|
|
Principal
Amount
|
Value
|
|
|
Asset-Backed Securities–78.65%
|
|||
|
Affirm Asset Securitization Trust,
Series 2025-X1, Class A, 5.08%,
04/15/2030(a)
|
|
$2,000,000
|
$1,999,926
|
|
AMSR Trust,
|
|
|
|
|
Series 2021-SFR4, Class D, 2.77%,
12/17/2038(a)
|
|
1,500,000
|
1,447,514
|
|
Series 2023-SFR2, Class C, 3.95%,
06/17/2040(a)
|
|
4,000,000
|
3,816,116
|
|
Angel Oak Mortgage Trust,
|
|
|
|
|
Series 2022-2, Class M1, 4.12%,
01/25/2067(a)(b)
|
|
5,893,000
|
4,563,104
|
|
Series 2024-2, Class A1, 5.99%,
01/25/2069(a)
|
|
1,575,742
|
1,580,416
|
|
Series 2025-HB1, Class A1, 6.12%
(30 Day Average SOFR + 1.80%),
02/25/2055(a)(c)
|
|
534,771
|
537,254
|
|
AutoNation Finance Trust,
Series 2025-1A, Class D, 5.63%,
09/10/2032(a)
|
|
2,000,000
|
2,019,057
|
|
Avis Budget Rental Car Funding
(AESOP) LLC,
|
|
|
|
|
Series 2023-1A, Class B, 6.08%,
04/20/2029(a)
|
|
2,000,000
|
2,054,158
|
|
Series 2023-4A, Class C, 7.24%,
06/20/2029(a)
|
|
3,000,000
|
3,122,246
|
|
Banc of America Commercial Mortgage
Trust, Series 2015-UBS7, Class XA,
IO, 0.69%, 09/15/2048(d)
|
|
11,839,720
|
332
|
|
Bank,
|
|
|
|
|
Series 2017-BNK5, Class AS,
3.62%, 06/15/2060
|
|
4,302,000
|
4,163,138
|
|
Series 2018-BNK14, Class E,
3.00%, 09/15/2060(a)
|
|
5,750,000
|
3,712,302
|
|
Series 2019-BN16, Class AS,
4.27%, 02/15/2052
|
|
2,639,000
|
2,541,526
|
|
Series 2021-BN31, Class A1,
0.46%, 02/15/2054
|
|
450
|
449
|
|
BBCMS Mortgage Trust,
|
|
|
|
|
Series 2018-C2, Class C, 4.96%,
12/15/2051(b)
|
|
2,500,000
|
2,247,888
|
|
Series 2022-C15, Class AS,
3.75%, 04/15/2055(b)
|
|
800,000
|
702,032
|
|
Series 2023-C22, Class AS,
7.13%, 11/15/2056(b)
|
|
3,000,000
|
3,305,019
|
|
Series 2024-C24, Class AS,
5.87%, 02/15/2057
|
|
2,000,000
|
2,042,889
|
|
Bear Stearns Adjustable Rate Mortgage
Trust, Series 2004-10, Class 12A1,
4.92%, 01/25/2035(b)
|
|
198,070
|
192,111
|
|
Benchmark Mortgage Trust,
|
|
|
|
|
Series 2021-B28, Class AS,
2.43%, 08/15/2054
|
|
3,200,000
|
2,676,479
|
|
Series 2022-B37, Class AS,
5.75%, 11/15/2055(b)
|
|
4,000,000
|
4,014,413
|
|
Series 2023-B40, Class AS,
6.59%, 12/15/2056
|
|
2,000,000
|
2,121,540
|
|
Series 2023-V3, Class AS, 7.10%,
07/15/2056(b)
|
|
4,000,000
|
4,214,057
|
|
Series 2024-V5, Class AM, 6.42%,
01/10/2057(b)
|
|
1,900,000
|
1,971,381
|
|
|
Principal
Amount
|
Value
|
|
|
BMO Mortgage Trust, Series 2024-
5C4, Class A3, 6.53%,
05/15/2057(b)
|
|
$1,066,000
|
$1,128,398
|
|
BX Commercial Mortgage Trust,
|
|
|
|
|
Series 2021-VOLT, Class B, 5.39%
(1 mo. Term SOFR + 1.06%),
09/15/2036(a)(c)
|
|
1,300,000
|
1,292,500
|
|
Series 2021-VOLT, Class C, 5.54%
(1 mo. Term SOFR + 1.21%),
09/15/2036(a)(c)
|
|
2,000,000
|
1,988,573
