# EDGAR Filing Document

**Accession Number:** 0000012601
**File Stem:** 0001752724-23-037053
**Filing Date:** 2023-2
**Character Count:** 147021
**Document Hash:** 16f1081dbd7b93b579d737c90c2a5aaf
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-037053.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-037053

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PRINCIPAL VARIABLE CONTRACTS FUNDS INC
- **CENTRAL INDEX KEY:** 0000012601
- **IRS NUMBER:** 000000000
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-01944
- **FILM NUMBER:** 23659119

**BUSINESS ADDRESS:**
- **STREET 1:** 711 HIGH STREET
- **CITY:** DES MOINES
- **STATE:** IA
- **ZIP:** 50392
- **BUSINESS PHONE:** 515-247-5477

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRINCIPAL VARIABLE CONTRACTS FUND INC
- **DATE OF NAME CHANGE:** 19980617

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRINCIPAL CAPITAL ACCUMULATION FUND INC
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRINCOR INVESTMENT FUND INC
- **DATE OF NAME CHANGE:** 19880906

## Series and Classes Contracts Data

### Government & High Quality Bond Account f/k/a Mortgage Securities Account (Series ID: S000014088)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000038539 | Government & High Quality Bond Account Class 1 |  |

## 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 Variable Contract Funds, Inc

- **b. Investment Company Act file number:** 811-01944

- **c. CIK number of Registrant:** 0000012601

- **d. LEI of Registrant:** ICS43THKTGQL3EQ10426

- **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 Account

- **b. EDGAR series identifier (if any):** S000014088

- **c. LEI of Series:** GYQKVAZKEVMXP6Q0OZ65

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $153631763.80

**Total Liabilities:** $15280380.01

**Net Assets:** $138351383.79

**Cash Not Reported:** $299325.99

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 532.13970000 | **1-Year:** 1437.92310000 | **5-Year:** 13908.93300000 | **10-Year:** 27938.62840000 | **30-Year:** 25774.25970000

