# EDGAR Filing Document

**Accession Number:** 0000106444
**File Stem:** 0000106444-25-000233
**Filing Date:** 2025-12
**Character Count:** 156580
**Document Hash:** 9a3d5a56fe773497abedd8b4822dd9ef
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000106444-25-000233.hdr.sgml**: 20251223

**ACCESSION NUMBER**: 0000106444-25-000233

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251223

**DATE AS OF CHANGE**: 20251223

**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:** 251598922

**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           |

## Nport-Ex

Vanguard<sup>®</sup> Intermediate-Term Treasury Fund

#### Schedule of Investments (unaudited)
As of October 31, 2025

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund's Form N-PORT reports are available on the SEC's website at www.sec.gov.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;Coupon | &nbsp;&nbsp;&nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;&nbsp;&nbsp;Market<br> Value<br> ($000) |
| **U.S. Government and Agency Obligations (97.2%)** | **U.S. Government and Agency Obligations (97.2%)** | **U.S. Government and Agency Obligations (97.2%)** | **U.S. Government and Agency Obligations (97.2%)** | **U.S. Government and Agency Obligations (97.2%)** | **U.S. Government and Agency Obligations (97.2%)** |
| **U.S. Government Securities (81.8%)** | **U.S. Government Securities (81.8%)** | **U.S. Government Securities (81.8%)** | **U.S. Government Securities (81.8%)** | **U.S. Government Securities (81.8%)** | **U.S. Government Securities (81.8%)** |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 5.250% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp; 14627 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.500% | &nbsp;&nbsp;&nbsp;&nbsp;11/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 204600 | &nbsp;&nbsp; 192068 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.750% | &nbsp;&nbsp;&nbsp;&nbsp;1/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 184000 | &nbsp;&nbsp; 173549 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.000% | &nbsp;&nbsp;&nbsp;&nbsp;1/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 113000 | &nbsp;&nbsp; 114280 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.875% | &nbsp;&nbsp;&nbsp;&nbsp;2/28/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 148150 | &nbsp;&nbsp; 140083 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.250% | &nbsp;&nbsp;&nbsp;&nbsp;2/28/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 44380 | &nbsp;&nbsp; 45240 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.375% | &nbsp;&nbsp;&nbsp;&nbsp;3/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 72550 | &nbsp;&nbsp; 69648 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.250% | &nbsp;&nbsp;&nbsp;&nbsp;6/30/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 107900 | &nbsp;&nbsp; 106442 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.250% | &nbsp;&nbsp;&nbsp;&nbsp;6/30/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 76600 | &nbsp;&nbsp; 78180 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.125% | &nbsp;&nbsp;&nbsp;&nbsp;8/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 60000 | &nbsp;&nbsp; 58861 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.625% | &nbsp;&nbsp;&nbsp;&nbsp;8/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 30000 | &nbsp;&nbsp; 29965 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.875% | &nbsp;&nbsp;&nbsp;&nbsp;11/30/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 37100 | &nbsp;&nbsp; 37390 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.875% | &nbsp;&nbsp;&nbsp;&nbsp;12/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp; 403 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.375% | &nbsp;&nbsp;&nbsp;&nbsp;12/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 31200 | &nbsp;&nbsp; 32039 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.250% | &nbsp;&nbsp;&nbsp;&nbsp;1/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp; 20445 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.625% | &nbsp;&nbsp;&nbsp;&nbsp;3/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 42000 | &nbsp;&nbsp; 41898 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.000% | &nbsp;&nbsp;&nbsp;&nbsp;3/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 70000 | &nbsp;&nbsp; 70891 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.500% | &nbsp;&nbsp;&nbsp;&nbsp;4/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 81200 | &nbsp;&nbsp; 80572 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 0.625% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 110900 | &nbsp;&nbsp; 96821 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.750% | &nbsp;&nbsp;&nbsp;&nbsp;5/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 85000 | &nbsp;&nbsp; 85193 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.000% | &nbsp;&nbsp;&nbsp;&nbsp;7/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 76581 | &nbsp;&nbsp; 77557 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.125% | &nbsp;&nbsp;&nbsp;&nbsp;8/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 108000 | &nbsp;&nbsp; 109941 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.625% | &nbsp;&nbsp;&nbsp;&nbsp;9/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 100000 | &nbsp;&nbsp; 99641 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.625% | &nbsp;&nbsp;&nbsp;&nbsp;9/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 80000 | &nbsp;&nbsp; 83250 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.625% | &nbsp;&nbsp;&nbsp;&nbsp;10/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 100000 | &nbsp;&nbsp; 99625 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.875% | &nbsp;&nbsp;&nbsp;&nbsp;10/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 59145 | &nbsp;&nbsp; 62246 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.000% | &nbsp;&nbsp;&nbsp;&nbsp;1/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 83700 | &nbsp;&nbsp; 84730 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.250% | &nbsp;&nbsp;&nbsp;&nbsp;2/28/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 126000 | &nbsp;&nbsp; 129066 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.125% | &nbsp;&nbsp;&nbsp;&nbsp;3/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 78800 | &nbsp;&nbsp; 80225 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.625% | &nbsp;&nbsp;&nbsp;&nbsp;4/30/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 144700 | &nbsp;&nbsp; 150889 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.625% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 179800 | &nbsp;&nbsp; 160752 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.625% | &nbsp;&nbsp;&nbsp;&nbsp;5/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 136950 | &nbsp;&nbsp; 142802 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.250% | &nbsp;&nbsp;&nbsp;&nbsp;6/30/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 110700 | &nbsp;&nbsp; 113346 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.125% | &nbsp;&nbsp;&nbsp;&nbsp;7/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 47000 | &nbsp;&nbsp; 47822 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.250% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 167600 | &nbsp;&nbsp; 145616 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.750% | &nbsp;&nbsp;&nbsp;&nbsp;8/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 73800 | &nbsp;&nbsp; 73621 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.625% | &nbsp;&nbsp;&nbsp;&nbsp;9/30/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 49588 | &nbsp;&nbsp; 49127 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.125% | &nbsp;&nbsp;&nbsp;&nbsp;10/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp; 15252 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.375% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 156500 | &nbsp;&nbsp; 136057 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.125% | &nbsp;&nbsp;&nbsp;&nbsp;11/30/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 21400 | &nbsp;&nbsp; 21751 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.500% | &nbsp;&nbsp;&nbsp;&nbsp;12/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 37000 | &nbsp;&nbsp; 38361 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.375% | &nbsp;&nbsp;&nbsp;&nbsp;1/31/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 89600 | &nbsp;&nbsp; 92267 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.875% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 147400 | &nbsp;&nbsp; 131359 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.125% | &nbsp;&nbsp;&nbsp;&nbsp;2/29/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 72000 | &nbsp;&nbsp; 73147 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.125% | &nbsp;&nbsp;&nbsp;&nbsp;3/31/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 90000 | &nbsp;&nbsp; 91406 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.000% | &nbsp;&nbsp;&nbsp;&nbsp;4/30/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 24000 | &nbsp;&nbsp; 24203 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.875% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 123100 | &nbsp;&nbsp; 116128 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.000% | &nbsp;&nbsp;&nbsp;&nbsp;6/30/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 93000 | &nbsp;&nbsp; 93727 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.000% | &nbsp;&nbsp;&nbsp;&nbsp;7/31/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 58000 | &nbsp;&nbsp; 58428 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.750% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 121900 | &nbsp;&nbsp; 113738 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.875% | &nbsp;&nbsp;&nbsp;&nbsp;8/31/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 35000 | &nbsp;&nbsp; 34995 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.875% | &nbsp;&nbsp;&nbsp;&nbsp;9/30/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 35000 | &nbsp;&nbsp; 34979 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.125% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 60300 | &nbsp;&nbsp; 61167 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.500% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 32600 | &nbsp;&nbsp; 31754 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.375% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 77000 | &nbsp;&nbsp; 74230 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.875% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 212700 | &nbsp;&nbsp; 211686 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.500% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 98400 | &nbsp;&nbsp; 102017 |
