# EDGAR Filing Document

**Accession Number:** 0000106444
**File Stem:** 0000106444-25-000120
**Filing Date:** 2025-9
**Character Count:** 91226
**Document Hash:** 964c24469639bca35c942bc26e99c760
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000106444-25-000120.hdr.sgml**: 20250925

**ACCESSION NUMBER**: 0000106444-25-000120

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250925

**DATE AS OF CHANGE**: 20250925

**PERIOD START**: 20260131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VANGUARD FIXED INCOME SECURITIES FUNDS
- **CENTRAL INDEX KEY:** 0000106444

**ORGANIZATION NAME:**
- **EIN:** 231899003
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02368
- **FILM NUMBER:** 251343525

**BUSINESS ADDRESS:**
- **STREET 1:** PO BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482
- **BUSINESS PHONE:** 6106691000

**MAIL ADDRESS:**
- **STREET 1:** PO BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VANGUARD FIXED INCOME SECURITIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WESTMINSTER BOND FUND INC
- **DATE OF NAME CHANGE:** 19800619

## Series and Classes Contracts Data

### Vanguard Short-Term Treasury Fund (Series ID: S000002583)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000007089 | Investor Shares | VFISX           |
| C000007090 | Admiral Shares  | VFIRX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** VANGUARD FIXED INCOME SECURITIES FUNDS

- **b. Investment Company Act file number:** 811-02368

- **c. CIK number of Registrant:** 0000106444

- **d. LEI of Registrant:** 549300F3N7VQKU6I4K64

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

  - **Street Address 1:** 100 Vanguard Boulevard

  - **City:** Malvern

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19355

  - **Telephone number:** 610-669-1000

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

- **a. Name of Series:** VANGUARD SHORT-TERM TREASURY FUND

- **b. EDGAR series identifier (if any):** S000002583

- **c. LEI of Series:** SMW62R66J4CAWU1R4S26

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

- **a. Date of fiscal year-end:** 2026-01-31

- **b. Date as of which information is reported:** 2025-07-31

**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:** $6191477599.11

**Total Liabilities:** $353857276.99

**Net Assets:** $5837620322.12

**Delayed Delivery Securities:** $41449687.51

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3021.78813659 | **1-Year:** -72550.81519053 | **5-Year:** -110406.01632658 | **10-Year:** 42840.99210644 | **30-Year:** 15050.96756449

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007090 | -0.26%               | 0.64%                | -0.06%               |
| Class ID C000007089 | -0.26%               | 0.63%                | -0.07%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3877443.39              | $-42599562.79                              |
| Month 2  | $800678.50               | $22334788.95                               |
| Month 3  | $2631522.40              | $-30870087.13                              |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. 1-5 Year Treasury Bond Index