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

- **3-Month:** 73.83580000 | **1-Year:** 199.51570000 | **5-Year:** 1929.90170000 | **10-Year:** 3876.55950000 | **30-Year:** 3576.24750000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000038539 | -1.61%               | 4.27%                | -0.72%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-887784.59              | $-1267164.76                               |
| Month 2  | $-112562.49              | $5194466.80                                |
| Month 3  | $512416.89               | $-1753210.75                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HU28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     46838 | PA      | $48236.74     | 0.03%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128MFMF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    418623 | PA      | $400913.31    | 0.29%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31418CQF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    303278 | PA      | $292014.60    | 0.21%             | 2037-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                 | Fannie Mae or Freddie Mac                                 | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2724908.16   | 1.97%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                          | United States Treasury Note/Bond                          | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $203476.56    | 0.15%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31375XU72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       450 | PA      | $461.55       | 0.00%             | 2026-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128K8DA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     17250 | PA      | $17574.59     | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WBTA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    309691 | PA      | $297819.55    | 0.22%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31386XW77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       349 | PA      | $357.44       | 0.00%             | 2024-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202DMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4091 | PA      | $4215.83      | 0.00%             | 2031-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292GUV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       945 | PA      | $978.62       | 0.00%             | 2028-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XAPQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1986812 | PA      | $1639890.06   | 1.19%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                  | CUSIP: 38380KAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |    635263 | PA      | $62816.44     | 0.05%             | 2047-11-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31371FH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1039 | PA      | $1064.17      | 0.00%             | 2026-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128KE4E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     19754 | PA      | $20629.52     | 0.01%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4825 | PA      | $5032.25      | 0.00%             | 2031-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1523833.31   | 1.10%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31412WJN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3427 | PA      | $3511.39      | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EverBank Mortgage Loan Trust 18-1                         | EverBank Mortgage Loan Trust 18-1                         | CUSIP: 29978CAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104444 | PA      | $90674.89     | 0.07%             | 2048-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292GUB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1204 | PA      | $1247.07      | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                          | United States Treasury Note/Bond                          | CUSIP: 912810FF0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $1059375.00   | 0.77%             | 2028-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31417B5S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    324340 | PA      | $310123.47    | 0.22%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31417DF81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    818999 | PA      | $745202.99    | 0.54%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31371G2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6160 | PA      | $6289.45      | 0.00%             | 2028-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    673500 | PA      | $609595.89    | 0.44%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36196WXY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487737 | PA      | $454347.96    | 0.33%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31298V7E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      5995 | PA      | $6142.55      | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    251824 | PA      | $228182.72    | 0.16%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128METT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    222862 | PA      | $213446.03    | 0.15%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XHBW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1346804 | PA      | $1151860.50   | 0.83%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132WHJV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    446794 | PA      | $401336.13    | 0.29%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31371HD96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6354 | PA      | $6473.62      | 0.00%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133GAQ25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1303486 | PA      | $1162751.51   | 0.84%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31374WGB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7246 | PA      | $7237.48      | 0.01%             | 2025-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                        | Freddie Mac REMICS                                        | CUSIP: 3137BBQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1308274 | PA      | $45766.05     | 0.03%             | 2038-05-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XB2U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3730048 | PA      | $3199674.85   | 2.31%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138W6EE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    461723 | PA      | $414690.28    | 0.30%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    438660 | PA      | $394835.23    | 0.29%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133B0SQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2638108 | PA      | $2261789.49   | 1.63%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128L9TP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     16330 | PA      | $16604.20     | 0.01%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128FCWS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1021 | PA      | $1047.06      | 0.00%             | 2026-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36209L5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2667 | PA      | $2665.29      | 0.00%             | 2029-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Grantor Trust 2005-T1                          | Fannie Mae Grantor Trust 2005-T1                          | CUSIP: 31394C7E6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112771 | PA      | $109556.41    | 0.08%             | 2035-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 3620AATY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16521 | PA      | $16813.78     | 0.01%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31413AJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12353 | PA      | $12782.33     | 0.01%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128K66Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3783 | PA      | $3853.87      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138W9B33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    259088 | PA      | $246076.56    | 0.18%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36208TYP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2409 | PA      | $2438.86      | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31414AQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5776 | PA      | $5864.38      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138Y4PJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    774711 | PA      | $756664.69    | 0.55%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                 | Fannie Mae or Freddie Mac                                 | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2950000 | PA      | $2588239.32   | 1.87%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138ERN55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    323310 | PA      | $299926.70    | 0.22%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140X7PT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1167597 | PA      | $1075809.64   | 0.78%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31281ADU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       736 | PA      | $734.60       | 0.00%             | 2023-05-01      | Fixed         | 6.50%                 | 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        |    573642 | PA      | $568020.52    | 0.41%             | 2025-04-10      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31401H2H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     