| <sup>2,3</sup> | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.000% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 224550 | &nbsp;&nbsp; 224725 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.375% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 133600 | &nbsp;&nbsp; 137144 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.875% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 181500 | &nbsp;&nbsp; 179416 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;Coupon | &nbsp;&nbsp;&nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;&nbsp;&nbsp;Market<br> Value<br> ($000) |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.250% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 170300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172894 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.625% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 122700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128001 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.250% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 135000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136830 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.250% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 93000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94148 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; **5828661** |
| **Agency Bonds and Notes (5.6%)** | **Agency Bonds and Notes (5.6%)** | **Agency Bonds and Notes (5.6%)** | **Agency Bonds and Notes (5.6%)** | **Agency Bonds and Notes (5.6%)** | **Agency Bonds and Notes (5.6%)** |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Principal Strip | &nbsp;&nbsp;&nbsp;&nbsp; 0.000% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 56411 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47375 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Principal Strip | &nbsp;&nbsp;&nbsp;&nbsp; 0.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4933 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Banks | &nbsp;&nbsp;&nbsp;&nbsp; 2.250% | &nbsp;&nbsp;&nbsp;&nbsp;3/4/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 33640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27359 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;Federal Home Loan Mortgage Corp. | &nbsp;&nbsp;&nbsp;&nbsp; 1.500% | &nbsp;&nbsp;&nbsp;&nbsp;7/27/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 18340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15463 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Principal Strips | &nbsp;&nbsp;&nbsp;&nbsp; 0.000% | &nbsp;&nbsp;&nbsp;&nbsp;3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 26475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21442 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Principal Strips | &nbsp;&nbsp;&nbsp;&nbsp; 2.000% | &nbsp;&nbsp;&nbsp;&nbsp;9/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2025 |
|  | &nbsp;&nbsp;&nbsp;Private Export Funding Corp. | &nbsp;&nbsp;&nbsp;&nbsp; 4.600% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 38000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38724 |
|  | &nbsp;&nbsp;&nbsp;Resolution Funding Corp. Principal Strip | &nbsp;&nbsp;&nbsp;&nbsp; 0.000% | &nbsp;&nbsp;&nbsp;&nbsp;1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 98500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83693 |
|  | &nbsp;&nbsp;&nbsp;Resolution Funding Corp. Principal Strip | &nbsp;&nbsp;&nbsp;&nbsp; 0.000% | &nbsp;&nbsp;&nbsp;&nbsp;4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 192107 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161586 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **402600** |
| **Conventional Mortgage-Backed Securities (6.5%)** | **Conventional Mortgage-Backed Securities (6.5%)** | **Conventional Mortgage-Backed Securities (6.5%)** | **Conventional Mortgage-Backed Securities (6.5%)** | **Conventional Mortgage-Backed Securities (6.5%)** | **Conventional Mortgage-Backed Securities (6.5%)** |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 1.290% | &nbsp;&nbsp;&nbsp;&nbsp;2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1247 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 1.384% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8396 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7410 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 1.910% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 497 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 1.930% | &nbsp;&nbsp;&nbsp;&nbsp;1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 373 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 329 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.000% | &nbsp;&nbsp;&nbsp;&nbsp;5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2862 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.140% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4646 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.370% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2344 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.550% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1476 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1392 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.640% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 905 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 3.320% | &nbsp;&nbsp;&nbsp;&nbsp;7/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1268 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 3.820% | &nbsp;&nbsp;&nbsp;&nbsp;1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6366 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.070% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2029–8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10457 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.150% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 16825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16833 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.180% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 7810 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7830 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.190% | &nbsp;&nbsp;&nbsp;&nbsp;5/1/2030–7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 12835 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12884 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.200% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 13775 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13823 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.220% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 33660 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33837 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.230% | &nbsp;&nbsp;&nbsp;&nbsp;5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 21280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21384 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.255% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11286 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.260% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5443 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.290% | &nbsp;&nbsp;&nbsp;&nbsp;4/1/2030–9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 33672 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33880 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.305% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5752 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.310% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 21000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21174 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.340% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6207 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.360% | &nbsp;&nbsp;&nbsp;&nbsp;1/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 19496 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19722 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.390% | &nbsp;&nbsp;&nbsp;&nbsp;5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1111 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.420% | &nbsp;&nbsp;&nbsp;&nbsp;7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8737 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.480% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 12899 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13062 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.490% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2029–9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 15072 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15318 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.510% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11749 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11910 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.530% | &nbsp;&nbsp;&nbsp;&nbsp;1/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4672 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.600% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2243 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.650% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5359 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.700% | &nbsp;&nbsp;&nbsp;&nbsp;1/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5721 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5848 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.710% | &nbsp;&nbsp;&nbsp;&nbsp;2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4910 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.720% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 19750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20207 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp; 1.590% | &nbsp;&nbsp;&nbsp;&nbsp;7/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2838 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2480 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2029–4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 39700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39593 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.150% | &nbsp;&nbsp;&nbsp;&nbsp;2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11616 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.250% | &nbsp;&nbsp;&nbsp;&nbsp;4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5216 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.290% | &nbsp;&nbsp;&nbsp;&nbsp;3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5491 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.500% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 9989 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8721 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp;6/1/2044–4/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 54654 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49982 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **466254** |
