.                                  | BofA Securities Inc.                                                           | CUSIP: 06054CJW6<br>LEI: 549300HN4UKV1E2R3U73 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8002096.00   | 2.47%             | 2026-03-19      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31391WT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125555 | PA      | $130576.61    | 0.04%             | 2032-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201KDP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1762 | PA      | $1800.87      | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213KAA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36994 | PA      | $37915.78     | 0.01%             | 2031-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 3137BKJ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    250300 | PA      | $249323.27    | 0.08%             | 2044-09-15      | Floating      | 4.40%                 | 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        |   1084004 | PA      | $1072832.74   | 0.33%             | 2060-01-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201Q3C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       282 | PA      | $287.98       | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31388KLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       275 | PA      | $285.76       | 0.00%             | 2031-10-01      | 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        |    899936 | PA      | $852718.55    | 0.26%             | 2053-03-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31406PC72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66435 | PA      | $68969.41     | 0.02%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202DJ85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1682 | PA      | $1767.13      | 0.00%             | 2030-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140NDSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2874301 | PA      | $2901760.12   | 0.90%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1871611.32   | 0.58%             | 2028-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31418SK32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191704 | PA      | $197351.58    | 0.06%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 3137A06D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    566346 | PA      | $559778.30    | 0.17%             | 2036-11-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31384WNM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       613 | PA      | $639.88       | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140K9ND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1812419 | PA      | $1634211.68   | 0.50%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 912828ZB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9159000 | PA      | $8913388.50   | 2.75%             | 2027-02-28      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31402CKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22779 | PA      | $23167.04     | 0.01%             | 2033-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                              | Angel Oak Mortgage Trust, Series 2025-HB1, Class A1                            | CUSIP: 034936AA2<br>LEI: 254900ZFKOWCY24MSQ94 | Long             | ABS-MBS          | CORP              | US        |    492751 | PA      | $496228.89    | 0.15%             | 2055-02-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36290UZB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27307 | PA      | $28262.32     | 0.01%             | 2030-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36212DTT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82273 | PA      | $84257.17     | 0.03%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3142GQTE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1989875 | PA      | $2049200.41   | 0.63%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 3137AMK30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   1010309 | PA      | $1002740.76   | 0.31%             | 2042-02-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31409X5C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12546 | PA      | $12768.92     | 0.00%             | 2036-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36291SDF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6092 | PA      | $6123.81      | 0.00%             | 2027-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 3617LEKR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2687220 | PA      | $2417262.92   | 0.75%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200ABK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        57 | PA      | $60.90        | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31402RJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6858 | PA      | $6935.14      | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36290VQB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15591 | PA      | $15725.09     | 0.00%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 3136A5QP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     94305 | PA      | $94179.52     | 0.03%             | 2041-05-25      | Floating      | 4.49%                 | 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        |    230365 | PA      | $239393.15    | 0.07%             | 2033-12-01      | 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        |       618 | PA      | $628.30       | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31405MST5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1443 | PA      | $1497.90      | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371KWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3302 | PA      | $3514.20      | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 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        |   3187619 | PA      | $3096858.24   | 0.96%             | 2028-12-25      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7500000 | PA      | $7380761.70   | 2.28%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                            | Verus Securitization Trust, Series 2023-INV3, Class A3                         | CUSIP: 92540CAC1<br>LEI: 9845008F97BFO762AF95 | Long             | ABS-MBS          | CORP              | US        |   2834575 | PA      | $2880522.75   | 0.89%             | 2068-11-25      | Variable      | 7.73%                 | 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        |    156595 | PA      | $163581.61    | 0.05%             | 2043-06-01      | Floating      | 6.57%                 | 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        |    111913 | PA      | $114991.55    | 0.04%             | 2036-10-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200KK48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       802 | PA      | $844.13       | 0.00%             | 2033-01-15      | 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        |     12014 | PA      | $12733.85     | 0.00%             | 2036-11-01      | Fixed         | 8.00%                 | 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        |       427 | PA      | $448.95       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202SDX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       137 | PA      | $140.61       | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | 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        |        91 | PA      | $92.08        | 0.00%             | 2026-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403GKH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22185 | PA      | $23023.83     | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38381R6D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    252033 | PA      | $236758.34    | 0.07%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31390GZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34200 | PA      | $35935.08     | 0.01%             | 2032-06-01      | Fixed         | 7.00%                 | 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        |    278467 | PA      | $292880.24    | 0.09%             | 2033-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $2500367.19   | 0.77%             | 2029-05-15      | Fixed         | 2.38%                 | 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        |    579703 | PA      | $570175.05    | 0.18%             | 2048-01-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38382DCA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   2036246 | PA      | $1837922.45   | 0.57%             | 2049-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 3617LELS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1658088 | PA      | $1485423.54   | 0.46%             | 2049-11-20      | Fixed         | 3.00%                 | 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        |      1322 | PA      | $1390.20      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | 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        |    151388 | PA      | $146743.64    | 0.05%             | 2035-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                    | Canadian Imperial Bank of Commerce                                             | CUSIP: 13606DNE8<br>LEI: 549300H8L46OOZOFHU82 | Long             | DBT              | CORP              | CA        |   3000000 | PA      | $3002383.50   | 0.93%             | 2026-08-12      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202U6T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5861 | PA      | $5932.01      | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | 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        |    111637 | PA      | $117160.75    | 0.04%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201SYW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       402 | PA      | $407.45       | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                    | Uniform Mortgage-Backed Securities, TBA                                        | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6851000 | PA      | $6854479.01   | 2.11%             | 2041-01-01      | Fixed         | 4.50%                 | 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        |   2045309 | PA      | $1841902.34   | 0.57%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes/Bonds                             | U.S. Treasury Notes/Bonds                                                      | CUSIP: 91282CNV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9800000 | PA      | $9822585.96   | 3.03%             | 2027-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BMN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4012 | PA      | $4126.61      | 0.00%             | 2029-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | Bank, Series 2017-BNK5, Class AS                                               | CUSIP: 06541WBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1763349.12   | 0.54%             | 2060-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213Y3T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10026 | PA      | $10232.76     | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | 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        |   2468947 | PA      | $2353984.68   | 0.73%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31390KTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17109 | PA      | $17523.67     | 0.01%             | 2032-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31391WT43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165109 | PA      | $173364.83    | 0.05%             | 2032-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 3136AA2X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    170028 | PA      | $167600.43    | 0.05%             | 2028-01-25      | Fixed         | 1.50%                 | 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        |   1303536 | PA      | $1248711.66   | 0.39%             | 2045-09-20      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31406KEV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1718 | PA      | $1805.21      | 0.00%             | 2035-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201YUX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60932 | PA      | $61422.20     | 0.02%             | 2033-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 3136A4BW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    333038 | PA      | $331774.73    | 0.10%             | 2041-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202TCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9102 | PA      | $9329.02      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | 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        |     22699 | PA      | $23080.55     | 0.01%             | 2032-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36212SUR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       203 | PA      | $209.50       | 0.00%             | 2031-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31383HX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        44 | PA      | $45.69        | 0.00%             | 2029-07-01      | 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        |         9 | PA      | $9.45         | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31383XL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111438 | PA      | $114452.33    | 0.04%             | 2029-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 3617MKMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1913345 | PA      | $1743369.52   | 0.54%             | 2050-06-20      | Fixed         | 3.50%                 | 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        |     23286 | PA      | $23736.15     | 0.01%             | 2032-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31389SRN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8992 | PA      | $9446.04      | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $373460.94    | 0.12%             | 2029-08-15      | Fixed         | 1.62%                 | 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        |    116756 | PA      | $121158.33    | 0.04%             | 2038-07-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 31398KNS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    179758 | PA      | $181216.85    | 0.06%             | 2039-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31386GYD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1659 | PA      | $1664.74      | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FRESB Mortgage Trust                                  | FRESB Mortgage Trust, Series 2019-SB63, Class A5                               | CUSIP: 30298BAE3<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   2122615 | PA      | $2114313.86   | 0.65%             | 2039-02-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Trust, Series 2025-PJ4, Class A4                 | CUSIP: 36271WAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1278262 | PA      | $1295724.37   | 0.40%             | 2055-09-25      | Variable      | 6.00%                 | 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        |     13142 | PA      | $13819.64     | 0.00%             | 2034-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31407NHJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59848 | PA      | $61446.18     | 0.02%             | 2035-08-01      | 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        |        41 | PA      | $41.90        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31405G2U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17434 | PA      | $17704.20     | 0.01%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31407JAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125334 | PA      | $129620.56    | 0.04%             | 2036-08-01      | Fixed         | 7.50%                 | 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        |      1923 | PA      | $1931.39      | 0.00%             | 2027-05-20      | Fixed         | 7.05%                 | 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        |    451870 | PA      | $454412.20    | 0.14%             | 2041-08-01      | Fixed         | 4.50%                 | 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        |     34293 | PA      | $35283.65     | 0.01%             | 