28301 | PA      | $29177.38     | 0.02%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31288J2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     95704 | PA      | $95887.06     | 0.07%             | 2033-06-01      | Fixed         | 5.00%                 | 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        |    410022 | PA      | $406215.20    | 0.29%             | 2025-01-10      | Fixed         | 0.38%                 | 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        |    125951 | PA      | $111332.57    | 0.08%             | 2046-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XHW52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2061096 | PA      | $1770291.89   | 1.28%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133KJMD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    949535 | PA      | $836143.65    | 0.60%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38380FHJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |    826992 | PA      | $62320.86     | 0.05%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1854764 | PA      | $1521276.27   | 1.10%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HFV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      5598 | PA      | $5909.59      | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XHEB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1962486 | PA      | $1678448.03   | 1.21%             | 2052-05-01      | Fixed         | 2.50%                 | 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        |    433877 | PA      | $428698.28    | 0.31%             | 2025-02-18      | Fixed         | 0.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2843525 | PA      | $2335775.20   | 1.69%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38378KTM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   4967973 | PA      | $49203.79     | 0.04%             | 2047-04-16      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140JXNY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    610724 | PA      | $540563.79    | 0.39%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136AUSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    129224 | PA      | $124668.37    | 0.09%             | 2042-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38379RTT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |    227166 | PA      | $195065.08    | 0.14%             | 2059-05-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36207BAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7575 | PA      | $7676.44      | 0.01%             | 2029-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140X9SN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1335314 | PA      | $1250292.76   | 0.90%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140EXCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    347121 | PA      | $338298.69    | 0.24%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1005591.60   | 0.73%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XFDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1897576 | PA      | $1553932.08   | 1.12%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344858 | PA      | $311547.41    | 0.23%             | 2046-12-20      | 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        |   4215000 | PA      | $4171822.17   | 3.02%             | 2023-03-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HHL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      4359 | PA      | $4510.32      | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31411CD32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9713 | PA      | $9952.82      | 0.01%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128L9PU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2599 | PA      | $2608.67      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                          | United States Treasury Note/Bond                          | CUSIP: 912810FT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $1067070.31   | 0.77%             | 2036-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202DYM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54198 | PA      | $57213.31     | 0.04%             | 2033-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36200SR28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18980 | PA      | $19516.71     | 0.01%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31298NM51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     10520 | PA      | $10583.43     | 0.01%             | 2028-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140QNU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5226640 | PA      | $4484283.39   | 3.24%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $969912.54    | 0.70%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140J5XH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    560658 | PA      | $545428.31    | 0.39%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132L5B44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    371209 | PA      | $338146.77    | 0.24%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3803 | PA      | $3988.42      | 0.00%             | 2030-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36204CKG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       245 | PA      | $245.53       | 0.00%             | 2023-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31406XKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     48923 | PA      | $49611.74     | 0.04%             | 2035-04-01      | Fixed         | 5.00%                 | 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        |    405303 | PA      | $350549.90    | 0.25%             | 2047-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31389USQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       791 | PA      | $810.36       | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292GXD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1400 | PA      | $1450.68      | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36225BNC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3777 | PA      | $3925.82      | 0.00%             | 2031-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31400FCS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10039 | PA      | $9975.67      | 0.01%             | 2033-05-01      | 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        |    885027 | PA      | $96602.42     | 0.07%             | 2045-10-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36184SPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275160 | PA      | $256750.66    | 0.19%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 31392CXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     54693 | PA      | $57305.47     | 0.04%             | 2032-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138YEN37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    291073 | PA      | $272020.28    | 0.20%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202C3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2843 | PA      | $2939.75      | 0.00%             | 2028-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3132ADPL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    738691 | PA      | $714048.93    | 0.52%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36207FYF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       427 | PA      | $428.33       | 0.00%             | 2026-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38382GT77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   1287200 | PA      | $188823.14    | 0.14%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                     | HPEFS Equipment Trust                                     | CUSIP: 40441RAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    729113 | PA      | $716982.32    | 0.52%             | 2029-05-21      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140QNE73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1902218 | PA      | $1623050.56   | 1.17%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36178DPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328437 | PA      | $300986.72    | 0.22%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31388X4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2182 | PA      | $2215.48      | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31298WP25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      6151 | PA      | $6307.92      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140K55N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    586819 | PA      | $518950.22    | 0.38%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36200MV83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2180 | PA      | $2180.60      | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WJMX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    391684 | PA      | $366263.73    | 0.26%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 3622A23X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    495163 | PA      | $472643.84    | 0.34%             | 2047-05-20      | 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        |    204651 | PA      | $209221.03    | 0.15%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128MJAM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     21341 | PA      | $22094.67     | 0.02%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31381CQM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3085 | PA      | $3161.21      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140EVUX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    