| **Nonconventional Mortgage-Backed Securities (3.3%)** | **Nonconventional Mortgage-Backed Securities (3.3%)** | **Nonconventional Mortgage-Backed Securities (3.3%)** | **Nonconventional Mortgage-Backed Securities (3.3%)** | **Nonconventional Mortgage-Backed Securities (3.3%)** | **Nonconventional Mortgage-Backed Securities (3.3%)** |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 1.250% | &nbsp;&nbsp;&nbsp;&nbsp;11/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7681 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6567 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 1.500% | &nbsp;&nbsp;&nbsp;&nbsp;1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2529 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 1.750% | &nbsp;&nbsp;&nbsp;&nbsp;9/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 26346 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22688 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 2.000% | &nbsp;&nbsp;&nbsp;&nbsp;3/25/2050–2/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7269 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6536 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 2.500% | &nbsp;&nbsp;&nbsp;&nbsp;12/25/2044–11/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 19772 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17821 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp;12/25/2044–10/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 736 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 665 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 4.500% | &nbsp;&nbsp;&nbsp;&nbsp;1/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 12483 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12566 |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;Coupon | &nbsp;&nbsp;&nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;&nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 0.750% | &nbsp;&nbsp;&nbsp;&nbsp; 10/25/2044–1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 13920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10933 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 1.000% | &nbsp;&nbsp;&nbsp;&nbsp;12/15/2044–10/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 33654 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27470 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 1.250% | &nbsp;&nbsp;&nbsp;&nbsp;10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 763 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 617 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 1.500% | &nbsp;&nbsp;&nbsp;&nbsp;9/25/2050–9/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 19028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16036 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 1.750% | &nbsp;&nbsp;&nbsp;&nbsp;5/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4836 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4022 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 2.000% | &nbsp;&nbsp;&nbsp;&nbsp;5/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3733 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3249 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 2.250% | &nbsp;&nbsp;&nbsp;&nbsp;8/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 17475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15566 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 2.500% | &nbsp;&nbsp;&nbsp;&nbsp; 2/15/2043–12/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 11563 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10501 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp; 12/25/2049–1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 18051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16252 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 3.500% | &nbsp;&nbsp;&nbsp;&nbsp;1/25/2051–2/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15457 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 4.500% | &nbsp;&nbsp;&nbsp;&nbsp;10/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3508 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3478 |
| <sup>5</sup> | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 1.250% | &nbsp;&nbsp;&nbsp;&nbsp;4/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2332 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1869 |
| <sup>5</sup> | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 1.500% | &nbsp;&nbsp;&nbsp;&nbsp;4/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 436 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 354 |
| <sup>5,6</sup> | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 2.500% | &nbsp;&nbsp;&nbsp;&nbsp; 11/20/2049–5/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 22787 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20112 |
| <sup>5,6</sup> | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp;12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 552 |
| <sup>5</sup> | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 3.500% | &nbsp;&nbsp;&nbsp;&nbsp;8/16/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 17120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16175 |
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; **232015** |
| **Total U.S. Government and Agency Obligations (Cost $6,831,373)** | **Total U.S. Government and Agency Obligations (Cost $6,831,373)** | **Total U.S. Government and Agency Obligations (Cost $6,831,373)** | **Total U.S. Government and Agency Obligations (Cost $6,831,373)** | **Total U.S. Government and Agency Obligations (Cost $6,831,373)** | **Total U.S. Government and Agency Obligations (Cost $6,831,373)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**6929530** |
| **Asset-Backed/Commercial Mortgage-Backed Securities (1.9%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (1.9%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (1.9%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (1.9%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (1.9%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (1.9%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (1.9%)** |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class 2A2 Series 2025-M1 | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class 2A2 Series 2025-M1 | &nbsp;&nbsp;&nbsp;&nbsp; 4.800% | &nbsp;&nbsp;&nbsp;&nbsp;1/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11336 |
| <sup>4,5,7</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2025-M5 | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2025-M5 | &nbsp;&nbsp;&nbsp;&nbsp; 1.843% | &nbsp;&nbsp;&nbsp;&nbsp;11/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 19200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16953 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K539 | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K539 | &nbsp;&nbsp;&nbsp;&nbsp; 4.410% | &nbsp;&nbsp;&nbsp;&nbsp;1/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 15800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16026 |
| <sup>4,5,6,8</sup> | &nbsp;&nbsp;&nbsp;FREMF Mortgage Trust Class A2 Series K549 | &nbsp;&nbsp;&nbsp;FREMF Mortgage Trust Class A2 Series K549 | &nbsp;&nbsp;&nbsp;&nbsp; 4.340% | &nbsp;&nbsp;&nbsp;&nbsp;9/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 88368 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89377 |
| **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $133,690)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $133,690)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $133,690)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $133,690)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $133,690)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $133,690)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**133692** |
|  |  |  |  |  | &nbsp;&nbsp;Shares |  |
| **Temporary Cash Investments (0.9%)** | **Temporary Cash Investments (0.9%)** | **Temporary Cash Investments (0.9%)** | **Temporary Cash Investments (0.9%)** | **Temporary Cash Investments (0.9%)** | **Temporary Cash Investments (0.9%)** | **Temporary Cash Investments (0.9%)** |
| **Money Market Fund (0.9%)** | **Money Market Fund (0.9%)** | **Money Market Fund (0.9%)** | **Money Market Fund (0.9%)** | **Money Market Fund (0.9%)** | **Money Market Fund (0.9%)** | **Money Market Fund (0.9%)** |
| <sup>9</sup> | &nbsp;&nbsp;&nbsp;Vanguard Market Liquidity Fund **(Cost** $**63,135**) | &nbsp;&nbsp;&nbsp;Vanguard Market Liquidity Fund **(Cost** $**63,135**) | &nbsp;&nbsp;&nbsp;&nbsp; 4.141% |  | &nbsp;&nbsp;&nbsp;&nbsp; 631376 | &nbsp;&nbsp;&nbsp;&nbsp; **63138** |
|  |  | Counterparty | &nbsp;&nbsp;&nbsp;&nbsp;Expiration<br> Date | &nbsp;&nbsp;&nbsp;&nbsp;Exercise<br> Rate | &nbsp;&nbsp;Notional<br> Amount on<br> Underlying<br> Swap<br> ($000) |  |
| **Options Purchased (0.0%)** | **Options Purchased (0.0%)** | **Options Purchased (0.0%)** | **Options Purchased (0.0%)** | **Options Purchased (0.0%)** | **Options Purchased (0.0%)** | **Options Purchased (0.0%)** |
| **Over-the-Counter Swaptions (0.0%)** | **Over-the-Counter Swaptions (0.0%)** | **Over-the-Counter Swaptions (0.0%)** | **Over-the-Counter Swaptions (0.0%)** | **Over-the-Counter Swaptions (0.0%)** | **Over-the-Counter Swaptions (0.0%)** | **Over-the-Counter Swaptions (0.0%)** |
| **Call Swaptions** | **Call Swaptions** | **Call Swaptions** | **Call Swaptions** | **Call Swaptions** | **Call Swaptions** | **Call Swaptions** |
|  | &nbsp;&nbsp;&nbsp;5-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.250% Annually | WFB | &nbsp;&nbsp;&nbsp;&nbsp; 3/26/2026 | &nbsp;&nbsp;&nbsp;&nbsp;3.250% | &nbsp;&nbsp;&nbsp; 23100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 147 |
|  | &nbsp;&nbsp;&nbsp;10-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.350% Annually | NGFP | &nbsp;&nbsp;&nbsp;&nbsp;10/16/2030 | &nbsp;&nbsp;&nbsp;&nbsp;3.350% | &nbsp;&nbsp;&nbsp; 38400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 919 |
|  | &nbsp;&nbsp;&nbsp;30-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.260% Annually | WFB | &nbsp;&nbsp;&nbsp;&nbsp; 3/26/2026 | &nbsp;&nbsp;&nbsp;&nbsp;3.260% | &nbsp;&nbsp;&nbsp; 5900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| **Total Options Purchased (Cost $1,435)** | **Total Options Purchased (Cost $1,435)** | **Total Options Purchased (Cost $1,435)** | **Total Options Purchased (Cost $1,435)** | **Total Options Purchased (Cost $1,435)** | **Total Options Purchased (Cost $1,435)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**1084** |
| **Total Investments (100.0%) (Cost $7,029,633)** | **Total Investments (100.0%) (Cost $7,029,633)** | **Total Investments (100.0%) (Cost $7,029,633)** | **Total Investments (100.0%) (Cost $7,029,633)** | **Total Investments (100.0%) (Cost $7,029,633)** | **Total Investments (100.0%) (Cost $7,029,633)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**7127444** |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;Coupon | &nbsp;&nbsp;&nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) |  |
| **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.7%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.7%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.7%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.7%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.7%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.7%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.7%)** |
| <sup>4,5,8</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp; 5.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/13/2055 | &nbsp;&nbsp;&nbsp;&nbsp; (102750) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (102245) |

