# EDGAR Filing Document

**Accession Number:** 0000202032
**File Stem:** 0000202032-25-000073
**Filing Date:** 2025-11
**Character Count:** 348906
**Document Hash:** 23151912c64449bcc538b9e113af3657
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000202032-25-000073.hdr.sgml**: 20251128

**ACCESSION NUMBER**: 0000202032-25-000073

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251128

**DATE AS OF CHANGE**: 20251128

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AIM GROWTH SERIES (INVESCO GROWTH SERIES)
- **CENTRAL INDEX KEY:** 0000202032

**ORGANIZATION NAME:**
- **EIN:** 942362417
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02699
- **FILM NUMBER:** 251536013

**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 GROWTH SERIES
- **DATE OF NAME CHANGE:** 19980601

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** G T GLOBAL GROWTH SERIES
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** G T GLOBAL GROWTH FUNDS
- **DATE OF NAME CHANGE:** 19870617

## Series and Classes Contracts Data

### Invesco Quality Income Fund (Series ID: S000027862)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000084602 | CLASS A      | VKMGX           |
| C000084604 | CLASS C      | VUSCX           |
| C000084605 | CLASS Y      | VUSIX           |
| C000084606 | CLASS R5     | VUSJX           |
| C000188964 | Class R6     |  |
| C000217950 | Class R      |  |

## Nport-Ex

**Schedule of Investments** 

*September 30, 2025*

*(Unaudited)*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Principal**<br> **Amount** | &nbsp;&nbsp; **Principal**<br> **Amount** | **Value** |
| **U.S. Government Sponsored Agency Mortgage-Backed** <br> **Securities–108.92%** | **U.S. Government Sponsored Agency Mortgage-Backed** <br> **Securities–108.92%** | **U.S. Government Sponsored Agency Mortgage-Backed** <br> **Securities–108.92%** | **U.S. Government Sponsored Agency Mortgage-Backed** <br> **Securities–108.92%** |
| **Collateralized Mortgage Obligations–11.92%** | **Collateralized Mortgage Obligations–11.92%** | **Collateralized Mortgage Obligations–11.92%** | **Collateralized Mortgage Obligations–11.92%** |
| &nbsp;&nbsp;&nbsp; Fannie Mae Grantor Trust, <br> Series 1999-T2, Class A1, <br>7.50%, 01/19/2039<sup>(a)</sup> <br>|  | $75053 | &nbsp;&nbsp; $77695 |
| Fannie Mae Interest STRIPS, | Fannie Mae Interest STRIPS, |  |  |
| &nbsp;&nbsp;&nbsp; IO, <br>7.00%, 02/25/2028<sup>(b)</sup> <br>|  | 60676 | &nbsp;&nbsp; 2867 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/25/2029 to <br> 02/25/2033<sup>(b)</sup> <br>|  | 602469 | &nbsp;&nbsp; 66306 |
| &nbsp;&nbsp;&nbsp; 8.00%, 05/25/2030<sup>(b)</sup> <br>|  | 140420 | &nbsp;&nbsp; 16182 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/25/2032<sup>(b)</sup> <br>|  | 40460 | &nbsp;&nbsp; 5014 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/25/2033 to <br> 09/25/2035<sup>(b)(d)</sup> <br>|  | 843452 | &nbsp;&nbsp; 102955 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/25/2033 to <br> 06/25/2035<sup>(b)</sup> <br>|  | 410566 | &nbsp;&nbsp; 55269 |
| &nbsp;&nbsp;&nbsp; PO, <br>0.00%, 09/25/2032<sup>(c)</sup> <br>|  | 22733 | &nbsp;&nbsp; 20869 |
| Fannie Mae REMICs, | Fannie Mae REMICs, |  |  |
| &nbsp;&nbsp;&nbsp; IO, <br>2.50%, 12/25/2025 to <br> 08/25/2049<sup>(b)</sup> <br>|  | 18214450 | &nbsp;&nbsp; 2647166 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/25/2026 to <br> 02/25/2028<sup>(b)</sup> <br>|  | 444075 | &nbsp;&nbsp; 8007 |
| &nbsp;&nbsp;&nbsp; 8.00%, 08/18/2027 to <br> 09/18/2027<sup>(b)</sup> <br>|  | 31656 | &nbsp;&nbsp; 1268 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/25/2028 to <br> 05/25/2033<sup>(b)</sup> <br>|  | 13997 | &nbsp;&nbsp; 5421 |
| &nbsp;&nbsp;&nbsp; 0.75%, 10/25/2031<sup>(b)</sup> <br>|  | 1740 | &nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp; 2.23% (6.70% - (30 Day Average <br> SOFR + 0.11%)), 10/25/2031 to <br> 05/25/2035<sup>(b)(e)</sup> <br>|  | 340899 | &nbsp;&nbsp; 29079 |
| &nbsp;&nbsp;&nbsp; 3.43% (7.90% - (30 Day Average <br> SOFR + 0.11%)), <br> 11/25/2031<sup>(b)(e)</sup> <br>|  | 43160 | &nbsp;&nbsp; 4391 |
| &nbsp;&nbsp;&nbsp; 3.40% (7.90% - (30 Day Average <br> SOFR + 0.11%)), <br> 12/18/2031<sup>(b)(e)</sup> <br>|  | 24586 | &nbsp;&nbsp; 1317 |
| &nbsp;&nbsp;&nbsp; 3.48% (7.95% - (30 Day Average <br> SOFR + 0.11%)), <br> 01/25/2032<sup>(b)(e)</sup> <br>|  | 28761 | &nbsp;&nbsp; 2601 |
| &nbsp;&nbsp;&nbsp; 3.50% (8.00% - (30 Day Average <br> SOFR + 0.11%)), <br> 03/18/2032<sup>(b)(e)</sup> <br>|  | 66340 | &nbsp;&nbsp; 6739 |
| &nbsp;&nbsp;&nbsp; 3.63% (8.10% - (30 Day Average <br> SOFR + 0.11%)), 03/25/2032 to <br> 04/25/2032<sup>(b)(e)</sup> <br>|  | 92264 | &nbsp;&nbsp; 9227 |
| &nbsp;&nbsp;&nbsp; 2.53% (7.00% - (30 Day Average <br> SOFR + 0.11%)), 04/25/2032 to <br> 08/25/2032<sup>(b)(e)</sup> <br>|  | 146102 | &nbsp;&nbsp; 12447 |
| &nbsp;&nbsp;&nbsp; 3.33% (7.80% - (30 Day Average <br> SOFR + 0.11%)), <br> 04/25/2032<sup>(b)(e)</sup> <br>|  | 30327 | &nbsp;&nbsp; 3295 |
| &nbsp;&nbsp;&nbsp; 3.53% (8.00% - (30 Day Average <br> SOFR + 0.11%)), 07/25/2032 to <br> 09/25/2032<sup>(b)(e)</sup> <br>|  | 187244 | &nbsp;&nbsp; 18993 |
| &nbsp;&nbsp;&nbsp; 3.60% (8.10% - (30 Day Average <br> SOFR + 0.11%)), <br> 12/18/2032<sup>(b)(e)</sup> <br>|  | 113498 | &nbsp;&nbsp; 10091 |

---

---

| | | |
|:---|:---|:---|
|  | &nbsp;&nbsp; **Principal**<br> **Amount** | **Value** |
| **Collateralized Mortgage Obligations–(continued)** | **Collateralized Mortgage Obligations–(continued)** | **Collateralized Mortgage Obligations–(continued)** |
| &nbsp;&nbsp;&nbsp; 3.78% (8.25% - (30 Day Average <br> SOFR + 0.11%)), 02/25/2033 to <br> 05/25/2033<sup>(b)(e)</sup> <br>| $164129 | &nbsp;&nbsp; $24211 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/25/2033<sup>(b)</sup> <br>| 8341 | &nbsp;&nbsp; 1204 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/25/2033<sup>(b)</sup> <br>| 90242 | &nbsp;&nbsp; 10525 |
| &nbsp;&nbsp;&nbsp; 1.58% (6.05% - (30 Day Average <br> SOFR + 0.11%)), 03/25/2035 to <br> 07/25/2038<sup>(b)(e)</sup> <br>| 489387 | &nbsp;&nbsp; 42664 |
| &nbsp;&nbsp;&nbsp; 2.28% (6.75% - (30 Day Average <br> SOFR + 0.11%)), <br> 03/25/2035<sup>(b)(e)</sup> <br>| 24163 | &nbsp;&nbsp; 1246 |
| &nbsp;&nbsp;&nbsp; 2.13% (6.60% - (30 Day Average <br> SOFR + 0.11%)), <br> 05/25/2035<sup>(b)(e)</sup> <br>| 94919 | &nbsp;&nbsp; 4561 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/25/2035 to <br> 08/25/2042<sup>(b)</sup> <br>| 991359 | &nbsp;&nbsp; 106034 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/25/2041 to <br> 08/25/2047<sup>(b)</sup> <br>| 221358 | &nbsp;&nbsp; 40830 |
| &nbsp;&nbsp;&nbsp; 2.08% (6.55% - (30 Day Average <br> SOFR + 0.11%)), <br> 10/25/2041<sup>(b)(e)</sup> <br>| 83321 | &nbsp;&nbsp; 7159 |
| &nbsp;&nbsp;&nbsp; 1.68% (6.15% - (30 Day Average <br> SOFR + 0.11%)), <br> 12/25/2042<sup>(b)(e)</sup> <br>| 305153 | &nbsp;&nbsp; 37812 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/25/2043<sup>(b)</sup> <br>| 188129 | &nbsp;&nbsp; 22063 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/25/2046<sup>(b)</sup> <br>| 197021 | &nbsp;&nbsp; 25723 |
| &nbsp;&nbsp;&nbsp; 1.43% (5.90% - (30 Day Average <br> SOFR + 0.11%)), <br> 09/25/2047<sup>(b)(e)</sup> <br>| 1346365 | &nbsp;&nbsp; 139714 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/25/2051<sup>(b)</sup> <br>| 5660513 | &nbsp;&nbsp; 796678 |
| &nbsp;&nbsp;&nbsp; 1.55%, 02/25/2056<sup>(d)</sup> <br>| 3146513 | &nbsp;&nbsp; 199698 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/18/2027 to <br> 09/25/2032<br>| 58899 | &nbsp;&nbsp; 62113 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/25/2029 | 37709 | &nbsp;&nbsp; 38365 |
| &nbsp;&nbsp;&nbsp; 5.47% (30 Day Average SOFR + <br> 1.11%), 12/25/2031 to <br> 12/25/2032<sup>(e)</sup> <br>| 191769 | &nbsp;&nbsp; 193481 |
| &nbsp;&nbsp;&nbsp; 5.50% (30 Day Average SOFR + <br> 1.11%), 03/18/2032 to <br> 12/18/2032<sup>(e)</sup> <br>| 166856 | &nbsp;&nbsp; 168579 |
| &nbsp;&nbsp;&nbsp; 4.97% (30 Day Average SOFR + <br> 0.61%), 08/25/2032 to <br> 06/25/2046<sup>(e)</sup> <br>| 641090 | &nbsp;&nbsp; 636746 |
| &nbsp;&nbsp;&nbsp; 5.00% (30 Day Average SOFR + <br> 0.61%), 10/18/2032<sup>(e)</sup> <br>| 18562 | &nbsp;&nbsp; 18512 |
| &nbsp;&nbsp;&nbsp; 4.87% (30 Day Average SOFR + <br> 0.51%), 03/25/2033 to <br> 03/25/2042<sup>(e)</sup> <br>| 127469 | &nbsp;&nbsp; 126337 |
| &nbsp;&nbsp;&nbsp; 4.81% (30 Day Average SOFR + <br> 0.45%), 06/25/2035<sup>(e)</sup> <br>| 456006 | &nbsp;&nbsp; 452904 |
| &nbsp;&nbsp;&nbsp; 4.82% (30 Day Average SOFR + <br> 0.46%), 08/25/2035 to <br> 10/25/2035<sup>(e)</sup> <br>| 245630 | &nbsp;&nbsp; 244591 |
| &nbsp;&nbsp;&nbsp; 8.17% (24.57% - (3.67 x <br> (30 Day Average SOFR + <br> 0.11%))), 03/25/2036<sup>(e)</sup> <br>| 86378 | &nbsp;&nbsp; 102969 |
| &nbsp;&nbsp;&nbsp; 7.81% (24.20% - (3.67 x (30 Day <br> Average SOFR + 0.11%))), <br> 06/25/2036<sup>(e)</sup> <br>| 52360 | &nbsp;&nbsp; 62242 |

---

See accompanying notes which are an integral part of this schedule.