|
|
Cantor Commercial Real Estate
Lending, Series 2019-CF1,
Class 65D, 4.66%,
05/15/2052(a)(b)
|
|
4,517,000
|
118,571
|
|
Centersquare Issuer LLC,
Series 2024-1A, Class A2, 5.20%,
10/26/2054(a)
|
|
2,000,000
|
1,952,076
|
|
Chase Mortgage Finance Corp.,
|
|
|
|
|
Series 2016-SH1, Class M3,
3.75%, 04/25/2045(a)(b)
|
|
769,943
|
695,328
|
|
Series 2016-SH2, Class M3,
3.75%, 12/25/2045(a)(b)
|
|
1,122,207
|
1,029,594
|
|
CHNGE Mortgage Trust,
Series 2023-3, Class A1, 7.10%,
07/25/2058(a)
|
|
2,378,438
|
2,400,250
|
|
Citigroup Commercial Mortgage Trust,
Series 2018-C5, Class AS, 4.41%,
06/10/2051(b)
|
|
3,000,000
|
2,922,947
|
|
Citigroup Mortgage Loan Trust,
Series 2024-1, Class A4A, 6.00%,
07/25/2054(a)(b)
|
|
856,311
|
858,169
|
|
COLT Mortgage Loan Trust,
Series 2020-3, Class A3, 2.38%,
04/27/2065(a)(b)
|
|
160,749
|
157,245
|
|
Commonbond Student Loan Trust,
Series 2020-1, Class A, 1.69%,
10/25/2051(a)
|
|
1,635,338
|
1,473,979
|
|
Credit Suisse Mortgage Capital Trust,
|
|
|
|
|
Series 2022-ATH2, Class M1,
4.98%, 05/25/2067(a)(b)
|
|
4,000,000
|
3,660,556
|
|
Series 2022-ATH3, Class A3,
6.39%, 08/25/2067(a)(b)
|
|
2,890,383
|
2,885,919
|
|
CSAIL Commercial Mortgage Trust,
|
|
|
|
|
Series 2016-C6, Class E, 3.92%,
01/15/2049(a)(b)
|
|
3,000,000
|
2,139,803
|
|
Series 2018-CX11, Class A4,
3.77%, 04/15/2051
|
|
380,832
|
372,457
|
|
Series 2018-CX11, Class A5,
4.03%, 04/15/2051(b)
|
|
550,000
|
537,983
|
|
DB Master Finance LLC,
Series 2021-1A, Class A23,
2.79%, 11/20/2051(a)
|
|
1,100,100
|
952,477
|
|
Deephaven Residential Mortgage Trust,
|
|
|
|
|
Series 2021-3, Class A1, 1.19%,
08/25/2066(a)(b)
|
|
1,957,901
|
1,714,249
|
|
Series 2024-1, Class A1, 5.74%,
07/25/2069(a)
|
|
1,709,264
|
1,713,485
|
|
Ellington Financial Mortgage Trust,
Series 2022-3, Class A1, 5.00%,
08/25/2067(a)
|
|
3,082,844
|
3,071,548
|
|
|
Principal
Amount
|
Value
|
|
|
ELM Trust, Series 2024-ELM,
Class A10, 5.99%,
06/10/2039(a)(b)
|
|
$1,200,000
|
$1,213,000
|
|
FIVE Mortgage Trust, Series 2023-V1,
Class XA, IO, 0.67%,
02/10/2056(d)
|
|
55,922,173
|
901,102
|
|
Flagstar Mortgage Trust,
|
|
|
|
|
Series 2018-5, Class B1, 4.40%,
09/25/2048(a)(b)
|
|
1,391,498
|
1,303,869
|
|
Series 2018-5, Class B2, 4.40%,
09/25/2048(a)(b)
|
|
1,667,342
|
1,558,184
|
|
Series 2018-6RR, Class B2,
4.91%, 10/25/2048(a)(b)
|
|
2,448,616
|
2,378,515
|
|
Series 2018-6RR, Class B3,
4.91%, 10/25/2048(a)(b)
|
|
2,448,616
|
2,373,111
|
|
Frontier Issuer LLC, Series 2023-1,
Class A2, 6.60%, 08/20/2053(a)
|
|
4,000,000
|
4,059,468
|
|
Galton Funding Mortgage Trust,
Series 2019-H1, Class B1, 3.89%,
10/25/2059(a)(b)
|
|
5,480,000
|
4,962,081
|
|
GCAT Trust, Series 2023-NQM2,