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---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;Coupon | &nbsp;&nbsp;&nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;&nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>4,5,8</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp; 5.500% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; (86450) | &nbsp;&nbsp; (87348) |
| **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $189,199)** | **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $189,199)** | **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $189,199)** | **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $189,199)** | **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $189,199)** | &nbsp;&nbsp;&nbsp;**(189593)** |
| **Other Assets and Liabilities—Net (2.7%)** | **Other Assets and Liabilities—Net (2.7%)** | **Other Assets and Liabilities—Net (2.7%)** | **Other Assets and Liabilities—Net (2.7%)** | **Other Assets and Liabilities—Net (2.7%)** | &nbsp;&nbsp;&nbsp;&nbsp;**190267** |
| **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** | **7128118** |
| Cost is in $000. | Cost is in $000. | Cost is in $000. |  |  |  |

---

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| | |
|:---|:---|
| 1 | Securities with a value of $580 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
| 2 | Securities with a value of $7,027 have been segregated as initial margin for open centrally cleared swap contracts. |
| 3 | Securities with a value of $8,577 have been segregated as initial margin for open futures contracts. |
| 4 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
| 5 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
| 6 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
| 7 | Security value determined using significant unobservable inputs. |
| 8 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of October 31, 2025. |
| 9 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
|  | NGFP—Nomura Global Financial Products Inc. |
|  | REMICS—Real Estate Mortgage Investment Conduits. |
|  | SOFR—Secured Overnight Financing Rate. |
|  | UMBS—Uniform Mortgage-Backed Securities. |
|  | WFB—Wells Fargo Bank N.A. |

---

------

#### Derivative Financial Instruments Outstanding as of Period End

------

Options Written

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Counterparty | &nbsp;&nbsp;&nbsp;Expiration<br> Date | &nbsp;&nbsp;&nbsp;Exercise<br> Rate | &nbsp;&nbsp;&nbsp;Notional<br> Amount on<br> Underlying<br> Swap<br> ($000) | &nbsp;&nbsp;&nbsp;Market<br> Value<br> ($000) |
| Over-the-Counter Swaptions | Over-the-Counter Swaptions | Over-the-Counter Swaptions | Over-the-Counter Swaptions | Over-the-Counter Swaptions | Over-the-Counter Swaptions |
| Call Swaptions |  |  |  |  |  |
| 5-Year Interest Rate Swap, Receives SOFR Annually, Pays 2.700% Annually | WFB | &nbsp;&nbsp;&nbsp;&nbsp;3/26/2026 | &nbsp;&nbsp;&nbsp;2.700% | &nbsp;&nbsp;&nbsp;23100 | &nbsp;&nbsp;&nbsp;(31) |
| 10-Year Interest Rate Swap, Receives SOFR Annually, Pays 3.608% Annually | NGFP | &nbsp;&nbsp;&nbsp;10/16/2035 | &nbsp;&nbsp;&nbsp;3.608% | &nbsp;&nbsp;&nbsp;32300 | &nbsp;&nbsp;&nbsp;(1052) |
| 30-Year Interest Rate Swap, Receives SOFR Annually, Pays 3.810% Annually | WFB | &nbsp;&nbsp;&nbsp;&nbsp;3/26/2026 | &nbsp;&nbsp;&nbsp;3.810% | &nbsp;&nbsp;&nbsp;5900 | &nbsp;&nbsp;&nbsp;(124) |
| Total Options Written **(Premiums Received** $**1,816)** | Total Options Written **(Premiums Received** $**1,816)** |  |  |  | &nbsp;&nbsp;&nbsp;(1207) |

---

NGFP—Nomura Global Financial Products Inc. <br> SOFR—Secured Overnight Financing Rate. <br> WFB—Wells Fargo Bank N.A.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Futures Contracts | Futures Contracts | Futures Contracts | Futures Contracts | Futures Contracts |
|  |  |  | ($000) | ($000) |
|  | Expiration | Number of<br> Long (Short)<br> Contracts | Notional<br> Amount | &nbsp;&nbsp;Value and<br> Unrealized<br> Appreciation<br> (Depreciation) |
| Long Futures Contracts |  |  |  |  |
| 2-Year U.S. Treasury Note | December 2025 | 2135 | 444597 | &nbsp;&nbsp;(1146) |
| 10-Year U.S. Treasury Note | December 2025 | 3799 | 428040 | &nbsp;&nbsp;659 |
| Ultra 10-Year U.S. Treasury Note | December 2025 | 713 | 82340 | &nbsp;&nbsp;(489) |
| Ultra Long U.S. Treasury Bond | December 2025 | 53 | 6428 | &nbsp;&nbsp;(17) |
|  |  |  |  | &nbsp;&nbsp;(993) |
| Short Futures Contracts |  |  |  |  |
| 5-Year U.S. Treasury Note | December 2025 | (2448) | (267348) | &nbsp;&nbsp;829 |
| Long U.S. Treasury Bond | December 2025 | (383) | (44931) | &nbsp;&nbsp;(808) |
|  |  |  |  | &nbsp;&nbsp;21 |
|  |  |  |  | &nbsp;&nbsp;(972) |

