# EDGAR Filing Document

**Accession Number:** 0000106444
**File Stem:** 0000106444-25-000115
**Filing Date:** 2025-9
**Character Count:** 73904
**Document Hash:** 5c6a97ca847769819d7e44d35a3fe691
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000106444-25-000115.hdr.sgml**: 20250925

**ACCESSION NUMBER**: 0000106444-25-000115

**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:** 251343488

**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 Intermediate-Term Treasury Fund (Series ID: S000002587)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000007099 | Investor Shares | VFITX           |
| C000007100 | Admiral Shares  | VFIUX           |

## 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 INTERMEDIATE-TERM TREASURY FUND

- **b. EDGAR series identifier (if any):** S000002587

- **c. LEI of Series:** 3QUM61IDVNZ8AIZ46G55

**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:** $7456975810.09

**Total Liabilities:** $468081657.97

**Net Assets:** $6988894152.12

**Delayed Delivery Securities:** $87722216.81

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -891.14759393 | **1-Year:** -33156.81152597 | **5-Year:** -215536.68536008 | **10-Year:** -63356.83199274 | **30-Year:** 6682.35545339

**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 C000007100 | -0.85%               | 1.24%                | -0.46%               |
| Class ID C000007099 | -0.86%               | 1.24%                | -0.47%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3237205.30              | $-85390844.05                              |
| Month 2  | $39002.92                | $64025931.05                               |
| Month 3  | $4131564.13              | $-58507352.98                              |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. 5-10 Year Treasury Bond Index