2032-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38376CJ26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    253775 | PA      | $254880.21    | 0.08%             | 2039-09-16      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 3137AAV34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    106414 | PA      | $106320.55    | 0.03%             | 2040-03-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 9128283F5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2900000 | PA      | $2836109.38   | 0.87%             | 2027-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200XFC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       262 | PA      | $265.51       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31406TQU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86185 | PA      | $90154.05     | 0.03%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 912828ZV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1818359.38   | 0.56%             | 2027-06-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403DUJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69228 | PA      | $73251.26     | 0.02%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140XMPT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2274954 | PA      | $2360115.61   | 0.73%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201MNR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4583 | PA      | $4676.01      | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202SZQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28147 | PA      | $28624.79     | 0.01%             | 2029-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213AMH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38493 | PA      | $39208.66     | 0.01%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140KEMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2107747 | PA      | $1973457.47   | 0.61%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403UVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94800 | PA      | $100976.08    | 0.03%             | 2034-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36207JYX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6331 | PA      | $6386.34      | 0.00%             | 2028-04-15      | 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        |       100 | PA      | $102.34       | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                    | Uniform Mortgage-Backed Securities, TBA                                        | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1440000 | PA      | $-1164369.27  | -0.36%            | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes                                   | U.S. Treasury Notes                                                            | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1974066.88   | 0.61%             | 2026-06-30      | Fixed         | 0.88%                 | 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        |   1158966 | PA      | $1106584.61   | 0.34%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213FLD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20147 | PA      | $20897.72     | 0.01%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36210Q5T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       677 | PA      | $691.49       | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | 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        |     72804 | PA      | $75232.84     | 0.02%             | 2034-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                    | Uniform Mortgage-Backed Securities, TBA                                        | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1705000 | PA      | $1508325.59   | 0.47%             | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36208VUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        76 | PA      | $76.50        | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31387VJZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5222 | PA      | $5318.73      | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association, ARM                                     | CUSIP: 3140F4PY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124277 | PA      | $128112.33    | 0.04%             | 2044-05-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38378HSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |      7637 | PA      | $7560.16      | 0.00%             | 2042-01-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                    | Freddie Mac REMICs                                                             | CUSIP: 31397HZX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    479850 | PA      | $475802.22    | 0.15%             | 2037-06-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225AWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         5 | PA      | $5.23         | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201ASW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       230 | PA      | $232.61       | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202DMC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3323 | PA      | $3464.85      | 0.00%             | 2031-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200QSM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       226 | PA      | $229.54       | 0.00%             | 2032-05-15      | 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        |       642 | PA      | $656.77       | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | 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        |   2506667 | PA      | $2354038.49   | 0.73%             | 2046-04-20      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31385PXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9860 | PA      | $10027.19     | 0.00%             | 2030-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3135G05Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   6000000 | PA      | $5721021.42   | 1.76%             | 2027-10-08      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31404KXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1332 | PA      | $1385.61      | 0.00%             | 2034-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202THG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20705 | PA      | $20972.12     | 0.01%             | 2027-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140XMBJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2503139 | PA      | $2608944.07   | 0.80%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31389PGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9008 | PA      | $9461.87      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | 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        |   1452335 | PA      | $1387133.24   | 0.43%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Industriel et Commercial                       | Credit Industriel et Commercial                                                | CUSIP: 22536WMV5<br>LEI: N4JDFKKH2FTD8RKFXO39 | Long             | DBT              | CORP              | FR        |   4000000 | PA      | $4001843.60   | 1.23%             | 2026-08-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31392BZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    130378 | PA      | $137594.49    | 0.04%             | 2032-03-25      | 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        |     39843 | PA      | $40982.27     | 0.01%             | 2035-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201KAR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       998 | PA      | $1024.68      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31412PXH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391759 | PA      | $394939.06    | 0.12%             | 2039-06-01      | 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        |     13790 | PA      | $14257.21     | 0.00%             | 2038-01-01      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Bonds                                   | U.S. Treasury Bonds                                                            | CUSIP: 912810FP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3200000 | PA      | $3441124.99   | 1.06%             | 2031-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                   | U.S. Treasury Ultra Bonds Future                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -8 | NC      | $11735.44     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Uniform Mortgage-Backed Securities                    | Uniform Mortgage-Backed Securities, TBA                                        | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3732000 | PA      | $3155580.96   | 0.97%             | 2056-01-01      | Fixed         | 2.50%                 | 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        |    612044 | PA      | $572063.86    | 0.18%             | 2045-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3138M47C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106186 | PA      | $105259.34    | 0.03%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31376UVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        87 | PA      | $87.77        | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | 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        |     23823 | PA      | $25271.16     | 0.01%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36179MQH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    362370 | PA      | $327779.12    | 0.10%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34506 | PA      | $35928.91     | 0.01%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31397NL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    666460 | PA      | $698601.56    | 0.22%             | 2039-06-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31388NEG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       182 | PA      | $193.54       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200AN70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       167 | PA      | $168.40       | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Invesco Government & Agency Portfolio                 | Invesco Government & Agency Portfolio, Institutional Class                     | CUSIP: 825252885<br>LEI: 5493007T1J7WZ5QI1A47 | Long             | STIV             | RF                | US        |  15949906 | NS      | $15949906.19  | 4.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38381TJF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   1136017 | PA      | $1056157.62   | 0.33%             | 2048-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213LLB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       409 | PA      | $423.91       | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31411EUN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12 | PA      | $12.24        | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31391ANA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       569 | PA      | $590.54       | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371KAE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1984 | PA      | $2025.16      | 0.00%             | 2031-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 3136AKWD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    412774 | PA      | $403672.61    | 0.12%             | 2044-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201MZ21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       270 | PA      | $279.84       | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213DG51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        62 | PA      | $64.18        | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                           | Toronto-Dominion Bank (The)                                                    | CUSIP: 89120FBN3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   4000000 | PA      | $4002558.00   | 1.23%             | 2026-04-10      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31412LQS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15324 | PA      | $15724.76     | 0.00%             | 2027-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31411HUP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        38 | PA      | $39.77        | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201FBE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1421 | PA      | $1486.47      | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | 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        |     21336 | PA      | $22166.92     | 0.01%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201M3D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        64 | PA      | $68.39        | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31404JAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88702 | PA      | $89154.73     | 0.03%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371KLV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       284 | PA      | $298.72       | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140Y7R83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2988951 | PA      | $3091712.41   | 0.95%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BMX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1348 | PA      | $1392.93      | 0.00%             | 2031-04-15      | 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        |    534986 | PA      | $553825.77    | 0.17%             | 2041-09-20      | Floating      | 5.28%                 | 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        |    549329 | PA      | $572033.43    | 0.18%             | 2036-07-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213Y4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3298 | PA      | $3355.53      | 0.00%             | 2031-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        66 | PA      | $66.53        | 0.00%             | 2027-07-01      | 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        |       113 | PA      | $118.97       | 0.00%             | 2032-06-01      | 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        |       273 | PA      | $283.45       | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Trust, Series 2025-HE1, Class A1                 | CUSIP: 36272NAA2<br>LEI: 254900RIVK2GCJ08H839 | Long             | ABS-MBS          | CORP              | US        |   1029507 | PA      | $1032716.17   | 0.32%             | 2055-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31385HUT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       121 | PA      | $126.66       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | 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        |    899962 | PA      | $853525.03    | 0.26%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36213J7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61775 | PA      | $63806.30     | 0.02%             | 2031-12-15      | 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        |    728854 | PA      | $757934.42    | 0.23%             | 2048-01-01      | Floating      | 6.53%                 | 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        |   2794578 | PA      | $2475297.80   | 0.76%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36292ASE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69676 | PA      | $71626.53     | 0.02%             | 2036-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                    | Uniform Mortgage-Backed Securities, TBA                                        | CUSIP: 01F050411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6811000 | PA      | $6898755.38   | 2.13%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 3617MKLS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1712862 | PA      | $1578731.01   | 0.49%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31413FJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1499 | PA      | $1500.95      | 0.00%             | 2037-07-01      | Fixed         | 7.50%                 | 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        |      9170 | PA      | $9420.71      | 0.00%             | 2035-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31418MJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17967 | PA      | $18835.91     | 0.01%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                  | CHNGE Mortgage Trust, Series 2023-3, Class A1                                  | CUSIP: 