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps |
| Termination<br> Date | Future<br> Effective<br> Date | &nbsp;&nbsp;&nbsp;Notional<br> Amount<br> ($000) | &nbsp;&nbsp;&nbsp;Interest<br> Rate<br> Received<br> (%) | &nbsp;&nbsp;&nbsp;Interest<br> Rate<br> (Paid)<br> (%) | &nbsp;&nbsp;&nbsp;Value<br> ($000) | &nbsp;&nbsp;&nbsp;Unrealized<br> Appreciation<br> (Depreciation)<br> ($000) |
| 9/30/2027 | &nbsp;&nbsp;&nbsp;12/1/2025<sup>1</sup> | &nbsp;&nbsp;&nbsp;202944 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.167)<sup>3</sup> | &nbsp;&nbsp;&nbsp;715 | &nbsp;&nbsp;&nbsp;715 |
| 9/30/2027 | &nbsp;&nbsp;&nbsp;12/1/2025<sup>1</sup> | &nbsp;&nbsp;&nbsp;202944 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.176)<sup>3</sup> | &nbsp;&nbsp;&nbsp;684 | &nbsp;&nbsp;&nbsp;684 |
| 9/10/2029 | &nbsp;&nbsp;&nbsp;9/10/2027<sup>1</sup> | &nbsp;&nbsp;&nbsp;18600 | &nbsp;&nbsp;&nbsp;3.072<sup>3</sup> | &nbsp;&nbsp;&nbsp;(0.000)<sup>2</sup> | &nbsp;&nbsp;&nbsp;(79) | &nbsp;&nbsp;&nbsp;(79) |
| 9/24/2029 | &nbsp;&nbsp;&nbsp;9/22/2027<sup>1</sup> | &nbsp;&nbsp;&nbsp;20300 | &nbsp;&nbsp;&nbsp;3.221<sup>3</sup> | &nbsp;&nbsp;&nbsp;(0.000)<sup>2</sup> | &nbsp;&nbsp;&nbsp;(33) | &nbsp;&nbsp;&nbsp;(33) |
| 9/10/2032 | &nbsp;&nbsp;&nbsp;9/10/2027<sup>1</sup> | &nbsp;&nbsp;&nbsp;15700 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.349)<sup>3</sup> | &nbsp;&nbsp;&nbsp;125 | &nbsp;&nbsp;&nbsp;125 |
| 9/22/2032 | &nbsp;&nbsp;&nbsp;9/22/2027<sup>1</sup> | &nbsp;&nbsp;&nbsp;17000 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.465)<sup>3</sup> | &nbsp;&nbsp;&nbsp;54 | &nbsp;&nbsp;&nbsp;54 |
| 10/24/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;N/A | &nbsp;&nbsp;&nbsp;14707 | &nbsp;&nbsp;&nbsp;0.000<sup>4</sup> | &nbsp;&nbsp;&nbsp;(2.480)<sup>5</sup> | &nbsp;&nbsp;&nbsp;30 | &nbsp;&nbsp;&nbsp;30 |
| 10/24/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;N/A | &nbsp;&nbsp;&nbsp;3270 | &nbsp;&nbsp;&nbsp;0.000<sup>4</sup> | &nbsp;&nbsp;&nbsp;(2.472)<sup>5</sup> | &nbsp;&nbsp;&nbsp;9 | &nbsp;&nbsp;&nbsp;9 |
| 10/24/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;N/A | &nbsp;&nbsp;&nbsp;3270 | &nbsp;&nbsp;&nbsp;0.000<sup>4</sup> | &nbsp;&nbsp;&nbsp;(2.492)<sup>5</sup> | &nbsp;&nbsp;&nbsp;4 | &nbsp;&nbsp;&nbsp;4 |
| 10/24/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;N/A | &nbsp;&nbsp;&nbsp;3270 | &nbsp;&nbsp;&nbsp;0.000<sup>4</sup> | &nbsp;&nbsp;&nbsp;(2.479)<sup>5</sup> | &nbsp;&nbsp;&nbsp;7 | &nbsp;&nbsp;&nbsp;7 |
| 10/27/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;N/A | &nbsp;&nbsp;&nbsp;8193 | &nbsp;&nbsp;&nbsp;0.000<sup>4</sup> | &nbsp;&nbsp;&nbsp;(2.505)<sup>5</sup> | &nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp;&nbsp;(2) |
| 10/27/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;N/A | &nbsp;&nbsp;&nbsp;3277 | &nbsp;&nbsp;&nbsp;0.000<sup>4</sup> | &nbsp;&nbsp;&nbsp;(2.502)<sup>5</sup> | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— |
| 10/30/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;N/A | &nbsp;&nbsp;&nbsp;4900 | &nbsp;&nbsp;&nbsp;0.000<sup>4</sup> | &nbsp;&nbsp;&nbsp;(2.475)<sup>5</sup> | &nbsp;&nbsp;&nbsp;11 | &nbsp;&nbsp;&nbsp;11 |
| 9/10/2037 | &nbsp;&nbsp;&nbsp;9/10/2027<sup>1</sup> | &nbsp;&nbsp;&nbsp;4300 | &nbsp;&nbsp;&nbsp;3.733<sup>3</sup> | &nbsp;&nbsp;&nbsp;(0.000)<sup>2</sup> | &nbsp;&nbsp;&nbsp;(38) | &nbsp;&nbsp;&nbsp;(38) |
| 9/22/2037 | &nbsp;&nbsp;&nbsp;9/22/2027<sup>1</sup> | &nbsp;&nbsp;&nbsp;4700 | &nbsp;&nbsp;&nbsp;3.804<sup>3</sup> | &nbsp;&nbsp;&nbsp;(0.000)<sup>2</sup> | &nbsp;&nbsp;&nbsp;(17) | &nbsp;&nbsp;&nbsp;(17) |
| 10/18/2040 | 10/18/2030<sup>1</sup> | &nbsp;&nbsp;&nbsp;15400 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(4.100)<sup>3</sup> | &nbsp;&nbsp;&nbsp;115 | &nbsp;&nbsp;&nbsp;115 |
| 11/16/2043 | 12/31/2025<sup>1</sup> | &nbsp;&nbsp;&nbsp;11000 | &nbsp;&nbsp;&nbsp;3.918<sup>3</sup> | &nbsp;&nbsp;&nbsp;(0.000)<sup>2</sup> | &nbsp;&nbsp;&nbsp;(52) | &nbsp;&nbsp;&nbsp;(52) |
| 11/16/2043 | 12/31/2025<sup>1</sup> | &nbsp;&nbsp;&nbsp;8500 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.868)<sup>3</sup> | &nbsp;&nbsp;&nbsp;94 | &nbsp;&nbsp;&nbsp;94 |
| 11/16/2043 | 12/31/2025<sup>1</sup> | &nbsp;&nbsp;&nbsp;8000 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.914)<sup>3</sup> | &nbsp;&nbsp;&nbsp;42 | &nbsp;&nbsp;&nbsp;42 |
| 11/16/2043 | 12/31/2025<sup>1</sup> | &nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;3.955<sup>3</sup> | &nbsp;&nbsp;&nbsp;(0.000)<sup>2</sup> | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— |
| 11/16/2043 | 12/31/2025<sup>1</sup> | &nbsp;&nbsp;&nbsp;2700 | &nbsp;&nbsp;&nbsp;3.927<sup>3</sup> | &nbsp;&nbsp;&nbsp;(0.000)<sup>2</sup> | &nbsp;&nbsp;&nbsp;(10) | &nbsp;&nbsp;&nbsp;(10) |
| 10/18/2045 | 10/18/2035<sup>1</sup> | &nbsp;&nbsp;&nbsp;17100 | &nbsp;&nbsp;&nbsp;4.358<sup>3</sup> | &nbsp;&nbsp;&nbsp;(0.000)<sup>2</sup> | &nbsp;&nbsp;&nbsp;(84) | &nbsp;&nbsp;&nbsp;(84) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;1575 | &nbsp;&nbsp;&nbsp;1575 |

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| | |
|:---|:---|
| 1 | Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date. |
| 2 | Based on Secured Overnight Financing Rate (SOFR) as of the most recent reset date. Interest payment received/paid annually. |
| 3 | Interest payment received/paid annually. |
| 4 | Zero-coupon. Based on the return of US Consumer Price Index for All Urban Consumers (USCPIU). Interest payment received/paid at maturity. |
| 5 | Interest payment received/paid at maturity. |

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**A.** Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and other temporary cash investments are valued using
the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt
securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or
option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued
at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the
securities' primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.

**B.** To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The
fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. The fund may sell a
TBA that it does not hold (Sales Commitments) to manage portfolio risks while giving the fund more flexibility. The settlement date of a Sales Commitment is not set, and the positions can be increased or decreased to
ensure appropriate hedging ratios for the fund and may be offset by entering into an equal amount of TBA purchases. When the fund is a buyer of TBA transactions, it maintains cash, short-term investments, or
Treasuries in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The
fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The
fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default,
the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that
counterparty, determine the net amount owed by either party in accordance with its MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.

**C.** Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase
substantially similar securities in the future at a predetermined price on a predetermined date. The fund forgoes principal and interest paid on the securities sold. In exchange for the forgone principal and interest
paid, the fund is compensated by investing the proceeds of the sale, typically in high-quality short-term fixed income securities, and earning interest on such investments. Further the fund receives a

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lower price on the securities to be repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell substantially similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased.

**D.** Swaptions: The fund invests in options on swaps, which are transacted over-the-counter (OTC) and not on an exchange. The fund enters into swaptions to adjust the fund's sensitivity to interest rates or to
adjust its exposure to the underlying investments. The fund may purchase a swaption from a counterparty whereby the fund has the right to enter into a swap in which the fund will pay either a fixed percentage rate or
a floating rate, which is reset periodically based on short-term interest rates, and receive a different floating rate, each applied to a notional amount. The fund may also sell a swaption to a counterparty whereby
the fund grants the counterparty the right to enter into a swap in which the fund will pay a floating rate and receive a fixed rate, each applied to a notional amount. Swaptions also include options that allow an
existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike
price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor
an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to
the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.

The primary risk associated with purchasing swaptions is that interest rates or the value of the underlying investments move in such a way that the exercise price of the swaption exceeds the value of the underlying investment, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling swaptions is that interest rates or the value of the underlying investments move in such a way that the exercise price of the swaption exceeds the value of the underlying investment, the counterparty exercises the swaption, and the resulting interest rate swap results in a negative cash flow to the fund in an amount greater than the premium received. A risk associated with all types of swaptions is the possibility that a counterparty may default on its obligations under the swaption contract.