671622 | PA      | $643307.29    | 0.46%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250000 | PA      | $216589.52    | 0.16%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38378KGP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   9577244 | PA      | $12231.10     | 0.01%             | 2055-02-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31414MNP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     18325 | PA      | $19285.43     | 0.01%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36204HMN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       239 | PA      | $238.36       | 0.00%             | 2023-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128M6EY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     38144 | PA      | $39790.13     | 0.03%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    684317 | PA      | $675587.79    | 0.49%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140X4EN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    222500 | PA      | $208842.15    | 0.15%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292GUZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      5983 | PA      | $6130.93      | 0.00%             | 2028-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38382ATA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   1933922 | PA      | $323035.95    | 0.23%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                 | Fannie Mae Interest Strip                                 | CUSIP: 31395Q5F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    616994 | PA      | $88862.79     | 0.06%             | 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        |   5397467 | NS      | $5397466.84   | 3.90%             |  |  |  | No            |                  1 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202DA50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5765 | PA      | $6006.25      | 0.00%             | 2029-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133KJRQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2865221 | PA      | $2456130.82   | 1.78%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128KMLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     27705 | PA      | $28396.79     | 0.02%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31416XQT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    640470 | PA      | $620112.48    | 0.45%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WFEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    415115 | PA      | $405445.18    | 0.29%             | 2045-08-01      | Fixed         | 4.00%                 | 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        |    786307 | PA      | $737220.80    | 0.53%             | 2055-08-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132H7DU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    344483 | PA      | $322096.36    | 0.23%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136ATVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    350810 | PA      | $14886.11     | 0.01%             | 2040-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128P7RH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    431579 | PA      | $418396.68    | 0.30%             | 2032-02-01      | Fixed         | 3.50%                 | 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        |    930000 | PA      | $931705.81    | 0.67%             | 2026-01-15      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31373YA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4618 | PA      | $4731.37      | 0.00%             | 2025-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31412V4L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     47913 | PA      | $49671.02     | 0.04%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XD3X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1887514 | PA      | $1538281.82   | 1.11%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136B1F58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     84611 | PA      | $74693.63     | 0.05%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36178DXS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    795409 | PA      | $728139.19    | 0.53%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31414QWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32789 | PA      | $33767.41     | 0.02%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31283HKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1023 | PA      | $1024.09      | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36178EDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    945116 | PA      | $865286.32    | 0.63%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EJ6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    627651 | PA      | $587518.87    | 0.42%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140F0HX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    547810 | PA      | $490926.33    | 0.35%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36225ARS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       276 | PA      | $284.15       | 0.00%             | 2027-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31335GCT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       298 | PA      | $299.47       | 0.00%             | 2023-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38380GHP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |    551820 | PA      | $46574.71     | 0.03%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138W9MS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    818853 | PA      | $810527.35    | 0.59%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31388R4P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2916 | PA      | $2987.97      | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292GVA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       905 | PA      | $928.10       | 0.00%             | 2028-05-01      | Fixed         | 7.00%                 | 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        |    119968 | PA      | $118985.24    | 0.09%             | 2024-11-15      | Fixed         | 0.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31387D5K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7968 | PA      | $8164.62      | 0.01%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133B5NY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2146868 | PA      | $1758610.12   | 1.27%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36181BJY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    398569 | PA      | $371913.19    | 0.27%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31335AJX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    564574 | PA      | $547231.79    | 0.40%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128LXBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     44125 | PA      | $45112.12     | 0.03%             | 2035-07-01      | 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        |    440323 | PA      | $435961.88    | 0.32%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140FNSN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    496507 | PA      | $465037.83    | 0.34%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140QMRA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2769304 | PA      | $2270800.92   | 1.64%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128K64H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     10388 | PA      | $10583.69     | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179TEY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262495 | PA      | $236378.57    | 0.17%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36209CT89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       643 | PA      | $642.36       | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DLLST 2022-1 LLC                                          | DLLST 2022-1 LLC                                          | CUSIP: 23292GAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $991443.80    | 0.72%             | 2024-01-22      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140Q8NU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    532032 | PA      | $514304.99    | 0.37%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133AKXU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4608198 | PA      | $3786390.80   | 2.74%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                        | Freddie Mac REMICS                                        | CUSIP: 3137BMZE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     18637 | PA      | $18570.50     | 0.01%             | 2041-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38378B2X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   3459729 | PA      | $32047.47     | 0.02%             | 2052-11-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HMU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      6051 | PA      | $6240.95      | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WDJN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    267466 | PA      | $261235.61    | 0.19%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EJUG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    395074 | PA      | $382517.34    | 0.28%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HJ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      5720 | PA      | $5920.92      | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                          | United States Treasury Note/Bond                          | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $158339.85    | 0.11%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WJU63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    189746 | PA      | $172580.94    | 0.12%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31417FBP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    213614 | PA      | $218477.01    | 0.16%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1606480 | PA      | $1354584.09   | 0.98%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 3620ASS67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    371348 | PA      | $357804.15    | 0.26%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292GKC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       235 | PA      | $235.43       | 0.00%             | 2024-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31418MZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    614051 | PA      | $629675.56    | 0.46%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                 | Towd Point Mortgage Trust                                 | CUSIP: 89171DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258544 | PA      | $257347.05    | 0.19%             | 2053-10-25      | Variable      | 4.25%                 | 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        |     41790 | PA      | $41707.03     | 0.03%             | 2025-02-18      | Fixed         | 0.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138ENGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    285378 | PA      | $278730.89    | 0.20%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36208SN40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37680 | PA      | $37772.79     | 0.03%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                 | Fannie Mae or Freddie Mac                                 | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3500000 | PA      | $3281809.79   | 2.37%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36206WY90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       651 | PA      | $661.20       | 0.00%             | 2026-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31418DJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    441245 | PA      | $414149.84    | 0.30%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136AMW88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1204511 | PA      | $262188.41    | 0.19%             | 2045-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | Futures                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        64 | NC      | $-70635.71    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136B5H40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1054622 | PA      | $116666.38    | 0.08%             | 2049-09-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202C3K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7015 | PA      | $7290.26      | 0.01%             | 2028-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31283HPA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2845 | PA      | $2950.75      | 0.00%             | 2031-10-01      | 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        |    452812 | PA      | $442759.80    | 0.32%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HMV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      5180 | PA      | $5362.19      | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36178DS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    726095 | PA      | $664768.26    | 0.48%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XGBE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1009906 | PA      | $866459.90    | 0.63%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HLZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3806 | PA      | $3922.43      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36202UDL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18240 | PA      | $18505.37     | 0.01%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31400B4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5870 | PA      | $6014.24      | 0.00%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36201M3E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32452 | PA      | $32675.11     | 0.02%             | 2032-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138W0VH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    285795 | PA      | $267693.12    | 0.19%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3132DMXT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3341161 | PA      | $2735300.60   | 1.98%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31418A6A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    210558 | PA      | $203786.04    | 0.15%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128MMVF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    285033 | PA      | $259576.67    | 0.19%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128MJCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2928 | PA      | $3104.08      | 0.00%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XDK39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1770653 | PA      | $1533238.54   | 1.11%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38380JJX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |    230134 | PA      | $198142.60    | 0.14%             | 2060-03-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292LW68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    252359 | PA      | $229890.07    | 0.17%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202DCR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6346 | PA      | $6605.37      | 0.00%             | 2029-07-20      | 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        |     55445 | PA      | $56268.09     | 0.04%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust Series 2004-1                         | Chase Funding Trust Series 2004-1                         | CUSIP: 161546HZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72727 | PA      | $68100.10     | 0.05%             | 2033-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31411YEQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    117309 | PA      | $119309.63    | 0.09%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EGXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    477688 | PA      | $483866.61    | 0.35%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292GJ72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       295 | PA      | $299.24       | 0.00%             | 2023-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31407BWY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2220 | PA      | $2267.38      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38382LXJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   1296884 | PA      | $202272.42    | 0.15%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3497129 | PA      | $2931323.82   | 2.12%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138MF4B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    678279 | PA      | $634918.72    | 0.46%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31410LMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    464394 | PA      | $454891.24    | 0.33%             | 2043-10-01      | Fixed         | 4.50%                 | 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        |    128444 | PA      | $127943.77    | 0.09%             | 2024-01-22      | Fixed         | 0.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31297PRC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     11365 | PA      | $11700.08     | 0.01%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38378PEZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |    758227 | PA      | $77236.51     | 0.06%             | 2043-12-20      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust 2022-2           | AmeriCredit Automobile Receivables Trust 2022-2           | CUSIP: 03065WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    928870 | PA      | $929916.12    | 0.67%             | 2025-12-18      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31294MMB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     69473 | PA      | $67214.93     | 0.05%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36225B3L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131836 | PA      | $134915.85    | 0.10%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    322028 | PA      | $317919.71    | 0.23%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140J7L45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    450304 | PA      | $434625.34    | 0.31%             | 2047-10-01      | Fixed         | 4.00%                 | 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        |    331411 | PA      | $330777.00    | 0.24%             | 2024-12-16      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38380FQP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |    359655 | PA      | $24799.26     | 0.02%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31411DS67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1587 | PA      | $1643.29      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900000 | PA      | $851487.70    | 0.62%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179VN22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2785647 | PA      | $2433312.95   | 1.76%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    552897 | PA      | $499877.72    | 0.36%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity FedFund - Institutional Class         | BlackRock Liquidity FedFund - Institutional Class         | CUSIP: 09248U700<br>LEI: 549300T8K043VZEOVK74 | Long             | STIV             | RF                | US        |        20 | NS      | $20.25        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2022-3             | Santander Drive Auto Receivables Trust 2022-3             | CUSIP: 80285UAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    558288 | PA      | $555951.97    | 0.40%             | 2025-03-17      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38382KWX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   1623660 | PA      | $250325.42    | 0.18%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36208FAU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       232 | PA      | $231.78       | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140QCUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    982898 | PA      | $869724.19    | 0.63%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 3622A3AU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331284 | PA      | $316940.32    | 0.23%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XCVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1463306 | PA      | $1193786.77   | 0.86%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31403NPV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     31250 | PA      | $30624.27     | 0.02%             | 2033-12-01      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust 2022-1                            | CarMax Auto Owner Trust 2022-1                            | CUSIP: 14317CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    786750 | PA      | $776612.86    | 0.56%             | 2025-02-18      | Fixed         | 0.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140QEK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    734308 | PA      | $646646.25    | 0.47%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1337821 | PA      | $1130304.55   | 0.82%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292GY42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1206 | PA      | $1249.40      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36207JTX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       331 | PA      | $334.60       | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202DAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2765 | PA      | $2864.13      | 0.00%             | 2029-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HP65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     22234 | PA      | $23285.56     | 0.02%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3132DMCQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1179613 | PA      | $1107076.56   | 0.80%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31380Q5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8724 | PA      | $8855.41      | 0.01%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38382LBY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   1991401 | PA      | $302712.08    | 0.22%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138W92S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    128247 | PA      | $122892.12    | 0.09%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128LA7C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     10683 | PA      | $10876.75     | 0.01%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31388PB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8445 | PA      | $8452.29      | 0.01%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31406XCY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     52313 | PA      | $53235.75     | 0.04%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36180NDA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    611009 | PA      | $574669.16    | 0.42%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                        | Freddie Mac REMICS                                        | CUSIP: 3137BP7L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    111704 | PA      | $102721.56    | 0.07%             | 2046-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36209ARZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       577 | PA      | $582.91       | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31293TKV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     12045 | PA      | $12142.93     | 0.01%             | 2029-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EQB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    408155 | PA      | $380590.80    | 0.28%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31400FCU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10176 | PA      | $10283.57     | 0.01%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140J6DC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    264111 | PA      | $246958.36    | 0.18%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31391TWX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24412 | PA      | $25245.63     | 0.02%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36224S2C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        10 | PA      | $9.64         | 0.00%             | 2023-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202CLQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2523 | PA      | $2519.79      | 0.00%             | 2025-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138WHR87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    648114 | PA      | $620020.51    | 0.45%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31391BDJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4976 | PA      | $5104.03      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31335GEJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       393 | PA      | $403.36       | 0.00%             | 2024-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31375KHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       840 | PA      | $860.33       | 0.00%             | 2026-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31412QFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    775331 | PA      | $768008.00    | 0.56%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                        | Freddie Mac REMICS                                        | CUSIP: 3137BHRH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    357160 | PA      | $354175.61    | 0.26%             | 2035-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 31334XZZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    253296 | PA      | $224009.85    | 0.16%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31283GZ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1235 | PA      | $1261.08      | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31296Q6M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     18840 | PA      | $19150.28     | 0.01%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133AXBL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1558096 | PA      | $1276778.46   | 0.92%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140KSA56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    880049 | PA      | $785024.96    | 0.57%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138XBBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    454503 | PA      | $447692.84    | 0.32%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31335GNC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       682 | PA      | $699.80       | 0.00%             | 2026-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31387DG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2862 | PA      | $2854.55      | 0.00%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    481717 | PA      | $438997.55    | 0.32%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132LQES2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    159463 | PA      | $148094.27    | 0.11%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128M9SH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    418588 | PA      | $402491.89    | 0.29%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31413RXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2804 | PA      | $2854.03      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31384VWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       894 | PA      | $923.16       | 0.00%             | 2030-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31307AUK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    215113 | PA      | $204979.19    | 0.15%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38379XJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |    330570 | PA      | $36375.07     | 0.03%             | 2046-06-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2014-1                | New Residential Mortgage Loan Trust 2014-1                | CUSIP: 64828AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    929279 | PA      | $878123.05    | 0.63%             | 2054-01-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31402AQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    524906 | PA      | $534625.73    | 0.39%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31335GNP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       153 | PA      | $157.12       | 0.00%             | 2026-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                  | CUSIP: 38382WR58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   1792620 | PA      | $221763.28    | 0.16%             | 2051-08-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | Futures                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        60 | NC      | $-35745.48    