- **Index Identifier:** I00641

### 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 Pool                                             | FR WG9008                          | CUSIP: 31425SAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14100000 | PA      | $13878257.76   | 0.24%             | 2030-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   68632000 | PA      | $63270125.00   | 1.08%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5071                          | CUSIP: 3133LPT49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12094433 | PA      | $11454746.27   | 0.20%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   65000000 | PA      | $66396484.05   | 1.14%             | 2028-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM5328                          | CUSIP: 3140X84N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5881809 | PA      | $5539615.36    | 0.09%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50000000 | PA      | $48158203.00   | 0.82%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2058                          | CUSIP: 3132XGJC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3488961 | PA      | $3303135.36    | 0.06%             | 2027-05-01      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  278200000 | PA      | $278710758.51  | 4.77%             | 2026-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.950200 15-NOV-2052 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3625000 | NC      | $-71081.35     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M12 A2                    | CUSIP: 3136AX7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1642225 | PA      | $1603398.62    | 0.03%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  126200000 | PA      | $123153452.49  | 2.11%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.804310 15-FEB-2035 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    9500000 | NC      | $3568.66       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.043080 15-NOV-2052 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3625000 | NC      | $-16079.82     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9079                          | CUSIP: 3140LLCR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4290000 | PA      | $4343495.44    | 0.07%             | 2028-07-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80500000 | PA      | $77610175.58   | 1.33%             | 2026-08-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ3109                          | CUSIP: 3140H4N34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59595 | PA      | $56739.68      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25000000 | PA      | $24591796.75   | 0.42%             | 2029-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912828YG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   70000000 | PA      | $68012109.20   | 1.17%             | 2026-09-30      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN4354                          | CUSIP: 3138LGZU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5500000 | PA      | $5402180.30    | 0.09%             | 2027-01-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5062                          | CUSIP: 3133LPTT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1309885 | PA      | $1224591.63    | 0.02%             | 2031-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  108200000 | PA      | $99569358.83   | 1.71%             | 2028-12-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  238084800 | PA      | $237666292.16  | 4.07%             | 2027-05-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.137360 15-NOV-2052 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    1700000 | NC      | $-18641.74     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5072                          | CUSIP: 3133LPT56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12772120 | PA      | $11905217.17   | 0.20%             | 2031-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5617                          | CUSIP: 31418FG35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2700145 | PA      | $2707404.75    | 0.05%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  126700000 | PA      | $117573640.63  | 2.01%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4368                          | CUSIP: 31418D2A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21774315 | PA      | $20682426.65   | 0.35%             | 2031-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49100000 | PA      | $49989937.50   | 0.86%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2024-M6 A2                     | CUSIP: 3136BTGM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1800000 | PA      | $1755895.68    | 0.03%             | 2027-07-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  101000000 | PA      | $102199375.00  | 1.75%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 10Y RTR 3.500000 01-OCT-2025  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   13900000 | NC      | $40434.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: USD 3.66018 15-FEB-2035 SOF  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   19000000 | NC      | $209899.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M1 A2                     | CUSIP: 3136AUG21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     718323 | PA      | $700449.70     | 0.01%             | 2026-10-25      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5052                          | CUSIP: 3133LPTH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6797316 | PA      | $6381667.19    | 0.11%             | 2031-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2898                          | CUSIP: 31418CGG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3064 | PA      | $2932.39       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5745                          | CUSIP: 31418FL39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10379743 | PA      | $10407651.40   | 0.18%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5369                          | CUSIP: 3140HW6F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3741371 | PA      | $3621828.88    | 0.06%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US ULTRA BOND CBT Sep25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -30 | NC      | $-9415.80      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ0750                          | CUSIP: 3140NUZQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10488000 | PA      | $10713465.78   | 0.18%             | 2029-04-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60070000 | PA      | $59847083.83   | 1.03%             | 2027-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN3933                          | CUSIP: 3138LGLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5206019 | PA      | $5096968.48    | 0.09%             | 2026-12-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN1371                          | CUSIP: 3138LDQZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19600000 | PA      | $18756956.96   | 0.32%             | 2028-06-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4424                          | CUSIP: 3140HV4J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4335285 | PA      | $3982689.01    | 0.07%             | 2029-10-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5705                          | CUSIP: 3140HXKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6958860 | PA      | $6719806.26    | 0.12%             | 2027-03-01      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18665                          | CUSIP: 3128MMW33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     111669 | PA      | $106573.52     | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912828YD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25000000 | PA      | $24266601.50   | 0.42%             | 2026-08-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30000000 | PA      | $29634375.00   | 0.51%             | 