# EDGAR Filing Document

**Accession Number:** 0000898745
**File Stem:** 0001752724-23-064804
**Filing Date:** 2023-3
**Character Count:** 185741
**Document Hash:** 9c3bae79b0dc47d8261f949a5a32094b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-064804.hdr.sgml**: 20230324

**ACCESSION NUMBER**: 0001752724-23-064804

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230324

**DATE AS OF CHANGE**: 20230324

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PRINCIPAL FUNDS, INC.
- **CENTRAL INDEX KEY:** 0000898745
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07572
- **FILM NUMBER:** 23757960

**BUSINESS ADDRESS:**
- **STREET 1:** 711 HIGH STREET
- **CITY:** DES MOINES
- **STATE:** IA
- **ZIP:** 50392
- **BUSINESS PHONE:** 515-235-1209

**MAIL ADDRESS:**
- **STREET 1:** PRINCIPAL FINANCIAL GROUP
- **CITY:** DES MOINES
- **STATE:** IA
- **ZIP:** 50392

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRINCIPAL FUNDS, INC
- **DATE OF NAME CHANGE:** 20211220

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRINCIPAL FUNDS INC
- **DATE OF NAME CHANGE:** 20080616

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRINCIPAL INVESTORS FUND INC
- **DATE OF NAME CHANGE:** 20001012

## Series and Classes Contracts Data

### Government & High Quality Bond Fund (f/k/a Mortgage Securities Fund) (Series ID: S000014244)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000038760 | Class A             | CMPGX           |
| C000038763 | Institutional Class | PMRIX           |
| C000113840 | R-1                 | PMGRX           |
| C000113842 | R-3                 | PRCMX           |
| C000113843 | R-4                 | PMRDX           |
| C000113844 | R-5                 | PMREX           |
| C000113845 | Class J             | PMRJX           |

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## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Principal Funds, Inc

- **b. Investment Company Act file number:** 811-07572

- **c. CIK number of Registrant:** 0000898745

- **d. LEI of Registrant:** 549300HZGBXSW6DSXF23

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

  - **Street Address 1:** 801 Grand Ave

  - **City:** Des Moines

  - **State:** IA

  - **Foreign country:** US

  - **Zip / Postal Code:** 50309

  - **Telephone number:** 515-235-1719

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

- **a. Name of Series:** Government & High Quality Bond Fund

- **b. EDGAR series identifier (if any):** S000014244

- **c. LEI of Series:** XQSA5XKJBXF2IV4K6K06

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $761240380.13

**Total Liabilities:** $125609710.88

**Net Assets:** $635630669.25

**Cash Not Reported:** $1361987.54

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 979.79180000 | **1-Year:** 3158.14740000 | **5-Year:** 29271.22730000 | **10-Year:** 48593.77630000 | **30-Year:** 44449.45610000

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

- **3-Month:** 167.69380000 | **1-Year:** 540.52460000 | **5-Year:** 5009.84200000 | **10-Year:** 8316.94350000 | **30-Year:** 7607.63300000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000113843 | 4.15%                | -0.76%               | 3.36%                |
| Class ID C000038763 | 4.18%                | -0.73%               | 3.39%                |
| Class ID C000038760 | 4.04%                | -0.65%               | 3.25%                |
| Class ID C000113844 | 4.16%                | -0.63%               | 3.26%                |
| Class ID C000113840 | 3.99%                | -0.69%               | 3.32%                |
| Class ID C000113845 | 4.14%                | -0.77%               | 3.36%                |
| Class ID C000113842 | 4.02%                | -0.66%               | 3.35%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-165043.69              | $28280684.99                               |
| Month 2  | $1467882.40              | $-8233452.05                               |
| Month 3  | $-14986714.04            | $37920099.09                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Agency FixedRate MBS TR USD