Class M1, 6.99%,
11/25/2067(a)(b)
|
|
2,781,000
|
2,783,176
|
|
GS Mortgage Securities Trust,
Series 2017-GS6, Class C, 4.32%,
05/10/2050(b)
|
|
2,774,000
|
2,183,363
|
|
Hertz Vehicle Financing III L.P.,
Series 2021-2A, Class B, 2.12%,
12/27/2027(a)
|
|
1,765,000
|
1,681,005
|
|
Hertz Vehicle Financing III LLC,
Series 2023-1A, Class C, 6.91%,
06/25/2027(a)
|
|
2,500,000
|
2,515,863
|
|
Hertz Vehicle Financing LLC,
|
|
|
|
|
Series 2022-2A, Class B, 2.65%,
06/26/2028(a)
|
|
1,000,000
|
949,730
|
|
Series 2022-2A, Class C, 2.95%,
06/26/2028(a)
|
|
1,500,000
|
1,412,218
|
|
Homeward Opportunities Fund Trust,
|
|
|
|
|
Series 2022-1, Class M1, 5.08%,
07/25/2067(a)
|
|
3,091,647
|
3,071,304
|
|
Series 2022-1, Class M1, 5.04%,
07/25/2067(a)(b)
|
|
2,878,000
|
2,808,063
|
|
HPEFS Equipment Trust,
|
|
|
|
|
Series 2023-2A, Class D, 6.97%,
07/21/2031(a)
|
|
1,500,000
|
1,524,410
|
|
Series 2024-1A, Class D, 5.82%,
11/20/2031(a)
|
|
2,500,000
|
2,514,289
|
|
JP Morgan Mortgage Trust,
Series 2024-5, Class A6, 6.00%,
11/25/2054(a)(b)
|
|
1,192,683
|
1,193,377
|
|
MACH 1 Cayman Ltd., Series 2019-1,
Class B, 4.34%, 10/15/2039(a)
|
|
1,445,590
|
1,375,036
|
|
Metronet Infrastructure LLC, 6.01%,
07/20/2055(e)
|
|
750,000
|
743,231
|
|
Morgan Stanley Capital I Trust,
Series 2017-H1, Class A5, 3.53%,
06/15/2050
|
|
100,000
|
97,557
|
|
Morgan Stanley Residential Mortgage
Loan Trust, Series 2023-NQM1,
Class A3, 7.53%, 09/25/2068(a)
|
|
1,803,283
|
1,827,347
|
|
MSWF Commercial Mortgage Trust,
Series 2023-1, Class A2, 6.45%,
05/15/2056
|
|
2,000,000
|
2,079,038
|
|
Navistar Financial Dealer Note Master
Owner Trust, Series 2024-1,
Class C, 6.13%, 04/25/2029(a)
|
|
2,000,000
|
2,013,436
|
|
|
Principal
Amount
|
Value
|
|
|
OBX Trust,
|
|
|
|
|
Series 2022-NQM7, Class A1,
5.11%, 08/25/2062(a)
|
|
$4,743,243
|
$4,714,976
|
|
Series 2022-NQM7, Class A3,
5.70%, 08/25/2062(a)
|
|
978,891
|
976,437
|
|
Series 2023-NQM1, Class A3,
6.50%, 11/25/2062(a)(b)
|
|
2,378,867
|
2,377,754
|
|
Series 2024-NQM5, Class A1,
5.99%, 01/25/2064(a)
|
|
1,042,503
|
1,047,611
|
|
Series 2025-HE1, Class A1, 5.92%
(30 Day Average SOFR + 1.60%),
02/25/2055(a)(c)
|
|
591,169
|
589,514
|
|
PRPM Trust, Series 2023-NQM3,
Class A3, 6.98%, 11/25/2068(a)
|
|
2,335,076
|
2,357,576
|
|
Qdoba Funding LLC, Series 2023-1A,
Class A2, 8.50%, 09/14/2053(a)
|
|
2,992,500
|
3,121,728
|
|
Rad CLO 18 Ltd. (Cayman Islands),
|
|
|
|
|
Series 2023-18A, Class B, 6.81%
(3 mo. Term SOFR + 2.55%),
04/15/2036(a)(c)
|
|
2,500,000
|
2,500,125
|
|
Series 2023-18A, Class BR, 0.00%
(3 mo. Term SOFR + 1.90%),
07/15/2037(a)(c)(f)
|
|
2,500,000
|
2,504,805
|
|
Residential Mortgage Loan Trust,
Series 2019-3, Class B1, 3.81%,
09/25/2059(a)(b)
|
|
3,276,000
|
3,176,682
|
|
Sapphire Aviation Finance II Ltd.,
Series 2020-1A, Class B, 4.34%,
03/15/2040(a)
|
|
1,708,327
|
1,555,706
|
|
Seasoned Credit Risk Transfer Trust,
Series 2017-4, Class M, 4.75%,
06/25/2057(a)(b)
|
|
1,861,897
|
1,833,442
|
|
SG Residential Mortgage Trust,
Series 2022-1, Class M1, 3.96%,
03/27/2062(a)(b)
|
|
4,000,000
|
3,127,418
|
|
Sonic Capital LLC, Series 2020-1A,
Class A2I, 3.85%, 01/20/2050(a)
|
|
2,000,250
|
1,952,087
|
|
Stack Infrastructure Issuer LLC,
Series 2023-3A, Class A2, 5.90%,
10/25/2048(a)
|
|
2,500,000
|
2,517,416
|
|
Subway Funding LLC,
|
|
|
|
|
Series 2024-1A, Class A2I, 6.27%,
07/30/2054(a)
|
|
860,675
|
879,796
|
|
Series 2024-3A, Class A2I, 5.57%,
07/30/2054(a)
|
|
2,263,625
|
2,230,510
|
|
Taco Bell Funding LLC, Series 2021-
1A, Class A23, 2.54%,
08/25/2051(a)
|
|
982,500
|
841,649
|
|
Textainer Marine Containers VII Ltd.
(China),
|
|
|
|
|
Series 2020-1A, Class B, 4.94%,
08/21/2045(a)
|
|
1,831,299
|
1,792,644
|
|
Series 2021-1A, Class B, 2.52%,
02/20/2046(a)
|
|
1,707,643
|
1,556,249
|
|
Series 2021-2A, Class B, 2.82%,
04/20/2046(a)
|
|
3,030,000
|
2,770,656
|
|
TierPoint Issuer LLC,
|
|
|
|
|
Series 2023-1A, Class A2, 6.00%,
06/25/2053(a)
|
|
666,667
|
667,464
|
|
Series 2025-1A, Class A2, 6.15%,
04/26/2055(a)
|
|
4,000,000
|
4,035,330
|
|
UBS Commercial Mortgage Trust,
Series 2018-C11, Class AS,
4.49%, 06/15/2051(b)
|
|
4,633,000
|
4,482,592
|
|
|
Principal
Amount
|
Value
|
|
|
Verus Securitization Trust,
|
|
|
|
|
Series 2022-INV2, Class A3,
6.79%, 10/25/2067(a)
|
|
$1,319,349
|
$1,319,347
|
|
Series 2023-INV2, Class A3,
7.08%, 08/25/2068(a)
|
|
1,700,957
|
1,716,641
|
|
Vista Point Securitization Trust,
Series 2020-1, Class M1, 4.15%,
03/25/2065(a)(b)
|
|
2,100,000
|
2,060,302
|
|
Voya CLO Ltd., Series 2014-1A,
Class CR2, 7.33% (3 mo. Term
SOFR + 3.06%), 04/18/2031(a)(c)
|
|
1,300,000
|
1,302,821
|
|
Wells Fargo Commercial Mortgage Trust,
|
|
|
|
|
Series 2017-C38, Class AS,
3.67%, 07/15/2050(b)
|
|
2,647,358
|
2,543,892
|
|
Series 2017-RC1, Class D, 3.25%,
01/15/2060(a)
|
|
4,000,000
|
3,497,186
|
|
Wendy’s Funding LLC,
|
|
|
|
|
Series 2018-1A, Class A2II,
3.88%, 03/15/2048(a)
|
|
1,108,144
|
1,076,439
|
|
Series 2021-1A, Class A2II,
2.78%, 06/15/2051(a)
|
|
1,347,493
|
1,181,202
|
|
Zaxby’s Funding LLC,
|
|
|
|
|
Series 2021-1A, Class A2, 3.24%,
07/30/2051(a)
|
|
3,310,999
|
3,034,842
|
|
Series 2024-1A, Class A2I, 6.59%,
04/30/2054(a)
|
|
560,762
|
576,187
|
|
Zayo Issuer LLC, Series 2025-2A,
Class A2, 5.95%, 06/20/2055(a)
|
|
2,000,000
|
2,024,994
|
|
Total Asset-Backed Securities (Cost $221,521,266)
|
211,577,247
|
||
|
U.S. Government Sponsored Agency Mortgage-Backed
Securities–22.96%
|
|||
|
Collateralized Mortgage Obligations–1.22%
|
|||
|
Fannie Mae REMICs, IO,
2.50%, 08/25/2049(g)
|
|
11,911,242
|
1,571,277
|
|
Freddie Mac REMICs, IO,
2.50%, 09/25/2048(g)
|
|
13,072,635
|
1,723,525
|
|
|
|
|
3,294,802
|
|
Federal Home Loan Mortgage Corp. (FHLMC)–3.76%
|
|||
|
6.50%, 06/01/2029 to
08/01/2032
|
|
1,376
|
1,423
|
|
7.00%, 03/01/2032 to
05/01/2032
|
|
303
|
316
|
|
5.50%, 05/01/2053
|
|
6,085,603
|
6,077,038
|
|
6.00%, 06/01/2053
|
|
3,974,445
|
4,029,376
|
|
|
|
|
10,108,153
|
|
Federal National Mortgage Association (FNMA)–3.11%
|
|||
|
6.50%, 02/01/2028 to
10/01/2036
|
|
1,625
|
1,678
|
|
7.00%, 06/01/2029
|
|
64
|
66
|
|
8.00%, 10/01/2029
|
|
7
|
8
|
|
6.00%, 06/01/2053
|
|
8,231,170
|
8,372,446
|
|
|
|
|
8,374,198
|
|
|
Principal
Amount
|
Value
|
|
|
Government National Mortgage Association (GNMA)–12.71%
|
|||
|
8.00%, 10/15/2025 to
12/15/2030
|
|
$111,177
|
$116,162
|
|
6.95%, 11/20/2026
|
|
3,861
|
3,866
|
|
7.00%, 02/15/2027 to
12/15/2036
|
|
160,007
|
161,847
|
|
6.50%, 10/15/2027 to
09/15/2032
|
|
227
|
230
|
|
8.50%, 01/15/2037
|
|
11,050
|
11,041
|
|
TBA,
2.50%, 06/01/2055(h)
|
|
3,120,000
|
2,614,301
|
|
3.00%, 06/01/2055(h)
|
|
2,280,000
|
1,986,715
|
|
5.00%, 06/01/2055(h)
|
|
13,550,000
|
13,147,668
|
|
5.50%, 06/01/2055(h)
|
|
12,500,000
|
12,413,574
|
|
6.00%, 06/01/2055(h)
|
|
3,700,000
|
3,736,429
|
|
|
|
|
34,191,833
|
|
Uniform Mortgage-Backed Securities–2.16%
|
|||
|
TBA,
2.50%, 06/01/2055(h)
|
|
2,190,000
|
1,784,053
|
|
3.00%, 06/01/2055(h)
|
|
2,840,000
|
2,416,992
|
|
6.00%, 06/01/2055(h)
|
|
1,580,000
|
1,595,670
|
|
|
|
|
5,796,715
|
|
Total U.S. Government Sponsored Agency
Mortgage-Backed Securities (Cost $61,297,114)
|
61,765,701
|
||
|
|
|||
|
Agency Credit Risk Transfer Notes–5.69%
|
|||
|
Fannie Mae Connecticut Avenue Securities,
|
|
|
|
|
Series 2023-R07, Class 2M2,
7.57% (30 Day Average SOFR +
3.25%), 09/25/2043(a)(c)
|
|
2,500,000
|
2,607,863
|
|
Series 2023-R08, Class 1M2,
6.82% (30 Day Average SOFR +
2.50%), 10/25/2043(a)(c)
|
|
785,000
|
809,377
|
|
Series 2025-R02, Class 1M1,
5.47% (30 Day Average SOFR +
1.15%), 02/25/2045(a)(c)
|
|
674,233
|
674,068
|
|
Freddie Mac,
|
|
|
|
|
Series 2022-DNA3, Class M1B,
STACR®, 7.22% (30 Day Average
SOFR + 2.90%), 04/25/2042(a)(c)
|
|
3,000,000
|
3,093,047
|
|
Series 2022-DNA4, Class M1,
STACR®, 7.67% (30 Day Average
SOFR + 3.35%), 05/25/2042(a)(c)
|
|
1,000,000
|
1,040,192
|
|
Series 2022-DNA6, Class M1,
STACR®, 8.02% (30 Day Average
SOFR + 3.70%), 09/25/2042(a)(c)
|
|
2,250,000
|
2,370,167
|
|
Series 2023-DNA1, Class M1,
STACR®, 7.42% (30 Day Average
SOFR + 3.10%), 03/25/2043(a)(c)
|
|
3,000,000
|
3,131,759
|
|
Series 2023-HQA3, Class M2,
STACR®, 7.67% (30 Day Average
SOFR + 3.35%), 11/25/2043(a)(c)
|
|
1,500,000
|
1,580,570
|
|
Total Agency Credit Risk Transfer Notes
(Cost $14,999,858)
|
15,307,043
|
||
|
U.S. Treasury Securities–4.81%
|
|||
|
U.S. Treasury Bills–0.50%
|
|||
|
4.08% - 4.12%, 05/14/2026(i)(j)
|
|
1,409,000
|
1,355,735
|
|
|
Principal
Amount
|
Value
|
|
|
U.S. Treasury Notes–4.31%
|
|||
|
4.25%, 11/30/2026
|
|
$2,500,000
|
$2,508,887
|
|
3.88%, 03/31/2027
|
|
1,000,000
|
998,965
|
|
4.50%, 05/31/2029
|
|
1,000,000
|
1,021,348
|
|
4.13%, 10/31/2029
|
|
4,000,000
|
4,029,609
|
|
4.25%, 01/31/2030
|
|
3,000,000
|
3,037,617
|
|
|
|
|
11,596,426
|
|
Total U.S. Treasury Securities (Cost $12,840,637)
|
12,952,161
|
||
|
|
Shares |
|
|
|
Preferred Stocks–1.22%
|
|||
|
Mortgage REITs–1.22%
|
|||
|
Chimera Investment Corp., 7.75%,
Series C, Pfd.(k)
|
26,638
|
606,281
|
|
|
PennyMac Mortgage Investment Trust,
8.00%, Series B, Pfd.
|
68,689
|
1,691,122
|
|
|
|
Shares
|
Value
|
|
|
Mortgage REITs–(continued)
|
|||
|
Redwood Trust, Inc., 10.00%, Pfd.(k)
|
40,000
|
$980,000
|
|
|
Total Preferred Stocks (Cost $3,286,268)
|
3,277,403
|
||
|
Money Market Funds–2.30%
|
|||
|
Invesco Government & Agency Portfolio,
Institutional Class, 4.24%(l)(m)
|
3,717,458
|
3,717,458
|
|
|
Invesco Treasury Portfolio, Institutional
Class, 4.22%(l)(m)
|
2,478,306
|
2,478,306
|
|
|
Total Money Market Funds (Cost $6,195,764)
|
6,195,764
|
||
|
TOTAL INVESTMENTS IN SECURITIES–115.63%
(Cost $320,140,907)
|
311,075,319
|
||
|
OTHER ASSETS LESS LIABILITIES—(15.63)%
|
(42,058,409
)
|
||
|
NET ASSETS–100.00%
|
$269,016,910
|
||
|
IO
|
– Interest Only
|
|
Pfd.
|
– Preferred
|
|
REIT
|
– Real Estate Investment Trust
|
|
REMICs
|
– Real Estate Mortgage Investment Conduits
|
|
SOFR
|
– Secured Overnight Financing Rate
|
|
STACR®
|
– Structured Agency Credit Risk
|
|
TBA
|
– To Be Announced
|
|
(a)
|
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
May 31, 2025 was $178,698,476, which represented 66.43% of the Fund’s Net Assets.
|
|
(b)
|
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 May 31, 2025.
|
|
(c)
|
Interest or dividend rate is redetermined periodically. Rate shown is the rate in
effect on May 31, 2025.
|
|
(d)
|
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 May 31,
2025.
|
|
(e)
|
Security valued using significant unobservable inputs (Level 3). See Note 1.
|
|
(f)
|
Zero coupon bond issued at a discount.
|
|
(g)
|
Interest only security. Principal amount shown is the notional principal and does
not reflect the maturity value of the security.