2030-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3905                          | CUSIP: 3140NYKT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2900000 | PA      | $2868828.19    | 0.05%             | 2030-05-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.594000 16-JUL-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   17200000 | NC      | $53357.70      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN3336                          | CUSIP: 3138LFV62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2971273 | PA      | $2892316.30    | 0.05%             | 2026-11-01      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN3270                          | CUSIP: 3138LFT40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2475000 | PA      | $2416466.75    | 0.04%             | 2026-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK8908                          | CUSIP: 3131XC3R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36798 | PA      | $35051.28      | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9244                          | CUSIP: 3140LLHW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1100000 | PA      | $1106210.16    | 0.02%             | 2028-08-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| New Issuer: BB Company ID:69419330                           | FHMR 2021-P007 A1                  | CUSIP: 3137F92D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4756169 | PA      | $4431732.28    | 0.08%             | 2027-11-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2911                          | CUSIP: 3140NXGV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $4027207.60    | 0.07%             | 2030-01-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3944                          | CUSIP: 3140NYL25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10711000 | PA      | $10728373.24   | 0.18%             | 2030-05-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.590000 18-JUL-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   17200000 | NC      | $46688.90      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18658                          | CUSIP: 3128MMWU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2954 | PA      | $2821.92       | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS5957                          | CUSIP: 3140LGTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1200000 | PA      | $1155997.08    | 0.02%             | 2029-07-01      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RR0017                          | CUSIP: 3142JCAT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13000000 | PA      | $13034953.10   | 0.22%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8363                          | CUSIP: 3132D6JG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4701043 | PA      | $4713683.17    | 0.08%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18654                          | CUSIP: 3128MMWQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5623571 | PA      | $5373463.06    | 0.09%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ0160                          | CUSIP: 3140NUFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17320000 | PA      | $17677037.94   | 0.30%             | 2028-12-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: USD 3.835000 19-SEP-2035 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2530000 | NC      | $1425.31       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J36873                          | CUSIP: 31307TT68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5485 | PA      | $5248.28       | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5800                          | CUSIP: 31418FNS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31000000 | PA      | $31083349.70   | 0.53%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5140                          | CUSIP: 3132XKWA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2954741.40    | 0.05%             | 2029-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   58200000 | PA      | $56504015.33   | 0.97%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN1065                          | CUSIP: 3132XFFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12000000 | PA      | $11196367.20   | 0.19%             | 2027-10-01      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K071 A2                       | CUSIP: 3137FCLD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3500000 | PA      | $3424957.55    | 0.06%             | 2027-11-25      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8371                          | CUSIP: 3132D6JQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11000001 | PA      | $11029576.58   | 0.19%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5558                          | CUSIP: 31418FE86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1022095 | PA      | $1024843.20    | 0.02%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.199520 15-NOV-2052 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    1700000 | NC      | $-35904.27     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4200                          | CUSIP: 31418DU26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8132052 | PA      | $7658896.41    | 0.13%             | 2030-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH0187                          | CUSIP: 3140GNF57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5131 | PA      | $4908.05       | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8764                          | CUSIP: 3138WJW20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4419 | PA      | $4225.05       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4367                          | CUSIP: 31418DZ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13759607 | PA      | $12888782.19   | 0.22%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH9242                          | CUSIP: 3140GYHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15888 | PA      | $15134.70      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K509 A2                       | CUSIP: 3137HAST4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8230000 | PA      | $8353776.73    | 0.14%             | 2028-09-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K064 A2                       | CUSIP: 3137BXQY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5200000 | PA      | $5110801.80    | 0.09%             | 2027-03-25      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL0863                          | CUSIP: 3140HR5Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11100000 | PA      | $10938241.92   | 0.19%             | 2028-12-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   72100000 | PA      | $72167593.75   | 1.24%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1497                          | CUSIP: 3132CXUW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3277762 | PA      | $3286574.84    | 0.06%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4424                          | CUSIP: 31418D4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1363192 | PA      | $1274424.86    | 0.02%             | 2031-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5065                          | CUSIP: 3133LPTW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1339948 | PA      | $1252694.86    | 0.02%             | 2031-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ3746                          | CUSIP: 3140H5EU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     635661 | PA      | $605981.88     | 0.01%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5067                          | CUSIP: 3133LPTY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1364686 | PA      | $1273911.00    | 0.02%             | 2031-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5049                          | CUSIP: 3133LPTE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30064923 | PA      | $28226113.38   | 0.48%             | 2031-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: USD 3.845500 19-SEP-2035 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2500000 | NC      | $3582.61       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  123889200 | PA      | $114016779.38  | 1.95%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31000000 | PA      | $29534765.47   | 0.51%             | 2029-07-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH7081                          | CUSIP: 3140GV2P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2107 | PA      | $2009.36       | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K086 A2                       | CUSIP: 3137FKSH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2100000 | PA      | $2075167.08    | 0.04%             | 2028-11-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60000000 | PA      | $60173437.20   | 1.03%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8378                          | CUSIP: 3132D6JX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27750019 | PA      | $27824630.86   | 0.48%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K068 A2                       | CUSIP: 3137FBBX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3400000 | PA      | $3331027.94    | 0.06%             | 2027-08-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                     | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   71700000 | PA      | $59565492.00   | 1.02%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA3748                          | CUSIP: 3140QBEW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8459 | PA      | $8091.10       | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5.5 8/25                      | CUSIP: 01F052680<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -58750000 | PA      | $-58426416.75  | -1.00%            | 2025-08-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.809810 15-FEB-2035 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    9500000 | NC      | $7709.72       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2417                          | CUSIP: 3138LEVK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5500000 | PA      | $5357825.55    | 0.09%             | 2026-09-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49600000 | PA      | $49985562.62   | 0.86%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4225                          | CUSIP: 31418DVT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25993475 | PA      | $24462132.05   | 0.42%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM6612                          | CUSIP: 3140XAK27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29480622 | PA      | $28086672.02   | 0.48%             | 2031-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS9878                          | CUSIP: 3138WK6Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2987 | PA      | $2853.53       | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3970                          | CUSIP: 3140NYMU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2200000 | PA      | $2176768.88    | 0.04%             | 2030-05-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4409                          | CUSIP: 31418D3T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1326291 | PA      | $1239907.70    | 0.02%             | 2031-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5229                          | CUSIP: 3132XKY35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9800000 | PA      | $9697343.04    | 0.17%             | 2030-02-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ2987                          | CUSIP: 3140H4J96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67570 | PA      | $64313.93      | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5042                          | CUSIP: 3133LPS73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7911148 | PA      | $7444723.36    | 0.13%             | 2030-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4389                          | CUSIP: 31418D2X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   34563306 | PA      | $32336927.63   | 0.55%             | 2031-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM8441                          | CUSIP: 3138L9LX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5925985 | PA      | $5791911.53    | 0.10%             | 2027-04-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3037                          | CUSIP: 3140NXLT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4100000 | PA      | $4158718.56    | 0.07%             | 2030-02-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Vanguard Cmt Funds-Vanguard Market Liquidity Fund            | Vanguard Market Liquidity Fund     | CUSIP: N/A<br>LEI: 1I6HV0TLSTR3A4XQ6L78       | Long             | STIV             | CORP              | US        |   24894520 | NS      | $24892030.60   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN5171                          | CUSIP: 3138LHW91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1100000 | PA      | $1080336.07    | 0.02%             | 2027-04-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                     | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   35000000 | PA      | $28747705.00   | 0.49%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  132000000 | PA      | $131350311.84  | 2.25%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ0958                          | CUSIP: 3140H2B49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11588 | PA      | $11034.19      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30000000 | PA      | $30077343.60   | 0.52%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $16973437.40   | 0.29%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  169650000 | PA      | $170339203.13  | 2.92%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: USD 3.844000 19-SEP-2035 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2530000 | NC      | $3311.27       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8712                          | CUSIP: 3138WJVE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5162 | PA      | $4937.54       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  145175000 | PA      | $144120212.16  | 2.47%             | 2026-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  192800000 | PA      | $193093719.23  | 3.31%             | 2027-02-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: USD 3.726820 15-FEB-2035 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   19000000 | NC      | $109550.27     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5367                          | CUSIP: 3140HW6D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2048846 | PA      | $1983382.51    | 0.03%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL1276                          | CUSIP: 3140HSM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6800000 | PA      | $6674365.24    | 0.11%             | 2029-01-01      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10YR NOTE (CBT)Sep25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        222 | NC      | $97407.82      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3187                          | CUSIP: 31418CRH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127790 | PA      | $121829.17     | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K539 A2                       | CUSIP: 3137HKXJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17600000 | PA      | $17633403.04   | 0.30%             | 2030-01-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J37643                          | CUSIP: 31307UP44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3007 | PA      | $2869.44       | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 5YR NOTE (CBT) Sep25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -3060 | NC      | $327323.18     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4308                          | CUSIP: 31418DYE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13150510 | PA      | $12337336.22   | 0.21%             | 