- **Index Identifier:** I00647

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  135600000 | PA      | $125557125.00  | 1.80%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25000000 | PA      | $22976562.50   | 0.33%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WG9008                          | CUSIP: 31425SAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16400000 | PA      | $16142087.04   | 0.23%             | 2030-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2020-12 JC                     | CUSIP: 3136B8G60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1050064 | PA      | $872614.61     | 0.01%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47200000 | PA      | $46746437.26   | 0.67%             | 2030-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  203200000 | PA      | $187325000.00  | 2.68%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1921                          | CUSIP: 3140LCD32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3200000 | PA      | $2805509.12    | 0.04%             | 2031-05-01      | 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        |   80000000 | PA      | $81718749.60   | 1.17%             | 2028-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5150 MD                        | CUSIP: 3137H2ZT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20957517 | PA      | $16413914.67   | 0.23%             | 2051-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47000000 | PA      | $47161562.50   | 0.67%             | 2031-07-31      | Fixed         | 4.12%                 | 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       |    4250000 | NC      | $-83336.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  107900000 | PA      | $105295226.02  | 1.51%             | 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       |   11000000 | NC      | $4132.13       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Principal Strip                                   | FNMA PRIN STP                      | CUSIP: 31358DDR2<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   56411000 | PA      | $46323302.93   | 0.66%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | 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       |    4250000 | NC      | $-18852.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2685                          | CUSIP: 3140NW6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3780106 | PA      | $3801434.57    | 0.05%             | 2029-12-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   72000000 | PA      | $72050624.64   | 1.03%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-105 KA                    | CUSIP: 38382TZK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2402043 | PA      | $1868365.01    | 0.03%             | 2051-04-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  226300000 | PA      | $224894464.28  | 3.22%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  112100000 | PA      | $103158272.88  | 1.48%             | 2028-12-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2025-M1 2A2                    | CUSIP: 3136BUQR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11200000 | PA      | $11326082.88   | 0.16%             | 2032-01-25      | Variable      | 4.80%                 | 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       |    2000000 | NC      | $-21931.46     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  119000000 | PA      | $121156875.00  | 1.73%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   76600000 | PA      | $77509625.00   | 1.11%             | 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       |   16400000 | NC      | $47707.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31200000 | PA      | $31746000.00   | 0.45%             | 2029-12-31      | Fixed         | 4.38%                 | 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       |   22000000 | NC      | $243041.51     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  133600000 | PA      | $134424561.83  | 1.92%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2015-117 HZ                    | CUSIP: 38379MS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16970640 | PA      | $15769206.98   | 0.23%             | 2045-08-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5745                          | CUSIP: 31418FL39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13000011 | PA      | $13034963.92   | 0.19%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US ULTRA BOND CBT Sep25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -42 | NC      | $-13182.12     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5092 PB                        | CUSIP: 3137FYD45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2671932 | PA      | $2130358.80    | 0.03%             | 2050-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1011                          | CUSIP: 3140LBDR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1434788 | PA      | $1231900.73    | 0.02%             | 2031-02-01      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5220 PK                        | CUSIP: 3137H77F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15150359 | PA      | $14390502.21   | 0.21%             | 2051-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2025-104 AB                    | CUSIP: 38385GG37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          0 | PA      | $0.01          | 0.00%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-76 KB                     | CUSIP: 3136BJWZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7956457 | PA      | $6560507.21    | 0.09%             | 2051-11-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4424                          | CUSIP: 3140HV4J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5005284 | PA      | $4598195.50    | 0.07%             | 2029-10-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8351                          | CUSIP: 3132D6H45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     750000 | PA      | $752016.80     | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5424                          | CUSIP: 31418FA23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93536 | PA      | $93787.71      | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                        | CUSIP: 3134GWAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   18340000 | PA      | $15061651.64   | 0.22%             | 2032-07-27      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  110900000 | PA      | $94932132.26   | 1.36%             | 2030-05-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  117300000 | PA      | $115870406.25  | 1.66%             | 2030-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  144700000 | PA      | $149041000.00  | 2.13%             | 2031-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3905                          | CUSIP: 3140NYKT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3400000 | PA      | $3363453.74    | 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       |   20200000 | NC      | $62664.28      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Strips                                           | FRE PRIN STRIP                     | CUSIP: 3134A4AB0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   26475000 | PA      | $20881044.30   | 0.30%             | 2031-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2911                          | CUSIP: 3140NXGV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4600000 | PA      | $4631288.74    | 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        |    1100000 | PA      | $1101784.20    | 0.02%             | 2030-05-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   92800000 | PA      | $92930500.00   | 1.33%             | 2030-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   91900000 | PA      | $84102859.38   | 1.20%             | 2032-08-15      | Fixed         | 2.75%                 | 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       |   20200000 | NC      | $54832.31      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS5957                          | CUSIP: 3140LGTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1300000 | PA      | $1252330.17    | 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        |   16571543 | PA      | $16616098.91   | 0.24%             | 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        |   20750018 | PA      | $20805808.37   | 0.30%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  165700000 | PA      | $161712843.75  | 2.31%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2016-49 AP                     | CUSIP: 3136ATKB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1121392 | PA      | $1059608.99    | 0.02%             | 2044-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5050 PD                        | CUSIP: 3137F7RX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15796068 | PA      | $12976370.14   | 0.19%             | 2050-10-25      | Fixed         | 1.50%                 | 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       |    2980000 | NC      | $1678.82       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5800                          | CUSIP: 31418FNS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17250000 | PA      | $17296380.08   | 0.25%             | 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        |    2800000 | PA      | $2757758.64    | 0.04%             | 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        |  149200000 | PA      | $144852218.00  | 2.07%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   73800000 | PA      | $72545976.38   | 1.04%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                      | FED HOME LN BANK                   | CUSIP: 3130ALJJ4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   33640000 | PA      | $26296892.60   | 0.38%             | 2036-03-04      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4161 BW                        | CUSIP: 3137AYL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6857994 | PA      | $6086100.71    | 0.09%             | 2043-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2686                          | CUSIP: 3140NW6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12928325 | PA      | $12996179.58   | 0.19%             | 2029-12-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  186800000 | PA      | $163705391.09  | 2.34%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5558                          | CUSIP: 31418FE86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     517312 | PA      | $518702.86     | 0.01%             | 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       |    2000000 | NC      | $-42240.32     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Pool                                             | FR SD6814                          | CUSIP: 3132DUSB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6462797 | PA      | $5857007.99    | 0.08%             | 2044-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5711                          | CUSIP: 31418FKZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21676104 | PA      | $21734384.80   | 0.31%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2014-83 HP                     | CUSIP: 3136AL2A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     139321 | PA      | $126299.06     | 0.00%             | 2044-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3222                          | CUSIP: 3140LDSL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     567845 | PA      | $489554.77     | 0.01%             | 2031-10-01      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5507                          | CUSIP: 31418FDM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     270626 | PA      | $271353.39     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1497                          | CUSIP: 3132CXUW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     831909 | PA      | $834145.55     | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5051 YA                        | CUSIP: 3137F82J1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9353483 | PA      | $7673513.23    | 0.11%             | 2044-12-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9399                          | CUSIP: 3140LLNR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5260890 | PA      | $5314046.49    | 0.08%             | 2030-09-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1483                          | CUSIP: 3132CXUG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53273 | PA      | $53416.38      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA0058                          | CUSIP: 3140W0B46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36240 | PA      | $36337.70      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   83700000 | PA      | $83654226.14   | 1.20%             | 2031-01-31      | Fixed         | 4.00%                 | 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       |    3000000 | NC      | $4299.13       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-67 LG                     | CUSIP: 38382R2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     447706 | PA      | $350564.33     | 0.01%             | 2051-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8384                          | CUSIP: 3132D6J50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15521593 | PA      | $15563325.49   | 0.22%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  145335800 | PA      | $133754353.44  | 1.91%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8378                          | CUSIP: 3132D6JX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9250007 | PA      | $9274877.58    | 0.13%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5141                          | CUSIP: 3132XKWB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23300000 | PA      | $22979466.56   | 0.33%             | 2029-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  136950000 | PA      | $141037101.56  | 2.02%             | 2031-05-31      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                     | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   98500000 | PA      | $81829860.00   | 1.17%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   89600000 | PA      | $90958000.00   | 1.30%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2807                          | CUSIP: 3140NXDM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19561882 | PA      | $19577572.49   | 0.28%             | 2030-01-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-86 EA                     | CUSIP: 3136BKB76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27291697 | PA      | $23001756.41   | 0.33%             | 2049-09-25      | Fixed         | 1.75%                 | 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        |  -68750000 | PA      | $-68371338.75  | -0.98%            | 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       |   11000000 | NC      | $8927.05       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  137800000 | PA      | $138478233.69  | 1.98%             | 2031-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5159 UA                        | CUSIP: 3137H3US9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1330077 | PA      | $1176967.96    | 0.02%             | 2048-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA0744                          | CUSIP: 3140W0ZJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74556 | PA      | $74756.14      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3970                          | CUSIP: 3140NYMU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2600000 | PA      | $2572545.04    | 0.04%             | 2030-05-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5771                          | CUSIP: 31418FMV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28299189 | PA      | $28375277.44   | 0.41%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5156                          | CUSIP: 3140HWWS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2307352.25    | 0.03%             | 2029-12-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5229                          | CUSIP: 3132XKY35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11600000 | PA      | $11478487.68   | 0.16%             | 2030-02-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5149 GA                        | CUSIP: 3137H2SC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     957874 | PA      | $770842.02     | 0.01%             | 2051-09-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS4609                          | CUSIP: 3132A5DN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   49583306 | PA      | $44155392.08   | 0.63%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $10075781.20   | 0.14%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  167600000 | PA      | $142492733.96  | 2.04%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5063 KC                        | CUSIP: 3137F8VU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12171606 | PA      | $9256803.54    | 0.13%             | 2051-01-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2019-75 KC                     | CUSIP: 3136B7SW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7461954 | PA      | $6405791.58    | 0.09%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3500                          | CUSIP: 3140NX3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1100000 | PA      | $1101860.10    | 0.02%             | 2030-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49587600 | PA      | $48380839.14   | 0.69%             | 2031-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3037                          | CUSIP: 3140NXLT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4800000 | PA      | $4868743.68    | 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        |   79300518 | NS      | $79292588.45   | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                     | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  192107000 | PA      | $157789581.84  | 2.26%             | 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        |  136000000 | PA      | $135330624.32  | 1.94%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  123100000 | PA      | $104471507.20  | 1.49%             | 2030-08-15      | Fixed         | 0.62%                 | 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       |    2980000 | NC      | $3900.23       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  126000000 | PA      | $127491328.44  | 1.82%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  232550000 | PA      | $228044343.75  | 3.26%             | 2034-02-15      | Fixed         | 4.00%                 | 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       |   22000000 | NC      | $126847.68     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21400000 | PA      | $21438453.02   | 0.31%             | 2031-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5483                          | CUSIP: 3140HXCV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $885459.10     | 0.01%             | 2032-09-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10YR NOTE (CBT)Sep25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       3535 | NC      | $1193767.71    