**Invesco Quality Income Fund**

------

---

| | | | |
|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Principal**<br> **Amount** | &nbsp;&nbsp; **Principal**<br> **Amount** | **Value** |
| **Collateralized Mortgage Obligations–(continued)** | **Collateralized Mortgage Obligations–(continued)** | **Collateralized Mortgage Obligations–(continued)** | **Collateralized Mortgage Obligations–(continued)** |
| &nbsp;&nbsp;&nbsp; 7.81% (24.20% - (3.67 x (30 Day <br> Average SOFR + 0.11%))), <br> 06/25/2036<sup>(e)</sup> <br>|  | $54114 | &nbsp;&nbsp; $59837 |
| &nbsp;&nbsp;&nbsp; 5.41% (30 Day Average SOFR + <br> 1.05%), 06/25/2037<sup>(e)</sup> <br>|  | 456315 | &nbsp;&nbsp; 461128 |
| &nbsp;&nbsp;&nbsp; 4.92% (30 Day Average SOFR + <br> 0.56%), 08/25/2037<sup>(e)</sup> <br>|  | 308413 | &nbsp;&nbsp; 305233 |
| &nbsp;&nbsp;&nbsp; 6.60%, 06/25/2039<sup>(a)</sup> <br>|  | 197872 | &nbsp;&nbsp; 206769 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/25/2041 |  | 244721 | &nbsp;&nbsp; 234987 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/25/2045 |  | 2559019 | &nbsp;&nbsp; 2524168 |
| &nbsp;&nbsp;&nbsp; Freddie Mac Multifamily Structured <br> Pass-Through Ctfs., | &nbsp;&nbsp;&nbsp; Freddie Mac Multifamily Structured <br> Pass-Through Ctfs., |  |  |
| &nbsp;&nbsp;&nbsp; Series K734, Class X1, IO, <br>0.78%, 02/25/2026<sup>(d)</sup> <br>|  | 10265190 | &nbsp;&nbsp; 9648 |
| &nbsp;&nbsp;&nbsp; Series K735, Class X1, IO, <br>1.10%, 05/25/2026<sup>(d)</sup> <br>|  | 14987214 | &nbsp;&nbsp; 55681 |
| &nbsp;&nbsp;&nbsp; Series K093, Class X1, IO, <br>1.08%, 05/25/2029<sup>(d)</sup> <br>|  | 12180298 | &nbsp;&nbsp; 347961 |
| &nbsp;&nbsp;&nbsp; Series Q004, Class AFL, <br>4.89%(12 mo. MTA Rate + <br> 0.74%), 05/25/2044<sup>(e)</sup> <br>|  | 191809 | &nbsp;&nbsp; 191821 |
| Freddie Mac REMICs, | Freddie Mac REMICs, |  |  |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/15/2025 to <br> 05/15/2032<br>|  | 235956 | &nbsp;&nbsp; 232095 |
| &nbsp;&nbsp;&nbsp; 1.50%, 08/15/2027 |  | 4008556 | &nbsp;&nbsp; 3927273 |
| &nbsp;&nbsp;&nbsp; 6.95%, 03/15/2028 |  | 30849 | &nbsp;&nbsp; 31181 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/15/2028 to <br> 03/15/2032<br>|  | 466931 | &nbsp;&nbsp; 475445 |
| &nbsp;&nbsp;&nbsp; 5.09% (30 Day Average SOFR + <br> 0.71%), 01/15/2029 to <br> 12/15/2032<sup>(e)</sup> <br>|  | 42597 | &nbsp;&nbsp; 42683 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/2029 to <br> 04/15/2029<br>|  | 65676 | &nbsp;&nbsp; 66820 |
| &nbsp;&nbsp;&nbsp; 4.84% (30 Day Average SOFR + <br> 0.46%), 02/15/2029<sup>(e)</sup> <br>|  | 39037 | &nbsp;&nbsp; 38979 |
| &nbsp;&nbsp;&nbsp; 5.37% (30 Day Average SOFR + <br> 1.01%), 03/15/2029<sup>(e)</sup> <br>|  | 41610 | &nbsp;&nbsp; 41743 |
| &nbsp;&nbsp;&nbsp; 4.89% (30 Day Average SOFR + <br> 0.51%), 06/15/2029 to <br> 01/15/2033<sup>(e)</sup> <br>|  | 73072 | &nbsp;&nbsp; 72892 |
| &nbsp;&nbsp;&nbsp; 5.14% (30 Day Average SOFR + <br> 0.76%), 07/15/2029<sup>(e)</sup> <br>|  | 9713 | &nbsp;&nbsp; 9715 |
| &nbsp;&nbsp;&nbsp; 8.00%, 03/15/2030 |  | 21685 | &nbsp;&nbsp; 22469 |
| &nbsp;&nbsp;&nbsp; 5.44% (30 Day Average SOFR + <br> 1.06%), 08/15/2031<sup>(e)</sup> <br>|  | 44041 | &nbsp;&nbsp; 44471 |
| &nbsp;&nbsp;&nbsp; 4.99% (30 Day Average SOFR + <br> 0.61%), 02/15/2032 to <br> 03/15/2032<sup>(e)</sup> <br>|  | 134759 | &nbsp;&nbsp; 134412 |
| &nbsp;&nbsp;&nbsp; 5.49% (30 Day Average SOFR + <br> 1.11%), 02/15/2032 to <br> 03/15/2032<sup>(e)</sup> <br>|  | 91584 | &nbsp;&nbsp; 92419 |
| &nbsp;&nbsp;&nbsp; 5.04% (30 Day Average SOFR + <br> 0.66%), 03/15/2032 to <br> 10/15/2036<sup>(e)</sup> <br>|  | 361877 | &nbsp;&nbsp; 360563 |
| &nbsp;&nbsp;&nbsp; 8.30% (24.75% - (3.67 x <br> (30 Day Average SOFR + <br> 0.11%))), 08/15/2035<sup>(e)</sup> <br>|  | 14414 | &nbsp;&nbsp; 17147 |
| &nbsp;&nbsp;&nbsp; 4.79% (30 Day Average SOFR + <br> 0.41%), 03/15/2036<sup>(e)</sup> <br>|  | 786439 | &nbsp;&nbsp; 778692 |
| &nbsp;&nbsp;&nbsp; 4.94% (30 Day Average SOFR + <br> 0.56%), 07/15/2037<sup>(e)</sup> <br>|  | 50175 | &nbsp;&nbsp; 49842 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/15/2038 |  | 82060 | &nbsp;&nbsp; 78939 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/15/2038 |  | 615901 | &nbsp;&nbsp; 584879 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Principal**<br> **Amount** | &nbsp;&nbsp; **Principal**<br> **Amount** | **Value** |
| **Collateralized Mortgage Obligations–(continued)** | **Collateralized Mortgage Obligations–(continued)** | **Collateralized Mortgage Obligations–(continued)** | **Collateralized Mortgage Obligations–(continued)** |
| &nbsp;&nbsp;&nbsp; 4.96% (30 Day Average SOFR + <br> 0.61%), 03/15/2042<sup>(e)</sup> <br>|  | $60908 | &nbsp;&nbsp; $61451 |
| &nbsp;&nbsp;&nbsp; IO, <br>3.00%, 07/15/2026 to <br> 12/15/2027<sup>(b)</sup> <br>|  | 995316 | &nbsp;&nbsp; 27319 |
| &nbsp;&nbsp;&nbsp; 3.16% (7.65% - (30 Day Average <br> SOFR + 0.11%)), <br> 07/15/2026<sup>(b)(e)</sup> <br>|  | 1125 | &nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/15/2027 to <br> 09/25/2048<sup>(b)</sup> <br>|  | 7600257 | &nbsp;&nbsp; 1029481 |
| &nbsp;&nbsp;&nbsp; 4.20% (8.70% - (30 Day Average <br> SOFR + 0.11%)), <br> 07/17/2028<sup>(b)(e)</sup> <br>|  | 10 | &nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; 3.61% (8.10% - (30 Day Average <br> SOFR + 0.11%)), 06/15/2029 to <br> 09/15/2029<sup>(b)(e)</sup> <br>|  | 65500 | &nbsp;&nbsp; 3942 |
| &nbsp;&nbsp;&nbsp; 2.21% (6.70% - (30 Day Average <br> SOFR + 0.11%)), <br> 01/15/2035<sup>(b)(e)</sup> <br>|  | 398392 | &nbsp;&nbsp; 25818 |
| &nbsp;&nbsp;&nbsp; 2.26% (6.75% - (30 Day Average <br> SOFR + 0.11%)), <br> 02/15/2035<sup>(b)(e)</sup> <br>|  | 59929 | &nbsp;&nbsp; 3763 |
| &nbsp;&nbsp;&nbsp; 2.23% (6.72% - (30 Day Average <br> SOFR + 0.11%)), <br> 05/15/2035<sup>(b)(e)</sup> <br>|  | 69212 | &nbsp;&nbsp; 4409 |
| &nbsp;&nbsp;&nbsp; 2.51% (7.00% - (30 Day Average <br> SOFR + 0.11%)), <br> 12/15/2037<sup>(b)(e)</sup> <br>|  | 8206 | &nbsp;&nbsp; 880 |
| &nbsp;&nbsp;&nbsp; 1.51% (6.00% - (30 Day Average <br> SOFR + 0.11%)), <br> 04/15/2038<sup>(b)(e)</sup> <br>|  | 23380 | &nbsp;&nbsp; 2121 |
| &nbsp;&nbsp;&nbsp; 1.58% (6.07% - (30 Day Average <br> SOFR + 0.11%)), <br> 05/15/2038<sup>(b)(e)</sup> <br>|  | 525020 | &nbsp;&nbsp; 43669 |
| &nbsp;&nbsp;&nbsp; 1.83%, 02/15/2039<sup>(d)</sup> <br>|  | 1105520 | &nbsp;&nbsp; 62880 |
| &nbsp;&nbsp;&nbsp; 1.76% (6.25% - (30 Day Average <br> SOFR + 0.11%)), <br> 12/15/2039<sup>(b)(e)</sup> <br>|  | 118188 | &nbsp;&nbsp; 11197 |
| &nbsp;&nbsp;&nbsp; 1.61% (6.10% - (30 Day Average <br> SOFR + 0.11%)), <br> 01/15/2044<sup>(b)(e)</sup> <br>|  | 203406 | &nbsp;&nbsp; 21056 |
| &nbsp;&nbsp;&nbsp; Freddie Mac Seasoned Loans <br> Structured Transaction, <br> Series 2019-1, Class A2, <br>3.50%, 05/25/2029<br>|  | 2000000 | &nbsp;&nbsp; 1944405 |
| Freddie Mac STRIPS, | Freddie Mac STRIPS, |  |  |
| &nbsp;&nbsp;&nbsp; IO, <br>3.00%, 12/15/2027<sup>(b)</sup> <br>|  | 73693 | &nbsp;&nbsp; 1499 |
| &nbsp;&nbsp;&nbsp; 3.15%, 12/15/2027<sup>(d)</sup> <br>|  | 22022 | &nbsp;&nbsp; 526 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/2028<sup>(b)</sup> <br>|  | 7370 | &nbsp;&nbsp; 376 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/2029<sup>(b)</sup> <br>|  | 86338 | &nbsp;&nbsp; 7723 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/15/2029<sup>(b)</sup> <br>|  | 7520 | &nbsp;&nbsp; 744 |
| &nbsp;&nbsp;&nbsp; 8.00%, 06/15/2031<sup>(b)</sup> <br>|  | 179134 | &nbsp;&nbsp; 24585 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/2032<sup>(b)</sup> <br>|  | 40853 | &nbsp;&nbsp; 4413 |
| &nbsp;&nbsp;&nbsp; 0.00%, 12/01/2031 to <br> 03/01/2032<sup>(c)</sup> <br>|  | 111864 | &nbsp;&nbsp; 101987 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>4.99%(30 Day Average SOFR + <br> 0.61%), 05/15/2036<sup>(e)</sup> <br>|  | 384910 | &nbsp;&nbsp; 383317 |
| &nbsp;&nbsp;&nbsp; Freddie Mac Structured Pass-Through <br> Ctfs., Series T-54, Class 2A, <br>6.50%, 02/25/2043<br>|  | 1061519 | &nbsp;&nbsp; 1070265 |
| &nbsp;&nbsp;&nbsp; Freddie Mac Whole Loan Securities <br> Trust, Series 2015-SC02, <br> Class 1A, <br>3.00%, 09/25/2045<br>|  | 185809 | &nbsp;&nbsp; 163188 |

---

See accompanying notes which are an integral part of this schedule.

**Invesco Quality Income Fund**

------

---

| | | | |
|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Principal**<br> **Amount** | &nbsp;&nbsp; **Principal**<br> **Amount** | **Value** |
| **Collateralized Mortgage Obligations–(continued)** | **Collateralized Mortgage Obligations–(continued)** | **Collateralized Mortgage Obligations–(continued)** | **Collateralized Mortgage Obligations–(continued)** |
| Uniform Mortgage-Backed Securities, | Uniform Mortgage-Backed Securities, |  |  |
| &nbsp;&nbsp;&nbsp; TBA, <br>6.50%, 10/14/2025<sup>(f)</sup> <br>|  | $8000000 | &nbsp;&nbsp; $8268320 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/2040<sup>(f)</sup> <br>|  | 2290000 | &nbsp;&nbsp; 2313944 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/2055<sup>(f)</sup> <br>|  | 3789000 | &nbsp;&nbsp; 3328688 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/2055<sup>(f)</sup> <br>|  | 2735000 | &nbsp;&nbsp; 2757958 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/2055<sup>(f)</sup> <br>|  | 20770000 | &nbsp;&nbsp; 21221621 |
|  |  |  | &nbsp;&nbsp; 61065628 |
| **Federal Home Loan Mortgage Corp. (FHLMC)–30.33%** | **Federal Home Loan Mortgage Corp. (FHLMC)–30.33%** | **Federal Home Loan Mortgage Corp. (FHLMC)–30.33%** | **Federal Home Loan Mortgage Corp. (FHLMC)–30.33%** |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/2028 to <br> 04/01/2034<br>|  | 192398 | &nbsp;&nbsp; 199207 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/2029 to <br> 10/01/2029<br>|  | 79357 | &nbsp;&nbsp; 81474 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/2031 to <br> 04/01/2052<br>|  | 37656947 | &nbsp;&nbsp; 32290960 |
| &nbsp;&nbsp;&nbsp; 8.50%, 03/01/2031 to <br> 08/01/2031<br>|  | 44701 | &nbsp;&nbsp; 47164 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/01/2031 to <br> 10/01/2037<br>|  | 84010 | &nbsp;&nbsp; 88482 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/2032 to <br> 08/01/2037<br>|  | 2285701 | &nbsp;&nbsp; 2396472 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/2032 to <br> 05/01/2050<br>|  | 24135215 | &nbsp;&nbsp; 21972702 |
| &nbsp;&nbsp;&nbsp; 8.00%, 08/01/2032 |  | 28700 | &nbsp;&nbsp; 30168 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/2036 to <br> 05/01/2053<br>|  | 25140955 | &nbsp;&nbsp; 25608460 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/2037 to <br> 07/01/2052<br>|  | 7099590 | &nbsp;&nbsp; 7110896 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/2038 to <br> 07/01/2052<br>|  | 13901316 | &nbsp;&nbsp; 13693922 |
| &nbsp;&nbsp;&nbsp; 5.35%, 07/01/2038 to <br> 10/17/2038<br>|  | 757356 | &nbsp;&nbsp; 774408 |
| &nbsp;&nbsp;&nbsp; 5.45%, 11/25/2038 |  | 792879 | &nbsp;&nbsp; 812710 |
| &nbsp;&nbsp;&nbsp; 5.80%, 01/20/2039 |  | 308139 | &nbsp;&nbsp; 312746 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/2042 to <br> 07/01/2049<br>|  | 13417233 | &nbsp;&nbsp; 12972929 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/2045 to <br> 03/01/2052<br>|  | 17249655 | &nbsp;&nbsp; 16029884 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/2051 to <br> 01/01/2052<br>|  | 22126113 | &nbsp;&nbsp; 18046911 |
| &nbsp;&nbsp;&nbsp; ARM, <br>5.65% (1 yr. U.S. Treasury Yield <br> Curve Rate + 2.16%), <br> 11/01/2048<sup>(e)</sup> <br>|  | 2874303 | &nbsp;&nbsp; 2956434 |
|  |  |  | &nbsp;&nbsp; 155425929 |