2031-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49100000 | PA      | $49817320.07   | 0.85%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds               | TSY INFL IX N/B                    | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   28027888 | PA      | $27772790.50   | 0.48%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5075                          | CUSIP: 3133LPT80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2976652 | PA      | $2770768.42    | 0.05%             | 2031-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5590                          | CUSIP: 31418FF85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4620267 | PA      | $4632689.81    | 0.08%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHU8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  158816500 | PA      | $159139096.02  | 2.73%             | 2026-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.806860 15-FEB-2035 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    9000000 | NC      | $-5199.73      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   54000000 | PA      | $52133203.26   | 0.89%             | 2026-07-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10yr Ultra Fut Sep25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        515 | NC      | $288284.31     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  159900000 | PA      | $161061772.64  | 2.76%             | 2029-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN1760                          | CUSIP: 3138LD5W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $981988.50     | 0.02%             | 2026-06-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  213578500 | PA      | $215430624.99  | 3.69%             | 2027-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4522                          | CUSIP: 31418EAY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8810856 | PA      | $8200972.49    | 0.14%             | 2032-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL2246                          | CUSIP: 3140HTP86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2052892 | PA      | $1969886.32    | 0.03%             | 2029-04-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5081                          | CUSIP: 3133LPUE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1570044 | PA      | $1459196.78    | 0.02%             | 2032-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   58600000 | PA      | $57945327.83   | 0.99%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6611                          | CUSIP: 3138LKKZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1434204 | PA      | $1394206.65    | 0.02%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BE3977                          | CUSIP: 3140FPM30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7403 | PA      | $7081.56       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912828Y95<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16103200 | PA      | $15741506.99   | 0.27%             | 2026-07-31      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G16661                          | CUSIP: 3128MFTS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2421684 | PA      | $2311176.08    | 0.04%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5 8/25                        | CUSIP: 01F050684<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -87750000 | PA      | $-85395149.78  | -1.46%            | 2025-08-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN3238                          | CUSIP: 3132XHS47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.01          | 0.00%             | 2030-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5079                          | CUSIP: 3133LPUC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1555748 | PA      | $1445949.56    | 0.02%             | 2032-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4476                          | CUSIP: 31418D6N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2905414 | PA      | $2710139.79    | 0.05%             | 2031-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5070                          | CUSIP: 3133LPT31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10053321 | PA      | $9377722.17    | 0.16%             | 2031-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4390                          | CUSIP: 31418D2Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20614901 | PA      | $19569441.37   | 0.34%             | 2031-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40000000 | PA      | $39956250.00   | 0.68%             | 2027-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 5 8/25                        | CUSIP: 01F050486<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -128250000 | PA      | $-128590657.65 | -2.20%            | 2025-08-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4448                          | CUSIP: 31418D5J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23901575 | PA      | $22312091.17   | 0.38%             | 2031-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ1079                          | CUSIP: 3140NVFV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3577373 | PA      | $3665490.80    | 0.06%             | 2029-06-01      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  238800000 | PA      | $233315062.50  | 4.00%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M8 A2                     | CUSIP: 3136B2GX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3499562 | PA      | $3411469.92    | 0.06%             | 2028-06-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN1881                          | CUSIP: 3138LECT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3774973 | PA      | $3658072.00    | 0.06%             | 2028-05-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5046                          | CUSIP: 3133LPTB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13040721 | PA      | $12262238.44   | 0.21%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42900000 | PA      | $39888621.20   | 0.68%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RR0009                          | CUSIP: 3142JCAK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1500003 | PA      | $1504035.94    | 0.03%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42000000 | PA      | $41182968.54   | 0.71%             | 2030-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3246                          | CUSIP: 31418CTC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202328 | PA      | $192807.90     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BE3963                          | CUSIP: 3140FPMM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8140 | PA      | $7786.74       | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CBJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   59400000 | PA      | $54970523.59   | 0.94%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29200000 | PA      | $29565000.00   | 0.51%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8051                          | CUSIP: 3138LL5M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5314361 | PA      | $5142828.75    | 0.09%             | 2028-01-01      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4172                          | CUSIP: 31418DT69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     919269 | PA      | $866490.08     | 0.01%             | 2030-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   68000000 | PA      | $67734375.00   | 1.16%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 9128283F5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47700000 | PA      | $45967148.20   | 0.79%             | 2027-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4284                          | CUSIP: 31418DXN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10885184 | PA      | $10219974.73   | 0.18%             | 2031-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN4860                          | CUSIP: 3138LHMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5500000 | PA      | $5392428.25    | 0.09%             | 2027-03-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   96500000 | PA      | $91463906.25   | 1.57%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 10Y RTP 3.900000 01-OCT-2025  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   13900000 | NC      | $114532.