- **Index Identifier:** FOUSA06TU1

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CarMax Auto Owner Trust 2022-1                            | CarMax Auto Owner Trust 2022-1                            | CUSIP: 14317CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4822607 | PA      | $4767345.57   | 0.75%             | 2025-02-18      | Fixed         | 0.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31417B5S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1241945 | PA      | $1192498.64   | 0.19%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31335AJX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3626929 | PA      | $3612361.90   | 0.57%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136AUSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    918118 | PA      | $889723.19    | 0.14%             | 2042-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133B5NY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14674829 | PA      | $12438491.66  | 1.96%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128KE4E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     16362 | PA      | $17278.79     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31417ECG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3088542 | PA      | $2904738.49   | 0.46%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust 2021-B                  | Santander Retail Auto Lease Trust 2021-B                  | CUSIP: 80286DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246648 | PA      | $246042.59    | 0.04%             | 2024-01-22      | Fixed         | 0.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128LXGZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    137578 | PA      | $141534.03    | 0.02%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36204JAX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       972 | PA      | $998.39       | 0.00%             | 2023-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132QRQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2999346 | PA      | $2801673.18   | 0.44%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EKU29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1443922 | PA      | $1430911.78   | 0.23%             | 2043-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3500000 | PA      | $3556601.55   | 0.56%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36204QAC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       162 | PA      | $161.39       | 0.00%             | 2023-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132GUY57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1759805 | PA      | $1766779.79   | 0.28%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31417B2S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1157551 | PA      | $1117258.40   | 0.18%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31416WE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1123293 | PA      | $1162148.53   | 0.18%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138X0B23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    746906 | PA      | $704308.00    | 0.11%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11070146 | PA      | $9392709.97   | 1.48%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38382GT77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   8368750 | PA      | $1204880.79   | 0.19%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36205XVY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        54 | PA      | $53.85        | 0.00%             | 2024-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202DYM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349849 | PA      | $372382.16    | 0.06%             | 2033-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                        | Freddie Mac Strips                                        | CUSIP: 3128HX5W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    598812 | PA      | $588542.53    | 0.09%             | 2042-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31287PK51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      8585 | PA      | $8829.89      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36213E5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1268 | PA      | $1314.62      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138W9MS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2799405 | PA      | $2843254.52   | 0.45%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    444108 | PA      | $463364.12    | 0.07%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XGBE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6749273 | PA      | $6012106.56   | 0.95%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2021-P4                    | Carvana Auto Receivables Trust 2021-P4                    | CUSIP: 14687KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3231961 | PA      | $3203192.83   | 0.50%             | 2025-04-10      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31406FBU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    160409 | PA      | $161371.60    | 0.03%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4540172 | PA      | $4240032.31   | 0.67%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WDYS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    159379 | PA      | $155218.54    | 0.02%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136AB5H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   3597420 | PA      | $151712.56    | 0.02%             | 2028-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136B1F58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    865704 | PA      | $785322.88    | 0.12%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31418A6A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    467039 | PA      | $464899.03    | 0.07%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31406XKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     73021 | PA      | $74714.36     | 0.01%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | Futures                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       147 | NC      | $238579.83    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38378KHN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |  22815009 | PA      | $262783.27    | 0.04%             | 2054-10-16      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31389USQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4075 | PA      | $4218.12      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XGDS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12140045 | PA      | $10419596.82  | 1.64%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140QEK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4901090 | PA      | $4490133.19   | 0.71%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128M9JU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1181100 | PA      | $1141160.89   | 0.18%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31414QWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27230 | PA      | $28364.31     | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140X8BA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7238040 | PA      | $6627618.03   | 1.04%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128L7YX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     20521 | PA      | $21099.16     | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31388X4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       430 | PA      | $442.20       | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31371HT32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     18524 | PA      | $19091.03     | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133B0SQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16015700 | PA      | $14276498.93  | 2.25%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31400FCS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     53161 | PA      | $52850.64     | 0.01%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202EDQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42506 | PA      | $44665.52     | 0.01%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132H7DU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2423158 | PA      | $2335652.32   | 0.37%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31413AJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10231 | PA      | $10727.15     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HLZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     23002 | PA      | $23942.51     | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132LQES2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1885999 | PA      | $1804270.66   | 0.28%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38382LXJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   8364616 | PA      | $1283126.25   | 0.20%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36206KC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       969 | PA      | $968.38       | 0.00%             | 2027-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36225BNC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2586 | PA      | $2708.70      | 0.00%             | 2031-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                        | Freddie Mac REMICS                                        | CUSIP: 3133TAU83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     16073 | PA      | $15751.14     | 0.00%             | 2027-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136ABH30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    212926 | PA      | $207553.19    | 0.03%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202CP64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       777 | PA      | $781.86       | 0.00%             | 2026-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38378BL23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   9041924 | PA      | $164402.98    | 0.03%             | 2053-12-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31298PBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     27934 | PA      | $28939.27     | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31389XRY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4254 | PA      | $4406.63      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36208HUV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4264 | PA      | $4258.38      | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HL85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1023 | PA      | $1071.17      | 0.00%             | 2031-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136BDS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |  12989241 | PA      | $2059542.92   | 0.32%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31410TWZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     15544 | PA      | $16243.49     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31414HZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    428988 | PA      | $444184.95    | 0.07%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31283HLX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     20276 | PA      | $20670.68     | 0.00%             | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36225BL97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2483 | PA      | $2656.09      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136ATVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1729892 | PA      | $68492.14     | 0.01%             | 2040-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust 2021-4                            | CarMax Auto Owner Trust 2021-4                            | CUSIP: 14317JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    654487 | PA      | $649840.42    | 0.10%             | 2024-11-15      | Fixed         | 0.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128P7AZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     10277 | PA      | $10422.04     | 0.00%             | 2025-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WDJN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1425694 | PA      | $1429913.85   | 0.22%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                  | CUSIP: 38382WKP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   9463735 | PA      | $1292840.81   | 0.20%             | 2051-07-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EKG33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    615204 | PA      | $633393.83    | 0.10%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292GVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2351 | PA      | $2460.61      | 0.00%             | 2028-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179TEY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1784920 | PA      | $1660263.91   | 0.26%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust 2015-1                                         | CSMC Trust 2015-1                                         | CUSIP: 12649NAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3118062 | PA      | $2902140.96   | 0.46%             | 2045-01-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receivables Trust 2021-1           | Capital One Prime Auto Receivables Trust 2021-1           | CUSIP: 14044CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2678644 | PA      | $2650777.20   | 0.42%             | 2025-02-18      | Fixed         | 0.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31409DZE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1706 | PA      | $1766.09      | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133GAQ25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8429769 | PA      | $7681993.62   | 1.21%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31389C5Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1424 | PA      | $1462.39      | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31419AYJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    238608 | PA      | $241417.74    | 0.04%             | 2025-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HNN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3307 | PA      | $3447.83      | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WRS43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1531540 | PA      | $1479236.89   | 0.23%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XAPQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13658264 | PA      | $11723905.55  | 1.84%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31298NM51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     79384 | PA      | $79931.89     | 0.01%             | 2028-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36204GJ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         4 | PA      | $3.77         | 0.00%             | 2023-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31296XUW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     23302 | PA      | $23626.98     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128EYW77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       272 | PA      | $271.59       | 0.00%             | 2024-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                 | Fannie Mae or Freddie Mac                                 | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10500000 | PA      | $10139062.50  | 1.60%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38382ATA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |  12694773 | PA      | $2091867.51   | 0.33%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128MFMF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2032513 | PA      | $1981340.73   | 0.31%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138YEN37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2320783 | PA      | $2231227.07   | 0.35%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132LNZC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    884627 | PA      | $852883.09    | 0.13%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31371G2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     18797 | PA      | $19262.56     | 0.00%             | 2028-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36208YZW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74853 | PA      | $75857.11     | 0.01%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133AKXU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16917770 | PA      | $14374704.07  | 2.26%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WJMX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3466650 | PA      | $3293304.11   | 0.52%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31418CQF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1921571 | PA      | $1903270.22   | 0.30%             | 2037-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 3622A23X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6822242 | PA      | $6692088.69   | 1.05%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292G2K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     27519 | PA      | $28469.82     | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36183A5K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1691423 | PA      | $1658649.80   | 0.26%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36203W3N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       313 | PA      | $324.10       | 0.00%             | 2023-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31385C3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27572 | PA      | $28419.50     | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202DYL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    413062 | PA      | $427923.65    | 0.07%             | 2033-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31379RD70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     15851 | PA      | $15782.40     | 0.00%             | 2024-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128K8DA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2713 | PA      | $2784.61      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36184SPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1551549 | PA      | $1488652.91   | 0.23%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31288JQN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2421 | PA      | $2522.38      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31412QFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1237946 | PA      | $1257137.96   | 0.20%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132L5B44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1231822 | PA      | $1159689.66   | 0.18%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                  | CUSIP: 38380KAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   3644726 | PA      | $387614.41    | 0.06%             | 2047-11-20      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36209L5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14532 | PA      | $14514.85     | 0.00%             | 2029-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36203CK43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       451 | PA      | $467.37       | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133KJMD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6062512 | PA      | $5554161.86   | 0.87%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202CNP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11003 | PA      | $11290.19     | 0.00%             | 2026-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2782 | PA      | $2901.98      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31400FCU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     67421 | PA      | $68384.99     | 0.01%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31335GLX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       202 | PA      | $208.96       | 0.00%             | 2025-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128KMLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     52347 | PA      | $54303.73     | 0.01%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HUR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    142976 | PA      | $147081.19    | 0.02%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3132DMCQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7325090 | PA      | $7089975.92   | 1.12%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128LXB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1566945 | PA      | $1611930.67   | 0.25%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128M9WA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1974394 | PA      | $2007395.52   | 0.32%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292LW68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3259554 | PA      | $3068742.89   | 0.48%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136AXEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   4321401 | PA      | $349578.83    | 0.05%             | 2032-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31418MZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2786283 | PA      | $2908241.37   | 0.46%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5171418 | PA      | $4857733.38   | 0.76%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136AYAY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1619878 | PA      | $1586378.00   | 0.25%             | 2045-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140JXNY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4049145 | PA      | $3726676.01   | 0.59%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128MJCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2418 | PA      | $2587.27      | 0.00%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31416WTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    920213 | PA      | $911923.99    | 0.14%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31283HKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      4918 | PA      | $4919.62      | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31335BBA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1999957 | PA      | $1914208.70   | 0.30%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EP2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1669140 | PA      | $1695299.65   | 0.27%             | 2045-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138W6EE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3110386 | PA      | $2888412.35   | 0.45%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                  | CUSIP: 38382WR58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |  10650583 | PA      | $1429981.30   | 0.22%             | 2051-08-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132GLQQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2175809 | PA      | $2184427.82   | 0.34%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140Q8KE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3288988 | PA      | $3269860.07   | 0.51%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31414BYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     31004 | PA      | $32392.60     | 0.01%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202C5T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2357 | PA      | $2395.18      | 0.00%             | 2028-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38380JQL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   9087609 | PA      | $380461.82    | 0.06%             | 2060-03-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36209ASX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       157 | PA      | $158.34       | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HHL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       769 | PA      | $799.70       | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31371NHW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     14911 | PA      | $15754.83     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128M45F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     62128 | PA      | $66137.33     | 0.01%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36200STN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6230 | PA      | $6466.38      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31371HHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     13760 | PA      | $14388.03     | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38382LBZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |  21623718 | PA      | $3207781.33   | 0.50%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36213LLA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       400 | PA      | $415.07       | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XHW52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13676958 | PA      | $12237072.92  | 1.93%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1713550 | PA      | $1601898.54   | 0.25%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31388R4P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23578 | PA      | $24404.74     | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38377ELF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   1168217 | PA      | $1187648.41   | 0.19%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WFBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1226383 | PA      | $1142873.30   | 0.18%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36203EL89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1073 | PA      | $1112.44      | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36181BJY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2512696 | PA      | $2410930.50   | 0.38%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31386XW77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3659 | PA      | $3787.41      | 0.00%             | 2024-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31404GBZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     95055 | PA      | $95533.02     | 0.02%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138A8RJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1404187 | PA      | $1423020.48   | 0.22%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                        | Freddie Mac REMICS                                        | CUSIP: 3137BMZE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     33445 | PA      | $33326.81     | 0.01%             | 2041-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138W0VH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1083643 | PA      | $1046654.19   | 0.16%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36204YR21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       906 | PA      | $905.13       | 0.00%             | 2024-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31294MMB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    873756 | PA      | $848007.48    | 0.13%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18857808 | PA      | $16084983.19  | 2.53%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31371HD96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24928 | PA      | $25471.09     | 0.00%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| World Omni Select Auto Trust 2021-A                       | World Omni Select Auto Trust 2021-A                       | CUSIP: 98163HAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98201 | PA      | $98017.55     | 0.02%             | 2025-02-18      | Fixed         | 0.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31298V7E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     41397 | PA      | $42670.34     | 0.01%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                 | Fannie Mae or Freddie Mac                                 | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3500000 | PA      | $3282133.65   | 0.52%             | 2053-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140J7L45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2953130 | PA      | $2936290.53   | 0.46%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38379TAY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   1019110 | PA      | $7761.54      | 0.00%             | 2039-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3988112 | PA      | $4041001.79   | 0.64%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36208TFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       560 | PA      | $558.92       | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2363186 | PA      | $2205020.64   | 0.35%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                        | Freddie Mac REMICS                                        | CUSIP: 3137FPL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   6777001 | PA      | $794148.66    | 0.12%             | 2049-11-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HJ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     34190 | PA      | $35794.32     | 0.01%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31298DX44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2320 | PA      | $2316.59      | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                 | Fannie Mae Interest Strip                                 | CUSIP: 31395Q5F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1672886 | PA      | $239262.86    | 0.04%             | 2043-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Principal Government Money Market Fund - Class R-6        | Principal Government Money Market Fund - Class R-6        | CUSIP: 74257B639<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   3225795 | NS      | $3225794.74   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38380FQP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   1948281 | PA      | $126451.41    | 0.02%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | Futures                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       358 | NC      | $-431424.01   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38380MMQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   6751189 | PA      | $298007.62    | 0.05%             | 2060-07-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128M6ZF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     55720 | PA      | $57332.13     | 0.01%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31296Q6M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    133905 | PA      | $137680.20    | 0.02%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138W9B33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    860697 | PA      | $822430.00    | 0.13%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31414RMW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1082 | PA      | $1120.11      | 0.00%             | 2038-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31374NKY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       227 | PA      | $227.07       | 0.00%             | 2025-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128L9PU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2587 | PA      | $2632.12      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132L5ME0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2437105 | PA      | $2352114.32   | 0.37%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132GDJ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2246688 | PA      | $2279172.34   | 0.36%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36195LPZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2155773 | PA      | $1990371.88   | 0.31%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31402RDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27222 | PA      | $27975.55     | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202C5S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1779 | PA      | $1868.39      | 0.00%             | 2028-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38379KG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   3748643 | PA      | $81463.64     | 0.01%             | 2057-06-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128K66Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       670 | PA      | $688.15       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36297FYU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1132040 | PA      | $1173711.40   | 0.18%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EJUG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    936377 | PA      | $931676.19    | 0.15%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2022-7             | Santander Drive Auto Receivables Trust 2022-7             | CUSIP: 80287FAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5255000 | PA      | $5274223.32   | 0.83%             | 2026-01-15      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WD7B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2465396 | PA      | $2345431.16   | 0.37%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31380HGL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9335 | PA      | $9662.43      | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31411DS67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1578 | PA      | $1655.24      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36203CH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       546 | PA      | $566.25       | 0.00%             | 2023-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31386FVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       404 | PA      | $403.97       | 0.00%             | 2031-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31391BDJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     36297 | PA      | $37604.02     | 0.01%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128K64H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     15622 | PA      | $16033.19     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31414MNP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     15085 | PA      | $16032.31     | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31371MPJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     11563 | PA      | $11714.65     | 0.00%             | 2026-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128EX6L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       462 | PA      | $478.30       | 0.00%             | 2025-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 3620ASS67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1463702 | PA      | $1446885.12   | 0.23%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202DAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19714 | PA      | $20585.49     | 0.00%             | 2029-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36204FDH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       343 | PA      | $355.40       | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36207BAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22863 | PA      | $23244.89     | 0.00%             | 2029-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WHR87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3402538 | PA      | $3313746.82   | 0.52%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138ENGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1832693 | PA      | $1838118.04   | 0.29%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17153 | PA      | $18027.37     | 0.00%             | 2031-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36180NDA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3262454 | PA      | $3163513.93   | 0.50%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3005069 | PA      | $2794018.30   | 0.44%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36203LGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        34 | PA      | $33.71        | 0.00%             | 2023-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | Futures                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       328 | NC      | $1124241.98   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36181CD70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1795404 | PA      | $1783749.66   | 0.28%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292H4J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    123998 | PA      | $129660.46    | 0.02%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38378B5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |  24101281 | PA      | $411324.52    | 0.06%             | 2051-08-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-2                             | Sequoia Mortgage Trust 2013-2                             | CUSIP: 81745MAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1302545 | PA      | $1234768.23   | 0.19%             | 2043-02-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31335GMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       266 | PA      | $275.82       | 0.00%             | 2025-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36204GY30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       133 | PA      | $137.60       | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36178DPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1456226 | PA      | $1378917.28   | 0.22%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36208RP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45936 | PA      | $46048.29     | 0.01%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2022-1             | Santander Drive Auto Receivables Trust 2022-1             | CUSIP: 80286EAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1286857 | PA      | $1285060.68   | 0.20%             | 2024-12-16      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36225ABC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1603 | PA      | $1661.44      | 0.00%             | 2024-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36178DS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1794676 | PA      | $1698489.86   | 0.27%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138YTSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2446936 | PA      | $2454180.00   | 0.39%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136AMW88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   7947270 | PA      | $1722317.97   | 0.27%             | 2045-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WFEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2759921 | PA      | $2768091.78   | 0.44%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128P7S20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1291917 | PA      | $1283399.09   | 0.20%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138XBBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2459573 | PA      | $2487727.95   | 0.39%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36208CZ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3366 | PA      | $3363.47      | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140J5U56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3106370 | PA      | $3155044.15   | 0.50%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 313976TZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       160 | PA      | $165.36       | 0.00%             | 2023-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WBTA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1802680 | PA      | $1755777.06   | 0.28%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 31334XZZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1662684 | PA      | $1529164.52   | 0.24%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128M9FV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3656735 | PA      | $3533069.98   | 0.56%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2016-4                           | JP Morgan Mortgage Trust 2016-4                           | CUSIP: 46647JAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710714 | PA      | $647446.86    | 0.10%             | 2046-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36203QGP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       152 | PA      | $151.37       | 0.00%             | 2023-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138ERT42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1385420 | PA      | $1428121.12   | 0.22%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36181BRS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2920253 | PA      | $2831967.57   | 0.45%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust 2021-4 | GM Financial Consumer Automobile Receivables Trust 2021-4 | CUSIP: 362554AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2602788 | PA      | $2578767.20   | 0.41%             | 2024-11-18      | Fixed         | 0.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128MJAM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     25237 | PA      | $26424.86     | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36211NMJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11138 | PA      | $11128.68     | 0.00%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38378FJG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   7540800 | PA      | $1235746.28   | 0.19%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31410QA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12829 | PA      | $13562.70     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 3622A3AU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2097844 | PA      | $2062355.48   | 0.32%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31402GSX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    264700 | PA      | $275984.72    | 0.04%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WA4D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1392522 | PA      | $1440637.20   | 0.23%             | 2044-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9968654 | PA      | $8681536.93   | 1.37%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31371KUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     64557 | PA      | $64426.50     | 0.01%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31417FBP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    979008 | PA      | $1009729.34   | 0.16%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16980015 | PA      | $14755740.09  | 2.32%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202D5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248106 | PA      | $257533.94    | 0.04%             | 2034-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138X5RM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1989785 | PA      | $2020962.52   | 0.32%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31414CUW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    563785 | PA      | $583273.75    | 0.09%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 31359PMQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      2543 | PA      | $2529.62      | 0.00%             | 2027-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2021-P3                    | Carvana Auto Receivables Trust 2021-P3                    | CUSIP: 14687JAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1903933 | PA      | $1889173.37   | 0.30%             | 2025-01-10      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31374CPJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    662041 | PA      | $636426.91    | 0.10%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31400FCA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    183557 | PA      | $185113.56    | 0.03%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36208LAV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       436 | PA      | $440.84       | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31388PB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     55613 | PA      | $55678.97     | 0.01%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WJNF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3814227 | PA      | $3535688.31   | 0.56%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36296HLM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57616 | PA      | $59212.90     | 0.01%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136ATWC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   4826852 | PA      | $389642.28    | 0.06%             | 2043-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NRP Mortgage Trust 2013-1                                 | NRP Mortgage Trust 2013-1                                 | CUSIP: 62942KAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2472462 | PA      | $1963746.83   | 0.31%             | 2043-07-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138ERN55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3057887 | PA      | $2922525.95   | 0.46%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36210BV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15839 | PA      | $15929.09     | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31281ADU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2843 | PA      | $2857.98      | 0.00%             | 2023-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38378KTM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |  33787202 | PA      | $332148.47    | 0.05%             | 2047-04-16      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EJ6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2219444 | PA      | $2142196.10   | 0.34%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31371MT56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12865 | PA      | $13075.10     | 0.00%             | 2026-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292GY42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     11562 | PA      | $12096.26     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31416NET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    232120 | PA      | $239108.61    | 0.04%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WHKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3214758 | PA      | $2986716.19   | 0.47%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202BZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       551 | PA      | $555.03       | 0.00%             | 2024-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36203CLG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       210 | PA      | $217.21       | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 3617B9AK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2212713 | PA      | $2119468.26   | 0.33%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31390YLR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4555 | PA      | $4635.53      | 0.00%             | 2032-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                        | Freddie Mac REMICS                                        | CUSIP: 3137FGG66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    553000 | PA      | $540810.88    | 0.09%             | 2045-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38379XJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   2290420 | PA      | $277557.20    | 0.04%             | 2046-06-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31410EDY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     17885 | PA      | $18810.40     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36204M4L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2698 | PA      | $2770.39      | 0.00%             | 2023-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HEF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       139 | PA      | $144.02       | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36178DDP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1830630 | PA      | $1742235.29   | 0.27%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36196WXY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1243809 | PA      | $1191490.52   | 0.19%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                 | Freddie Mac Non Gold Pool                                 | CUSIP: 31336SDH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       614 | PA      | $604.64       | 0.00%             | 2032-10-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140X7PT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7479438 | PA      | $7030776.24   | 1.11%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133AXBL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9905620 | PA      | $8388586.51   | 1.32%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140K55N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3795326 | PA      | $3491304.66   | 0.55%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136ATTX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   2144337 | PA      | $75451.50     | 0.01%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38382JCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |  15394554 | PA      | $2245631.28   | 0.35%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140F0HX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3638306 | PA      | $3379387.41   | 0.53%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36204QFC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1060 | PA      | $1098.87      | 0.00%             | 2024-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128MACW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1198874 | PA      | $1233403.63   | 0.19%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7000000 | PA      | $7173906.25   | 1.13%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36194HDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3663370 | PA      | $3390745.87   | 0.53%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128LA7C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     10722 | PA      | $11059.60     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                  | CUSIP: 38379QD69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   5143166 | PA      | $613968.50    | 0.10%             | 2045-10-20      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31297PRC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     13645 | PA      | $14208.22     | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36178DXS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2642354 | PA      | $2500424.05   | 0.39%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31414CJK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     82409 | PA      | $86576.10     | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36225B3L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49121 | PA      | $50907.32     | 0.01%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31413CJD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    193962 | PA      | $207511.11    | 0.03%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36203CYU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1520 | PA      | $1575.81      | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128MMP31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    353344 | PA      | $339350.84    | 0.05%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36204BFU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1681 | PA      | $1726.18      | 0.00%             | 2023-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36209BTG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1350 | PA      | $1348.20      | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36206GNT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       622 | PA      | $644.60       | 0.00%             | 2026-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31388GTN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1323 | PA      | $1369.77      | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EPGF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1142804 | PA      | $1098782.11   | 0.17%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202DMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19612 | PA      | $20365.44     | 0.00%             | 2031-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136B5H40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   5804187 | PA      | $698510.68    | 0.11%             | 2049-09-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138Y4PZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1711862 | PA      | $1738689.73   | 0.27%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128P7RH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1394597 | PA      | $1385404.45   | 0.22%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31371JEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23773 | PA      | $23771.38     | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31298SUV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       310 | PA      | $309.67       | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136APAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   5453411 | PA      | $186289.06    | 0.03%             | 2045-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36203VMN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1649 | PA      | $1709.12      | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36201TKE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9903 | PA      | $10192.96     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31400FCV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     18151 | PA      | $18110.95     | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31407BWY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9566 | PA      | $9831.31      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140X9SN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8699013 | PA      | $8418140.45   | 1.32%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 31392CXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    367501 | PA      | $389105.95    | 0.06%             | 2032-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128L9TP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     30935 | PA      | $31821.79     | 0.01%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2136096 | PA      | $2164419.23   | 0.34%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 3622AACU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4304967 | PA      | $4064882.04   | 0.64%             | 2047-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bill                               | United States Treasury Bill                               | CUSIP: 912796YM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6575000 | PA      | $6528179.16   | 1.03%             | 2023-03-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31293TKV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     51622 | PA      | $52016.18     | 0.01%             | 2029-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36207AR87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1603 | PA      | $1661.46      | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36204A6Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       284 | PA      | $283.51       | 0.00%             | 2023-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36213UKT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       275 | PA      | $275.22       | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XB2U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13163855 | PA      | $11724582.08  | 1.84%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                  | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |  13293208 | PA      | $1828069.98   | 0.29%             | 2050-08-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140EVUX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4014959 | PA      | $3976418.92   | 0.63%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36207DNY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2645 | PA      | $2641.58      | 0.00%             | 2027-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8000000 | PA      | $7942500.00   | 1.25%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WDRX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3501444 | PA      | $3556307.93   | 0.56%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2017-3                             | Sequoia Mortgage Trust 2017-3                             | CUSIP: 81746XCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2018212 | PA      | $1780756.57   | 0.28%             | 2047-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38378BM71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |  15831465 | PA      | $253886.03    | 0.04%             | 2053-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3738234 | PA      | $3488381.13   | 0.55%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140X4EN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1476753 | PA      | $1429068.52   | 0.22%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140QNE73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13234280 | PA      | $11716888.91  | 1.84%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128M6WB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     40954 | PA      | $42918.98     | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31412WJN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2860 | PA      | $2960.25      | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2015-2                | New Residential Mortgage Loan Trust 2015-2                | CUSIP: 64829EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3951440 | PA      | $3731653.06   | 0.59%             | 2055-08-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140QMRA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18364767 | PA      | $15578816.15  | 2.45%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EQ2X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2779395 | PA      | $2591269.61   | 0.41%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36209JHD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24659 | PA      | $24962.98     | 0.00%             | 2028-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31391KSU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5037 | PA      | $5174.29      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XHE37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14143005 | PA      | $12765870.30  | 2.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140J8SB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2405168 | PA      | $2492052.17   | 0.39%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31413RXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9836 | PA      | $10125.12     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XFDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15745991 | PA      | $13330296.05  | 2.10%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31411AVF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12669 | PA      | $13370.33     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XHBW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8377397 | PA      | $7440086.40   | 1.17%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31335BP67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2145124 | PA      | $2224896.14   | 0.35%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2017-5                             | Sequoia Mortgage Trust 2017-5                             | CUSIP: 81746DAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214399 | PA      | $189195.00    | 0.03%             | 2047-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 3622A24L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7329814 | PA      | $7327020.59   | 1.15%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133KJRQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8888076 | PA      | $7883237.98   | 1.24%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                        | Freddie Mac REMICS                                        | CUSIP: 3137BP7L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    986466 | PA      | $928260.89    | 0.15%             | 2046-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38378NKR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   4223613 | PA      | $64035.04     | 0.01%             | 2053-10-16      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31283HUT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      9837 | PA      | $9982.50      | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2015-PS1                    | Citigroup Mortgage Loan Trust 2015-PS1                    | CUSIP: 17324VAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4165438 | PA      | $4007536.69   | 0.63%             | 2042-09-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                        | Freddie Mac REMICS                                        | CUSIP: 3137AWBP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1832543 | PA      | $271188.21    | 0.04%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EQB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2178944 | PA      | $2091361.67   | 0.33%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31387D5K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     48292 | PA      | $49985.51     | 0.01%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38382KWX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |  10862815 | PA      | $1646783.16   | 0.26%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38382LBY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |  13027223 | PA      | $1928798.98   | 0.30%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140J5XH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3889539 | PA      | $3897686.59   | 0.61%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292LH24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2697120 | PA      | $2605913.48   | 0.41%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128PW2Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    512800 | PA      | $508071.95    | 0.08%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                 | Fannie Mae Interest Strip                                 | CUSIP: 31364HH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      2606 | PA      | $69.65        | 0.00%             | 2024-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136AQ2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   2940310 | PA      | $294828.08    | 0.05%             | 2036-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 3620ASWZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2926071 | PA      | $2892456.86   | 0.46%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140EXCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1787706 | PA      | $1758792.15   | 0.28%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HP65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     58759 | PA      | $61765.04     | 0.01%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132WHJV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4486583 | PA      | $4180511.62   | 0.66%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31417ETM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2689311 | PA      | $2529240.44   | 0.40%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31381CQM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     14817 | PA      | $15336.30     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31400B4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     43121 | PA      | $44633.33     | 0.01%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38380GHP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   1825374 | PA      | $145897.42    | 0.02%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38378B2X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |  12049431 | PA      | $111357.23    | 0.02%             | 2052-11-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128M4V67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      6772 | PA      | $7120.74      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179VN22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17551726 | PA      | $15763485.48  | 2.48%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31403NPV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     20685 | PA      | $20341.78     | 0.00%             | 2033-12-01      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity FedFund - Institutional Class         | BlackRock Liquidity FedFund - Institutional Class         | CUSIP: 09248U700<br>LEI: 549300T8K043VZEOVK74 | Long             | STIV             | RF                | US        |       101 | NS      | $101.03       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EGXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3144464 | PA      | $3253015.53   | 0.51%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31296NYL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      5724 | PA      | $5979.91      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-28

**Name of Applicant:** Principal Funds, Inc

**Signature:** Megan Hoffmann

**Name of Signer:** /s/ Megan Hoffmann

**Title:** Vice President and Controller