---

---

| | | |
|:---|:---|:---|
|  | &nbsp;&nbsp; **Principal**<br> **Amount** | **Value** |
| **Federal National Mortgage Association (FNMA)–42.94%** | **Federal National Mortgage Association (FNMA)–42.94%** | **Federal National Mortgage Association (FNMA)–42.94%** |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/2027 to <br> 11/01/2038<br>| $926580 | &nbsp;&nbsp; $961980 |
| &nbsp;&nbsp;&nbsp; 7.50%, 02/01/2027 to <br> 08/01/2037<br>| 738394 | &nbsp;&nbsp; 761364 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/2027 to <br> 01/01/2053<br>| 7245417 | &nbsp;&nbsp; 7274883 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/2027 to <br> 04/01/2038<br>| 1846866 | &nbsp;&nbsp; 1899477 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/2028 to <br> 10/01/2053<br>| 9221063 | &nbsp;&nbsp; 9555047 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/2029 to <br> 01/01/2052<br>| 40156812 | &nbsp;&nbsp; 36699101 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/01/2029 to <br> 01/01/2036<br>| 621908 | &nbsp;&nbsp; 649628 |
| &nbsp;&nbsp;&nbsp; 5.63%, 08/01/2032 | 34368 | &nbsp;&nbsp; 34382 |
| &nbsp;&nbsp;&nbsp; 8.50%, 10/01/2032 | 73561 | &nbsp;&nbsp; 76863 |
| &nbsp;&nbsp;&nbsp; 8.00%, 04/01/2033 | 71820 | &nbsp;&nbsp; 75472 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/2034 to <br> 05/01/2050<br>| 32202885 | &nbsp;&nbsp; 30558935 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/01/2035 to <br> 03/01/2052<br>| 70278491 | &nbsp;&nbsp; 59115218 |
| &nbsp;&nbsp;&nbsp; 5.45%, 01/01/2038 | 211774 | &nbsp;&nbsp; 215127 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/2040 to <br> 07/01/2044<br>| 2801322 | &nbsp;&nbsp; 2805677 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/2042 to <br> 03/01/2050<br>| 27864561 | &nbsp;&nbsp; 26875013 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/2050 to <br> 02/01/2052<br>| 47219436 | &nbsp;&nbsp; 40317518 |
| &nbsp;&nbsp;&nbsp; ARM, <br>6.43% (1 yr. Refinitiv USD IBOR <br> Consumer Cash Fallbacks + <br> 1.58%), 04/01/2045<sup>(e)</sup> <br>| 2115232 | &nbsp;&nbsp; 2189557 |
|  |  | &nbsp;&nbsp; 220065242 |
| **Government National Mortgage Association (GNMA)–23.73%** | **Government National Mortgage Association (GNMA)–23.73%** | **Government National Mortgage Association (GNMA)–23.73%** |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/16/2025 to <br> 06/20/2052<br>| 3500728 | &nbsp;&nbsp; 3116510 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/15/2027 to <br> 01/20/2030<br>| 64079 | &nbsp;&nbsp; 64833 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/15/2028 to <br> 10/15/2028<br>| 5826 | &nbsp;&nbsp; 5912 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/2028 to <br> 04/20/2029<br>| 25804 | &nbsp;&nbsp; 26467 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/15/2028 to <br> 08/15/2028<br>| 27934 | &nbsp;&nbsp; 28117 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/2033 to <br> 10/15/2034<br>| 166108 | &nbsp;&nbsp; 169397 |
| &nbsp;&nbsp;&nbsp; 6.91%, 11/20/2033<sup>(a)</sup> <br>| 282336 | &nbsp;&nbsp; 291762 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/2037 | 196637 | &nbsp;&nbsp; 196389 |
| &nbsp;&nbsp;&nbsp; 5.88%, 01/20/2039<sup>(a)</sup> <br>| 467761 | &nbsp;&nbsp; 484394 |
| &nbsp;&nbsp;&nbsp; 4.53%, 07/20/2041<sup>(a)</sup> <br>| 610339 | &nbsp;&nbsp; 613418 |
| &nbsp;&nbsp;&nbsp; 5.13%, 09/20/2041 | 381613 | &nbsp;&nbsp; 387942 |
| &nbsp;&nbsp;&nbsp; 4.84% (1 mo. Term SOFR + <br> 0.56%), 07/20/2044<sup>(e)</sup> <br>| 301150 | &nbsp;&nbsp; 305235 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/2046 to <br> 06/20/2050<br>| 8809392 | &nbsp;&nbsp; 8106992 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/2048 to <br> 03/20/2050<br>| 3000886 | &nbsp;&nbsp; 2828985 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/20/2051 | 1571560 | &nbsp;&nbsp; 1327975 |
| &nbsp;&nbsp;&nbsp; IO, <br>2.39% (6.65% - (1 mo. Term <br> SOFR + 0.11%)), <br> 04/16/2041<sup>(b)(e)</sup> <br>| 593203 | &nbsp;&nbsp; 40449 |

---

See accompanying notes which are an integral part of this schedule.

**Invesco Quality Income Fund**

------

---

| | | | |
|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Principal**<br> **Amount** | &nbsp;&nbsp; **Principal**<br> **Amount** | **Value** |
| **Government National Mortgage Association (GNMA)–**<br> **(continued)** | **Government National Mortgage Association (GNMA)–**<br> **(continued)** | **Government National Mortgage Association (GNMA)–**<br> **(continued)** | **Government National Mortgage Association (GNMA)–**<br> **(continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/16/2047<sup>(b)</sup> <br>|  | $526843 | &nbsp;&nbsp; $95896 |
| &nbsp;&nbsp;&nbsp; 1.94% (6.20% - (1 mo. Term <br> SOFR + 0.11%)), <br> 10/16/2047<sup>(b)(e)</sup> <br>|  | 525413 | &nbsp;&nbsp; 67942 |
| &nbsp;&nbsp;&nbsp; TBA, <br>2.00%, 10/01/2055<sup>(f)</sup> <br>|  | 23444000 | &nbsp;&nbsp; 19384861 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/2055<sup>(f)</sup> <br>|  | 20125000 | &nbsp;&nbsp; 17329428 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/2055<sup>(f)</sup> <br>|  | 14198813 | &nbsp;&nbsp; 12677959 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/2055<sup>(f)</sup> <br>|  | 4300000 | &nbsp;&nbsp; 4170631 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/2055<sup>(f)</sup> <br>|  | 16067000 | &nbsp;&nbsp; 15984312 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/2055<sup>(f)</sup> <br>|  | 13685000 | &nbsp;&nbsp; 13788986 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/2055<sup>(f)</sup> <br>|  | 9322000 | &nbsp;&nbsp; 9482057 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/2055<sup>(f)</sup> <br>|  | 4845000 | &nbsp;&nbsp; 4976675 |
| &nbsp;&nbsp;&nbsp; Series 2020-137, Class A, <br>1.50%, 04/16/2062<br>|  | 7481620 | &nbsp;&nbsp; 5646387 |
|  |  |  | &nbsp;&nbsp; 121599911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Government Sponsored Agency <br> Mortgage-Backed Securities <br> (Cost $608,481,767) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Government Sponsored Agency <br> Mortgage-Backed Securities <br> (Cost $608,481,767) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Government Sponsored Agency <br> Mortgage-Backed Securities <br> (Cost $608,481,767) | &nbsp;&nbsp; 558156710 |
| **Certificates of Deposit–6.05%** | **Certificates of Deposit–6.05%** | **Certificates of Deposit–6.05%** | **Certificates of Deposit–6.05%** |
| **Diversified Banks–6.05%** | **Diversified Banks–6.05%** | **Diversified Banks–6.05%** | **Diversified Banks–6.05%** |
| Bank of Nova Scotia (Canada), | Bank of Nova Scotia (Canada), |  |  |
| &nbsp;&nbsp;&nbsp; 4.55% (SOFR + 0.35%), <br> 10/17/2025<sup>(e)</sup> <br>|  | 2000000 | &nbsp;&nbsp; 2000227 |
| &nbsp;&nbsp;&nbsp; 4.53% (SOFR + 0.33%), <br> 07/22/2026<sup>(e)</sup> <br>|  | 3000000 | &nbsp;&nbsp; 3001014 |
| &nbsp;&nbsp;&nbsp; Credit Agricole Corporate and <br> Investment Bank (France), 4.54% <br> (SOFR + 0.34%), 08/28/2026<sup>(e)</sup> <br>|  | 6000000 | &nbsp;&nbsp; 6003570 |
| &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Trust & Banking Corp. <br> (Japan), 4.54% (SOFR + 0.34%), <br> 01/30/2026<sup>(e)</sup> <br>|  | 10000000 | &nbsp;&nbsp; 10006006 |
| &nbsp;&nbsp;&nbsp; Mizuho Bank Ltd. (Japan), 4.53% <br> (SOFR + 0.33%), 02/19/2026<sup>(e)</sup> <br>|  | 3000000 | &nbsp;&nbsp; 3001944 |
| &nbsp;&nbsp;&nbsp; Standard Chartered Bank (United <br> Kingdom), 4.53% (SOFR + <br> 0.33%), 07/24/2026<sup>(e)</sup> <br>|  | 7000000 | &nbsp;&nbsp; 7005617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Certificates of Deposit (Cost $31,000,113) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Certificates of Deposit (Cost $31,000,113) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Certificates of Deposit (Cost $31,000,113) | &nbsp;&nbsp; 31018378 |
| **Asset-Backed Securities–4.93%** | **Asset-Backed Securities–4.93%** | **Asset-Backed Securities–4.93%** | **Asset-Backed Securities–4.93%** |
| &nbsp;&nbsp;&nbsp; Adjustable Rate Mortgage Trust, <br> Series 2005-7, Class 2A21, <br> 0.77%, 10/25/2035<sup>(a)</sup> <br>|  | 125288 | &nbsp;&nbsp; 110905 |
| &nbsp;&nbsp;&nbsp; Agate Bay Mortgage Trust, <br> Series 2015-2, Class B1, 3.62%, <br> 03/25/2045<sup>(a)(g)</sup> <br>|  | 885808 | &nbsp;&nbsp; 830297 |
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust, <br> Series 2006-A, Class 1A1, <br> 5.49%, 02/20/2036<sup>(a)</sup> <br>|  | 130492 | &nbsp;&nbsp; 124857 |
| &nbsp;&nbsp;&nbsp; Bank, Series 2017-BNK5, Class AS, <br> 3.62%, 06/15/2060<br>|  | 3200000 | &nbsp;&nbsp; 3122159 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Adjustable Rate <br> Mortgage Trust, Series 2005-1, <br> Class 2A1, 2.16%, <br> 03/25/2035<sup>(a)</sup> <br>|  | 502640 | &nbsp;&nbsp; 462534 |
| &nbsp;&nbsp;&nbsp; Benchmark Mortgage Trust, <br> Series 2018-B1, Class XA, IO, <br> 0.67%, 01/15/2051<sup>(d)</sup> <br>|  | 11191682 | &nbsp;&nbsp; 105839 |
| &nbsp;&nbsp;&nbsp; CD Mortgage Trust, Series 2017-<br> CD6, Class XA, IO, 1.06%, <br> 11/13/2050<sup>(d)</sup> <br>|  | 5745776 | &nbsp;&nbsp; 73609 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Principal**<br> **Amount** | &nbsp;&nbsp; **Principal**<br> **Amount** | **Value** |
| Chase Mortgage Finance Corp., | Chase Mortgage Finance Corp., |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-2, Class M4, 3.75%, <br> 12/25/2045<sup>(a)(g)</sup> <br>|  | $1138544 | &nbsp;&nbsp; $1055838 |
| &nbsp;&nbsp;&nbsp; Series 2016-SH1, Class M3, <br> 3.75%, 04/25/2045<sup>(a)(g)</sup> <br>|  | 818095 | &nbsp;&nbsp; 760910 |
| Chase Mortgage Finance Trust, | Chase Mortgage Finance Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-A1, Class 3A1, <br> 3.93%, 12/25/2035<sup>(a)</sup> <br>|  | 9776 | &nbsp;&nbsp; 8520 |
| &nbsp;&nbsp;&nbsp; Series 2007-A2, Class 2A1, <br> 6.15%, 06/25/2035<sup>(a)</sup> <br>|  | 135618 | &nbsp;&nbsp; 135092 |
| &nbsp;&nbsp;&nbsp; Series 2007-A2, Class 2A4, <br> 6.15%, 06/25/2035<sup>(a)</sup> <br>|  | 125282 | &nbsp;&nbsp; 124235 |
| &nbsp;&nbsp;&nbsp; Citigroup Commercial Mortgage Trust, <br> Series 2017-C4, Class XA, IO, <br> 1.12%, 10/12/2050<sup>(d)</sup> <br>|  | 15326945 | &nbsp;&nbsp; 247841 |
| Citigroup Mortgage Loan Trust, | Citigroup Mortgage Loan Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-UST1, Class A4, <br> 6.53%, 08/25/2034<sup>(a)</sup> <br>|  | 20826 | &nbsp;&nbsp; 19694 |
| &nbsp;&nbsp;&nbsp; Series 2005-11, Class A2A, <br> 6.48% (1 yr. U.S. Treasury Yield <br> Curve Rate + 2.40%), <br> 10/25/2035<sup>(e)</sup> <br>|  | 328964 | &nbsp;&nbsp; 343382 |
| &nbsp;&nbsp;&nbsp; Series 2006-AR2, Class 1A2, <br> 2.56%, 03/25/2036<sup>(a)</sup> <br>|  | 5526 | &nbsp;&nbsp; 5423 |
| &nbsp;&nbsp;&nbsp; Commonbond Student Loan Trust, <br> Series 2018-CGS, Class A1, <br> 3.87%, 02/25/2046<sup>(g)</sup> <br>|  | 464145 | &nbsp;&nbsp; 451252 |
| &nbsp;&nbsp;&nbsp; Countrywide Home Loans Mortgage <br> Pass-Through Trust, <br> Series 2004-29, Class 1A1, <br> 4.81% (1 mo. Term SOFR + <br> 0.65%), 02/25/2035<sup>(e)</sup> <br>|  | 67298 | &nbsp;&nbsp; 65155 |
| &nbsp;&nbsp;&nbsp; Credit Suisse Mortgage Capital Trust, <br> Series 2013-7, Class B1, 3.55%, <br> 08/25/2043<sup>(a)(g)</sup> <br>|  | 729243 | &nbsp;&nbsp; 712647 |
| &nbsp;&nbsp;&nbsp; Credit Suisse Mortgage Loan Trust, <br> Series 2015-1, Class A9, 3.50%, <br> 05/25/2045<sup>(a)(g)</sup> <br>|  | 254710 | &nbsp;&nbsp; 235987 |
| &nbsp;&nbsp;&nbsp; CSFB Mortgage-Backed Pass-Through <br> Ctfs., Series 2004-AR5, <br> Class 5A1, 5.91%, <br> 06/25/2034<sup>(a)</sup> <br>|  | 136783 | &nbsp;&nbsp; 134867 |
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities, Inc. <br> Re-REMIC Trust Ctfs., <br> Series 2007-WM1, Class A1, <br> 4.50%, 06/27/2037<sup>(a)(g)</sup> <br>|  | 1130904 | &nbsp;&nbsp; 1007418 |
| &nbsp;&nbsp;&nbsp; Galton Funding Mortgage Trust, <br> Series 2018-1, Class A33, <br> 3.50%, 11/25/2057<sup>(a)(g)</sup> <br>|  | 197850 | &nbsp;&nbsp; 180680 |
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, <br> Series 2025-HE1, Class A1, <br> 5.91% (30 Day Average SOFR + <br> 1.55%), 10/25/2055<sup>(e)(g)</sup> <br>|  | 1855189 | &nbsp;&nbsp; 1861805 |
| &nbsp;&nbsp;&nbsp; GSAA Home Equity Trust, <br> Series 2007-7, Class A4, 4.81% <br> (1 mo. Term SOFR + 0.65%), <br> 07/25/2037<sup>(e)</sup> <br>|  | 7939 | &nbsp;&nbsp; 7702 |
| GSR Mortgage Loan Trust, | GSR Mortgage Loan Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-12, Class 3A6, <br> 1.46%, 12/25/2034<sup>(a)</sup> <br>|  | 141512 | &nbsp;&nbsp; 133574 |
| &nbsp;&nbsp;&nbsp; Series 2005-AR4, Class 6A1, <br> 5.01%, 07/25/2035<sup>(a)</sup> <br>|  | 39921 | &nbsp;&nbsp; 38096 |

---

See accompanying notes which are an integral part of this schedule.

