# EDGAR Filing Document

**Accession Number:** 0000898745
**File Stem:** 0001752724-23-064821
**Filing Date:** 2023-3
**Character Count:** 104507
**Document Hash:** 2b081cba98c5eafa1ae54299eb088dcc
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-064821.hdr.sgml**: 20230324

**ACCESSION NUMBER**: 0001752724-23-064821

**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:** 23757979

**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

### Inflation Protection Fund (Series ID: S000006997)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000019081 | R-3                 | PIFPX           |
| C000019082 | R-5                 | PBPPX           |
| C000019083 | R-4                 | PIFSX           |
| C000019084 | R-1                 | PISPX           |
| C000019085 | Class J             | PIPJX           |
| C000019086 | Institutional Class | PIPIX           |

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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:** Inflation Protection Fund

- **b. EDGAR series identifier (if any):** S000006997

- **c. LEI of Series:** 5493006ECFME6VCZ0U45

**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:** $1598795828.20

**Total Liabilities:** $24152973.65

**Net Assets:** $1574642854.55

**Cash Not Reported:** $2077528.29

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 23654.65600000 | **1-Year:** -353.80570000 | **5-Year:** -4647.33250000 | **10-Year:** -8211.42370000 | **30-Year:** 17733.11290000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000019086 | 1.98%                | -1.11%               | 2.09%                |
| Class ID C000019082 | 1.90%                | -1.13%               | 2.00%                |
| Class ID C000019083 | 1.93%                | -1.10%               | 2.03%                |
| Class ID C000019081 | 1.83%                | -1.04%               | 1.92%                |
| Class ID C000019085 | 1.97%                | -1.17%               | 2.07%                |
| Class ID C000019084 | 1.88%                | -1.15%               | 1.97%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4477362.02             | $32655913.53                               |
| Month 2  | $-13755346.80            | $-8108012.80                               |
| Month 3  | $-8826211.19             | $41276525.46                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Treasury US TIPS TR USD

- **Index Identifier:** XIUSA04G7X

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BlackRock Liquidity FedFund - Institutional Class             | BlackRock Liquidity FedFund - Institutional Class             | CUSIP: 09248U700<br>LEI: 549300T8K043VZEOVK74 | Long             | STIV             | RF                | US        |          8 | NS      | $7.56         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   11729000 | OU      | $-377723.13   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3392000 | OU      | $66587.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20072615 | PA      | $22249239.63  | 1.41%             | 2028-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   12849300 | OU      | $-272136.94   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   14017924 | OU      | $-97340.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20021474 | PA      | $14443616.62  | 0.92%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    1922000 | OU      | $26786.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-545.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust 2007-GG9                            | Commercial Mortgage Trust 2007-GG9                            | CUSIP: 20173QBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82076 | PA      | $0.82         | 0.00%             | 2039-03-10      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $17677.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   14017924 | OU      | $-792408.04   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4448000 | OU      | $-46593.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMIC Trust 2003-W16                               | Fannie Mae REMIC Trust 2003-W16                               | CUSIP: 31393T4M5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        363 | PA      | $357.60       | 0.00%             | 2033-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2070000 | OU      | $-859.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    6555000 | OU      | $39825.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    1695000 | OU      | $13923.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     385000 | OU      | $-31128.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2022-7                             | Verus Securitization Trust 2022-7                             | CUSIP: 92539NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2014876 | PA      | $2006535.71   | 0.13%             | 2067-07-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4646553 | OU      | $228527.67    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39446708 | PA      | $37818761.14  | 2.40%             | 2025-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     255000 | OU      | $3916.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   32540000 | OU      | $-683597.36   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-10519.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   52325592 | PA      | $49413959.50  | 3.14%             | 2027-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2022-SFR7 Trust                          | Progress Residential 2022-SFR7 Trust                          | CUSIP: 74333CAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3320000 | PA      | $3160376.39   | 0.20%             | 2039-10-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3815000 | OU      | $44895.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Options                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       1726 | NC      | $636462.50    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   10993243 | OU      | $-238677.39   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4168000 | OU      | $-13511.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    6587000 | OU      | $193966.94    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3815000 | OU      | $-57133.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40875114 | PA      | $38298065.97  | 2.43%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54822547 | PA      | $49874597.69  | 3.17%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15449055 | PA      | $13811968.28  | 0.88%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4061400 | OU      | $-127492.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   62037434 | PA      | $58670207.34  | 3.73%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-NQM5 Trust                                          | CSMC 2022-NQM5 Trust                                          | CUSIP: 12663DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2728065 | PA      | $2695396.84   | 0.17%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2966000 | OU      | $42737.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   24730000 | OU      | $-187271.43   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMIC Trust 2004-W5                                | Fannie Mae REMIC Trust 2004-W5                                | CUSIP: 31393YKN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11573 | PA      | $11444.97     | 0.00%             | 2047-02-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42111228 | PA      | $40734936.52  | 2.59%             | 2026-01-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    1000000 | OU      | $-58504.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   11844758 | OU      | $596416.03    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    1695000 | OU      | $-18748.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Futures                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         14 | NC      | $13474.34     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3805000 | OU      | $47062.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6237.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20135695 | PA      | $17010139.60  | 1.08%             | 2043-02-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    6396169 | OU      | $-221410.76   | -0.01%            |  |  |  | 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        |   19603149 | NS      | $19603149.37  | 1.24%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2687000 | OU      | $-115988.13   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10972506 | PA      | $12063863.31  | 0.77%             | 2040-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    1338420 | OU      | $-37179.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4725826 | OU      | $-88735.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust 2022-1                      | Homeward Opportunities Fund Trust 2022-1                      | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1332366 | PA      | $1329957.43   | 0.08%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   43353746 | PA      | $41821970.16  | 2.66%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    6587000 | OU      | $202454.77    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    6891000 | OU      | $-352127.47   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4863486 | OU      | $-185136.81   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $29399.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2022-INV2                          | Verus Securitization Trust 2022-INV2                          | CUSIP: 924923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     767002 | PA      | $782081.19    | 0.05%             | 2067-10-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust 2022-2                          | SG Residential Mortgage Trust 2022-2                          | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     691316 | PA      | $689950.21    | 0.04%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20904131 | PA      | $21562488.45  | 1.37%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2809000 | OU      | $-10635.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust 2022-SH1                      | Spruce Hill Mortgage Loan Trust 2022-SH1                      | CUSIP: 85213XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1275725 | PA      | $1229541.42   | 0.08%             | 2057-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Futures                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         28 | NC      | $149767.88    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch Alternative Note Asset Trust Series 2007-A3     | Merrill Lynch Alternative Note Asset Trust Series 2007-A3     | CUSIP: 59024HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1329295 | PA      | $549147.73    | 0.03%             | 2037-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13980302 | PA      | $12389906.41  | 0.79%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47312214 | PA      | $45372906.51  | 2.88%             | 2025-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   20957000 | OU      | $776167.60    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Futures                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        451 | NC      | $-12908.33    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Asset-Backed Certificates                         | Countrywide Asset-Backed Certificates                         | CUSIP: 126671SL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       7501 | PA      | $7340.67      | 0.00%             | 2032-12-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   32540000 | OU      | $-673416.89   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Futures                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         12 | NC      | $-7543.46     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41638790 | PA      | $40407518.23  | 2.57%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Futures                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         23 | NC      | $53014.58     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-21973.