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS6474                          | CUSIP: 3140LHFQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6580609 | PA      | $6265712.54    | 0.09%             | 2033-01-01      | Fixed         | 3.82%                 | 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        |   50800000 | PA      | $50896413.32   | 0.73%             | 2030-01-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2024-20 GA                     | CUSIP: 3136BRWR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12765432 | PA      | $12707344.96   | 0.18%             | 2042-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 5YR NOTE (CBT) Sep25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -34 | NC      | $3356.14       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60300000 | PA      | $60153960.64   | 0.86%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  110700000 | PA      | $111832944.76  | 1.60%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  137000000 | PA      | $139001483.69  | 1.99%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   96000000 | PA      | $96678749.76   | 1.38%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US LONG BOND(CBT) Sep25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -383 | NC      | $-715696.78    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds               | TSY INFL IX N/B                    | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   34033912 | PA      | $33724149.91   | 0.48%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Private Export Funding Corp                                  | PRIVATE EXPT FDG                   | CUSIP: 742651EB4<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |   38000000 | PA      | $37659365.34   | 0.54%             | 2034-02-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55000000 | PA      | $57292382.95   | 0.82%             | 2030-10-31      | Fixed         | 4.88%                 | 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       |   12000000 | NC      | $-6932.98      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                          | US 10yr Ultra Fut Sep25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       1266 | NC      | $-126062.74    | -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        |   72000000 | PA      | $72523124.64   | 1.04%             | 2029-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40000000 | PA      | $40553124.80   | 0.58%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5084 NC                        | CUSIP: 3137FFL47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2205927 | PA      | $1730322.34    | 0.02%             | 2044-10-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5207 AB                        | CUSIP: 3137H64F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18202858 | PA      | $16173465.49   | 0.23%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   82600000 | PA      | $78947531.25   | 1.13%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2764                          | CUSIP: 31418CCA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10302436 | PA      | $8728116.35    | 0.12%             | 2046-09-01      | 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        | -102750000 | PA      | $-99992611.28  | -1.43%            | 2025-08-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  147400000 | PA      | $128583468.75  | 1.84%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-227 E                     | CUSIP: 38383FNR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19084210 | PA      | $16531832.68   | 0.24%             | 2050-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS4478                          | CUSIP: 3140LE6Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     374892 | PA      | $323767.98     | 0.00%             | 2032-01-01      | Fixed         | 1.93%                 | 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        | -153250000 | PA      | $-153657062.65 | -2.20%            | 2025-08-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10400000 | PA      | $10374000.00   | 0.15%             | 2029-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Principal Strip                                   | FNMA 0 11/15/2030                  | CUSIP: 31358DDS0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    6000000 | PA      | $4809264.00    | 0.07%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RR0009                          | CUSIP: 3142JCAK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000004 | PA      | $2005381.25    | 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        |   46200000 | PA      | $45301265.39   | 0.65%             | 2030-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15000000 | PA      | $15032812.50   | 0.22%             | 2031-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  108000000 | PA      | $111231561.96  | 1.59%             | 2030-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  156500000 | PA      | $133073906.25  | 1.90%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $20250000.00   | 0.29%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5173 CA                        | CUSIP: 3137H4CT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5009243 | PA      | $4038421.77    | 0.06%             | 2051-05-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   72550000 | PA      | $68763796.88   | 0.98%             | 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       |   16400000 | NC      | $135132.23     | 0.00%             |  |  |  | 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        |    4200000 | PA      | $4280620.68    | 0.06%             | 2030-01-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4109 GE                        | CUSIP: 3137AUJM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3536555 | PA      | $3460098.60    | 0.05%             | 2041-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810FF0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19000000 | PA      | $19730312.50   | 0.28%             | 2028-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 2YR NOTE (CBT) Sep25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        423 | NC      | $-103802.01    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5194 AE                        | CUSIP: 3137H5R74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17958086 | PA      | $15470463.54   | 0.22%             | 2049-08-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CAV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   68520400 | PA      | $58451112.75   | 0.84%             | 2030-11-15      | Fixed         | 0.88%                 | No            |                  2 | 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       |   16500000 | NC      | $80721.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37100000 | PA      | $37010148.25   | 0.53%             | 2029-11-30      | Fixed         | 3.88%                 | 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       |   16500000 | NC      | $41804.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48900000 | PA      | $50095757.57   | 0.72%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2024-M5 2A2                    | CUSIP: 3136BTHY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4600000 | PA      | $4602139.92    | 0.07%             | 2033-10-25      | Variable      | 4.72%                 | 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       |   11000000 | NC      | $24497.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   85000000 | PA      | $84229687.50   | 1.21%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  181500000 | PA      | $175587069.41  | 2.51%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5080 WC                        | CUSIP: 3137FXX78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     792033 | PA      | $621818.51     | 0.01%             | 2050-10-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   77000000 | PA      | $72755976.37   | 1.04%             | 2033-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   98400000 | PA      | $100145062.01  | 1.43%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RR0002                          | CUSIP: 3142JCAC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13554059 | PA      | $13590501.76   | 0.19%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5149 GC                        | CUSIP: 3137H2SE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1149449 | PA      | $957153.05     | 0.01%             | 2051-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2941                          | CUSIP: 3140NXHT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5721000 | PA      | $5799274.72    | 0.08%             | 2030-01-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5683                          | CUSIP: 31418FJ57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24000003 | PA      | $24064531.45   | 0.34%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2022-4 YT                      | CUSIP: 3136BLYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6502610 | PA      | $5773624.32    | 0.08%             | 2052-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2443                          | CUSIP: 3140NWWD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2200000 | PA      | $2220261.78    | 0.03%             | 2029-11-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  119700000 | PA      | $122290382.21  | 1.75%             | 2035-02-15      | Fixed         | 4.62%                 | 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       |    7000000 | NC      | $22305.82      | 0.00%             |  |  |  | No            |                  1 | 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