**Invesco Quality Income Fund**

------

---

| | | | |
|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Principal**<br> **Amount** | &nbsp;&nbsp; **Principal**<br> **Amount** | **Value** |
| JP Morgan Mortgage Trust, | JP Morgan Mortgage Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-A1, Class 3A1, <br> 5.54%, 02/25/2035<sup>(a)</sup> <br>|  | $175221 | &nbsp;&nbsp; $168681 |
| &nbsp;&nbsp;&nbsp; Series 2014-1, Class 1A17, <br> 0.79%, 01/25/2044<sup>(a)(g)</sup> <br>|  | 499918 | &nbsp;&nbsp; 477832 |
| &nbsp;&nbsp;&nbsp; Series 2017-5, Class A1, 4.97%, <br> 10/26/2048<sup>(a)(g)</sup> <br>|  | 89799 | &nbsp;&nbsp; 90808 |
| &nbsp;&nbsp;&nbsp; Series 2019-INV2, Class A15, <br> 3.50%, 02/25/2050<sup>(a)(g)</sup> <br>|  | 105850 | &nbsp;&nbsp; 96028 |
| &nbsp;&nbsp;&nbsp; JP Morgan Trust, Series 2015-3, <br> Class A3, 3.50%, <br> 05/25/2045<sup>(a)(g)</sup> <br>|  | 464776 | &nbsp;&nbsp; 433515 |
| &nbsp;&nbsp;&nbsp; Luminent Mortgage Trust, <br> Series 2006-1, Class A1, 4.99% <br> (1 mo. Term SOFR + 0.83%), <br> 04/25/2036<sup>(e)</sup> <br>|  | 23548 | &nbsp;&nbsp; 20788 |
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages <br> Trust, Series 2004-13, <br> Class 2A2, 6.59%, <br> 04/21/2034<sup>(a)</sup> <br>|  | 68578 | &nbsp;&nbsp; 68283 |
| Merrill Lynch Mortgage Investors Trust, | Merrill Lynch Mortgage Investors Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-3, Class 3A, 2.39%, <br> 11/25/2035<sup>(a)</sup> <br>|  | 83961 | &nbsp;&nbsp; 79819 |
| &nbsp;&nbsp;&nbsp; Series 2005-A, Class A1, 4.73% <br> (1 mo. Term SOFR + 0.57%), <br> 03/25/2030<sup>(e)</sup> <br>|  | 166594 | &nbsp;&nbsp; 160369 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital I Trust, <br> Series 2017-HR2, Class XA, IO, <br> 0.99%, 12/15/2050<sup>(d)</sup> <br>|  | 5306402 | &nbsp;&nbsp; 81166 |
| &nbsp;&nbsp;&nbsp; Residential Accredit Loans, Inc. Trust, <br> Series 2006-QS13, Class 1A8, <br> 6.00%, 09/25/2036<br>|  | 22269 | &nbsp;&nbsp; 17880 |
| &nbsp;&nbsp;&nbsp; Sapphire Aviation Finance II Ltd., <br> Series 2020-1A, Class B, 4.34%, <br> 03/15/2040<sup>(g)</sup> <br>|  | 3020740 | &nbsp;&nbsp; 2777000 |
| &nbsp;&nbsp;&nbsp; Shellpoint Asset Funding Trust, <br> Series 2013-1, Class A3, 3.75%, <br> 07/25/2043<sup>(a)(g)</sup> <br>|  | 285921 | &nbsp;&nbsp; 274986 |
| &nbsp;&nbsp;&nbsp; Structured Adjustable Rate Mortgage <br> Loan Trust, | &nbsp;&nbsp;&nbsp; Structured Adjustable Rate Mortgage <br> Loan Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2004-13, Class A2, 4.57% <br> (1 mo. Term SOFR + 0.41%), <br> 09/25/2034<sup>(e)</sup> <br>|  | 179012 | &nbsp;&nbsp; 166708 |
| &nbsp;&nbsp;&nbsp; Series 2004-20, Class 3A1, <br> 3.93%, 01/25/2035<sup>(a)</sup> <br>|  | 17941 | &nbsp;&nbsp; 17802 |
| &nbsp;&nbsp;&nbsp; Structured Asset Sec Mortgage <br> Pass-Through Ctfs., <br> Series 2002-21A, Class B1II, <br> 6.56%, 11/25/2032<sup>(a)</sup> <br>|  | 1 | &nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; UBS Commercial Mortgage Trust, <br> Series 2017-C5, Class XA, IO, <br> 1.24%, 11/15/2050<sup>(d)</sup> <br>|  | 7502883 | &nbsp;&nbsp; 120825 |
| Vendee Mortgage Trust, | Vendee Mortgage Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 1999-3, Class IO, 0.00%, <br> 10/15/2029<sup>(a)(c)</sup> <br>|  | 1791934 | &nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; Series 2001-3, Class IO, 0.00%, <br> 10/15/2031<sup>(a)(c)</sup> <br>|  | 1165661 | &nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp; Series 2002-2, Class IO, 0.00%, <br> 01/15/2032<sup>(a)(c)</sup> <br>|  | 3376865 | &nbsp;&nbsp; 323 |
| &nbsp;&nbsp;&nbsp; Series 2002-3, Class IO, 0.12%, <br> 08/15/2032<sup>(a)</sup> <br>|  | 3588705 | &nbsp;&nbsp; 6322 |
| &nbsp;&nbsp;&nbsp; Series 2003-1, Class IO, 0.01%, <br> 11/15/2032<sup>(a)</sup> <br>|  | 6239376 | &nbsp;&nbsp; 478 |
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, <br> Series 2023-INV3, Class A3, <br> 7.73%, 11/25/2068<sup>(a)(g)</sup> <br>|  | 4905479 | &nbsp;&nbsp; 5005997 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Principal**<br> **Amount** | &nbsp;&nbsp; **Principal**<br> **Amount** | **Value** |
| WaMu Mortgage Pass-Through Ctfs. Trust, | WaMu Mortgage Pass-Through Ctfs. Trust, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2003-AR10, Class A7, <br> 6.20%, 10/25/2033<sup>(a)</sup> <br>|  | $82949 | &nbsp;&nbsp; $80194 |
| &nbsp;&nbsp;&nbsp; Series 2007-HY2, Class 2A1, <br> 4.61%, 11/25/2036<sup>(a)</sup> <br>|  | 25410 | &nbsp;&nbsp; 22364 |
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage <br> Trust, Series 2017-C42, Class XA, <br> IO, 0.98%, 12/15/2050<sup>(d)</sup> <br>|  | 8159357 | &nbsp;&nbsp; 129908 |
| &nbsp;&nbsp;&nbsp; Zaxby's Funding LLC, Series 2021-<br> 1A, Class A2, 3.24%, <br> 07/30/2051<sup>(g)</sup> <br>|  | 2784000 | &nbsp;&nbsp; 2629738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities (Cost $27,630,696) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities (Cost $27,630,696) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities (Cost $27,630,696) | &nbsp;&nbsp; 25288163 |
| **Commercial Paper–3.12%**<sup>(h)</sup>  | **Commercial Paper–3.12%**<sup>(h)</sup>  | **Commercial Paper–3.12%**<sup>(h)</sup>  | **Commercial Paper–3.12%**<sup>(h)</sup>  |
| **Diversified Banks–2.15%** | **Diversified Banks–2.15%** | **Diversified Banks–2.15%** | **Diversified Banks–2.15%** |
| &nbsp;&nbsp;&nbsp; Australia & New Zealand Banking <br> Group Ltd. (Australia), 4.50%, <br> 09/25/2026<sup>(g)</sup> <br>|  | 6000000 | &nbsp;&nbsp; 6000896 |
| &nbsp;&nbsp;&nbsp; ING US Funding LLC (Netherlands), <br> 4.56%, 10/24/2025<sup>(g)</sup> <br>|  | 5000000 | &nbsp;&nbsp; 5000954 |
|  |  |  | &nbsp;&nbsp; 11001850 |
| **Diversified Financial Services–0.97%** | **Diversified Financial Services–0.97%** | **Diversified Financial Services–0.97%** | **Diversified Financial Services–0.97%** |
| &nbsp;&nbsp;&nbsp; BofA Securities, Inc., 4.62%, <br> 08/06/2026<br>|  | 5000000 | &nbsp;&nbsp; 5002497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Paper (Cost $16,000,000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Paper (Cost $16,000,000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Paper (Cost $16,000,000) | &nbsp;&nbsp; 16004347 |
| **Agency Credit Risk Transfer Notes–2.67%** | **Agency Credit Risk Transfer Notes–2.67%** | **Agency Credit Risk Transfer Notes–2.67%** | **Agency Credit Risk Transfer Notes–2.67%** |
| &nbsp;&nbsp;&nbsp; Fannie Mae Connecticut Avenue <br> Securities, Series 2023-R02, <br> Class 1M2, 7.71% (30 Day <br> Average SOFR + 3.35%), <br> 01/25/2043<sup>(e)(g)</sup> <br>|  | 5550000 | &nbsp;&nbsp; 5799159 |
| Freddie Mac, | Freddie Mac, |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA4, Class M1, <br> STACR<sup>®</sup>, 7.71% (30 Day Average <br> SOFR + 3.35%), 05/25/2042<sup>(e)(g)</sup> <br>|  | 4615000 | &nbsp;&nbsp; 4792363 |
| &nbsp;&nbsp;&nbsp; Series 2022-HQA3, Class M1, <br> STACR<sup>®</sup>, 6.66% (30 Day Average <br> SOFR + 2.30%), 08/25/2042<sup>(e)(g)</sup> <br>|  | 3033564 | &nbsp;&nbsp; 3079928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Agency Credit Risk Transfer Notes <br> (Cost $13,319,957) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Agency Credit Risk Transfer Notes <br> (Cost $13,319,957) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Agency Credit Risk Transfer Notes <br> (Cost $13,319,957) | &nbsp;&nbsp; 13671450 |
| **U.S. Treasury Securities–0.27%** | **U.S. Treasury Securities–0.27%** | **U.S. Treasury Securities–0.27%** | **U.S. Treasury Securities–0.27%** |
| **U.S. Treasury Bills–0.27%** | **U.S. Treasury Bills–0.27%** | **U.S. Treasury Bills–0.27%** | **U.S. Treasury Bills–0.27%** |
| &nbsp;&nbsp;&nbsp; 3.63% - 4.12%, 05/14/2026 <br>(Cost $1,384,773)<sup>(h)(i)</sup> <br>|  | 1419000 | &nbsp;&nbsp; 1386957 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>**Shares** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>**Shares** |  |
| **Money Market Funds–0.65%** | **Money Market Funds–0.65%** | **Money Market Funds–0.65%** | **Money Market Funds–0.65%** |
| &nbsp;&nbsp;&nbsp; Invesco Government & Agency Portfolio, <br> Institutional Class, 4.05%<sup>(j)(k)</sup> <br>(Cost $3,312,874) | &nbsp;&nbsp;&nbsp; Invesco Government & Agency Portfolio, <br> Institutional Class, 4.05%<sup>(j)(k)</sup> <br>(Cost $3,312,874) | 3312874 | &nbsp;&nbsp; 3312874 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENTS IN SECURITIES–126.61% <br> (Cost $701,130,180) | &nbsp;&nbsp;&nbsp; TOTAL INVESTMENTS IN SECURITIES–126.61% <br> (Cost $701,130,180) | &nbsp;&nbsp;&nbsp; TOTAL INVESTMENTS IN SECURITIES–126.61% <br> (Cost $701,130,180) | &nbsp;&nbsp; 648838879 |
| OTHER ASSETS LESS LIABILITIES—(26.61)% | OTHER ASSETS LESS LIABILITIES—(26.61)% | OTHER ASSETS LESS LIABILITIES—(26.61)% | &nbsp;&nbsp; (136384211)<br>|
| NET ASSETS–100.00% | NET ASSETS–100.00% | NET ASSETS–100.00% | &nbsp;&nbsp; $512454668 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See accompanying notes which are an integral part of this schedule.

**Invesco Quality Income Fund**

------

---

| | | |
|:---|:---|:---|
| **Securities Sold Short** |  |  |
| &nbsp;&nbsp; **Principal**<br> **Amount** | **Value** |  |
| **U.S. Government Sponsored Agency Mortgage-Backed** <br> **Securities Short–(3.27)%** | **U.S. Government Sponsored Agency Mortgage-Backed** <br> **Securities Short–(3.27)%** |  |
| **Collateralized Mortgage Obligations–(3.27)%** | **Collateralized Mortgage Obligations–(3.27)%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 2.00%, 10/01/2055<sup>(f)</sup>, <br>(Total Proceeds $(5223436)) | $(6400000)<br>| &nbsp;&nbsp; $(5159892)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 2.50%, 10/01/2055<sup>(f)</sup>, <br>(Total Proceeds $(8845224)) | (10491000)<br>| &nbsp;&nbsp; (8840263)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 3.50%, 10/01/2055<sup>(f)</sup>, <br>(Total Proceeds $(2746875)) | (3000000)<br>| &nbsp;&nbsp; (2741267)<br>|

---

Investment Abbreviations:

---

| | |
|:---|:---|
| ARM | – Adjustable Rate Mortgage |
| Ctfs. | – Certificates |
| IBOR | – Interbank Offered Rate |
| IO | – Interest Only |
| MTA | – Moving Treasury Average |
| PO | – Principal Only |
| REMICs | – Real Estate Mortgage Investment Conduits |
| SOFR | – Secured Overnight Financing Rate |
| STACR<sup>®</sup> | – Structured Agency Credit Risk |
| STRIPS | – Separately Traded Registered Interest and Principal Security |
| TBA | – To Be Announced |
| USD | – U.S. Dollar |

---

Notes to Schedule of Investments:

<sup>(a)</sup> Interest rate is redetermined periodically based on the cash flows generated by the pool of assets backing the security, less any applicable fees. The rate shown is the rate in effect on September 30, 2025. 

<sup>(b)</sup> Interest only security. Principal amount shown is the notional principal and does not reflect the maturity value of the security.

<sup>(c)</sup> Zero coupon bond issued at a discount.

<sup>(d)</sup> Interest only security. Principal amount shown is the notional principal and does not reflect the maturity value of the security. Interest rate is redetermined periodically based on the cash flows generated by the pool of assets backing the security, less any applicable fees. The rate shown is the rate in effect on September 30, 2025. 

<sup>(e)</sup> Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on September 30, 2025.

<sup>(f)</sup> Security purchased on a forward commitment basis. This security is subject to dollar roll transactions. 

<sup>(g)</sup> Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the "1933 Act"). The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at September 30, 2025 was $43,556,038, which represented 8.50% of the Fund's Net Assets. 

<sup>(h)</sup> Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund.

<sup>(i)</sup> All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. 