Swaptions are valued based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased swaption is recorded as an asset and is subsequently adjusted daily based on the current market value of the swaption. The premium received for a written swaption is recorded as an asset with an equal liability and is subsequently adjusted daily based on the current market value of the swaption. Fluctuations in the value of swaptions are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains(losses) are recognized.

**E.** Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are
attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by
the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing
broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with
its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each
contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.

Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).

**F.** Swap Contracts: The fund enters into interest rate swap transactions to adjust the fund's sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under
the terms of the swaps, one party pays the other either an amount that is a fixed percentage rate or a floating rate, which is reset periodically based on short-term interest rates, applied to a notional amount. In
return, the counterparty agrees to pay a different floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.

The fund enters into centrally cleared interest rate swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund's performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty's default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The

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value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.

**G.** Various inputs may be used to determine the value of the fund's investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used
to value securities are not necessarily an indication of the risk associated with investing in those securities.

#### Level 1 —Quoted prices in active markets for identical securities.

#### Level 2 —Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
**Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.**

The following table summarizes the market value of the fund's investments and derivatives as of October 31, 2025, based on the inputs used to value them:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Level 1<br> ($000) | &nbsp;&nbsp;&nbsp;Level 2<br> ($000) | &nbsp;&nbsp;&nbsp;Level 3<br> ($000) | &nbsp;&nbsp;&nbsp;Total<br> ($000) |
| **Investments** |  |  |  |  |
| Assets |  |  |  |  |
| U.S. Government and Agency Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;6929530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;6929530 |
| Asset-Backed/Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;116739 | &nbsp;&nbsp;&nbsp;16953 | &nbsp;&nbsp;&nbsp;&nbsp;133692 |
| Temporary Cash Investments | 63138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63138 |
| Options Purchased | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1084 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1084 |
| Total | 63138 | &nbsp;&nbsp;&nbsp;7047353 | &nbsp;&nbsp;&nbsp;16953 | &nbsp;&nbsp;&nbsp;7127444 |
| Liabilities |  |  |  |  |
| Conventional Mortgage-Backed Securities—Liability for Sale Commitments | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(189593) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(189593) |
| **Derivative Financial Instruments** |  |  |  |  |
| Assets |  |  |  |  |
| Futures Contracts<sup>1</sup> | &nbsp;&nbsp;&nbsp;1488 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;1488 |
| Swap Contracts<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;1890 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;1890 |
| Total | &nbsp;&nbsp;&nbsp;1488 | &nbsp;&nbsp;&nbsp;&nbsp;1890 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;3378 |
| Liabilities |  |  |  |  |
| Options Written | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(1207) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(1207) |
| Futures Contracts<sup>1</sup> | (2460) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(2460) |
| Swap Contracts<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(315) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(315) |
| Total | (2460) | &nbsp;&nbsp;&nbsp;(1522) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(3982) |

---

1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments.

## 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:** 2025-10-31

**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:** $7426748539.27

**Total Liabilities:** $322934441.63

**Net Assets:** $7103814097.64

**Cash Not Reported:** $8722612.58

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1672.54353792 | **1-Year:** -61614.16217647 | **5-Year:** -285562.03462850 | **10-Year:** -67058.81260413 | **30-Year:** 6275.07927258

**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 | 1.55%                | 0.33%                | 0.53%                |
| Class ID C000007099 | 1.54%                | 0.32%                | 0.53%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $9178700.87              | $71663084.87                               |
| Month 2  | $4550300.61              | $-4173189.71                               |
| Month 3  | $11395164.98             | $2922152.26                                |

**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        |  123100000 | PA      | $116127538.45  | 1.63%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4945                          | CUSIP: 3140Q0P71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6150000 | PA      | $6206664.87    | 0.09%             | 2030-09-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 10Y RTR 3.350000 16-OCT-2030  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   38400000 | NC      | $919226.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WG9008                          | CUSIP: 31425SAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16400000 | PA      | $16343452.80   | 0.23%             | 2030-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3766                          | CUSIP: 3140NYFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6210000 | PA      | $6237790.37    | 0.09%             | 2030-05-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5198 FA                        | CUSIP: 3137H5KF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1709647 | PA      | $1507099.33    | 0.02%             | 2052-02-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2020-12 JC                     | CUSIP: 3136B8G60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1018451 | PA      | $868913.01     | 0.01%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.072000 10-SEP-2029 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   18600000 | NC      | $-78956.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1921                          | CUSIP: 3140LCD32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3200000 | PA      | $2862439.04    | 0.04%             | 2031-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5150 MD                        | CUSIP: 3137H2ZT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20455692 | PA      | $16515173.10   | 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      | $47822500.00   | 0.67%             | 2031-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.176060 30-SEP-2027 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  202944231 | NC      | $683500.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  107900000 | PA      | $106441663.52  | 1.50%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Principal Strip                                   | FNMA PRIN STP                      | CUSIP: 31358DDR2<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   56411000 | PA      | $47375368.08   | 0.67%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2685                          | CUSIP: 3140NW6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3772049 | PA      | $3833736.63    | 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      | $73147500.00   | 1.03%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   90000000 | PA      | $91406250.00   | 1.29%             | 2032-03-31      | 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        |    2332463 | PA      | $1868949.08    | 0.03%             | 2051-04-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4949                          | CUSIP: 3140Q0QB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11300000 | PA      | $11484134.63   | 0.16%             | 2030-09-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-227 F                     | CUSIP: 38383FQM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     635631 | PA      | $551893.90     | 0.01%             | 2051-12-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4846                          | CUSIP: 3140Q0L42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5410000 | PA      | $5443053.48    | 0.08%             | 2030-09-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  170300000 | PA      | $172894413.21  | 2.43%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5 11/25                       | CUSIP: 01F0506B7<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -102750000 | PA      | $-102244274.78 | -1.44%            | 2025-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2025-M1 2A2                    | CUSIP: 3136BUQR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11143867 | PA      | $11336602.35   | 0.16%             | 2032-01-25      | Variable      | 4.80%                 | 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      | $78179875.00   | 1.10%             | 2029-06-30      | Fixed         | 4.25%                 | 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      | $32038500.00   | 0.45%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 5YR NOTE (CBT) Dec25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -2028 | NC      | $689728.51     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                          | FWDP 30Y RTR 3.260000 26-MAR-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    5900000 | NC      | $17655.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  133600000 | PA      | $137143531.58  | 1.93%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  204600000 | PA      | $192068250.00  | 2.70%             | 2028-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.868340 15-NOV-2043 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    8500000 | NC      | $94421.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2015-117 HZ                    | CUSIP: 38379MS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17119567 | PA      | $16175181.23   | 0.23%             | 2045-08-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4258                          | CUSIP: 3140NYWU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11220000 | PA      | $11286049.90   | 0.16%             | 2030-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4510                          | CUSIP: 3140Q0AL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13775000 | PA      | $13823070.62   | 0.19%             | 2030-08-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   75000000 | PA      | $73962890.25   | 1.04%             | 2028-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.465000 22-SEP-2032 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   17000000 | NC      | $53788.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5092 PB                        | CUSIP: 3137FYD45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2639273 | PA      | $2177375.92    | 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        |    1424957 | PA      | $1247432.34    | 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        |   14531282 | PA      | $13950273.17   | 0.20%             | 2051-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5.5 11/25                     | CUSIP: 01F0526B3<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -86450000 | PA      | $-87348267.37  | -1.23%            | 2025-11-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-76 KB                     | CUSIP: 3136BJWZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7680571 | PA      | $6567338.88    | 0.09%             | 2051-11-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5146 QA                        | CUSIP: 3137H2GB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3732632 | PA      | $3249347.47    | 0.05%             | 2051-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4424                          | CUSIP: 3140HV4J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4980419 | PA      | $4645989.45    | 0.07%             | 2029-10-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60000000 | PA      | $58860937.20   | 0.83%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   77150000 | PA      | $72948941.02   | 1.03%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.478500 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3270000 | NC      | $7153.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  184000000 | PA      | $173549374.08  | 2.44%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4324                          | CUSIP: 3140HVYW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1476496 | PA      | $1392434.39    | 0.02%             | 2029-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 2YR NOTE (CBT) Dec25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       2070 | NC      | $-1143418.16   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                        | CUSIP: 3134GWAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   18340000 | PA      | $15463077.56   | 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      | $96820897.88   | 1.36%             | 2030-05-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.913760 15-NOV-2043 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    8000000 | NC      | $42070.10      | 0.00%             |  |  |  | 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      | $150889316.77  | 2.12%             | 2031-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                           | FRE PRIN STRIP                     | CUSIP: 3134A4AB0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   26475000 | PA      | $21441758.33   | 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      | $4671725.96    | 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      | $1111322.96    | 0.02%             | 2030-05-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5080 BF                        | CUSIP: 3137FXTM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     423948 | PA      | $367373.43     | 0.01%             | 2049-12-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4168                          | CUSIP: 3140NYT27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7810000 | PA      | $7830446.58    | 0.11%             | 2030-08-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   76581400 | PA      | $77556615.88   | 1.09%             | 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        |  121900000 | PA      | $113738413.45  | 1.60%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS5957                          | CUSIP: 3140LGTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1300000 | PA      | $1268098.91    | 0.02%             | 2029-07-01      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  212700000 | PA      | $211686350.50  | 2.98%             | 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        |    1072919 | PA      | $1016920.03    | 0.01%             | 2044-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.167310 30-SEP-2027 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  202944231 | NC      | $714820.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5050 PD                        | CUSIP: 3137F7RX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15274246 | PA      | $12908860.99   | 0.18%             | 2050-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35000000 | PA      | $34979492.10   | 0.49%             | 2032-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5072 YE                        | CUSIP: 3137F9B67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1106959 | PA      | $863414.10     | 0.01%             | 2051-01-25      | Fixed         | 1.00%                 | 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      | $73621265.26   | 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      | $27358705.56   | 0.39%             | 2036-03-04      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 10Y RTR 3.608000 16-OCT-2035  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -32300000 | NC      | $-1052466.43   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4161 BW                        | CUSIP: 3137AYL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6857994 | PA      | $6207101.79    | 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        |   12899113 | PA      | $13062058.10   | 0.18%             | 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        |  179800000 | PA      | $160752437.50  | 2.26%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2020-96 A                      | CUSIP: 3136BDKT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3144407 | PA      | $2529378.20    | 0.04%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10YR NOTE (CBT)Dec25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       3509 | NC      | $678988.15     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.100000 18-OCT-2040 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   15400000 | NC      | $114920.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.502000 27-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3277143 | NC      | $201.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SD6814                          | CUSIP: 3132DUSB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6290337 | PA      | $5824451.59    | 0.08%             | 2044-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2014-83 HP                     | CUSIP: 3136AL2A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134706 | PA      | $124415.36     | 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        |     564806 | PA      | $496864.76     | 0.01%             | 2031-10-01      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10yr Ultra Fut Dec25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        538 | NC      | $-474847.66    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24000000 | PA      | $24202500.00   | 0.34%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5051 YA                        | CUSIP: 3137F82J1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9043443 | PA      | $7562585.64    | 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        |    5249701 | PA      | $5359274.15    | 0.08%             | 2030-09-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.349000 10-SEP-2032 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   15700000 | NC      | $124627.32     | 0.00%             |  |  |  | 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      | $84729902.55   | 1.19%             | 2031-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-67 LG                     | CUSIP: 38382R2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     436327 | PA      | $353641.70     | 0.00%             | 2051-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53000000 | PA      | $53654218.75   | 0.76%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US ULTRA BOND CBT Dec25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         53 | NC      | $-16696.09     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                          | FWDP 5Y RTR 2.700000 26-MAR-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -23100000 | NC      | $-30769.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   68000000 | PA      | $68770312.16   | 0.97%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5141                          | CUSIP: 3132XKWB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23300000 | PA      | $23249401.72   | 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      | $142802471.97  | 2.01%             | 2031-05-31      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM6496                          | CUSIP: 3140JBGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8395863 | PA      | $7409791.89    | 0.10%             | 2030-12-01      | Variable      | 1.38%                 | 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      | $83693184.50   | 1.18%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.480000 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    6540000 | NC      | $13461.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4063                          | CUSIP: 3140NYQR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8625000 | PA      | $8736731.70    | 0.12%             | 2030-07-01      | Fixed         | 4.42%                 | 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      | $92266999.55   | 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        |   19495683 | PA      | $19721700.69   | 0.28%             | 2030-01-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WR1005                          | CUSIP: 3142FEDK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5198000 | PA      | $5215594.71    | 0.07%             | 2030-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-86 EA                     | CUSIP: 3136BKB76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26345546 | PA      | $22688236.16   | 0.32%             | 2049-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4676                          | CUSIP: 3140Q0FS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10175000 | PA      | $10188334.34   | 0.14%             | 2030-08-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   78800000 | PA      | $80225172.07   | 1.13%             | 2031-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US LONG BOND(CBT) Dec25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -383 | NC      | $-808288.87    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5159 UA                        | CUSIP: 3137H3US9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1293203 | PA      | $1165232.42    | 0.02%             | 2048-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.917609 15-NOV-2043 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   11000000 | NC      | $-52393.