17030AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    980756 | PA      | $985489.06    | 0.30%             | 2058-07-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36225BWT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         4 | PA      | $4.25         | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371JFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       207 | PA      | $212.94       | 0.00%             | 2030-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31398NHW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    358296 | PA      | $354708.97    | 0.11%             | 2040-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31418MJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14224 | PA      | $14845.80     | 0.00%             | 2032-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371FMY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        65 | PA      | $64.70        | 0.00%             | 2026-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                     | Fannie Mae REMICs                                                              | CUSIP: 31394FN92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     21642 | PA      | $22315.05     | 0.01%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                      | Federal Home Loan Mortgage Corp.                                               | CUSIP: 3132DQMQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2275222 | PA      | $2330563.46   | 0.72%             | 2053-05-01      | Fixed         | 5.50%                 | 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        |      7645 | PA      | $7959.15      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31413YTV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       124 | PA      | $130.77       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | 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        |      5405 | PA      | $5683.69      | 0.00%             | 2030-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31386Q2B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58006 | PA      | $61173.01     | 0.02%             | 2030-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31403DJA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17508 | PA      | $17707.70     | 0.01%             | 2034-10-01      | Fixed         | 7.50%                 | 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        |    512954 | PA      | $531476.10    | 0.16%             | 2035-09-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140JGLN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    972334 | PA      | $939865.72    | 0.29%             | 2048-12-01      | Fixed         | 4.00%                 | 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       |       355 | NC      | $-103209.86   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31384VNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85701 | PA      | $89687.08     | 0.03%             | 2030-01-01      | Fixed         | 8.00%                 | 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        |   1034577 | PA      | $1012123.75   | 0.31%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31405S4M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14173 | PA      | $14888.07     | 0.00%             | 2032-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                  | Royal Bank of Canada                                                           | CUSIP: 78015JJL2<br>LEI: 549300HXQQQCCUBS2Z23 | Long             | DBT              | CORP              | CA        |   9000000 | PA      | $9005274.90   | 2.78%             | 2026-07-09      | Floating      | 4.04%                 | 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        |      7412 | PA      | $7830.97      | 0.00%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31416SNY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89993 | PA      | $95563.99     | 0.03%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31386L4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12091 | PA      | $12235.25     | 0.00%             | 2030-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                | UBS AG                                                                         | CUSIP: 90276JYK6<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | GB        |   9000000 | PA      | $9005087.79   | 2.78%             | 2026-05-15      | Floating      | 4.25%                 | 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        |       941 | PA      | $977.94       | 0.00%             | 2031-08-01      | 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        |       704 | PA      | $742.02       | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36200RHK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2037 | PA      | $2041.26      | 0.00%             | 2032-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31374F5L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       855 | PA      | $856.99       | 0.00%             | 2026-12-01      | Fixed         | 8.50%                 | 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        |      8546 | PA      | $8881.38      | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | 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        |    262809 | PA      | $263473.84    | 0.08%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202SA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2086 | PA      | $2109.32      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31371H6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        55 | PA      | $57.14        | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    214209 | PA      | $219215.29    | 0.07%             | 2034-08-20      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31389GSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19323 | PA      | $20301.97     | 0.01%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31406MEH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2015 | PA      | $2013.91      | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140Q7A72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    918911 | PA      | $897829.93    | 0.28%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140L3GC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3688670 | PA      | $2995100.00   | 0.92%             | 2051-03-01      | Fixed         | 2.00%                 | 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       |      -156 | NC      | $92353.56     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36202DLG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1520 | PA      | $1609.24      | 0.00%             | 2031-01-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes/Bonds                             | U.S. Treasury Notes/Bonds                                                      | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9790000 | PA      | $9756920.47   | 3.01%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36201PKP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11358 | PA      | $11550.10     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 31404LTJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2949 | PA      | $3065.84      | 0.00%             | 2034-02-01      | 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        |    726109 | PA      | $724228.40    | 0.22%             | 2041-08-01      | Fixed         | 4.50%                 | 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       |       834 | NC      | $-77110.39    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                 | Federal National Mortgage Association                                          | CUSIP: 3140QACL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    788174 | PA      | $761733.20    | 0.23%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                       | CUSIP: 36212CSW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18315 | PA      | $18788.21     | 0.01%             | 2031-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

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

**Signature:** Adrien Deberghes

**Name of Signer:** Adrien Deberghes

**Title:** Principal Financial Officer and Treasurer