<sup>(j)</sup> Affiliated holding. Affiliated holdings are investments in entities which are under common ownership or control of Invesco Ltd. or are investments in entities in which the Fund owns 5% or more of the outstanding voting securities. The table below shows the Fund's transactions in, and earnings from, its investments in affiliates for the nine months ended September 30, 2025. 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Value** <br>**December 31, 2024**<br>| **Purchases** <br>**at Cost**<br>| **Proceeds** <br>**from Sales**<br>| **Change in** <br>**Unrealized** <br>**Appreciation**<br>| **Realized** <br>**Gain**<br>| **Value** <br>**September 30, 2025**<br>| **Dividend Income** |
| **Investments in Affiliated Money Market** <br> **Funds:**<br>|  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Invesco Government & Agency Portfolio, <br> Institutional Class<br>| $5675101 | &nbsp;&nbsp; $110191286 | &nbsp;&nbsp; $(112553513) | &nbsp;&nbsp; $- | &nbsp;&nbsp; $- | &nbsp;&nbsp; $3312874 | &nbsp;&nbsp; $155158 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(k)</sup> The rate shown is the 7-day SEC standardized yield as of September 30, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Open Futures Contracts** | **Open Futures Contracts** | **Open Futures Contracts** | **Open Futures Contracts** | **Open Futures Contracts** | **Open Futures Contracts** |
| **Long Futures Contracts** | &nbsp;&nbsp; **Number of**<br> **Contracts**<br>| &nbsp;&nbsp;&nbsp; **Expiration**<br> **Month**<br>| &nbsp;&nbsp; **Notional**<br> **Value**<br>| **Value** | &nbsp;&nbsp; **Unrealized**<br> **Appreciation**<br> &nbsp;&nbsp;&nbsp;&nbsp;**(Depreciation)**<br>|
| **Interest Rate Risk** | **Interest Rate Risk** | **Interest Rate Risk** | **Interest Rate Risk** | **Interest Rate Risk** | **Interest Rate Risk** |
| U.S. Treasury 2 Year Notes | &nbsp;&nbsp;&nbsp; 83 | December-2025 | &nbsp;&nbsp;&nbsp; $17297070 | &nbsp;&nbsp;&nbsp; $27883 | &nbsp;&nbsp;&nbsp; $27883 |
| U.S. Treasury 10 Year Notes | &nbsp;&nbsp;&nbsp; 36 | December-2025 | &nbsp;&nbsp;&nbsp; 4050000 | &nbsp;&nbsp;&nbsp; (37254)<br>| &nbsp;&nbsp;&nbsp; (37254)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Subtotal—Long Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Subtotal—Long Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Subtotal—Long Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Subtotal—Long Futures Contracts | &nbsp;&nbsp;&nbsp; (9371)<br>| &nbsp;&nbsp;&nbsp; (9371)<br>|

---

See accompanying notes which are an integral part of this schedule.

**Invesco Quality Income Fund**

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Open Futures Contracts—(continued)** | **Open Futures Contracts—(continued)** | **Open Futures Contracts—(continued)** | **Open Futures Contracts—(continued)** | **Open Futures Contracts—(continued)** | **Open Futures Contracts—(continued)** |
| **Short Futures Contracts** | &nbsp;&nbsp; **Number of**<br> **Contracts**<br>| &nbsp;&nbsp;&nbsp; **Expiration**<br> **Month**<br>| &nbsp;&nbsp; **Notional**<br> **Value**<br>| **Value** | &nbsp;&nbsp; **Unrealized**<br> **Appreciation**<br> &nbsp;&nbsp;&nbsp;&nbsp;**(Depreciation)**<br>|
| **Interest Rate Risk** | **Interest Rate Risk** | **Interest Rate Risk** | **Interest Rate Risk** | **Interest Rate Risk** | **Interest Rate Risk** |
| U.S. Treasury 5 Year Notes | &nbsp;&nbsp;&nbsp; 25 | December-2025 | &nbsp;&nbsp;&nbsp; $(2729883)<br>| &nbsp;&nbsp;&nbsp; $5335 | &nbsp;&nbsp;&nbsp; $5335 |
| U.S. Treasury 10 Year Ultra Notes | &nbsp;&nbsp;&nbsp; 37 | December-2025 | &nbsp;&nbsp;&nbsp; (4257890)<br>| &nbsp;&nbsp;&nbsp; (6274)<br>| &nbsp;&nbsp;&nbsp; (6274)<br>|
| U.S. Treasury Long Bonds | &nbsp;&nbsp;&nbsp; 11 | December-2025 | &nbsp;&nbsp;&nbsp; (1282531)<br>| &nbsp;&nbsp;&nbsp; 7921 | &nbsp;&nbsp;&nbsp; 7921 |
| U.S. Treasury Ultra Bonds | &nbsp;&nbsp;&nbsp; 34 | December-2025 | &nbsp;&nbsp;&nbsp; (4082125)<br>| &nbsp;&nbsp;&nbsp; (62270)<br>| &nbsp;&nbsp;&nbsp; (62270)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Subtotal—Short Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Subtotal—Short Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Subtotal—Short Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Subtotal—Short Futures Contracts | &nbsp;&nbsp;&nbsp; (55288)<br>| &nbsp;&nbsp;&nbsp; (55288)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Futures Contracts | &nbsp;&nbsp;&nbsp; $(64659)<br>| &nbsp;&nbsp;&nbsp; $(64659)<br>|

---

The valuation policy and a listing of other significant accounting policies are available in the most recent shareholder report.

See accompanying notes which are an integral part of this schedule.

**Invesco Quality Income Fund**

------

**Notes to Quarterly Schedule of Portfolio Holdings**

*September 30, 2025*

*(Unaudited)*

**NOTE 1—Additional Valuation Information**

Generally Accepted Accounting Principles ("GAAP") defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current market conditions. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods may result in transfers in or out of an investment's assigned level:

Level 1 – Prices are determined using quoted prices in an active market for identical assets.

Level 2 – Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. When market movements occur after the close of the relevant foreign securities markets, foreign securities may be fair valued utilizing an independent pricing service.

Level 3 – Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect Invesco Advisers, Inc.'s assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information.

The following is a summary of the tiered valuation input levels, as of September 30, 2025. The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Level 1** | **Level 2** | **Level 3** | **Total** |
| <br>**Investments in Securities** |  |  |  |  |
| U.S. Government Sponsored Agency Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $558156710 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $558156710 |
| Certificates of Deposit | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 31018378 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 31018378 |
| Asset-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 25288163 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 25288163 |
| Commercial Paper | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16004347 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 16004347 |
| Agency Credit Risk Transfer Notes | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 13671450 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 13671450 |
| U.S. Treasury Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1386957 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1386957 |
| Money Market Funds | &nbsp;&nbsp;&nbsp;&nbsp; 3312874 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3312874 |
| **Total Investments in Securities** | &nbsp;&nbsp;&nbsp;&nbsp; 3312874 | &nbsp;&nbsp;&nbsp;&nbsp; 645526005 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 648838879 |
| **Other Investments - Assets** |  |  |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; 41139 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 41139 |
| **Other Investments - Liabilities\*** |  |  |  |  |
| Securities Sold Short | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (16741422)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (16741422)<br>|
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; (105798)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (105798)<br>|
|  | &nbsp;&nbsp;&nbsp;&nbsp; (105798)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (16741422)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (16847220)<br>|
| **Total Other Investments** | &nbsp;&nbsp;&nbsp;&nbsp; (64659)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (16741422)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (16806081)<br>|
| **Total Investments** | &nbsp;&nbsp;&nbsp;&nbsp; $3248215 | &nbsp;&nbsp;&nbsp;&nbsp; $628784583 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $632032798 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

\* Futures contracts are valued at unrealized appreciation (depreciation). Securities sold short are shown at value.

**Invesco Quality Income Fund**

------

## 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 Growth Series (Invesco Growth Series)

- **b. Investment Company Act file number:** 811-02699

- **c. CIK number of Registrant:** 0000202032

- **d. LEI of Registrant:** EHBZ0YMC2UFRMDIU6731

- **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 Quality Income Fund

- **b. EDGAR series identifier (if any):** S000027862

- **c. LEI of Series:** Z5XM6FHQ2ZGIRVHR7B13

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-09-30

**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:** $656710803.09

**Total Liabilities:** $144107140.60

**Net Assets:** $512603662.49

**Delayed Delivery Securities:** $138478015.82

**Cash Not Reported:** $348342.91

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2489.27935621 | **1-Year:** -35213.62686821 | **5-Year:** -92916.75702792 | **10-Year:** -154424.72566377 | **30-Year:** -41332.18846896

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

- **3-Month:** -10.75926882 | **1-Year:** -129.02291451 | **5-Year:** -146.10842077 | **10-Year:** -31.30109018 | **30-Year:** -0.33715735

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000084606 | -0.42%               | 1.75%                | 1.12%                |
| Class ID C000217950 | -0.46%               | 1.70%                | 1.08%                |
| Class ID C000188964 | -0.41%               | 1.75%                | 1.13%                |
| Class ID C000084605 | -0.42%               | 1.74%                | 1.12%                |
| Class ID C000084602 | -0.44%               | 1.62%                | 1.10%                |
| Class ID C000084604 | -0.51%               | 1.67%                | 1.04%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $410709.88               | $-4236763.42                               |
| Month 2  | $871604.29               | $6497272.17                                |
| Month 3  | $1619563.38              | $3049695.30                                |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays U.S. MBS Index

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

### 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        |    467761 | PA      | $484394.19    | 0.09%             | 2039-01-20      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31414UJU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213069 | PA      | $217894.57    | 0.04%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202WX95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       528 | PA      | $540.15       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16067000 | PA      | $15984312.15  | 3.12%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36225A5Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        27 | PA      | $27.58        | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418DVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6436105 | PA      | $5464804.13   | 1.07%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392BJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     53556 | PA      | $5367.40      | 0.00%             | 2032-03-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    806970 | PA      | $742550.69    | 0.14%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A1DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     19867 | PA      | $88.51        | 0.00%             | 2026-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                 | GSR Mortgage Loan Trust, Series 2004-12, Class 3A6                                 | CUSIP: 36242DLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141512 | PA      | $133573.77    | 0.03%             | 2034-12-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136ACAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    363040 | PA      | $6935.29      | 0.00%             | 2028-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412MPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       690 | PA      | $717.54       | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405V4M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       366 | PA      | $371.15       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136B1BQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2159 | PA      | $3.98         | 0.00%             | 2044-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31380RHF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17655 | PA      | $18231.21     | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410GLY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159893 | PA      | $168435.53    | 0.03%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371KF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        76 | PA      | $79.68        | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138XTAS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668561 | PA      | $648108.50    | 0.13%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371GN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1238 | PA      | $1277.88      | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.              | Australia & New Zealand Banking Group Ltd.                                         | CUSIP: 05253MZZ0<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   6000000 | PA      | $6000896.04   | 1.17%             | 2026-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31409EGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21949 | PA      | $22849.29     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133ARDX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3324685 | PA      | $2840795.11   | 0.55%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137B26D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     65255 | PA      | $1423.26      | 0.00%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207VWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        87 | PA      | $87.81        | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31394YF74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      1125 | PA      | $8.69         | 0.00%             | 2026-07-15      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38378CE94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    610339 | PA      | $613418.33    | 0.12%             | 2041-07-20      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404MUP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18237 | PA      | $19046.53     | 0.00%             | 2034-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385HQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4584 | PA      | $4746.19      | 0.00%             | 2030-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405RLZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56046 | PA      | $57328.04     | 0.01%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31414CK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1638 | PA      | $1700.48      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    100344 | PA      | $13597.49     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31307TDS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169583 | PA      | $165419.75    | 0.03%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31380EJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       752 | PA      | $775.66       | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31383LTC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4490 | PA      | $4654.21      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Trust                                         | JP Morgan Trust, Series 2015-3, Class A3                                           | CUSIP: 46644MAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464776 | PA      | $433515.00    | 0.08%             | 2045-05-25      | Variable      | 3.50%                 | 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       |        83 | NC      | $27882.85     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209JEL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14892 | PA      | $14984.23     | 0.00%             | 2028-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393VKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    232367 | PA      | $228514.97    | 0.04%             | 2032-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140M0BG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3643234 | PA      | $3117352.44   | 0.61%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191122 | PA      | $195820.50    | 0.04%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138EGQ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211774 | PA      | $215127.08    | 0.04%             | 2038-01-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283HB20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7446 | PA      | $7713.36      | 0.00%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137ADPN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      8536 | PA      | $8494.29      | 0.00%             | 2026-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, IO                                       | CUSIP: 38380HQY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    525413 | PA      | $67941.83     | 0.01%             | 2047-10-16      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31397BZ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    340203 | PA      | $338936.46    | 0.07%             | 2036-10-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31378CTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        99 | PA      | $101.70       | 0.00%             | 2027-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36206NU52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       163 | PA      | $164.76       | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.   | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K093, Class X1, IO   | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |  12180298 | PA      | $347960.66    | 0.07%             | 2029-05-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403RFD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11938 | PA      | $12470.39     | 0.00%             | 2033-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AUFY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     67620 | PA      | $696.75       | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209BE20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       466 | PA      | $481.07       | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209AEY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       821 | PA      | $833.48       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371GVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       133 | PA      | $136.97       | 0.00%             | 2028-07-01      | 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        |   5660513 | PA      | $796677.55    | 0.16%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9322000 | PA      | $9482057.06   | 1.85%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust, Series 2006-AR2, Class 1A2                          | CUSIP: 17307G6L7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5526 | PA      | $5423.11      | 0.00%             | 2036-03-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M4AH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50619 | PA      | $52757.88     | 0.01%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAXK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    194183 | PA      | $21255.50     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                            | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A1                            | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135618 | PA      | $135092.28    | 0.03%             | 2035-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207KAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       198 | PA      | $200.35       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31339LHR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      6995 | PA      | $6992.36      | 0.00%             | 2029-01-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390MJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36277 | PA      | $37883.01     | 0.01%             | 2032-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140J9C25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1829588 | PA      | $1761523.65   | 0.34%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405V4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4823 | PA      | $4935.82      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YC80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    179134 | PA      | $24585.23     | 0.00%             | 2031-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138EQKK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2243922 | PA      | $2146313.66   | 0.42%             | 2040-09-01      | Fixed         | 3.50%                 | 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       |       -48 | NC      | $10337.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | U.S. Treasury 10 Year Ultra Future                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -43 | NC      | $-12086.64    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31368HKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19895 | PA      | $20384.29     | 0.00%             | 2030-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31387KFT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       860 | PA      | $898.14       | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191147 | PA      | $195604.20    | 0.04%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 3136AXEG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   2559019 | PA      | $2524167.66   | 0.49%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208QSB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        36 | PA      | $36.91        | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210XUH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1714 | PA      | $1741.28      | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6400000 | PA      | $-5159891.90  | -1.01%            | 2055-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 2001-3, IO                                           | CUSIP: 911760RC2<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   1165661 | PA      | $11.66        | 0.00%             | 2031-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, IO                                       | CUSIP: 38377VGZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    593203 | PA      | $40448.55     | 0.01%             | 2041-04-16      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Trust & Banking Corp.                    | Mitsubishi UFJ Trust & Banking Corp.                                               | CUSIP: 60683D7D5<br>LEI: JBONEPAGQXF4QP29B387 | Long             | DBT              | CORP              | JP        |  10000000 | PA      | $10006006.00  | 1.95%             | 2026-01-30      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394CXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    486914 | PA      | $42536.41     | 0.01%             | 2035-03-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140M2EC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5053614 | PA      | $4139933.03   | 0.81%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31325UP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     22022 | PA      | $526.38       | 0.00%             | 2027-12-15      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DCQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203193 | PA      | $212255.12    | 0.04%             | 2034-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135953 | PA      | $137888.70    | 0.03%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133B6UN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2743568.63   | 0.54%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36211C4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4009 | PA      | $4036.16      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140K3DN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3130177 | PA      | $3011177.98   | 0.59%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 312940ZC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432213 | PA      | $443395.73    | 0.09%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136BKWM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |  18204577 | PA      | $2637364.39   | 0.51%             | 2049-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                     | Bank of Nova Scotia                                                                | CUSIP: 06418NHS4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   3000000 | PA      | $3001013.70   | 0.59%             | 2026-07-22      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412XFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19369 | PA      | $20046.15     | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M7V29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249769 | PA      | $256228.83    | 0.05%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance II Ltd.                       | Sapphire Aviation Finance II Ltd., Series 2020-1A, Class B                         | CUSIP: 80307AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3020740 | PA      | $2777000.40   | 0.54%             | 2040-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132QSYT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2013500 | PA      | $1881988.80   | 0.37%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394EG51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     58261 | PA      | $58023.29     | 0.01%             | 2035-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138EGCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34368 | PA      | $34381.65     | 0.01%             | 2032-08-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393F7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     53689 | PA      | $53518.36     | 0.01%             | 2032-02-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394EGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      1740 | PA      | $22.01        | 0.00%             | 2031-10-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138AUFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1246089 | PA      | $1194130.31   | 0.23%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    125948 | PA      | $17300.96     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31287PHP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13522 | PA      | $14195.39     | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138X3XR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4700728 | PA      | $4570018.65   | 0.89%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133BEVJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3977787 | PA      | $3891716.03   | 0.76%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411UPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7644 | PA      | $7946.03      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TT4B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    175454 | PA      | $178200.95    | 0.03%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31296XJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14289 | PA      | $14769.05     | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                | Fannie Mae Connecticut Avenue Securities, Series 2023-R02, Class 1M2               | CUSIP: 20755AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5550000 | PA      | $5799158.93   | 1.13%             | 2043-01-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DM2Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6969019 | PA      | $5712221.64   | 1.11%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200NYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       297 | PA      | $306.74       | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405LAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7361 | PA      | $7424.65      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405D3R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2715 | PA      | $2835.50      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200KEY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1910 | PA      | $1978.35      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31380MBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       373 | PA      | $385.06       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140E0EK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1410678 | PA      | $1282274.44   | 0.25%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404G2G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152399 | PA      | $153826.25    | 0.03%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    315986 | PA      | $34761.04     | 0.01%             | 2032-04-25      | 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        |    399418 | PA      | $409392.05    | 0.08%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140JKBW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1355603 | PA      | $1300016.32   | 0.25%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403GDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1017 | PA      | $1039.40      | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374GB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15679 | PA      | $15761.44     | 0.00%             | 2027-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394FD93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    187369 | PA      | $186567.67    | 0.04%             | 2035-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415PFB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149621 | PA      | $154610.90    | 0.03%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133A0BR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1347019 | PA      | $1336226.38   | 0.26%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust, Series 2005-11, Class A2A                           | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328964 | PA      | $343382.04    | 0.07%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392F7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     88493 | PA      | $8623.65      | 0.00%             | 2032-12-18      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31409TRM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       666 | PA      | $694.53       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392HRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     55609 | PA      | $7210.66      | 0.00%             | 2033-02-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3789000 | PA      | $3328688.30   | 0.65%             | 2055-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 1999-3, IO                                           | CUSIP: 911760NG7<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   1791934 | PA      | $18.01        | 0.00%             | 2029-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132WJQX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6793360 | PA      | $6367183.92   | 1.24%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    120592 | PA      | $15483.80     | 0.00%             | 2033-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       691 | PA      | $713.84       | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392EHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     31668 | PA      | $3023.34      | 0.00%             | 2032-09-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, PO                                                             | CUSIP: 3128CVVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     84520 | PA      | $77155.83     | 0.02%             | 2032-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392ERQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     56783 | PA      | $6083.37      | 0.00%             | 2032-07-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390HJF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       369 | PA      | $382.52       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290SEP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       771 | PA      | $781.86       | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128ME5M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2107376 | PA      | $2062373.52   | 0.40%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210PWH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       673 | PA      | $678.05       | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust, Series 2005-A1, Class 3A1                              | CUSIP: 466247LP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175221 | PA      | $168681.42    | 0.03%             | 2035-02-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QCT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2264351 | PA      | $2190709.06   | 0.43%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                           | Banc of America Funding Trust, Series 2006-A, Class 1A1                            | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130492 | PA      | $124856.64    | 0.02%             | 2036-02-20      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A1DA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      5777 | PA      | $5720.98      | 0.00%             | 2026-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132XCSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1816882 | PA      | $1751586.90   | 0.34%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335PMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308139 | PA      | $312745.65    | 0.06%             | 2039-01-20      | Fixed         | 5.80%                 | 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       |       -34 | NC      | $-62270.33    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 2002-2, IO                                           | CUSIP: 911760RZ1<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   3376865 | PA      | $322.49       | 0.00%             | 2032-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138E4MG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    959012 | PA      | $933644.62    | 0.18%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335PMW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459637 | PA      | $466057.82    | 0.09%             | 2038-10-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31395DUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     37538 | PA      | $44756.06     | 0.01%             | 2036-06-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374GWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       369 | PA      | $380.59       | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140MF5H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1158227 | PA      | $1067370.29   | 0.21%             | 2037-02-01      | Fixed         | 2.00%                 | 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        |   7481620 | PA      | $5646387.43   | 1.10%             | 2062-04-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140F5PA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    529357 | PA      | $509557.52    | 0.10%             | 2046-04-01      | Fixed         | 4.00%                 | 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      | $6003570.00   | 1.17%             | 2026-08-28      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140L85E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6031644 | PA      | $5349107.37   | 1.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403C7D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    627474 | PA      | $643004.13    | 0.13%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A4                          | CUSIP: 17307GLB2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     20826 | PA      | $19693.58     | 0.00%             | 2034-08-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31398LPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    118188 | PA      | $11196.70     | 0.00%             | 2039-12-15      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KHQ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    442301 | PA      | $416040.22    | 0.08%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31414GS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       878 | PA      | $915.38       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4248633 | PA      | $3593062.82   | 0.70%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133A0TY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2690829 | PA      | $2429186.13   | 0.47%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405YVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84748 | PA      | $86995.62     | 0.02%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EF88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     53446 | PA      | $53848.51     | 0.01%             | 2032-07-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209ASX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       733 | PA      | $736.08       | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385XEE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       274 | PA      | $283.45       | 0.00%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KHDE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1526618 | PA      | $1367174.81   | 0.27%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31381CV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       374 | PA      | $382.21       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24804 | PA      | $25609.47     | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Zaxby's Funding LLC                                     | Zaxby's Funding LLC, Series 2021-1A, Class A2                                      | CUSIP: 98920MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2784000 | PA      | $2629738.00   | 0.51%             | 2051-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust, Series 2015-SC02, Class 1A                | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    185809 | PA      | $163187.48    | 0.03%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31416B4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11851 | PA      | $12495.21     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385HQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103552 | PA      | $106401.07    | 0.02%             | 2029-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QLNE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6617566 | PA      | $5619180.59   | 1.10%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 3136A4HF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     96281 | PA      | $95215.34     | 0.02%             | 2042-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31393BZV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     90242 | PA      | $10525.17     | 0.00%             | 2033-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                       | CD Mortgage Trust, Series 2017-CD6, Class XA                                       | CUSIP: 125039AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5745776 | PA      | $73608.56     | 0.01%             | 2050-11-13      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404EGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6544 | PA      | $6754.47      | 0.00%             | 2031-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392EGP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     56985 | PA      | $5408.41      | 0.00%             | 2032-09-25      | Floating      | 3.53%                 | 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        |  10371085 | PA      | $10586278.92  | 2.07%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140X55Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3844852 | PA      | $3679588.74   | 0.72%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                            | Chase Mortgage Finance Corp., Series 2016-SH2, Class M4                            | CUSIP: 16164AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1138544 | PA      | $1055837.78   | 0.21%             | 2045-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38381WQG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    282336 | PA      | $291761.64    | 0.06%             | 2033-11-20      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137ARKB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    140911 | PA      | $2328.35      | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31379PZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2643 | PA      | $2699.45      | 0.00%             | 2028-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                  | Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 3A                    | CUSIP: 59020UL52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83961 | PA      | $79819.38     | 0.02%             | 2035-11-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31397L5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2473 | PA      | $127.80       | 0.00%             | 2038-07-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31292GZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8185 | PA      | $8461.77      | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31386FPL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1457 | PA      | $1521.16      | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13685000 | PA      | $13788985.88  | 2.69%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371M5N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83699 | PA      | $88247.17     | 0.02%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210SFX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       979 | PA      | $995.05       | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138WD4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1506381 | PA      | $1452382.94   | 0.28%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202DFF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3236 | PA      | $3342.93      | 0.00%             | 2030-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128KL3H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44141 | PA      | $45335.74     | 0.01%             | 2037-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSMLT Trust                                             | CSMLT Trust, Series 2015-1, Class A9                                               | CUSIP: 12592UAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254710 | PA      | $235987.16    | 0.05%             | 2045-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415VNS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       668 | PA      | $698.88       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136AXQT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    189854 | PA      | $38520.17     | 0.01%             | 2047-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Shellpoint Asset Funding Trust                          | Shellpoint Asset Funding Trust, Series 2013-1, Class A3                            | CUSIP: 822804AK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285921 | PA      | $274985.88    | 0.05%             | 2043-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392JY29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2610 | PA      | $2594.21      | 0.00%             | 2033-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31359QJV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     28865 | PA      | $1157.10      | 0.00%             | 2027-09-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405VZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       666 | PA      | $691.38       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405NDC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5053 | PA      | $5246.04      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3736 | PA      | $3856.75      | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208WEG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       468 | PA      | $473.68       | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374GUA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       441 | PA      | $455.49       | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                  | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2003-AR10, Class A7                 | CUSIP: 92922FEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82949 | PA      | $80193.91     | 0.02%             | 2033-10-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403C5V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234278 | PA      | $240999.55    | 0.05%             | 2033-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404L5R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       967 | PA      | $992.27       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ING US Funding LLC                                      | ING US Funding LLC                                                                 | CUSIP: 44988GFE3<br>LEI: 254900QX5Y2ZDZ6XBT08 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5000953.50   | 0.98%             | 2025-10-24      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411YXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6083 | PA      | $6332.83      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374GBJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       781 | PA      | $805.72       | 0.00%             | 2027-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405D2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3160 | PA      | $3300.51      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | 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        |   5225411 | PA      | $5322996.67   | 1.04%             | 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        |      4173 | PA      | $4347.00      | 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        |     28700 | PA      | $30168.08     | 0.01%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31397JST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     50175 | PA      | $49841.67     | 0.01%             | 2037-07-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2735000 | PA      | $2757958.19   | 0.54%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36201U4B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       268 | PA      | $271.48       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136APZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    684194 | PA      | $69439.91     | 0.01%             | 2035-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138XPWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417998 | PA      | $409807.00    | 0.08%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393FGJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     30827 | PA      | $30730.59     | 0.01%             | 2029-06-15      | Floating      | 4.89%                 | 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        |     59236 | PA      | $62039.16     | 0.01%             | 2035-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31408FQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1975 | PA      | $2062.94      | 0.00%             | 2036-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                           | UBS Commercial Mortgage Trust, Series 2017-C5, Class XA                            | CUSIP: 90276TAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7502883 | PA      | $120824.93    | 0.02%             | 2050-11-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F0326A7<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3000000 | PA      | $-2741266.68  | -0.53%            | 2055-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                  | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2007-HY2, Class 2A1                 | CUSIP: 92926UAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25410 | PA      | $22363.61     | 0.00%             | 2036-11-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207KTT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2069 | PA      | $2089.24      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31395LMA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    398392 | PA      | $25818.05     | 0.01%             | 2035-01-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust, Series 2017-C4, Class XA                      | CUSIP: 17326FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15326944 | PA      | $247841.29    | 0.05%             | 2050-10-12      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418MJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71820 | PA      | $75471.87     | 0.01%             | 2033-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290VYD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10455 | PA      | $10831.03     | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FA2H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     64136 | PA      | $9104.42      | 0.00%             | 2033-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust                                | Agate Bay Mortgage Trust, Series 2015-2, Class B1                                  | CUSIP: 00841XBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    885808 | PA      | $830297.43    | 0.16%             | 2045-03-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XFX55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3790122 | PA      | $3374398.14   | 0.66%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.   | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series Q004, Class AFL      | CUSIP: 3137FARM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    191809 | PA      | $191820.52    | 0.04%             | 2044-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405MGF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3062 | PA      | $3197.61      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390VG32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5922 | PA      | $6183.64      | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392TMM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     21674 | PA      | $21627.25     | 0.00%             | 2032-03-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31391BEG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16992 | PA      | $17546.07     | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209NAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1836 | PA      | $1865.19      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QCG59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3969338 | PA      | $3874958.82   | 0.76%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                   | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A2                   | CUSIP: 576433WE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68578 | PA      | $68283.45     | 0.01%             | 2034-04-21      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140EUBG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1946380 | PA      | $1907002.59   | 0.37%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283HK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2734 | PA      | $2748.55      | 0.00%             | 2031-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31416BSR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181568 | PA      | $192397.10    | 0.04%             | 2038-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133B1ST9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2140504 | PA      | $1753309.79   | 0.34%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31339LK33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     30297 | PA      | $30372.55     | 0.01%             | 2031-12-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410FY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17069 | PA      | $17714.87     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.   | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K735, Class X1, IO   | CUSIP: 3137FMU83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |  14987214 | PA      | $55680.50     | 0.01%             | 2026-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617LEZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2016557 | PA      | $1810922.51   | 0.35%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QFBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5078652 | PA      | $4350913.39   | 0.85%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136AAQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    305153 | PA      | $37812.00     | 0.01%             | 2042-12-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31382D6W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       270 | PA      | $282.10       | 0.00%             | 2029-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405U3N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12454 | PA      | $12923.26     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp., ARM                                              | CUSIP: 31288QQF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2874303 | PA      | $2956433.65   | 0.58%             | 2048-11-01      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust, Series 2017-HR2, Class XA                          | CUSIP: 61691NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5306402 | PA      | $81166.19     | 0.02%             | 2050-12-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31297BTP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6833 | PA      | $7143.45      | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415QNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       152 | PA      | $155.52       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36291FWL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       644 | PA      | $654.79       | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31386TWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1421 | PA      | $1484.26      | 0.00%             | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138WEC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1156406 | PA      | $1114832.86   | 0.22%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31293TU39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3398 | PA      | $3522.11      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137A3JW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      3571 | PA      | $3562.27      | 0.00%             | 2025-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QREJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5686792 | PA      | $5679730.15   | 1.11%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31379JSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2668 | PA      | $2761.09      | 0.00%             | 2028-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617VBN21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1571560 | PA      | $1327975.25   | 0.26%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371LM48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       299 | PA      | $306.71       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202XEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       272 | PA      | $278.40       | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410LSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1340135 | PA      | $1341619.21   | 0.26%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385JK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38353 | PA      | $40071.16     | 0.01%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290WG55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11309 | PA      | $11519.89     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust          | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1          | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17941 | PA      | $17802.10     | 0.00%             | 2035-01-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405KRH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23317 | PA      | $24129.08     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209HDN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       757 | PA      | $767.86       | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust          | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2           | CUSIP: 863579BM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179012 | PA      | $166707.60    | 0.03%             | 2034-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136AB5N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    188129 | PA      | $22063.29     | 0.00%             | 2043-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31401NXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3044 | PA      | $3178.52      | 0.00%             | 2033-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137AGSJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        18 | PA      | $18.19        | 0.00%             | 2026-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31359QNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2791 | PA      | $111.40       | 0.00%             | 2027-08-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403BZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15307 | PA      | $15501.50     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DMKN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5067291 | PA      | $4555560.75   | 0.89%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411AJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10919 | PA      | $11367.02     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418BQM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1565044 | PA      | $1489323.06   | 0.29%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     41808 | PA      | $4479.04      | 0.00%             | 2032-07-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402RDK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4692 | PA      | $4902.40      | 0.00%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31325UP26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     29463 | PA      | $542.15       | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132GRHJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    551268 | PA      | $550945.83    | 0.11%             | 2042-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136ARBA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   3146513 | PA      | $199698.18    | 0.04%             | 2056-02-25      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, IO                                       | CUSIP: 38380HHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    526843 | PA      | $95896.23     | 0.02%             | 2047-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $8268319.52   | 1.61%             | 2025-10-14      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust                           | Galton Funding Mortgage Trust, Series 2018-1, Class A33                            | CUSIP: 36417JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197850 | PA      | $180679.61    | 0.04%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283HV85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3193 | PA      | $3299.74      | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140K9ND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4500475 | PA      | $4028831.83   | 0.79%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAA67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     76994 | PA      | $10045.97     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371NMF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10674 | PA      | $11082.20     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M6FN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68985 | PA      | $72771.14     | 0.01%             | 2035-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    977494 | PA      | $910571.90    | 0.18%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393JAZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     42245 | PA      | $42160.80     | 0.01%             | 2033-01-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     69481 | PA      | $8055.84      | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202DBH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15103 | PA      | $15573.37     | 0.00%             | 2029-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31293LRR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1559 | PA      | $1617.52      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405QPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2285 | PA      | $2371.89      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KHFY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3028498 | PA      | $2694477.06   | 0.53%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                  | GSAA Home Equity Trust, Series 2007-7, Class A4                                    | CUSIP: 36249BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7939 | PA      | $7702.20      | 0.00%             | 2037-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392DPX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     66340 | PA      | $6739.24      | 0.00%             | 2032-03-18      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31395XLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     14414 | PA      | $17147.21     | 0.00%             | 2035-08-15      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AUC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    524070 | PA      | $10207.09     | 0.00%             | 2027-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31398SRE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      4096 | PA      | $4081.14      | 0.00%             | 2025-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AQBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   1105520 | PA      | $62879.75     | 0.01%             | 2039-02-15      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31359XCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     37709 | PA      | $38365.31     | 0.01%             | 2029-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     35043 | PA      | $34997.15     | 0.01%             | 2032-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290RRG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       116 | PA      | $118.05       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                  | Merrill Lynch Mortgage Investors Trust, Series 2005-A, Class A1                    | CUSIP: 59020UTB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166594 | PA      | $160368.54    | 0.03%             | 2030-03-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AXEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     62353 | PA      | $1124.46      | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAXJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    186444 | PA      | $20750.39     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36295PTS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196637 | PA      | $196388.80    | 0.04%             | 2037-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, PO                                                             | CUSIP: 3128CVRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     27344 | PA      | $24831.25     | 0.00%             | 2031-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390ABQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6515 | PA      | $6727.49      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133994L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     44041 | PA      | $44470.92     | 0.01%             | 2031-08-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403BHS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10164 | PA      | $10299.60     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36205YBQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       596 | PA      | $599.60       | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FANS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     92885 | PA      | $11426.81     | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412LJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5323 | PA      | $5539.79      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YCE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      7370 | PA      | $375.82       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392UKB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     42189 | PA      | $42052.63     | 0.01%             | 2032-03-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31397QWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    244721 | PA      | $234987.08    | 0.05%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31395U5B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     69212 | PA      | $4409.20      | 0.00%             | 2035-05-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    140448 | PA      | $19162.44     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133G7K36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1240071 | PA      | $1200666.95   | 0.23%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405WDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13016 | PA      | $13508.07     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31406UHF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       376 | PA      | $383.70       | 0.00%             | 2030-06-01      | Fixed         | 6.00%                 | 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        |   4905479 | PA      | $5005996.58   | 0.98%             | 2068-11-25      | Variable      | 7.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209ER87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16820 | PA      | $16888.84     | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132GTZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1597933 | PA      | $1556694.27   | 0.30%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138YTNJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1406704 | PA      | $1322001.64   | 0.26%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394AZZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    288192 | PA      | $287517.53    | 0.06%             | 2034-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                | Benchmark Mortgage Trust, Series 2018-B1, Class XA                                 | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11191682 | PA      | $105838.62    | 0.02%             | 2051-01-15      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Bills                                     | U.S. Treasury Bills                                                                | CUSIP: 912797QN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1419000 | PA      | $1386957.22   | 0.27%             | 2026-05-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31419AKZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213455 | PA      | $204547.43    | 0.04%             | 2040-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335PM36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    792879 | PA      | $812709.79    | 0.16%             | 2038-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 2003-1, IO                                           | CUSIP: 911760SZ0<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   6239376 | PA      | $477.94       | 0.00%             | 2032-11-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36205XC36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       234 | PA      | $242.21       | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31298EX67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26022 | PA      | $26912.43     | 0.01%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140H0AP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2115745 | PA      | $1979455.55   | 0.39%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31386DC81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4344 | PA      | $4536.28      | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust, Series 2017-5, Class A1                                | CUSIP: 46590YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89799 | PA      | $90808.25     | 0.02%             | 2048-10-26      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392AT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     57398 | PA      | $58030.34     | 0.01%             | 2031-12-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                            | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A4                            | CUSIP: 16163LBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125282 | PA      | $124235.37    | 0.02%             | 2035-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209FBN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5028 | PA      | $5129.60      | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410FV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46776 | PA      | $48856.59     | 0.01%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31296LPB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25576 | PA      | $26423.26     | 0.01%             | 2033-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128LXNJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258651 | PA      | $268506.21    | 0.05%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS                                                                 | CUSIP: 3128HVJ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    384910 | PA      | $383316.67    | 0.07%             | 2036-05-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412TVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16091 | PA      | $16906.93     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31417DVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499569 | PA      | $471649.82    | 0.09%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136ASXP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    197021 | PA      | $25722.55     | 0.01%             | 2046-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31382NLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40327 | PA      | $41657.54     | 0.01%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     38708 | PA      | $3859.81      | 0.00%             | 2032-04-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M7DF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153809 | PA      | $155203.54    | 0.03%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc. Trust                  | Residential Accredit Loans, Inc. Trust, Series 2006-QS13, Class 1A8                | CUSIP: 75115DAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22269 | PA      | $17880.20     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Loans Structured Transaction       | Freddie Mac Seasoned Loans Structured Transaction, Series 2019-1, Class A2         | CUSIP: 35564CBC0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2000000 | PA      | $1944404.60   | 0.38%             | 2029-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31339MRQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      9713 | PA      | $9715.27      | 0.00%             | 2029-07-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31413YRR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        83 | PA      | $87.36        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31325UPL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     44230 | PA      | $956.98       | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392CE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     27651 | PA      | $27925.13     | 0.01%             | 2032-04-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38379GZ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    301150 | PA      | $305234.56    | 0.06%             | 2044-07-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415TSZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       453 | PA      | $484.24       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DNJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5434326 | PA      | $5316738.71   | 1.04%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac, Series 2022-DNA4, Class M1                                            | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |   4615000 | PA      | $4792362.76   | 0.93%             | 2042-05-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385XQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36011 | PA      | $37182.82     | 0.01%             | 2033-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Grantor Trust                                | Fannie Mae Grantor Trust, Series 1999-T2, Class A1                                 | CUSIP: 31359VYH0<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |     75053 | PA      | $77694.78     | 0.02%             | 2039-01-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140X9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6736664 | PA      | $5479489.55   | 1.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68826 | PA      | $71645.44     | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | Bank, Series 2017-BNK5, Class AS                                                   | CUSIP: 06541WBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3122159.36   | 0.61%             | 2060-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31416KAX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       637 | PA      | $668.95       | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36201DUR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1020 | PA      | $1033.79      | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402DPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287504 | PA      | $296822.32    | 0.06%             | 2029-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     61825 | PA      | $4961.07      | 0.00%             | 2032-04-25      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 3136AR6E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    223977 | PA      | $220767.81    | 0.04%             | 2046-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31293MJF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15762 | PA      | $16284.20     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1                                | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39921 | PA      | $38096.06     | 0.01%             | 2035-07-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31286PAA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297719 | PA      | $308350.05    | 0.06%             | 2038-07-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31380D3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1566 | PA      | $1616.11      | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209MGF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6575 | PA      | $6679.69      | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411APZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4238 | PA      | $4412.52      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TJUT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     41610 | PA      | $41743.31     | 0.01%             | 2029-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38377RQ81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |      2679 | PA      | $2671.38      | 0.00%             | 2025-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209BA24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       172 | PA      | $172.65       | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209AE89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1089 | PA      | $1105.44      | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31396XCE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    308413 | PA      | $305233.30    | 0.06%             | 2037-08-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394DR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    456006 | PA      | $452903.58    | 0.09%             | 2035-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association, ARM                                         | CUSIP: 3140JBWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2115232 | PA      | $2189556.97   | 0.43%             | 2045-04-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YW70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     40853 | PA      | $4413.31      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac, Series 2022-HQA3, Class M1                                            | CUSIP: 35564KE39<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |   3033564 | PA      | $3079927.74   | 0.60%             | 2042-08-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410KQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129259 | PA      | $133458.74    | 0.03%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust                                 | Luminent Mortgage Trust, Series 2006-1, Class A1                                   | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23548 | PA      | $20788.11     | 0.00%             | 2036-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374TWX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2405 | PA      | $2482.65      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290SU66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8115 | PA      | $8207.04      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      9973 | PA      | $1325.73      | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31383HYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9449 | PA      | $9866.83      | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EGN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     56985 | PA      | $56999.73     | 0.01%             | 2032-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31395MTC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     59929 | PA      | $3763.26      | 0.00%             | 2035-02-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411EFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6265 | PA      | $6521.91      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31359NUK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      6799 | PA      | $6793.85      | 0.00%             | 2027-03-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QCNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5423771 | PA      | $5300149.22   | 1.03%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31393EJT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     52100 | PA      | $55319.16     | 0.01%             | 2032-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617MKMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2173491 | PA      | $1983896.40   | 0.39%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     18562 | PA      | $18511.77     | 0.00%             | 2032-10-18      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385JNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6719 | PA      | $6937.87      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31393FG91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     42592 | PA      | $2566.66      | 0.00%             | 2029-06-15      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394EGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    147005 | PA      | $12220.54     | 0.00%             | 2031-10-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371LWT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9415 | PA      | $9769.56      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust, Series 2019-INV2, Class A1                             | CUSIP: 46651DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105850 | PA      | $96028.11     | 0.02%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392GDR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     18086 | PA      | $18023.34     | 0.00%             | 2032-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140KDA75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4700236 | PA      | $4141392.03   | 0.81%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392AZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     43160 | PA      | $4391.15      | 0.00%             | 2031-11-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140EX5Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    720830 | PA      | $678066.89    | 0.13%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36211JLK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7729 | PA      | $7786.14      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31359UB53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      4024 | PA      | $4094.53      | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133G8DC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1933806 | PA      | $1864642.95   | 0.36%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208DUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       208 | PA      | $210.53       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418XE53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30268 | PA      | $31014.59     | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418TZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39555 | PA      | $40852.28     | 0.01%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403JPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10505 | PA      | $10846.86     | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31296LLP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16127 | PA      | $16662.52     | 0.00%             | 2033-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209XTH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       673 | PA      | $681.87       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11876615 | PA      | $10209152.62  | 1.99%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DLW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129936 | PA      | $135169.06    | 0.03%             | 2032-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TDBK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     30849 | PA      | $31181.30     | 0.01%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36291CL94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       421 | PA      | $426.27       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities, Inc. Re-REMIC Trust Ctfs. | Deutsche Mortgage Securities, Inc. Re-REMIC Trust Ctfs., Series 2007-WM1, Class A1 | CUSIP: 25157TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130904 | PA      | $1007417.59   | 0.20%             | 2037-06-27      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31395DUN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     14822 | PA      | $17485.48     | 0.00%             | 2036-06-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QGHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1571479 | PA      | $1384721.53   | 0.27%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335BUD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1888729 | PA      | $1984030.25   | 0.39%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAXP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    162704 | PA      | $17878.50     | 0.00%             | 2033-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392MW99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     26928 | PA      | $27124.74     | 0.01%             | 2032-02-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208FZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1445 | PA      | $1457.55      | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XMPT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3912976 | PA      | $4050653.56   | 0.79%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411J3H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4682 | PA      | $4874.35      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405VC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       949 | PA      | $984.68       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31339W2H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     13507 | PA      | $14127.65     | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KGGA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    521731 | PA      | $500842.79    | 0.10%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138A5BX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    982487 | PA      | $1006726.26   | 0.20%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140KEMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4613396 | PA      | $4301642.66   | 0.84%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      8522 | PA      | $8583.87      | 0.00%             | 2032-04-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385XQX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71194 | PA      | $72483.05     | 0.01%             | 2032-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KKAL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5377564 | PA      | $4541414.68   | 0.89%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4300000 | PA      | $4170630.93   | 0.81%             | 2055-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412FK51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8656 | PA      | $8980.62      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140JWPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1093930 | PA      | $1063630.60   | 0.21%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust, Series 2014-1, Class 1A17                              | CUSIP: 46641CAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499918 | PA      | $477832.47    | 0.09%             | 2044-01-25      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KQBC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7340016 | PA      | $7454903.99   | 1.45%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405QS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1233 | PA      | $1281.86      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210GAF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13597 | PA      | $13885.09     | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans Mortgage Pass-Through Trust      | Countrywide Home Loans Mortgage Pass-Through Trust, Series 2004-29, Class 1A1      | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67298 | PA      | $65155.38     | 0.01%             | 2035-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DVKM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4907721 | PA      | $4751163.25   | 0.93%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YCV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      7520 | PA      | $744.46       | 0.00%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405SXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20544 | PA      | $21003.23     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KH5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000494 | PA      | $4621101.79   | 0.90%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404JWD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7327 | PA      | $7415.33      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XMUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10559170 | PA      | $8586081.47   | 1.67%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371MMH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84172 | PA      | $88742.85     | 0.02%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BofA Securities Inc.                                    | BofA Securities Inc.                                                               | CUSIP: 06054CLQ6<br>LEI: 549300HN4UKV1E2R3U73 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5002497.50   | 0.98%             | 2026-08-06      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138AWEM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1093669 | PA      | $1094207.35   | 0.21%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415V3K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       322 | PA      | $331.82       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392UVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     38881 | PA      | $38840.76     | 0.01%             | 2032-03-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TTX30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     49324 | PA      | $51348.45     | 0.01%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H0226A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20125000 | PA      | $17329428.20  | 3.38%             | 2055-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 10 Year Notes Future                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        36 | NC      | $-37254.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TJC43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     39038 | PA      | $38978.82     | 0.01%             | 2029-02-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XC6B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9584033 | PA      | $8209922.85   | 1.60%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XDTX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3874417 | PA      | $3319819.63   | 0.65%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617BTGK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1455984 | PA      | $1374875.77   | 0.27%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138YEQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3560159 | PA      | $3332005.39   | 0.65%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31416BL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196346 | PA      | $206327.65    | 0.04%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374T2L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       800 | PA      | $825.85       | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31389VQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4571 | PA      | $4765.02      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208VSX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3469 | PA      | $3502.61      | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M9H70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2156269 | PA      | $2161691.09   | 0.42%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TG5U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     16321 | PA      | $16638.38     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                     | Bank of Nova Scotia                                                                | CUSIP: 06418NDN9<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   2000000 | PA      | $2000227.00   | 0.39%             | 2025-10-17      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 31364JZP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     30894 | PA      | $2239.25      | 0.00%             | 2029-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 31364HS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     60676 | PA      | $2867.19      | 0.00%             | 2028-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137AEH57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     82060 | PA      | $78938.75     | 0.02%             | 2038-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14198813 | PA      | $12677959.26  | 2.47%             | 2055-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402RHV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106092 | PA      | $109524.13    | 0.02%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QMRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8285751 | PA      | $6771851.79   | 1.32%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31397TEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    525020 | PA      | $43668.82     | 0.01%             | 2038-05-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XMBJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4486421 | PA      | $4647375.19   | 0.91%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31406CGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10831 | PA      | $11287.63     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283H3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78893 | PA      | $80996.66     | 0.02%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392RNB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     27549 | PA      | $27821.04     | 0.01%             | 2032-02-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31383EAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       152 | PA      | $158.96       | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AWK87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    259446 | PA      | $5166.14      | 0.00%             | 2027-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164254 | PA      | $168582.99    | 0.03%             | 2033-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392R6E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     37107 | PA      | $37473.06     | 0.01%             | 2032-03-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20770000 | PA      | $21221621.22  | 4.14%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H0206A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23444000 | PA      | $19384861.53  | 3.78%             | 2055-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.   | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K734, Class X1, IO   | CUSIP: 3137FLN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |  10265191 | PA      | $9648.25      | 0.00%             | 2026-02-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31382NP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15940 | PA      | $16505.44     | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5974049 | PA      | $5956543.28   | 1.16%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392DPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     68355 | PA      | $69122.78     | 0.01%             | 2032-03-18      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TKCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     41016 | PA      | $41689.63     | 0.01%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140K7HQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2964042 | PA      | $2738532.12   | 0.53%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 2002-3, IO                                           | CUSIP: 911760SQ0<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   3588705 | PA      | $6322.22      | 0.00%             | 2032-08-15      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392EWW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     84277 | PA      | $7486.43      | 0.00%             | 2032-08-25      | Floating      | 2.53%                 | 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        |    818094 | PA      | $760910.32    | 0.15%             | 2045-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31392RT84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     22909 | PA      | $1375.27      | 0.00%             | 2029-09-15      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402QSA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19712 | PA      | $20219.37     | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210BBL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1277 | PA      | $1295.87      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133THTM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     24660 | PA      | $25129.50     | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31397NL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    197872 | PA      | $206769.16    | 0.04%             | 2039-06-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371KEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1512 | PA      | $1563.87      | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140J9WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5620118 | PA      | $5433485.43   | 1.06%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31386NCA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       378 | PA      | $390.29       | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       527 | PA      | $543.66       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200KA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1405 | PA      | $1425.75      | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31384VTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        36 | PA      | $36.97        | 0.00%             | 2030-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Invesco Government & Agency Portfolio                   | Invesco Government & Agency Portfolio, Institutional Class                         | CUSIP: 825252885<br>LEI: 5493007T1J7WZ5QI1A47 | Long             | STIV             | RF                | US        |   3312874 | NS      | $3312873.97   | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3131Y7TD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    669532 | PA      | $643668.67    | 0.13%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140M1AL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2340576 | PA      | $1918511.75   | 0.37%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335ALZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2647909 | PA      | $2565701.81   | 0.50%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31393BKD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      8341 | PA      | $1204.43      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290REU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       299 | PA      | $302.73       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209WQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       158 | PA      | $159.02       | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209LD37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3613 | PA      | $3634.02      | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128K7XS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42701 | PA      | $44398.53     | 0.01%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394DXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     94919 | PA      | $4561.29      | 0.00%             | 2035-05-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412Q2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367518 | PA      | $369851.48    | 0.07%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A1QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     83321 | PA      | $7159.40      | 0.00%             | 2041-10-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -10491000 | PA      | $-8840263.18  | -1.72%            | 2055-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31397PM49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      8206 | PA      | $879.84       | 0.00%             | 2037-12-15      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M5F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8192 | PA      | $8567.99      | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Structured Pass-Through Ctfs.               | Freddie Mac Structured Pass-Through Ctfs., Series T-54, Class 2A                   | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   1061519 | PA      | $1070264.98   | 0.21%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617YYWH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1481492 | PA      | $1302916.99   | 0.25%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31397T4E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     23380 | PA      | $2120.83      | 0.00%             | 2038-04-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385XNR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       497 | PA      | $510.41       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCQG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     49183 | PA      | $7025.25      | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137AUGD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   4008556 | PA      | $3927272.49   | 0.77%             | 2027-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390MJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4218 | PA      | $4386.55      | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209CVX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3250 | PA      | $3273.70      | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DMYY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16484645 | PA      | $14124983.22  | 2.76%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAXH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    126267 | PA      | $16441.49     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DDN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23442 | PA      | $24487.04     | 0.00%             | 2033-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Mizuho Bank Ltd.                                        | Mizuho Bank Ltd.                                                                   | CUSIP: 60710TE64<br>LEI: RB0PEZSDGCO3JS6CEU02 | Long             | DBT              | CORP              | JP        |   3000000 | PA      | $3001944.00   | 0.59%             | 2026-02-19      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200WP21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       224 | PA      | $231.84       | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207MK88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2866 | PA      | $2882.38      | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31391RHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1247 | PA      | $1286.55      | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392F6Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     98501 | PA      | $99455.89     | 0.02%             | 2032-12-18      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36291N4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9434 | PA      | $9773.34      | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31384WJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       588 | PA      | $608.02       | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202XLH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       205 | PA      | $206.58       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A9XT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     61168 | PA      | $983.19       | 0.00%             | 2027-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405X2U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2675 | PA      | $2699.11      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404XRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24882 | PA      | $25904.52     | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TNPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     21685 | PA      | $22468.53     | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2435 | PA      | $2514.83      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A5AX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     29345 | PA      | $2305.95      | 0.00%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F0504A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2290000 | PA      | $2313944.22   | 0.45%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31406AWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4196 | PA      | $4280.27      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405RAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120771 | PA      | $125472.61    | 0.02%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31396J4X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    786440 | PA      | $778691.97    | 0.15%             | 2036-03-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402U5D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4930 | PA      | $5147.76      | 0.00%             | 2033-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31292GY34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       464 | PA      | $477.13       | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | 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        |   1855189 | PA      | $1861804.94   | 0.36%             | 2055-10-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202X4F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52680 | PA      | $53517.87     | 0.01%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140H9EU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1317689 | PA      | $1266545.98   | 0.25%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136ABFE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    307165 | PA      | $36593.75     | 0.01%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3133TEPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        10 | PA      | $0.08         | 0.00%             | 2028-07-17      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     86338 | PA      | $7723.44      | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | 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       |       -15 | NC      | $-2959.85     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405V6H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18819 | PA      | $19395.49     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128MJQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    280838 | PA      | $281399.76    | 0.05%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H0626A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4845000 | PA      | $4976674.84   | 0.97%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415SNB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        65 | PA      | $67.52        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137BNCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     60908 | PA      | $61450.73     | 0.01%             | 2042-03-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133A1E65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2817434 | PA      | $2482416.80   | 0.48%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133A47H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2293950 | PA      | $2021310.31   | 0.39%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class XA                   | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8159357 | PA      | $129908.39    | 0.03%             | 2050-12-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392F6J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     25005 | PA      | $1467.17      | 0.00%             | 2032-12-18      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HHS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       193 | PA      | $199.35       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209DE91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       452 | PA      | $459.37       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394DQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    193894 | PA      | $16858.45     | 0.00%             | 2035-05-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411UGM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6719 | PA      | $6994.81      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617MKLS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4529027 | PA      | $4181642.53   | 0.82%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418MJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87043 | PA      | $91184.81     | 0.02%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13016590 | PA      | $10581379.06  | 2.06%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200NAA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       116 | PA      | $117.63       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410VD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1408 | PA      | $1441.08      | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                          | Adjustable Rate Mortgage Trust, Series 2005-7, Class 2A21                          | CUSIP: 007036MT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125288 | PA      | $110904.86    | 0.02%             | 2035-10-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412SB53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8205 | PA      | $8535.72      | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136AYAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   1346365 | PA      | $139713.54    | 0.03%             | 2047-09-25      | Floating      | 1.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     86378 | PA      | $102969.39    | 0.02%             | 2036-03-25      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, PO                                                     | CUSIP: 3136FART9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     22733 | PA      | $20868.49     | 0.00%             | 2032-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31384VPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        60 | PA      | $61.96        | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418MJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73561 | PA      | $76862.78     | 0.01%             | 2032-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392FP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     44752 | PA      | $45093.05     | 0.01%             | 2032-12-25      | Floating      | 5.47%                 | 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        |   2153824 | PA      | $2191521.91   | 0.43%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617LKPS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1544902 | PA      | $1454108.73   | 0.28%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | Standard Chartered Bank                                                            | CUSIP: 85325VRU6<br>LEI: RILFO74KP1CM8P6PCT96 | Long             | DBT              | CORP              | GB        |   7000000 | PA      | $7005617.50   | 1.37%             | 2026-07-24      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36194M3Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1129380 | PA      | $1030880.66   | 0.20%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31334XD97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1255525 | PA      | $1203271.44   | 0.23%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                              | CSMC Trust, Series 2013-7, Class B1                                                | CUSIP: 12647PAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    729243 | PA      | $712646.47    | 0.14%             | 2043-08-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394CKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     24163 | PA      | $1246.32      | 0.00%             | 2035-03-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TMBG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     75626 | PA      | $76996.84     | 0.02%             | 2029-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140EU6V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8333217 | PA      | $7807781.41   | 1.52%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140X5U76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4138198 | PA      | $4039218.65   | 0.79%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208YJ75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       884 | PA      | $890.89       | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128LXJQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65563 | PA      | $67702.08     | 0.01%             | 2033-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137BHBM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    615901 | PA      | $584878.87    | 0.11%             | 2038-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31419AGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28364 | PA      | $28611.33     | 0.01%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371G7E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11255 | PA      | $11618.23     | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KGPY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1259759 | PA      | $1129473.04   | 0.22%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200MPE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17751 | PA      | $18218.06     | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust             | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-1, Class 2A1              | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502640 | PA      | $462533.83    | 0.09%             | 2035-03-25      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XAJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7736796 | PA      | $6642462.28   | 1.30%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31397NP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    456315 | PA      | $461128.12    | 0.09%             | 2037-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418M2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10251 | PA      | $10252.49     | 0.00%             | 2027-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                            | Chase Mortgage Finance Trust, Series 2005-A1, Class 3A1                            | CUSIP: 16162WPJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9776 | PA      | $8520.07      | 0.00%             | 2035-12-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405X3Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4901 | PA      | $5051.11      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202SUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       141 | PA      | $144.29       | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M7S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41967 | PA      | $44414.93     | 0.01%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38379GM79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    381613 | PA      | $387942.14    | 0.08%             | 2041-09-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Structured Asset Sec Mortgage Pass-Through Ctfs.        | Structured Asset Sec Mortgage Pass-Through Ctfs., Series 2002-21A, Class B1II      | CUSIP: 86359ACC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1 | PA      | $1.20         | 0.00%             | 2032-11-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405ND51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9732 | PA      | $10092.85     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Ctfs.                 | CSFB Mortgage-Backed Pass-Through Ctfs., Series 2004-AR5, Class 5A1                | CUSIP: 22541SJD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136783 | PA      | $134866.69    | 0.03%             | 2034-06-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202SWM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44621 | PA      | $45377.20     | 0.01%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283HTM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28141 | PA      | $29145.13     | 0.01%             | 2030-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128MMUL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    593438 | PA      | $574614.45    | 0.11%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392DAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     30327 | PA      | $3294.62      | 0.00%             | 2032-04-25      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371MLC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52702 | PA      | $55563.65     | 0.01%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     40460 | PA      | $5014.16      | 0.00%             | 2032-01-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140M9XT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4586479 | PA      | $3757107.76   | 0.73%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385WX20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3280 | PA      | $3387.28      | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202V7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2872 | PA      | $2892.18      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210A5W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        74 | PA      | $75.19        | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412XLG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17397 | PA      | $17846.91     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137B93W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    203406 | PA      | $21056.40     | 0.00%             | 2044-01-15      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XLND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5418743 | PA      | $4445834.20   | 0.87%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392GDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     18809 | PA      | $18440.00     | 0.00%             | 2032-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140X5FH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5919307 | PA      | $5296132.66   | 1.03%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31387V3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        28 | PA      | $29.33        | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XLKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6691156 | PA      | $6222672.54   | 1.21%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209TLA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5295 | PA      | $5334.29      | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 31364JN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    140420 | PA      | $16181.94     | 0.00%             | 2030-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31393T4V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     28579 | PA      | $28527.82     | 0.01%             | 2033-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140L3GC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8154240 | PA      | $6600451.24   | 1.29%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405WVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3753 | PA      | $3899.57      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405YDX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12335 | PA      | $12805.06     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207V3M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       106 | PA      | $108.67       | 0.00%             | 2028-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31389UVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12730 | PA      | $13309.82     | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137H1KA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   7467382 | PA      | $1027360.89   | 0.20%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392ATX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     24586 | PA      | $1316.85      | 0.00%             | 2031-12-18      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410FV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197100 | PA      | $205900.05    | 0.04%             | 2032-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TRLY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    136699 | PA      | $138133.40    | 0.03%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140K2VW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752133 | PA      | $703473.36    | 0.14%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QKQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6680476 | PA      | $5824271.10   | 1.14%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31376J5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3468 | PA      | $3580.02      | 0.00%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31419AB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       469 | PA      | $494.59       | 0.00%             | 2040-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31393BGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    108520 | PA      | $17000.25     | 0.00%             | 2033-05-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     54114 | PA      | $59837.05     | 0.01%             | 2036-06-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392BMY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     28761 | PA      | $2601.30      | 0.00%             | 2032-01-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                           | Commonbond Student Loan Trust, Series 2018-CGS, Class A1                           | CUSIP: 20267XAA1<br>LEI: 549300O1CSZVJJTIR319 | Long             | ABS-O            | CORP              | US        |    464145 | PA      | $451251.79    | 0.09%             | 2046-02-25      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393G5Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      5305 | PA      | $5318.03      | 0.00%             | 2032-12-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-30

**Name of Applicant:** AIM Growth Series (Invesco Growth Series)

**Signature:** Adrien Deberghes

**Name of Signer:** Adrien Deberghes

**Title:** Principal Financial Officer and Treasurer