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33081270 | PA      | $32254238.74  | 2.05%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23708647 | PA      | $22688989.62  | 1.44%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2070000 | OU      | $711.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    1948000 | OU      | $-65985.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   59922714 | PA      | $54101901.35  | 3.44%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust Series 2004-5                                 | Impac CMB Trust Series 2004-5                                 | CUSIP: 45254NJQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3528 | PA      | $3339.06      | 0.00%             | 2034-10-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2923000 | OU      | $-8107.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $37254.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19342302 | PA      | $13344677.70  | 0.85%             | 2051-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2140000 | OU      | $10232.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Futures                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         30 | NC      | $-3674.97     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-24986.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4918000 | OU      | $-239886.01   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12434381 | PA      | $10994712.82  | 0.70%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4878881 | OU      | $-153215.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4883500 | OU      | $-2833.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27729250 | PA      | $26893581.20  | 1.71%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3252400 | OU      | $-144675.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19103972 | PA      | $16487996.44  | 1.05%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2022-SFR6 Trust                          | Progress Residential 2022-SFR6 Trust                          | CUSIP: 74334DAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1990000 | PA      | $1931277.29   | 0.12%             | 2039-07-20      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30081929 | PA      | $25628099.55  | 1.63%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Argent Securities Trust 2006-W3                               | Argent Securities Trust 2006-W3                               | CUSIP: 040104SQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      24379 | PA      | $8006.51      | 0.00%             | 2036-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1898.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2747000 | OU      | $72229.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1428.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27966420 | PA      | $27050683.88  | 1.72%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | 2545932000 | OU      | $-7498.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    9832000 | OU      | $-123021.30   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Options                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       1833 | NC      | $91650.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4883500 | OU      | $-23554.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     655000 | OU      | $-42657.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3902000 | OU      | $55650.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2210676 | OU      | $-115296.74   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    7718000 | OU      | $-42923.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Impac CMB Trust Series 2005-5                                 | Impac CMB Trust Series 2005-5                                 | CUSIP: 45254NPY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6175 | PA      | $5517.15      | 0.00%             | 2035-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $24438.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2577000 | OU      | $73320.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     400000 | OU      | $-28460.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53242626 | PA      | $48582856.17  | 3.09%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-14197.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    5019000 | OU      | $109887.19    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14667322 | PA      | $16144796.65  | 1.03%             | 2041-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Futures                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         35 | NC      | $11463.05     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Option One Mortgage Loan Trust 2005-1                         | Option One Mortgage Loan Trust 2005-1                         | CUSIP: 68389FGN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      23084 | PA      | $17380.15     | 0.00%             | 2035-02-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46758677 | PA      | $44743122.06  | 2.84%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-21500.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24190394 | PA      | $27703670.84  | 1.76%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   10993243 | OU      | $-223411.73   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    9451000 | OU      | $-97753.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37672276 | PA      | $35786822.38  | 2.27%             | 2026-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18339037 | PA      | $18642956.88  | 1.18%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810FR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34536424 | PA      | $34692467.43  | 2.20%             | 2025-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    1831000 | OU      | $-87576.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36287904 | PA      | $35313729.43  | 2.24%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55399971 | PA      | $53783417.01  | 3.42%             | 2024-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    6396169 | OU      | $-139433.53   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2687000 | OU      | $-26844.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8311612 | PA      | $9771339.30   | 0.62%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    9451000 | OU      | $-451731.46   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22683247 | PA      | $15638149.13  | 0.99%             | 2052-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    6555000 | OU      | $-51947.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4294.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2932000 | OU      | $55780.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust 2022-1                  | Pagaya AI Technology in Housing Trust 2022-1                  | CUSIP: 69547NAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1275000 | PA      | $1161741.75   | 0.07%             | 2025-08-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26200797 | PA      | $22873244.55  | 1.45%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMIC Trust 2005-W2                                | Fannie Mae REMIC Trust 2005-W2                                | CUSIP: 31394DJP6<br>LEI: 5493003LPQ4JJCYQN327 | Long             | ABS-MBS          | CORP              | US        |        895 | PA      | $893.32       | 0.00%             | 2035-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust Series 2007-A2                   | Chase Mortgage Finance Trust Series 2007-A2                   | CUSIP: 16163LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8810 | PA      | $8447.66      | 0.00%             | 2035-06-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust 2004-2                         | Long Beach Mortgage Loan Trust 2004-2                         | CUSIP: 542514FX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      19895 | PA      | $19034.41     | 0.00%             | 2034-06-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   51102528 | PA      | $48586826.61  | 3.09%             | 2026-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49617421 | PA      | $48021814.25  | 3.05%             | 2024-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2022-SFR2                 | New Residential Mortgage Loan Trust 2022-SFR2                 | CUSIP: 64830RAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2035000 | PA      | $1805155.30   | 0.11%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3815000 | OU      | $-91790.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Futures                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         71 | NC      | $-24345.08    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2140000 | OU      | $-20580.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4059000 | OU      | $169774.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM 2022-AFC2 Trust                                         | PRKCM 2022-AFC2 Trust                                         | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     552423 | PA      | $548570.16    | 0.03%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    7718000 | OU      | $-490769.37   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   21318594 | OU      | $650650.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| European Union                                                | European Union                                                | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | XX        |    3900000 | PA      | $3732694.82   | 0.24%             | 2052-10-04      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     430000 | OU      | $38193.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4451500 | OU      | $-122152.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4863487 | OU      | $-165206.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-10658.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41837827 | PA      | $39976370.10  | 2.54%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                     | Fannie Mae or Freddie Mac                                     | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   15795000 | PA      | $15852997.19  | 1.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Options                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       1726 | NC      | $-183387.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46638125 | PA      | $42952619.61  | 2.73%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-7.73        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32421300 | PA      | $32843030.11  | 2.09%             | 2027-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Futures                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        225 | NC      | $21978.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-882.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMSR 2022-SFR3 Trust                                          | AMSR 2022-SFR3 Trust                                          | CUSIP: 66981YAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2091000 | PA      | $1861398.58   | 0.12%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-471.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Futures                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        332 | NC      | $176001.78    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Impac CMB Trust Series 2005-1                                 | Impac CMB Trust Series 2005-1                                 | CUSIP: 45254NMM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30252 | PA      | $27622.38     | 0.00%             | 2035-04-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                    | Ginnie Mae                                                    | CUSIP: 38373MYV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |      74117 | PA      | $923.98       | 0.00%             | 2047-03-16      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Options                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       2292 | NC      | $-14325.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    9832000 | OU      | $-609641.51   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   11729000 | OU      | $-334551.54   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Futures                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         30 | NC      | $1577.53      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24074518 | PA      | $24219812.07  | 1.54%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     230000 | OU      | $3252.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4987094 | OU      | $136286.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4262.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   11844758 | OU      | $174550.33    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4451500 | OU      | $-160200.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     275000 | OU      | $-247.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Futures                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          6 | NC      | $2710.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | Futures                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          7 | NC      | $-32635.78    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CSMC 2022-NQM4 Trust                                          | CSMC 2022-NQM4 Trust                                          | CUSIP: 12665EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1522389 | PA      | $1505263.86   | 0.10%             | 2067-06-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   12750000 | OU      | $-100147.22   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-OA6                               | Alternative Loan Trust 2006-OA6                               | CUSIP: 12668BE74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2395 | PA      | $2374.78      | 0.00%             | 2046-07-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   25065000 | OU      | $-300377.22   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   70502236 | PA      | $69121566.98  | 4.39%             | 2024-01-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   44335286 | PA      | $42257935.11  | 2.68%             | 2026-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   20957000 | OU      | $337993.82    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3815000 | OU      | $126143.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust | CUSIP: 92922FD39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12658 | PA      | $12284.82     | 0.00%             | 2045-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   51834182 | PA      | $47640877.91  | 3.03%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17656919 | PA      | $18782547.70  | 1.19%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4451500 | OU      | $-124408.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1394.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Impac CMB Trust Series 2004-6                                 | Impac CMB Trust Series 2004-6                                 | CUSIP: 45254NKE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2391 | PA      | $2298.15      | 0.00%             | 2034-10-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   21318594 | OU      | $631064.19    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-16270.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Visio 2022-1 Trust                                            | Visio 2022-1 Trust                                            | CUSIP: 92838CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1628869 | PA      | $1622984.42   | 0.10%             | 2057-08-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | FX Forwards                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2436.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     310000 | OU      | $-6675.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2022-NQM9 Trust                                           | OBX 2022-NQM9 Trust                                           | CUSIP: 67118LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2341376 | PA      | $2374420.68   | 0.15%             | 2062-09-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    1950713 | OU      | $-106900.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    5019000 | OU      | $133608.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   12849300 | OU      | $-526188.37   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3805000 | OU      | $-55942.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2022-INV2 Trust                                           | MFA 2022-INV2 Trust                                           | CUSIP: 55285UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1632010 | PA      | $1622274.25   | 0.10%             | 2057-07-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaptions                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4451500 | OU      | $-158610.15   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | Interest Rate Swaps                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    7088700 | OU      | $-187769.00   | -0.01%            |  |  |  | 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