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMF 2025-K549 Mortgage Trust                               | FHMS K549 A2                       | CUSIP: 3137HNNC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   88368039 | PA      | $89376875.04   | 1.26%             | 2030-09-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4635                          | CUSIP: 3140Q0EH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19530000 | PA      | $19648937.70   | 0.28%             | 2030-09-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5156                          | CUSIP: 3140HWWS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2344374.25    | 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      | $11615715.68   | 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        |     929422 | PA      | $770673.44     | 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        |   48363916 | PA      | $44157203.10   | 0.62%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18000000 | PA      | $18132890.58   | 0.26%             | 2032-07-31      | Fixed         | 4.00%                 | 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      | $145615592.91  | 2.05%             | 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        |   11762822 | PA      | $9213038.79    | 0.13%             | 2051-01-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.505000 27-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    8192857 | NC      | $-1621.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2019-75 KC                     | CUSIP: 3136B7SW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7353508 | PA      | $6506629.03    | 0.09%             | 2049-11-25      | Fixed         | 2.50%                 | 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      | $49126590.03   | 0.69%             | 2031-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4627                          | CUSIP: 3140Q0D90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21000000 | PA      | $21173964.00   | 0.30%             | 2030-08-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-86 T                      | CUSIP: 3136BKYQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7031933 | PA      | $6360599.72    | 0.09%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3037                          | CUSIP: 3140NXLT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4800000 | PA      | $4909968.48    | 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        |   53726456 | NS      | $53726455.80   | 0.76%             |  |  |  | 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      | $161586384.59  | 2.27%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-83 FN                     | CUSIP: 38382QWE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1469786 | PA      | $1226946.94    | 0.02%             | 2051-05-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  135000000 | PA      | $136829883.15  | 1.93%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  126000000 | PA      | $129066328.44  | 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        |  224550000 | PA      | $224725429.69  | 3.16%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4913                          | CUSIP: 3140Q0N73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5730000 | PA      | $5751522.45    | 0.08%             | 2030-09-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21400000 | PA      | $21751093.75   | 0.31%             | 2031-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4691                          | CUSIP: 3140Q0F98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19750000 | PA      | $20207232.25   | 0.28%             | 2030-08-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5483                          | CUSIP: 3140HXCV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $905234.70     | 0.01%             | 2032-09-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5201 CA                        | CUSIP: 3137H64V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1090600 | PA      | $1005168.02    | 0.01%             | 2048-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS6474                          | CUSIP: 3140LHFQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6560638 | PA      | $6366004.43    | 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        |   15800000 | PA      | $16025921.04   | 0.23%             | 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        |   12482699 | PA      | $12566139.68   | 0.18%             | 2042-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4547                          | CUSIP: 3140Q0BR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8570000 | PA      | $8558709.88    | 0.12%             | 2030-08-01      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2025-82 JA                     | CUSIP: 3136BXD27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4314271 | PA      | $3936101.66    | 0.06%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60300000 | PA      | $61166812.50   | 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      | $113346421.88  | 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        |  159000000 | PA      | $162478125.00  | 2.29%             | 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        |  108000000 | PA      | $109940625.00  | 1.55%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   93000000 | PA      | $93726562.50   | 1.32%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Private Export Funding Corp                                  | PRIVATE EXPT FDG                   | CUSIP: 742651EB4<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |   38000000 | PA      | $38723640.46   | 0.55%             | 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        |   59145100 | PA      | $62245596.74   | 0.88%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3622                          | CUSIP: 3140NYAY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19810000 | PA      | $19957358.67   | 0.28%             | 2030-04-01      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 30Y RTR 3.810000 26-MAR-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -5900000 | NC      | $-123675.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5132 PA                        | CUSIP: 3137H1T55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2118565 | PA      | $1757491.75    | 0.02%             | 2051-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 5Y RTR 3.250000 26-MAR-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   23100000 | NC      | $146982.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4629                          | CUSIP: 3140Q0EB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13862000 | PA      | $13922664.27   | 0.20%             | 2030-09-01      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.358000 18-OCT-2045 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   17100000 | NC      | $-84367.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5084 NC                        | CUSIP: 3137FFL47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2157517 | PA      | $1719587.09    | 0.02%             | 2044-10-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30000000 | PA      | $29964843.60   | 0.42%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.491500 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3270000 | NC      | $3484.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5207 AB                        | CUSIP: 3137H64F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17626763 | PA      | $15884452.89   | 0.22%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5159 QA                        | CUSIP: 3137H3UJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1545724 | PA      | $1408649.54    | 0.02%             | 2048-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32600000 | PA      | $31754437.50   | 0.45%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2020-7 EP                      | CUSIP: 38382DFG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2011903 | PA      | $1773628.76    | 0.02%             | 2049-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                           | FHS 357 200                        | CUSIP: 3132J0P50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2330876 | PA      | $2024494.38    | 0.03%             | 2047-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2764                          | CUSIP: 31418CCA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9988799 | PA      | $8720962.05    | 0.12%             | 2046-09-01      | Fixed         | 2.50%                 | 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      | $131358733.64  | 1.85%             | 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        |   18704775 | PA      | $16583601.32   | 0.23%             | 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        |     372992 | PA      | $328809.40     | 0.00%             | 2032-01-01      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.471500 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3270000 | NC      | $9128.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37000000 | PA      | $38361484.19   | 0.54%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.221000 22-SEP-2029 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   20300000 | NC      | $-33319.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     400000 | PA      | $403062.50     | 0.01%             | 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      | $4933116.00    | 0.07%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   81200000 | PA      | $80571968.34   | 1.13%             | 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      | $15251953.05   | 0.21%             | 2031-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4801                          | CUSIP: 3140Q0KP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14130000 | PA      | $14188211.36   | 0.20%             | 2030-09-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $99625000.00   | 1.40%             | 2030-10-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80000000 | PA      | $83250000.00   | 1.17%             | 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      | $136057187.50  | 1.92%             | 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      | $20445312.40   | 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        |    4835545 | PA      | $4022090.17    | 0.06%             | 2051-05-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5200 MA                        | CUSIP: 3137H6EQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     775432 | PA      | $714517.72     | 0.01%             | 2048-08-25      | Fixed         | 2.50%                 | 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      | $69648000.00   | 0.98%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2025-M5 A2                     | CUSIP: 3136BXM35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19200000 | PA      | $16953000.00   | 0.24%             | 2031-11-25      | Fixed         | 1.84%                 | No            |                  3 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4109 GE                        | CUSIP: 3137AUJM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3507939 | PA      | $3478147.59    | 0.05%             | 2041-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2019-55 CB                     | CUSIP: 3136B6FG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     601381 | PA      | $540917.17     | 0.01%             | 2049-10-25      | Fixed         | 3.00%                 | 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      | $19850546.78   | 0.28%             | 2028-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5194 AE                        | CUSIP: 3137H5R74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17474537 | PA      | $15566272.27   | 0.22%             | 2049-08-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   44380000 | PA      | $45239862.50   | 0.64%             | 2029-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2109                          | CUSIP: 3132XGKX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2837702 | PA      | $2480244.76    | 0.03%             | 2031-07-01      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.803500 22-SEP-2037 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4700000 | NC      | $-16775.42     | -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      | $37389843.75   | 0.53%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4439                          | CUSIP: 3140NY4Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6625000 | PA      | $6645480.53    | 0.09%             | 2030-07-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4665                          | CUSIP: 3140Q0FF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6650000 | PA      | $6644774.43    | 0.09%             | 2030-08-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN1549                          | CUSIP: 3132XFWK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5450000 | PA      | $5491299.56    | 0.08%             | 2030-03-01      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.480000 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    8166667 | NC      | $16809.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.733000 10-SEP-2037 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4300000 | NC      | $-37637.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4905                          | CUSIP: 3140Q0NX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11749000 | PA      | $11909533.64   | 0.17%             | 2030-09-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42000000 | PA      | $41898281.04   | 0.59%             | 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        |   85000000 | PA      | $85192577.70   | 1.20%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $99640625.00   | 1.40%             | 2030-09-30      | Fixed         | 3.62%                 | 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      | $179415585.03  | 2.53%             | 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        |     763506 | PA      | $617175.21     | 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      | $74229804.88   | 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      | $102016968.50  | 1.44%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5149 GC                        | CUSIP: 3137H2SE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1115306 | PA      | $950356.79     | 0.01%             | 2051-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3779                          | CUSIP: 3140NYFV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21280000 | PA      | $21384333.71   | 0.30%             | 2030-05-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2941                          | CUSIP: 3140NXHT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5721000 | PA      | $5847811.11    | 0.08%             | 2030-01-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2022-34 BA                     | CUSIP: 38383MCA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     600324 | PA      | $526867.89     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.955020 15-NOV-2043 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3000000 | NC      | $165.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35000000 | PA      | $34994531.25   | 0.49%             | 2032-08-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2022-4 YT                      | CUSIP: 3136BLYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6250735 | PA      | $5667296.66    | 0.08%             | 2052-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.927023 15-NOV-2043 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2700000 | NC      | $-9586.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2443                          | CUSIP: 3140NWWD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2200000 | PA      | $2243346.60    | 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        |  122700000 | PA      | $128001022.82  | 1.80%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.474500 30-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    4900000 | NC      | $11455.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   70000000 | PA      | $70891405.90   | 1.00%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ1993                          | CUSIP: 3140NWGB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1900000 | PA      | $1897901.64    | 0.03%             | 2029-11-01      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-23

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

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer