Flagstar Mortgage Trust, Series 2018-5, Class B1

NPORT-P false 0000842790 XXXXXXXX S000000251 C000188949 C000071212 C000000601 C000029663 C000000604 C000000605 C000000603 AIM Investment Securities Funds (Invesco Investment Securities Funds) 811-05686 0000842790 G61U5I6LJJEX0O3SU057 11 Greenway Plaza Suite 1000 Houston 77046-1173 800-959-4246 Invesco Income Fund S000000251 549300H96DM3TTI50260 2025-02-28 2024-11-30 N 306387201.04 42235408.50 264151792.54 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 39884867.98000000 0.00000000 0.00000000 864688.58000000 USD N Bloomberg Barclays US Aggregate Bond Index 100% BM-Securities only Flagstar Mortgage Trust N/A Flagstar Mortgage Trust, Series 2018-5, Class B1 33849NAN5 1426145.71000000 PA USD 1332264.25000000 0.504355559047 Long ABS-MBS CORP US N 2 2048-09-25 Variable 4.41106200 N N N N N N N/A N/A U.S. Treasury 5 Year Notes Future N/A 99.00000000 NC USD 74031.22000000 0.028026014621 N/A DIR N/A N 1 Board of Trade of the City of Chicago, Inc. 549300EX04Q2QBFQTQ27 Long U.S. Treasury Notes/Bonds U.S. Treasury Notes/Bonds 2025-03-31 10578523.52000000 USD 74031.22000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36207VMV5 242.94000000 PA USD 245.59000000 0.000092973058 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31371KF97 216.22000000 PA USD 225.77000000 0.000085469796 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 6.50000000 N N N N N N Qdoba Funding LLC N/A Qdoba Funding LLC, Series 2023-1A, Class A2 746954AA4 2992500.00000000 PA USD 3152732.22000000 1.193530503686 Long ABS-O CORP US N 2 2053-09-14 Fixed 8.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31298M7E1 445.31000000 PA USD 462.51000000 0.000175092508 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 6.50000000 N N N N N N ELM Trust 2024-ELM N/A ELM Trust 2024-ELM, Series 2024-ELM, Class A10 26860XAU5 1200000.00000000 PA USD 1213800.12000000 0.459508568285 Long ABS-MBS CORP US N 2 2039-06-10 Variable 5.99423000 N N N N N N Sonic Capital LLC N/A Sonic Capital LLC, Series 2020-1A, Class A2I 83546DAG3 2010750.00000000 PA USD 1942707.63000000 0.735451238592 Long ABS-O CORP US N 2 2050-01-20 Fixed 3.84500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36205Q5E5 2158.15000000 PA USD 2158.19000000 0.000817026445 Long ABS-MBS USGA US N 2 2025-07-20 Fixed 6.95000000 N N N N N N Vista Point Securitization Trust N/A Vista Point Securitization Trust, Series 2020-1, Class M1 92838WAD6 2100000.00000000 PA USD 2036939.52000000 0.771124625130 Long ABS-MBS CORP US N 2 2065-03-25 Variable 4.15100000 N N N N N N Hertz Vehicle Financing III L.P. N/A Hertz Vehicle Financing III L.P., Series 2021-2A, Class B 42806MAF6 1765000.00000000 PA USD 1656155.45000000 0.626971119171 Long ABS-O CORP US N 2 2027-12-27 Fixed 2.12000000 N N N N N N Progress Residential Trust N/A Progress Residential Trust, Series 2021-SFR1, Class D 74331FAG6 2000000.00000000 PA USD 1921904.40000000 0.727575755409 Long ABS-MBS CORP US N 2 2038-04-17 Fixed 1.80500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36213GNC1 38428.98000000 PA USD 38551.40000000 0.014594411656 Long ABS-MBS USGA US N 2 2031-11-15 Fixed 7.00000000 N N N N N N Deephaven Residential Mortgage Trust N/A Deephaven Residential Mortgage Trust, Series 2024-1, Class A1 24380QAC6 2000000.00000000 PA USD 2004125.80000000 0.758702328206 Long ABS-MBS CORP US N 2 2069-07-25 Variable 5.73500000 N N N N N N PennyMac Mortgage Investment Trust 549300BSSOQO1ZWDUJ97 PennyMac Mortgage Investment Trust, Series B, Pfd. 70931T400 68689.00000000 NS USD 1698678.97000000 0.643069257136 Long EP CORP US N 1 N N N Homeward Opportunities Fund Trust N/A Homeward Opportunities Fund Trust, Series 2022-1, Class A3 43789KAC6 3316831.20000000 PA USD 3284310.00000000 1.243341931704 Long ABS-MBS CORP US N 2 2067-07-25 Variable 5.08200000 N N N N N N N/A N/A U.S. Treasury Long Bond Future N/A -177.00000000 NC USD -520333.98000000 -0.19698294491 N/A DIR N/A N 1 Board of Trade of the City of Chicago, Inc. 549300EX04Q2QBFQTQ27 Short U.S. Treasury Bonds U.S. Treasury Bonds 2025-03-20 20631166.02000000 USD -520333.98000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36208QRB4 4620.16000000 PA USD 4670.93000000 0.001768274958 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 7.00000000 N N N N N N Flagstar Mortgage Trust 549300H3PON1KOB2RF56 Flagstar Mortgage Trust, Series 2018-6RR, Class B3 33851FBR7 2516856.72000000 PA USD 2403235.49000000 0.909793368006 Long ABS-MBS CORP US N 2 2048-10-25 Variable 4.90722200 N N N N N N GCAT Trust N/A GCAT Trust, Series 2023-NQM2, Class M1 36169DAD4 2781000.00000000 PA USD 2794305.14000000 1.057840688162 Long ABS-MBS CORP US N 2 2067-11-25 Variable 6.98749600 N N N N N N Seasoned Credit Risk Transfer Trust N/A Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M 35563PDJ5 2137574.97000000 PA USD 2100302.50000000 0.795111961877 Long ABS-MBS CORP US N 2 2057-06-25 Variable 4.75000000 N N N N N N BBCMS Mortgage Trust N/A BBCMS Mortgage Trust, Series 2024-C24, Class AS 07336VAW1 2000000.00000000 PA USD 2087832.40000000 0.790391153481 Long ABS-MBS CORP US N 2 2057-02-15 Fixed 5.86700000 N N N N N N Fannie Mae REMICs B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICs, IO 3136BKWM0 12252370.50000000 PA USD 1441435.03000000 0.545684364334 Long ABS-APCP USGSE US N 2 2049-08-25 Fixed 2.50000000 N N N N N N U.S. Treasury Notes/Bonds 254900HROIFWPRGM1V77 U.S. Treasury Notes/Bonds 91282CLR0 4000000.00000000 PA USD 4006718.76000000 1.516824368849 Long DBT UST US N 2 2029-10-31 Fixed 4.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36292ASN9 11563.33000000 PA USD 11627.82000000 0.004401946278 Long ABS-MBS USGA US N 2 2037-01-15 Fixed 8.50000000 N N N N N N Sapphire Aviation Finance II Ltd. N/A Sapphire Aviation Finance II Ltd., Series 2020-1A, Class B 80307AAB5 2396190.80000000 PA USD 1930395.27000000 0.730790145861 Long ABS-O CORP US N 2 2040-03-15 Fixed 4.33500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36208T3T5 10515.76000000 PA USD 10661.93000000 0.004036289096 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 7.00000000 N N N N N N Freddie Mac 529900ZTXRUUVE8G8W08 Freddie Mac, Series 2023-HQA3, Class M2 35564NAA1 1500000.00000000 PA USD 1586399.70000000 0.600563670132 Long ABS-MBS USGSE US N 2 2043-11-25 Floating 8.08403000 N N N N N N Verus Securitization Trust N/A Verus Securitization Trust, Series 2022-INV2, Class A3 924923AC9 1437049.15000000 PA USD 1442674.62000000 0.546153636183 Long ABS-MBS CORP US N 2 2067-10-25 Variable 6.79000000 N N N N N N Chase Mortgage Finance Corp. N/A Chase Mortgage Finance Corp., Series 2016-SH2, Class M3 16164AAD7 1191626.11000000 PA USD 1087266.71000000 0.411606788485 Long ABS-MBS CORP US N 2 2045-12-25 Variable 3.75000000 N N N N N N Invesco Treasury Portfolio 5493004B3TM8ZIDDDC39 Invesco Treasury Portfolio, Institutional Class 825252406 1479871.94000000 NS USD 1479871.94000000 0.560235433486 Long STIV RF US N 1 N N N Flagstar Mortgage Trust N/A Flagstar Mortgage Trust, Series 2018-5, Class B2 33849NAP0 1708858.12000000 PA USD 1578309.39000000 0.597500919764 Long ABS-MBS CORP US N 2 2048-09-25 Variable 4.41106200 N N N N N N Benchmark 2024-V5 Mortgage Trust N/A Benchmark 2024-V5 Mortgage Trust, Series 2024-V5, Class AM 08163XBA0 1900000.00000000 PA USD 1983392.14000000 0.750853182152 Long ABS-MBS CORP US N 2 2057-01-10 Variable 6.41710000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36209ADK3 930.08000000 PA USD 929.14000000 0.000351744726 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 7.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31371HYC6 8.18000000 PA USD 8.42000000 0.000003187561 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 8.00000000 N N N N N N TierPoint Issuer LLC N/A TierPoint Issuer LLC, Series 2023-1A, Class A2 88651CAA8 4000000.00000000 PA USD 4009308.00000000 1.517804577984 Long ABS-O CORP US N 2 2053-06-25 Fixed 6.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31298GW97 25.51000000 PA USD 26.36000000 0.000009979110 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 6.50000000 N N N N N N BMO 2024-5C4 Mortgage Trust N/A BMO 2024-5C4 Mortgage Trust, Series 2024-5C4, Class A3 09660SAU4 1066000.00000000 PA USD 1129723.67000000 0.427679728816 Long ABS-MBS CORP US N 2 2057-05-15 Variable 6.52620000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36205RUU9 6466.04000000 PA USD 6479.29000000 0.002452866186 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 8.00000000 N N N N N N Citigroup Mortgage Loan Trust N/A Citigroup Mortgage Loan Trust, Series 2024-1, Class A4A 17332CAY2 996514.08000000 PA USD 996497.14000000 0.377244133162 Long ABS-MBS CORP US N 2 2054-07-25 Variable 6.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31283HQ32 145.36000000 PA USD 150.73000000 0.000057061887 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36212A4T9 6070.37000000 PA USD 6098.90000000 0.002308861863 Long ABS-MBS USGA US N 2 2030-02-15 Fixed 7.00000000 N N N N N N AMSR Trust N/A AMSR Trust, Series 2023-SFR2, Class C 00178YAC5 4000000.00000000 PA USD 3769027.60000000 1.426841576109 Long ABS-MBS CORP US N 2 2040-06-17 Fixed 3.95000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A Wells Fargo Commercial Mortgage Trust, Series 2017-C38, Class AS 95001MAG5 2647358.00000000 PA USD 2520918.33000000 0.954344585648 Long ABS-MBS CORP US N 2 2050-07-15 Variable 3.66500000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31298TW32 284.19000000 PA USD 292.75000000 0.000110826429 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36241KG93 115994.67000000 PA USD 121820.23000000 0.046117510249 Long ABS-MBS USGA US N 2 2030-12-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36207NJR6 9783.26000000 PA USD 9803.95000000 0.003711483426 Long ABS-MBS USGA US N 2 2026-12-20 Fixed 8.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36208TVT4 1366.77000000 PA USD 1369.49000000 0.000518448119 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 7.00000000 N N N N N N UBS Commercial Mortgage Trust N/A UBS Commercial Mortgage Trust, Series 2018-C11, Class AS 90276XAY1 4633000.00000000 PA USD 4408178.58000000 1.668805097861 Long ABS-MBS CORP US N 2 2051-06-15 Variable 4.49170000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132DQRV0 4345646.55000000 PA USD 4405419.88000000 1.667760736218 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 6.00000000 N N N N N N Cantor Commercial Real Estate Lending N/A Cantor Commercial Real Estate Lending, Series 2019-CF1, Class 65D 12529MDH8 4517000.00000000 PA USD 1240014.97000000 0.469432729597 Long ABS-MBS CORP US N 2 2052-05-15 Variable 4.66020000 N N N N N N Subway Funding LLC N/A Subway Funding LLC, Series 2024-3A, Class A2I 864300AJ7 2275000.00000000 PA USD 2254730.89000000 0.853573950159 Long ABS-O CORP US N 2 2054-07-30 Fixed 5.56600000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 3140XLPS1 4416730.50000000 PA USD 4474317.11000000 1.693843175159 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36206JBB9 881.71000000 PA USD 888.58000000 0.000336389918 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 7.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31371GKK5 17.88000000 PA USD 18.44000000 0.000006980834 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36207JR70 349.05000000 PA USD 351.21000000 0.000132957644 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 7.00000000 N N N N N N Textainer Marine Containers VII Ltd. 549300X48KLHDDGPK024 Textainer Marine Containers VII Ltd., Series 2021-1A, Class B 88315LAN8 1811136.88000000 PA USD 1640947.79000000 0.621213952107 Long ABS-O CORP BM N 2 2046-02-20 Fixed 2.52000000 N N N N N N Zaxby's Funding LLC N/A Zaxby's Funding LLC, Series 2021-1A, Class A2 98920MAA0 3328199.04000000 PA USD 3043724.56000000 1.152263450772 Long ABS-O CORP US N 2 2051-07-30 Fixed 3.23800000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31388SLU7 11.91000000 PA USD 12.19000000 0.000004614770 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 6.50000000 N N N N N N Stack Infrastructure Issuer, LLC N/A Stack Infrastructure Issuer, LLC, Series 2023-3A, Class A2 85236KAK8 2500000.00000000 PA USD 2520665.25000000 0.954248777099 Long ABS-O CORP US N 2 2048-10-25 Fixed 5.90000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31380PJE0 185.61000000 PA USD 192.80000000 0.000072988336 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36207R4Y8 700.24000000 PA USD 699.61000000 0.000264851505 Long ABS-MBS USGA US N 2 2027-02-15 Fixed 7.00000000 N N N N N N Redwood Trust, Inc. DRBV4N1ERQLEMIF11G78 Redwood Trust, Inc., Pfd. 758075808 40000.00000000 NS USD 1032796.00000000 0.390985800273 Long EP CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36225AWN6 22.50000000 PA USD 22.70000000 0.000008593543 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 6.50000000 N N N N N N Uniform Mortgage-Backed Securities N/A Uniform Mortgage-Backed Securities, TBA 01F0406C6 7730000.00000000 PA USD 7230056.45000000 2.737084000255 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 4.00000000 N N N N N N Freddie Mac 5493000IS4M3TZMRB410 Freddie Mac, Series 2022-DNA3, Class M1 35564KUX5 3000000.00000000 PA USD 3111984.00000000 1.178104441418 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 7.63403000 N N N N N N Commonbond Student Loan Trust N/A Commonbond Student Loan Trust, Series 2020-1, Class A 20268BAA8 1876211.34000000 PA USD 1658910.98000000 0.628014280746 Long ABS-O CORP US N 2 2051-10-25 Fixed 1.69000000 N N N N N N MACH 1 Cayman Ltd. N/A MACH 1 Cayman Ltd., Series 2019-1, Class B 55446MAB3 1953845.37000000 PA USD 1605536.09000000 0.607808137344 Long ABS-O CORP KY N 2 2039-10-15 Fixed 4.33500000 N N N N N N CSAIL Commercial Mortgage Trust 549300C2HE5FJAWYZL57 CSAIL Commercial Mortgage Trust, Series 2016-C6, Class E 12636MAX6 3000000.00000000 PA USD 2105084.70000000 0.796922360343 Long ABS-MBS CORP US N 2 2049-01-15 Variable 4.08142100 N N N N N N OBX 2024-NQM5 Trust 254900RDM4XSF0B1E373 OBX 2024-NQM5 Trust, Series 2024-NQM5, Class A1 67448NAA6 1258534.92000000 PA USD 1266998.06000000 0.479647723688 Long ABS-MBS CORP US N 2 2064-01-25 Variable 5.98800000 N N N N N N CSAIL 2018-CX11 Commercial Mortgage Trust N/A CSAIL 2018-CX11 Commercial Mortgage Trust, Series 2018-CX11, Class A5 12652UAU3 550000.00000000 PA USD 536047.49000000 0.202931611724 Long ABS-MBS CORP US N 2 2051-04-15 Variable 4.03310000 N N N N N N Ellington Financial Mortgage Trust N/A Ellington Financial Mortgage Trust, Series 2022-3, Class A1 31573EAA9 3247328.28000000 PA USD 3228551.90000000 1.222233575988 Long ABS-MBS CORP US N 2 2067-08-25 Variable 5.00000000 N N N N N N COLT Mortgage Loan Trust N/A COLT Mortgage Loan Trust, Series 2020-3, Class A3 12597QAC0 248172.16000000 PA USD 240459.27000000 0.091030716728 Long ABS-MBS CORP US N 2 2065-04-27 Variable 2.38000000 N N N N N N Centersquare Issuer LLC N/A Centersquare Issuer LLC, Series 2024-1A, Class A2 15201EAA2 2000000.00000000 PA USD 1915479.00000000 0.725143290371 Long ABS-O CORP US N 2 2054-10-26 Fixed 5.20000000 N N N N N N CSAIL 2018-CX11 Commercial Mortgage Trust N/A CSAIL 2018-CX11 Commercial Mortgage Trust, Series 2018-CX11, Class A4 12652UAT6 517574.38000000 PA USD 506542.13000000 0.191761761345 Long ABS-MBS CORP US N 2 2051-04-15 Fixed 3.76590000 N N N N N N Taco Bell Funding LLC N/A Taco Bell Funding LLC, Series 2021-1A, Class A23 87342RAJ3 982500.00000000 PA USD 830076.52000000 0.314242243831 Long ABS-O CORP US N 2 2051-08-25 Fixed 2.54200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36294SGU5 8744.58000000 PA USD 8958.86000000 0.003391557526 Long ABS-MBS USGA US N 2 2036-12-15 Fixed 7.00000000 N N N N N N J.P. Morgan Mortgage Trust N/A J.P. Morgan Mortgage Trust, Series 2024-5, Class A6 46658RAF5 1643717.97000000 PA USD 1647583.99000000 0.623726219745 Long ABS-MBS CORP US N 2 2054-11-25 Variable 6.00000000 N N N N N N Wendy's Funding, LLC 5493009DRVSTWJOXUL48 Wendy's Funding, LLC, Series 2018-1A, Class A2II 95058XAE8 1114191.59000000 PA USD 1072286.96000000 0.405935901357 Long ABS-O CORP US N 2 2048-03-15 Fixed 3.88400000 N N N N N N DB Master Finance LLC 549300F17UZJL70BPB08 DB Master Finance LLC, Series 2021-1A, Class A23 233046AS0 1105800.00000000 PA USD 951731.54000000 0.360297210497 Long ABS-O CORP US N 2 2051-11-20 Fixed 2.79100000 N N N N N N Freddie Mac 5493000IRILHAKSCHN59 Freddie Mac, Series 2023-DNA1, Class M1 35564KP45 3000000.00000000 PA USD 3168807.30000000 1.199616050123 Long ABS-MBS USGSE US N 2 2043-03-25 Floating 7.82533000 N N N N N N Frontier Issuer LLC N/A Frontier Issuer LLC, Series 2023-1, Class A2 35910EAA2 4000000.00000000 PA USD 4082029.20000000 1.545334658057 Long ABS-O CORP US N 2 2053-08-20 Fixed 6.60000000 N N N N N N Hertz Vehicle Financing LLC 5493004IHDYOZ9K9WF47 Hertz Vehicle Financing LLC, Series 2022-2A, Class C 42806MAQ2 1500000.00000000 PA USD 1390427.70000000 0.526374508622 Long ABS-O CORP US N 2 2028-06-26 Fixed 2.95000000 N N N N N N Verus Securitization Trust 213800D3C9UXVQ7TZF09 Verus Securitization Trust, Series 2023-INV2, Class A3 92540BAC3 1930864.08000000 PA USD 1951897.56000000 0.738930272337 Long ABS-MBS CORP US N 2 2068-08-25 Variable 7.07900000 N N N N N N AMSR Trust N/A AMSR Trust, Series 2021-SFR4, Class D 66982FAD1 1500000.00000000 PA USD 1420181.10000000 0.537638259556 Long ABS-MBS CORP US N 2 2038-12-17 Fixed 2.76600000 N N N N N N SG Residential Mortgage Trust N/A SG Residential Mortgage Trust, Series 2022-1, Class M1 78433QAD7 4000000.00000000 PA USD 3178774.00000000 1.203389145852 Long ABS-MBS CORP US N 2 2062-03-27 Variable 3.96926900 N N N N N N HILT COMMERCIAL MORTGAGE TRUST 2024-ORL N/A HILT COMMERCIAL MORTGAGE TRUST 2024-ORL, Series 2024-ORL, Class A 403956AA3 1750000.00000000 PA USD 1754085.55000000 0.664044537851 Long ABS-MBS CORP US N 2 2037-05-15 Floating 6.15052000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31389FLF7 247.25000000 PA USD 255.17000000 0.000096599760 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31383LZB4 43.83000000 PA USD 45.51000000 0.000017228730 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 6.50000000 N N N N N N U.S. Treasury Notes/Bonds 254900HROIFWPRGM1V77 U.S. Treasury Notes/Bonds 91282CKP5 750000.00000000 PA USD 765629.88000000 0.289844665689 Long DBT UST US N 2 2029-04-30 Fixed 4.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36208FH60 56.15000000 PA USD 56.09000000 0.000021234003 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 7.00000000 N N N N N N OBX Trust N/A OBX Trust, Series 2023-NQM1, Class A3 670855AC9 2591521.27000000 PA USD 2598470.18000000 0.983703405914 Long ABS-MBS CORP US N 2 2062-11-25 Variable 6.50000000 N N N N N N OBX Trust N/A OBX Trust, Series 2022-NQM7, Class A1 67117DAA8 5045398.44000000 PA USD 5018435.33000000 1.899830124847 Long ABS-MBS CORP US N 2 2062-08-25 Variable 5.11000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31382F2U2 191.03000000 PA USD 196.34000000 0.000074328475 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 6.50000000 N N N N N N Hertz Vehicle Financing LLC 5493004IHDYOZ9K9WF47 Hertz Vehicle Financing LLC, Series 2022-2A, Class B 42806MAP4 1000000.00000000 PA USD 931629.80000000 0.352687290531 Long ABS-O CORP US N 2 2028-06-26 Fixed 2.65000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 3140XLVL9 4351726.25000000 PA USD 4443179.95000000 1.682055573909 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 6.00000000 N N N N N N Deephaven Residential Mortgage Trust N/A Deephaven Residential Mortgage Trust, Series 2021-3, Class A1 24381VAA8 2099538.09000000 PA USD 1830875.53000000 0.693114936830 Long ABS-MBS CORP US N 2 2066-08-25 Variable 1.19400000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31388KZK1 100.05000000 PA USD 102.39000000 0.000038761803 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36206EGD1 141.40000000 PA USD 141.62000000 0.000053613113 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 8.00000000 N N N N N N U.S. Treasury Notes/Bonds 254900HROIFWPRGM1V77 U.S. Treasury Notes/Bonds 91282CKT7 1000000.00000000 PA USD 1016542.97000000 0.384832887267 Long DBT UST US N 2 2029-05-31 Fixed 4.50000000 N N N N N N BBCMS Mortgage Trust N/A BBCMS Mortgage Trust, Series 2022-C15, Class AS 05552FBE6 800000.00000000 PA USD 708010.88000000 0.268031828666 Long ABS-MBS CORP US N 2 2055-04-15 Variable 3.75200000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31287TBD6 247.18000000 PA USD 256.19000000 0.000096985902 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 7.00000000 N N N N N N GS Mortgage Securities Trust N/A GS Mortgage Securities Trust, Series 2017-GS6, Class C 36253PAJ1 2774000.00000000 PA USD 1997582.92000000 0.756225388740 Long ABS-MBS CORP US N 2 2050-05-10 Variable 4.32200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36207V6H4 314.86000000 PA USD 314.47000000 0.000119048974 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 7.00000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 12A1 07384M3Y6 201165.86000000 PA USD 194689.77000000 0.073703747427 Long ABS-MBS CORP US N 2 2035-01-25 Variable 0.00000000 N N N N N N Freddie Mac 5493000IS4CDPWRMWB65 Freddie Mac, Series 2022-DNA4, Class M1 35564KWT2 1000000.00000000 PA USD 1048858.40000000 0.397066546440 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 8.08403000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31375FZW1 30.43000000 PA USD 31.13000000 0.000011784890 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 6.50000000 N N N N N N Benchmark 2023-B40 Mortgage Trust N/A Benchmark 2023-B40 Mortgage Trust, Series 2023-B40, Class AS 08163WAE5 2000000.00000000 PA USD 2194089.20000000 0.830616812743 Long ABS-MBS CORP US N 2 2056-12-15 Fixed 6.59450000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31298JDE1 79.87000000 PA USD 81.79000000 0.000030963257 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 6.50000000 N N N N N N Bank N/A Bank, Series 2017-BNK5, Class AS 06541WBA9 4302000.00000000 PA USD 4091485.50000000 1.548914531549 Long ABS-MBS CORP US N 2 2060-06-15 Fixed 3.62400000 N N N N N N BX Commercial Mortgage Trust N/A BX Commercial Mortgage Trust, Series 2021-VOLT, Class B 05609VAG0 1300000.00000000 PA USD 1294266.61000000 0.489970784432 Long ABS-MBS CORP US N 2 2036-09-15 Floating 5.67377000 N N N N N N Angel Oak Mortgage Trust N/A Angel Oak Mortgage Trust, Series 2022-2, Class M1 03464PAD9 5893000.00000000 PA USD 4784203.17000000 1.811156806469 Long ABS-MBS CORP US N 2 2067-01-25 Variable 4.12387000 N N N N N N Banc of America Commercial Mortgage Trust 5493005NJP8BSE187672 Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class XA 06054AAY5 13483991.57000000 PA USD 37407.29000000 0.014161285691 Long ABS-MBS CORP US N 2 2048-09-15 Variable 0.87129600 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36206RLD6 1407.49000000 PA USD 1411.92000000 0.000534510853 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 8.00000000 N N N N N N Citigroup Commercial Mortgage Trust N/A Citigroup Commercial Mortgage Trust, Series 2018-C5, Class AS 17291DAF0 3000000.00000000 PA USD 2887482.60000000 1.093114898912 Long ABS-MBS CORP US N 2 2051-06-10 Variable 4.40800000 N N N N N N Residential Mortgage Loan Trust N/A Residential Mortgage Loan Trust, Series 2019-3, Class B1 76119NAE7 3276000.00000000 PA USD 3075792.17000000 1.164403292676 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3.81000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31293RKF7 194.03000000 PA USD 200.30000000 0.000075827613 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 6.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31293VJH6 35.52000000 PA USD 36.49000000 0.000013814027 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 6.50000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31283GKM8 43.77000000 PA USD 43.80000000 0.000016581375 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 9.50000000 N N N N N N Verus Securitization Trust N/A Verus Securitization Trust, Series 2023-1, Class A3 92539BAC6 1658361.88000000 PA USD 1667665.29000000 0.631328401736 Long ABS-MBS CORP US N 2 2067-12-25 Variable 6.90000000 N N N N N N Credit Suisse Mortgage Capital Trust N/A Credit Suisse Mortgage Capital Trust, Series 2022-ATH2, Class M1 12665WAF7 4000000.00000000 PA USD 3667212.40000000 1.388297374300 Long ABS-MBS CORP US N 2 2067-05-25 Variable 4.98000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class D 95001FAC9 4000000.00000000 PA USD 3173366.80000000 1.201342141003 Long ABS-MBS CORP US N 2 2060-01-15 Fixed 3.25000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31407JFT4 87.52000000 PA USD 90.68000000 0.000034328746 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.50000000 N N N N N N Rad CLO 18 Ltd. N/A Rad CLO 18 Ltd., Series 2023-18A, Class B 75009AAN0 2500000.00000000 PA USD 2511500.00000000 0.950779086467 Long ABS-CBDO CORP KY N 2 2036-04-15 Floating 7.20590000 N N N N N N Navistar Financial Dealer Note Master Owner Trust N/A Navistar Financial Dealer Note Master Owner Trust, Series 2024-1, Class C 63938PBY4 2000000.00000000 PA USD 2019422.80000000 0.764493316733 Long ABS-O CORP US N 2 2029-04-25 Fixed 6.13000000 N N N N N N FIVE Mortgage Trust N/A FIVE Mortgage Trust, Series 2023-V1, Class XA 337964AD2 55978062.97000000 PA USD 1036859.27000000 0.392524033257 Long ABS-MBS CORP US N 2 2056-02-10 Variable 0.88563800 N N N N N N Wendy's Funding, LLC 5493009DRVSTWJOXUL48 Wendy's Funding, LLC, Series 2021-1A, Class A2II 95058XAL2 1354495.15000000 PA USD 1171847.98000000 0.443626737767 Long ABS-O CORP US N 2 2051-06-15 Fixed 2.77500000 N N N N N N Bank N/A Bank, Series 2021-BN31, Class A1 06541AAZ3 12382.16000000 PA USD 12224.29000000 0.004627752052 Long ABS-MBS CORP US N 2 2054-02-15 Fixed 0.45500000 N N N N N N N/A N/A U.S. Treasury Ultra Bonds Future N/A -51.00000000 NC USD -213680.82000000 -0.08089319324 N/A DIR N/A N 1 Board of Trade of the City of Chicago, Inc. 549300EX04Q2QBFQTQ27 Short U.S. Treasury Notes/Bonds U.S. Treasury Notes/Bonds 2025-03-20 6272881.68000000 USD -213680.82000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36213GLJ8 22199.12000000 PA USD 22233.35000000 0.008416884014 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 7.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31388TNV1 162.12000000 PA USD 166.77000000 0.000063134154 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 6.50000000 N N N N N N Chimera Investment Corp. 2JBBQFJOL123LOUBE657 Chimera Investment Corp., Series C, Pfd. 16934Q505 26638.00000000 NS USD 628124.04000000 0.237789050742 Long EP CORP US N 1 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31292HRE6 196.32000000 PA USD 203.60000000 0.000077076895 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 6.50000000 N N N N N N Fannie Mae Connecticut Avenue Securities N/A Fannie Mae Connecticut Avenue Securities, Series 2023-R08, Class 1M2 20755CAB4 785000.00000000 PA USD 805173.48000000 0.304814694709 Long ABS-MBS USGSE US N 2 2043-10-25 Floating 7.23403000 N N N N N N U.S. Treasury Bills 254900HROIFWPRGM1V77 U.S. Treasury Bills 912797LZ8 1911000.00000000 PA USD 1897074.72000000 0.718175978197 Long DBT UST US N 2 2025-01-30 None 0.00000000 N N N N N N Zaxbys Funding LLC N/A Zaxbys Funding LLC, Series 2024-1A, Class A2I 98920MAC6 563587.50000000 PA USD 576281.69000000 0.218163081332 Long ABS-O CORP US N 2 2054-04-30 Fixed 6.59400000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31371J7F5 161.87000000 PA USD 165.87000000 0.000062793441 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 6.50000000 N N N N N N Bank N/A Bank, Series 2018-BN14, Class E 06035RAZ9 5750000.00000000 PA USD 3463434.88000000 1.311153275431 Long ABS-MBS CORP US N 2 2060-09-15 Fixed 3.00000000 N N N N N N Textainer Marine Containers VII Ltd. 549300X48KLHDDGPK024 Textainer Marine Containers VII Ltd., Series 2021-2A, Class B 88315LAR9 3210000.00000000 PA USD 2921007.87000000 1.105806567471 Long ABS-O CORP BM N 2 2046-04-20 Fixed 2.82000000 N N N N N N Morgan Stanley Capital I Trust N/A Morgan Stanley Capital I Trust, Series 2017-H1, Class A5 61691JAV6 100000.00000000 PA USD 96449.98000000 0.036513089338 Long ABS-MBS CORP US N 2 2050-06-15 Fixed 3.53000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31292HH49 106.81000000 PA USD 110.61000000 0.000041873651 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 6.50000000 N N N N N N PRPM 2023-NQM3 Trust N/A PRPM 2023-NQM3 Trust, Series 2023-NQM3, Class A3 69380TAC5 2553288.42000000 PA USD 2578115.58000000 0.975997760685 Long ABS-MBS CORP US N 2 2068-11-25 Variable 6.98200000 N N N N N N Flagstar Mortgage Trust 549300H3PON1KOB2RF56 Flagstar Mortgage Trust, Series 2018-6RR, Class B2 33851FBQ9 2516856.72000000 PA USD 2418935.89000000 0.915737071757 Long ABS-MBS CORP US N 2 2048-10-25 Variable 4.90722200 N N N N N N Homeward Opportunities Fund Trust N/A Homeward Opportunities Fund Trust, Series 2022-1, Class M1 43789KAD4 2878000.00000000 PA USD 2744693.34000000 1.039059138538 Long ABS-MBS CORP US N 2 2067-07-25 Variable 5.05457000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36206JGP3 2116.96000000 PA USD 2120.87000000 0.000802898204 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 8.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31383EAP6 70.93000000 PA USD 73.44000000 0.000027802196 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36202EFS3 35347.00000000 PA USD 36252.88000000 0.013724260453 Long ABS-MBS USGA US N 2 2035-10-20 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36207BR36 701.75000000 PA USD 705.82000000 0.000267202426 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 7.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31380ER71 99.86000000 PA USD 102.22000000 0.000038697447 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31387BUV3 98.56000000 PA USD 102.70000000 0.000038879160 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 6.50000000 N N N N N N Chase Mortgage Finance Corp. N/A Chase Mortgage Finance Corp., Series 2016-SH1, Class M3 16163YAD6 828260.76000000 PA USD 743492.58000000 0.281464143343 Long ABS-MBS CORP US N 2 2045-04-25 Variable 3.75000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31292G4U7 17.50000000 PA USD 18.06000000 0.000006836978 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 6.50000000 N N N N N N OBX Trust N/A OBX Trust, Series 2022-NQM7, Class A3 67117DAC4 1041125.75000000 PA USD 1037138.45000000 0.392629722489 Long ABS-MBS CORP US N 2 2062-08-25 Variable 5.70000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31388PSG7 2.04000000 PA USD 2.09000000 0.000000791211 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 6.50000000 N N N N N N Invesco Government & Agency Portfolio 5493007T1J7WZ5QI1A47 Invesco Government & Agency Portfolio, Institutional Class 825252885 2219807.87000000 NS USD 2219807.87000000 0.840353135087 Long STIV RF US N 1 N N N Freddie Mac 5493000IS30HKV5IAS29 Freddie Mac, Series 2022-DNA6, Class M1 35564KH44 2250000.00000000 PA USD 2375840.25000000 0.899422346202 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 8.43403000 N N N N N N Textainer Marine Containers VII Ltd. 549300X48KLHDDGPK024 Textainer Marine Containers VII Ltd., Series 2020-1A, Class B 88315LAF5 2030021.08000000 PA USD 1988435.90000000 0.752762599443 Long ABS-O CORP BM N 2 2045-08-21 Fixed 4.94000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36208UHP5 951.16000000 PA USD 956.13000000 0.000361962336 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36207UKJ6 232.15000000 PA USD 231.89000000 0.000087786646 Long ABS-MBS USGA US N 2 2027-01-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36207J3N1 9286.66000000 PA USD 9386.30000000 0.003553373577 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 7.00000000 N N N N N N BBCMS Mortgage Trust N/A BBCMS Mortgage Trust, Series 2023-C22, Class AS 05554FAF2 3000000.00000000 PA USD 3367918.80000000 1.274993732813 Long ABS-MBS CORP US N 2 2056-11-15 Variable 7.36320400 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association, TBA 21H0426C8 7430000.00000000 PA USD 7170116.58000000 2.714392550985 Long ABS-MBS USGA US N 2 2054-12-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36207FGP0 6039.07000000 PA USD 6049.68000000 0.002290228637 Long ABS-MBS USGA US N 2 2026-11-20 Fixed 6.95000000 N N N N N N Avis Budget Rental Car Funding (AESOP) LLC IHXLB8SL0QWSSG2VG640 Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-4A, Class C 05377RHA5 3000000.00000000 PA USD 3101641.20000000 1.174188965433 Long ABS-O CORP US N 2 2029-06-20 Fixed 7.24000000 N N N N N N BBCMS Mortgage Trust N/A BBCMS Mortgage Trust, Series 2018-C2, Class C 05491UBJ6 2500000.00000000 PA USD 2279084.00000000 0.862793312165 Long ABS-MBS CORP US N 2 2051-12-15 Variable 5.13008500 N N N N N N Voya CLO Ltd. 549300ITL5IR423IJ183 Voya CLO Ltd., Series 2014-1A, Class CR2 92915PAR6 1300000.00000000 PA USD 1304557.80000000 0.493866722408 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 7.69396000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36213FAM5 10543.12000000 PA USD 10596.10000000 0.004011367819 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 7.00000000 N N N N N N Benchmark Mortgage Trust N/A Benchmark Mortgage Trust, Series 2021-B28, Class AS 08163GAW0 3200000.00000000 PA USD 2663265.60000000 1.008233021775 Long ABS-MBS CORP US N 2 2054-08-15 Fixed 2.42910000 N N N N N N HPEFS Equipment Trust N/A HPEFS Equipment Trust, Series 2024-1A, Class D 403963AF8 2500000.00000000 PA USD 2533673.00000000 0.959173123769 Long ABS-O CORP US N 2 2031-11-20 Fixed 5.82000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36212EPY7 17946.26000000 PA USD 17977.82000000 0.006805867121 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 7.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31390ULM6 57.07000000 PA USD 58.90000000 0.000022297785 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 6.50000000 N N N N N N CHNGE Mortgage Trust N/A CHNGE Mortgage Trust, Series 2023-3, Class A1 17030AAA3 2948159.35000000 PA USD 2985695.02000000 1.130295195535 Long ABS-MBS CORP US N 2 2058-07-25 Variable 7.10000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36225BWT1 5.98000000 PA USD 6.14000000 0.000002324421 Long ABS-MBS USGA US N 2 2032-09-15 Fixed 6.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31374NZ88 1461.20000000 PA USD 1457.07000000 0.000551603298 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 6.95000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 Federal National Mortgage Association 31380KVL1 222.62000000 PA USD 229.09000000 0.000086726649 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association, TBA 21H0506C1 13550000.00000000 PA USD 13355262.65000000 5.055904607566 Long ABS-MBS USGA US N 2 2054-12-01 Fixed 5.00000000 N N N N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 3132DQMQ6 6382975.20000000 PA USD 6406204.00000000 2.425198003920 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 36212EPJ0 6748.01000000 PA USD 6889.89000000 0.002608307115 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 7.00000000 N N N N N N Avis Budget Rental Car Funding (AESOP) LLC IHXLB8SL0QWSSG2VG640 Avis Budget Rental Car Funding (AESOP) LLC, Series 2023-1A, Class B 05377RGE8 2000000.00000000 PA USD 2037359.40000000 0.771283579191 Long ABS-O CORP US N 2 2029-04-20 Fixed 6.08000000 N N N N N N Bank N/A Bank, Series 2019-BN16, Class AS 065405AF9 2639000.00000000 PA USD 2524572.17000000 0.955727820630 Long ABS-MBS CORP US N 2 2052-02-15 Fixed 4.26700000 N N N N N N Galton Funding Mortgage Trust N/A Galton Funding Mortgage Trust, Series 2019-H1, Class B1 36418XAE7 5480000.00000000 PA USD 4781458.37000000 1.810117706952 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.89100000 N N N N N N Angel Oak Mortgage Trust 254900NLG610771ZLP05 Angel Oak Mortgage Trust, Series 2024-2, Class A1 034942AA0 1743991.56000000 PA USD 1753712.92000000 0.663903471234 Long ABS-MBS CORP US N 2 2069-01-25 Variable 5.98500000 N N N N N N N/A N/A U.S. Treasury 10 Year Ultra Future N/A -75.00000000 NC USD -153678.38000000 -0.05817805683 N/A DIR N/A N 1 Board of Trade of the City of Chicago, Inc. 549300EX04Q2QBFQTQ27 Short U.S. Treasury Notes/Bonds U.S. Treasury Notes/Bonds 2025-03-20 8456087.25000000 USD -153678.38000000 N N N MSWF Commercial Mortgage Trust 2023-1 N/A MSWF Commercial Mortgage Trust 2023-1, Series 2023-1, Class A2 55376CAB9 2000000.00000000 PA USD 2083968.40000000 0.788928358184 Long ABS-MBS CORP US N 2 2056-05-15 Fixed 6.45100000 N N N N N N Credit Suisse Mortgage Capital Trust N/A Credit Suisse Mortgage Capital Trust, Series 2022-ATH3, Class A3 12664AAF6 3227476.80000000 PA USD 3229255.79000000 1.222500047774 Long ABS-MBS CORP US N 2 2067-08-25 Variable 6.56700000 N N N N N N Subway Funding LLC N/A Subway Funding LLC, Series 2024-1A, Class A2I 864300AC2 865000.00000000 PA USD 880008.79000000 0.333145113852 Long ABS-O CORP US N 2 2054-07-30 Fixed 6.26800000 N N N N N N U.S. Treasury Notes/Bonds 254900HROIFWPRGM1V77 U.S. Treasury Notes/Bonds 91282CKR1 1250000.00000000 PA USD 1260205.08000000 0.477076103812 Long DBT UST US N 2 2027-05-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association, TBA 21H0526C7 12500000.00000000 PA USD 12512869.13000000 4.736999514438 Long ABS-MBS USGA US N 2 2054-12-01 Fixed 5.50000000 N N N N N N Morgan Stanley Residential Mortgage Loan Trust 2023-NQM1 N/A Morgan Stanley Residential Mortgage Loan Trust 2023-NQM1, Series 2023-NQM1, Class A3 61775VAC0 2088217.68000000 PA USD 2122776.85000000 0.803620081313 Long ABS-MBS CORP US N 2 2068-09-25 Variable 7.53000000 N N N N N N Fannie Mae Connecticut Avenue Securities N/A Fannie Mae Connecticut Avenue Securities, Series 2023-R07, Class 2M2 20753BAB8 2500000.00000000 PA USD 2620599.00000000 0.992080717984 Long ABS-MBS USGSE US N 2 2043-09-25 Floating 7.97533000 N N N N N N N/A N/A U.S. Treasury 10 Year Notes Future N/A -141.00000000 NC USD -195282.47000000 -0.07392812599 N/A DIR N/A N 1 Board of Trade of the City of Chicago, Inc. 549300EX04Q2QBFQTQ27 Short U.S. Treasury Notes/Bonds U.S. Treasury Notes/Bonds 2025-03-20 15482155.03000000 USD -195282.47000000 N N N HPEFS Equipment Trust N/A HPEFS Equipment Trust, Series 2023-2A, Class D 44328UAF3 1500000.00000000 PA USD 1536158.40000000 0.581543810560 Long ABS-O CORP US N 2 2031-07-21 Fixed 6.97000000 N N N N N N N/A N/A U.S. Treasury 2 Year Notes Future N/A -55.00000000 NC USD -32767.35000000 -0.01240474262 N/A DIR N/A N 1 Board of Trade of the City of Chicago, Inc. 549300EX04Q2QBFQTQ27 Short U.S. Treasury Notes/Bonds U.S. Treasury Notes/Bonds 2025-03-31 11303248.33000000 USD -32767.35000000 N N N Federal Home Loan Mortgage Corp. S6XOOCT0IEG5ABCC6L87 Federal Home Loan Mortgage Corp. 31292HQC1 129.46000000 PA USD 133.55000000 0.000050558051 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 6.50000000 N N N N N N Benchmark Mortgage Trust N/A Benchmark Mortgage Trust, Series 2023-V3, Class AS 08163VAF4 4000000.00000000 PA USD 4237318.40000000 1.604122523362 Long ABS-MBS CORP US N 2 2056-07-15 Variable 7.09670000 N N N N N N Benchmark 2022-B37 Mortgage Trust N/A Benchmark 2022-B37 Mortgage Trust, Series 2022-B37, Class AS 08161QAH3 4000000.00000000 PA USD 4159720.00000000 1.574746080653 Long ABS-MBS CORP US N 2 2055-11-15 Variable 5.94215100 N N N N N N Freddie Mac REMICs S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICs, IO 3137H1KA3 13518559.80000000 PA USD 1550953.27000000 0.587144707626 Long ABS-APCP USGSE US N 2 2048-09-25 Fixed 2.50000000 N N N N N N Hertz Vehicle Financing III LLC 549300MNOMKDMDFI8J66 Hertz Vehicle Financing III LLC, Series 2023-1A, Class C 42806MBU2 2500000.00000000 PA USD 2516495.00000000 0.952670044674 Long ABS-O CORP US N 2 2027-06-25 Fixed 6.91000000 N N N N N N 2024-12-30 AIM Investment Securities Funds (Invesco Investment Securities Funds) Adrien Deberghes Adrien Deberghes Principal Financial Officer and Treasurer XXXX