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202CMQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1694 | PA      | $1694.42      | 0.00%             | 2026-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 3622A24L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1101105 | PA      | $1074769.14   | 0.78%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                 | Freddie Mac Non Gold Pool                                 | CUSIP: 31295NXK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      6360 | PA      | $6245.72      | 0.00%             | 2032-09-01      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202CN74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1129 | PA      | $1148.21      | 0.00%             | 2026-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                  | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   2343450 | PA      | $294588.37    | 0.21%             | 2050-08-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                  | CUSIP: 38382WKP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   1551690 | PA      | $197483.45    | 0.14%             | 2051-07-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                          | Freddie Mac Pool                                          | CUSIP: 3133KM3F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2947035 | PA      | $2417766.61   | 1.75%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202EDQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53719 | PA      | $55894.59     | 0.04%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292GWT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      6260 | PA      | $6485.24      | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292LH24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    631823 | PA      | $592102.58    | 0.43%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140X8BA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1083046 | PA      | $953202.08    | 0.69%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292GXS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3097 | PA      | $3178.33      | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140XHE37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2367624 | PA      | $2046064.32   | 1.48%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128M9N73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    417047 | PA      | $400952.26    | 0.29%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202CNP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1519 | PA      | $1545.59      | 0.00%             | 2026-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31391TU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8252 | PA      | $8091.67      | 0.01%             | 2032-12-01      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 3622A3AP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347625 | PA      | $342371.10    | 0.25%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                       | Futures                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       111 | NC      | $79109.45     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31379YMG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5956 | PA      | $6111.00      | 0.00%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136APAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1350708 | PA      | $43142.01     | 0.03%             | 2045-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128M9FV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    954972 | PA      | $894932.82    | 0.65%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HNN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      6223 | PA      | $6423.32      | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bill                               | United States Treasury Bill                               | CUSIP: 912796W47<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    475000 | PA      | $466958.77    | 0.34%             | 2023-05-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36202CZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       830 | PA      | $851.52       | 0.00%             | 2028-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                        | Freddie Mac REMICS                                        | CUSIP: 3137B1CB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    330926 | PA      | $308823.68    | 0.22%             | 2028-04-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31371HYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4890 | PA      | $4999.89      | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | 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        |    136608 | PA      | $128500.40    | 0.09%             | 2043-02-25      | Variable      | 3.63%                 | 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        |    535316 | PA      | $529574.32    | 0.38%             | 2024-11-18      | Fixed         | 0.28%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 3620AMF80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187242 | PA      | $186047.22    | 0.13%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132HMZQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    489705 | PA      | $446098.20    | 0.32%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36180CYS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    621353 | PA      | $584459.21    | 0.42%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140J5U56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    470317 | PA      | $465131.47    | 0.34%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38382JCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   2264578 | PA      | $334875.60    | 0.24%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140KNLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    825070 | PA      | $677170.01    | 0.49%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31298TVF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3670 | PA      | $3763.55      | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292LL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    299663 | PA      | $280822.91    | 0.20%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                        | Freddie Mac REMICS                                        | CUSIP: 3137FPL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1191031 | PA      | $125841.05    | 0.09%             | 2049-11-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3128P7AZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     28437 | PA      | $28337.12     | 0.02%             | 2025-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38380JQL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   1820579 | PA      | $75940.54     | 0.05%             | 2060-03-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 3132GVL67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    277204 | PA      | $252526.81    | 0.18%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                         | Fannie Mae REMICS                                         | CUSIP: 3136BDS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1951604 | PA      | $315519.97    | 0.23%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2017-3                           | JP Morgan Mortgage Trust 2017-3                           | CUSIP: 46647SCS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504960 | PA      | $432649.78    | 0.31%             | 2047-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36194CS46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45545 | PA      | $42449.82     | 0.03%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31298QUU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     14719 | PA      | $15097.04     | 0.01%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 31414CJK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     46113 | PA      | $47823.08     | 0.03%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3140QCZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    901699 | PA      | $797923.97    | 0.58%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                        | Ginnie Mae II Pool                                        | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2684766 | PA      | $2334208.20   | 1.69%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                         | Ginnie Mae I Pool                                         | CUSIP: 36207QHE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       360 | PA      | $359.77       | 0.00%             | 2027-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                           | Fannie Mae Pool                                           | CUSIP: 3138EPGF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    560585 | PA      | $522547.90    | 0.38%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                     | Freddie Mac Gold Pool                                     | CUSIP: 31292HQC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     14269 | PA      | $14751.12     | 0.01%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1837230.44   | 1.33%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                                | Ginnie Mae                                                | CUSIP: 38382LBZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |   3370137 | PA      | $504826.59    | 0.36%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

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

**Signature:** Megan Hoffmann

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

**Title:** Vice President and Controller