|
|
(h)
|
Security purchased on a forward commitment basis. This security is subject to dollar
roll transactions.
|
|
(i)
|
All or a portion of the value was pledged as collateral to cover margin requirements
for open futures contracts.
|
|
(j)
|
Security traded on a discount basis. The interest rate shown represents the discount
rate at the time of purchase by the Fund.
|
|
(k)
|
Security issued at a fixed rate for a specific period of time, after which it will
convert to a variable rate.
|
|
(l)
|
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 three months ended May 31, 2025.
|
|
|
Value
February 28, 2025
|
Purchases
at Cost
|
Proceeds
from Sales
|
Change in
Unrealized
Appreciation
|
Realized
Gain
|
Value
May 31, 2025
|
Dividend Income
|
|
Investments in Affiliated Money Market Funds:
|
|
|
|
|
|
|
|
|
Invesco Government & Agency Portfolio, Institutional Class
|
$3,003,437
|
$11,432,788
|
$(10,718,767)
|
$-
|
$-
|
$3,717,458
|
$28,886
|
|
Invesco Treasury Portfolio, Institutional Class
|
2,002,292
|
7,621,859
|
(7,145,845)
|
-
|
-
|
2,478,306
|
19,101
|
|
Total
|
$5,005,729
|
$19,054,647
|
$(17,864,612)
|
$-
|
$-
|
$6,195,764
|
$47,987
|
|
(m)
|
The rate shown is the 7-day SEC standardized yield as of May 31, 2025.
|
|
Open Futures Contracts
|
|||||
|
Long Futures Contracts
|
Number of
Contracts
|
Expiration
Month
|
Notional
Value
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Interest Rate Risk
|
|||||
|
U.S. Treasury 2 Year Notes
|
153
|
September-2025
|
$31,737,938
|
$5,173
|
$5,173
|
|
U.S. Treasury 5 Year Notes
|
131
|
September-2025
|
14,172,563
|
70,418
|
70,418
|
|
Subtotal—Long Futures Contracts
|
75,591
|
75,591
|
|||
|
Open Futures Contracts—(continued)
|
|||||
|
Short Futures Contracts
|
Number of
Contracts
|
Expiration
Month
|
Notional
Value
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Interest Rate Risk
|
|||||
|
U.S. Treasury 10 Year Notes
|
123
|
September-2025
|
$(13,622,250
)
|
$(77,080
)
|
$(77,080
)
|
|
U.S. Treasury 10 Year Ultra Notes
|
24
|
September-2025
|
(2,701,125
)
|
(19,731
)
|
(19,731
)
|
|
U.S. Treasury Long Bonds
|
162
|
September-2025
|
(18,270,563
)
|
(236,954
)
|
(236,954
)
|
|
U.S. Treasury Ultra Bonds
|
64
|
September-2025
|
(7,428,000
)
|
(10,617
)
|
(10,617
)
|
|
Subtotal—Short Futures Contracts
|
(344,382
)
|
(344,382
)
|
|||
|
Total Futures Contracts
|
$(268,791
)
|
$(268,791
)
|
|||
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$210,834,016
|
$743,231
|
$211,577,247
|
|
U.S. Government Sponsored Agency Mortgage-Backed Securities
|
—
|
61,765,701
|
—
|
61,765,701
|
|
Agency Credit Risk Transfer Notes
|
—
|
15,307,043
|
—
|
15,307,043
|
|
U.S. Treasury Securities
|
—
|
12,952,161
|
—
|
12,952,161
|
|
Preferred Stocks
|
3,277,403
|
—
|
—
|
3,277,403
|
|
Money Market Funds
|
6,195,764
|
—
|
—
|
6,195,764
|
|
Total Investments in Securities
|
9,473,167
|
300,858,921
|
743,231
|
311,075,319
|
|
Other Investments - Assets*
|
|
|
|
|
|
Futures Contracts
|
75,591
|
—
|
—
|
75,591
|
|
Other Investments - Liabilities*
|
|
|
|
|
|
Futures Contracts
|
(344,382
)
|
—
|
—
|
(344,382
)
|
|
Total Other Investments
|
(268,791
)
|
—
|
—
|
(268,791
)
|
|
Total Investments
|
$9,204,376
|
$300,858,921
|
$743,231
|
$310,806,528
|
|
*
|
Unrealized appreciation (depreciation).
|