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8717                          | CUSIP: 3138LMVK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $388324.84     | 0.01%             | 2028-03-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K536 A2                       | CUSIP: 3137HJZY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3700000 | PA      | $3771022.98    | 0.06%             | 2030-01-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1548                          | CUSIP: 3140LBWJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44100000 | PA      | $40847523.57   | 0.70%             | 2028-03-01      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4530                          | CUSIP: 31418EA83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1542900 | PA      | $1435012.73    | 0.02%             | 2032-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 2YR NOTE (CBT) Sep25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       3473 | NC      | $-1091224.61   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912828ZN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28857700 | PA      | $27176964.35   | 0.47%             | 2027-04-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US LONG BOND(CBT) Sep25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         56 | NC      | $95082.96      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                          | FWDP 10Y RTP 4.000000 25-SEP-2025  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   14000000 | NC      | $68490.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2921                          | CUSIP: 31418CG73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4547 | PA      | $4349.25       | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5055                          | CUSIP: 3133LPTL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9386748 | PA      | $8805997.79    | 0.15%             | 2031-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  112600000 | PA      | $105118258.09  | 1.80%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5059                          | CUSIP: 3133LPTQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1259377 | PA      | $1179652.25    | 0.02%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $19981250.00   | 0.34%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5364                          | CUSIP: 3140HW6A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3206889 | PA      | $3104424.71    | 0.05%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 10Y RTR 3.500000 25-SEP-2025  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   14000000 | NC      | $35470.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J37112                          | CUSIP: 31307T3V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3261 | PA      | $3110.62       | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60000000 | PA      | $60262500.00   | 1.03%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  194900000 | PA      | $196415043.46  | 3.36%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4331                          | CUSIP: 31418DY55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1239058 | PA      | $1161503.01    | 0.02%             | 2031-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN1613                          | CUSIP: 3138LDYK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2905737 | PA      | $2851578.70    | 0.05%             | 2026-07-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.827670 15-FEB-2035 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    9500000 | NC      | $21156.88      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL9595                          | CUSIP: 3140J2UV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14900000 | PA      | $13873236.53   | 0.24%             | 2027-12-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $19720312.40   | 0.34%             | 2030-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $19818750.00   | 0.34%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  170000000 | PA      | $163844140.20  | 2.81%             | 2026-10-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RR0002                          | CUSIP: 3142JCAC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32000005 | PA      | $32086043.21   | 0.55%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18669                          | CUSIP: 3128MMW74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2899623 | PA      | $2766210.01    | 0.05%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2941                          | CUSIP: 3140NXHT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $5068410.00    | 0.09%             | 2030-01-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6586                          | CUSIP: 3138LKJ81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8781863 | PA      | $8517119.62    | 0.15%             | 2027-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5683                          | CUSIP: 31418FJ57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13048961 | PA      | $13084045.71   | 0.22%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS5066                          | CUSIP: 3140LFTY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20725000 | PA      | $19335413.62   | 0.33%             | 2029-04-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  266150800 | PA      | $266109213.94  | 4.56%             | 2026-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5057                          | CUSIP: 3133LPTN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1215569 | PA      | $1139485.43    | 0.02%             | 2031-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5044                          | CUSIP: 3133LPS99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12091550 | PA      | $11387634.47   | 0.20%             | 2030-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3631                          | CUSIP: 3140LEA98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11300000 | PA      | $10839560.03   | 0.19%             | 2026-11-01      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2443                          | CUSIP: 3140NWWD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1900000 | PA      | $1917498.81    | 0.03%             | 2029-11-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ1040                          | CUSIP: 3140NVEN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3735847 | PA      | $3868519.45    | 0.07%             | 2029-06-01      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M15 A2                    | CUSIP: 3136AY6X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5151142 | PA      | $5015241.42    | 0.09%             | 2027-09-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL6627                          | CUSIP: 3140HYLH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5633916 | PA      | $5372182.00    | 0.09%             | 2027-05-01      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.089740 15-NOV-2052 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    5000000 | NC      | $15932.73      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5077                          | CUSIP: 3133LPUA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3077070 | PA      | $2862074.49    | 0.05%             | 2032-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9882                          | CUSIP: 3140LL6U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6633000 | PA      | $6790420.99    | 0.12%             | 2028-11-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-25

**Name of Applicant:** VANGUARD FIXED INCOME SECURITIES FUNDS

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer