# EDGAR Filing Document

**Accession Number:** 0000106444
**File Stem:** 0000106444-26-000136
**Filing Date:** 2026-3
**Character Count:** 74601
**Document Hash:** 1a9c8aa6bf812dffebef8ab128b6a64a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000106444-26-000136.hdr.sgml**: 20260331

**ACCESSION NUMBER**: 0000106444-26-000136

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260331

**DATE AS OF CHANGE**: 20260331

**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:** 26819617

**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 Long-Term Treasury Fund (Series ID: S000002589)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000007103 | Investor Shares | VUSTX           |
| C000007104 | Admiral Shares  | VUSUX           |

## 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 LONG-TERM TREASURY FUND

- **b. EDGAR series identifier (if any):** S000002589

- **c. LEI of Series:** CX72FM3M58T4MKTZA209

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

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

- **b. Date as of which information is reported:** 2026-01-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $3216123040.17

**Total Liabilities:** $388827693.23

**Net Assets:** $2827295346.94

**Delayed Delivery Securities:** $337281468.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -388.13776451 | **1-Year:** -10597.22194607 | **5-Year:** -51003.63972976 | **10-Year:** -114466.22038669 | **30-Year:** -19462.49294336

**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 C000007103 | 0.47%                | -1.96%               | -0.26%               |
| Class ID C000007104 | 0.48%                | -1.96%               | -0.25%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-15595129.52            | $18610304.20                               |
| Month 2  | $-13183310.41            | $-50687631.14                              |
| Month 3  | $-8495787.80             | $-8162191.35                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Long Treasury Bond Index

- **Index Identifier:** I00050

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                               | FWDP 10Y RTR 3.350000 16-OCT-2030  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  16200000 | NC      | $274210.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS1824                          | CUSIP: 3140LCA27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7890000 | PA      | $6072281.29   | 0.21%             | 2041-04-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16250000 | PA      | $11911376.91  | 0.42%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  73000000 | PA      | $71346093.75  | 2.52%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 2Y RTP 3.850000 20-JAN-2028   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -16260000 | NC      | $-87878.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32610000 | PA      | $25691839.37  | 0.91%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 4.238500 05-JAN-2058 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   1170000 | NC      | $11371.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 30Y RTR 3.950000 09-MAR-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   2530000 | NC      | $5967.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | SWP: IFS 2.409000 01-DEC-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   9000000 | NC      | $56310.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60033100 | PA      | $59482014.75  | 2.10%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $6899062.50   | 0.24%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5 2/26                        | CUSIP: 01F050627<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -42000000 | PA      | $-41991797.40 | -1.49%            | 2026-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25670000 | PA      | $22093246.42  | 0.78%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association             | FANNIE MAE                         | CUSIP: 3136F7NM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  49591000 | PA      | $41075382.25  | 1.45%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4.5 1/26                      | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  28700000 | PA      | $28130485.81  | 0.99%             | 2056-01-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47100000 | PA      | $37937578.13  | 1.34%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.282050 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  19500000 | NC      | $143900.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BL9572                          | CUSIP: 3140J2T63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1359983 | PA      | $1018264.66   | 0.04%             | 2050-12-01      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5.5 1/26                      | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  35600000 | PA      | $36139564.28  | 1.28%             | 2056-01-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810QU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7950000 | PA      | $6515273.44   | 0.23%             | 2042-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32659300 | PA      | $23259545.22  | 0.82%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2.5 2/26                      | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9900000 | PA      | $8401464.72   | 0.30%             | 2026-02-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  66011600 | PA      | $34514268.04  | 1.22%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35332700 | PA      | $26064767.08  | 0.92%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS3576                          | CUSIP: 3140LD6N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7885251 | PA      | $6378207.65   | 0.23%             | 2046-10-01      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47920100 | PA      | $30084837.78  | 1.06%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40780000 | PA      | $33872887.50  | 1.20%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44900000 | PA      | $39547078.13  | 1.40%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.427700 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  19000000 | NC      | $33848.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19150000 | PA      | $18728101.56  | 0.66%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43350000 | PA      | $41787029.19  | 1.48%             | 2044-02-15      | Fixed         | 4.50%                 | 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       |   1374000 | NC      | $1495.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                | FRE PRIN STRIP                     | CUSIP: 3134A4AB0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  48523000 | PA      | $39607189.89  | 1.40%             | 2031-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12200000 | PA      | $9337289.03   | 0.33%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 2Y RTP 3.600000 20-JAN-2028   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  16260000 | NC      | $118621.58    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WA3285                          | CUSIP: 3132WW2T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5873409 | PA      | $5411184.28   | 0.19%             | 2039-05-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WA3416                          | CUSIP: 3132WXAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4350502 | PA      | $3355685.15   | 0.12%             | 2039-05-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 2Y RTP 3.500000 21-JAN-2027   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  15290000 | NC      | $59546.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12963100 | PA      | $9694474.56   | 0.34%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Strip Coupon               | STRIPS                             | CUSIP: 912834MZ8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  39000000 | PA      | $15894023.34  | 0.56%             | 2043-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15848600 | PA      | $12515441.31  | 0.44%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AN5005                          | CUSIP: 3138LHR30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1918375 | PA      | $1755071.00   | 0.06%             | 2047-04-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS4593                          | CUSIP: 3140LFC77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3012511 | PA      | $2395597.98   | 0.08%             | 2042-01-01      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11323500 | PA      | $8473605.03   | 0.30%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  69000000 | PA      | $41683007.64  | 1.47%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS4188                          | CUSIP: 3140LEUN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6785105 | PA      | $5412873.90   | 0.19%             | 2041-12-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33300000 | PA      | $30460394.45  | 1.08%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18450000 | PA      | $15192421.88  | 0.54%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                               | US LONG BOND(CBT) Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       778 | NC      | $-105927.96   | -0.00%            |  |  |  | No            |                  1 | 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       | -13600000 | NC      | $-338297.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BL6327                          | CUSIP: 3140HYA57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1338581 | PA      | $1029534.00   | 0.04%             | 2050-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BL8889                          | CUSIP: 3140J12X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1839466 | PA      | $1421684.77   | 0.05%             | 2040-10-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30700000 | PA      | $23225269.61  | 0.82%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29800000 | PA      | $18612195.24  | 0.66%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | 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       |   6500000 | NC      | $160502.27    | 0.01%             |  |  |  | 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       |   1375429 | NC      | $-1368.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25651100 | PA      | $17746352.88  | 0.63%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31600000 | PA      | $20212890.70  | 0.71%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27761300 | PA      | $19835232.03  | 0.70%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                               | US 10yr Ultra Fut Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -683 | NC      | $328327.07    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | US 5YR NOTE (CBT) Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       314 | NC      | $-40773.18    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5 2/26                        | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  95000000 | PA      | $94981446.50  | 3.36%             | 2026-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4100000 | PA      | $3123207.02   | 0.11%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds    | TSY INFL IX N/B                    | CUSIP: 91282CPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  21131995 | PA      | $21050273.42  | 0.74%             | 2036-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18200000 | PA      | $18302375.00  | 0.65%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41131800 | PA      | $34653541.50  | 1.23%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  83400000 | PA      | $45912351.35  | 1.62%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WA3424                          | CUSIP: 3132WXA26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2754522 | PA      | $2505267.03   | 0.09%             | 2041-02-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 4938 CB                        | CUSIP: 3137FQEX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2217279 | PA      | $1840946.67   | 0.07%             | 2049-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36100000 | PA      | $26771816.32  | 0.95%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37170000 | PA      | $24400072.17  | 0.86%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57050000 | PA      | $55668320.31  | 1.97%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS3003                          | CUSIP: 3140LDKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2393907 | PA      | $1807180.51   | 0.06%             | 2051-09-01      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 30Y RTR 4.090000 16-JUL-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -3370000 | NC      | $-73258.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Principal Strip           | RFC PRIN STRIP                     | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  19800000 | PA      | $16955136.00  | 0.60%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24800000 | PA      | $25338625.00  | 0.90%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 2Y RTR 2.870000 16-JUL-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -30110000 | NC      | $-31591.41    | -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       |   2748000 | NC      | $2638.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WN0179                          | CUSIP: 3132XEFV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9572416.00   | 0.34%             | 2045-01-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WA3429                          | CUSIP: 3132WXA75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3963685 | PA      | $3524940.78   | 0.12%             | 2042-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 2Y RTR 3.270000 16-JUL-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  30110000 | NC      | $92238.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WA3506                          | CUSIP: 3132WXDL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2360019 | PA      | $1842806.31   | 0.07%             | 2043-01-01      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2023-27 EZ                     | CUSIP: 3136BP3R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12228399 | PA      | $10995844.44  | 0.39%             | 2050-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60690200 | PA      | $40807047.22  | 1.44%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AN1154                          | CUSIP: 3138LDH89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1639597 | PA      | $1517727.06   | 0.05%             | 2046-03-01      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  82393400 | PA      | $77282434.41  | 2.73%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4.5 1/26                      | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -28700000 | PA      | $-28130485.81 | -0.99%            | 2056-01-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50100000 | PA      | $35713863.16  | 1.26%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4 2/26                        | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -53300000 | PA      | $-50880681.02 | -1.80%            | 2026-02-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42400000 | PA      | $37895000.00  | 1.34%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7750000 | PA      | $7608623.03   | 0.27%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  49000000 | PA      | $30948476.44  | 1.09%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6.5 2/26                      | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13500000 | PA      | $13979355.30  | 0.49%             | 2026-02-12      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52075000 | PA      | $41904101.56  | 1.48%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  49000000 | PA      | $46925156.25  | 1.66%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                               | US ULTRA BOND CBT Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       783 | NC      | $-1944139.86  | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | US 2YR NOTE (CBT) Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       108 | NC      | $-5384.45     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48825000 | PA      | $43767035.16  | 1.55%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38056600 | PA      | $33240061.56  | 1.18%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS0069                          | CUSIP: 3140LACF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1529285 | PA      | $1100960.48   | 0.04%             | 2050-12-01      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38500000 | PA      | $18373222.56  | 0.65%             | 2050-05-15      | Fixed         | 1.25%                 | 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       |   3438571 | NC      | $-4305.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.388930 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   7500000 | NC      | $24537.06     | 0.00%             |  |  |  | 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        |  45895959 | NS      | $45895958.70  | 1.62%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  71332300 | PA      | $46120790.22  | 1.63%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67000000 | PA      | $46604257.98  | 1.65%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.128310 15-DEC-2027 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  95000000 | NC      | $317528.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4468700 | PA      | $3289382.14   | 0.12%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6 2/26                        | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26500000 | PA      | $27137656.25  | 0.96%             | 2026-02-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2025-102 DZ                    | CUSIP: 38385G3H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11147634 | PA      | $10704561.53  | 0.38%             | 2055-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS5198                          | CUSIP: 3140LFX41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19185846 | PA      | $16447659.52  | 0.58%             | 2038-04-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BL1873                          | CUSIP: 3140HTCK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    979000 | PA      | $860891.58    | 0.03%             | 2049-04-01      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2700000 | PA      | $2619843.75   | 0.09%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  86700000 | PA      | $83038957.25  | 2.94%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5700000 | PA      | $5733843.75   | 0.20%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2.5 2/26                      | CUSIP: 01F022626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -9900000 | PA      | $-8401464.72  | -0.30%            | 2026-02-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                   | FREDDIE MAC                        | CUSIP: 3128X75U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  14465000 | PA      | $7888357.57   | 0.28%             | 2038-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52750000 | PA      | $36677734.38  | 1.30%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BL5565                          | CUSIP: 3140HXFF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6429000 | PA      | $5260524.75   | 0.19%             | 2040-01-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4 2/26                        | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $286382.82    | 0.01%             | 2026-02-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57200000 | PA      | $55928640.77  | 1.98%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 4.092500 21-JAN-2038 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   3330000 | NC      | $7199.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  64560000 | PA      | $58081303.29  | 2.05%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BL2264                          | CUSIP: 3140HTQS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7393000 | PA      | $6551981.93   | 0.23%             | 2039-04-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2019-71 DB                     | CUSIP: 3136B6A94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5450000 | PA      | $4482850.09   | 0.16%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6.5 1/26                      | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14750000 | PA      | $15270857.90  | 0.54%             | 2056-01-14      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $896308.60    | 0.03%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5914100 | PA      | $4575803.87   | 0.16%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  99800000 | PA      | $55580023.19  | 1.97%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67200000 | PA      | $49266000.00  | 1.74%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5.5 2/26                      | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  49100000 | PA      | $49800057.98  | 1.76%             | 2026-02-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5 1/26                        | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -47700000 | PA      | $-47748444.12 | -1.69%            | 2056-01-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5.5 2/26                      | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -62350000 | PA      | $-63238973.83 | -2.24%            | 2026-02-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12000000 | PA      | $11496093.72  | 0.41%             | 2055-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 5Y RTP 3.460000 08-APR-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -12050000 | NC      | $-85750.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43900000 | PA      | $37892902.23  | 1.34%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27600000 | PA      | $19474171.94  | 0.69%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59650000 | PA      | $58251953.13  | 2.06%             | 2053-11-15      | Fixed         | 4.75%                 | 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       |   7200000 | NC      | $-154504.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  46500000 | PA      | $44253105.59  | 1.57%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2022-16 KB                     | CUSIP: 3136BMNW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12318028 | PA      | $9855257.56   | 0.35%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BL8591                          | CUSIP: 3140J1RM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2504581 | PA      | $1847759.07   | 0.07%             | 2050-10-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS3483                          | CUSIP: 3140LD2R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3340000 | PA      | $2399418.59   | 0.08%             | 2041-10-01      | Fixed         | 2.26%                 | 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       |   1374000 | NC      | $-32.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 2Y RTP 3.750000 21-JAN-2027   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -30580000 | NC      | $-68898.27    | -0.00%            |  |  |  | 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       |   1374000 | NC      | $2317.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33610600 | PA      | $27109049.56  | 0.96%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 2Y RTP 4.100000 20-JAN-2028   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -16260000 | NC      | $-64353.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 4.780500 22-JAN-2046 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   1410000 | NC      | $-1877.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5 1/26                        | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  47700000 | PA      | $47748444.12  | 1.69%             | 2056-01-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51661300 | PA      | $30183518.00  | 1.07%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.708500 05-JAN-2033 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   4370000 | NC      | $-17979.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Principal Strip                        | FNMA PRIN STP                      | CUSIP: 31358DCT9<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  31000000 | PA      | $17127500.00  | 0.61%             | 2038-08-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13637500 | PA      | $13298693.36  | 0.47%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13795000 | PA      | $9578903.13   | 0.34%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AM8448                          | CUSIP: 3138L9L67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5414501 | PA      | $4574559.91   | 0.16%             | 2045-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63101800 | PA      | $43895189.63  | 1.55%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65700000 | PA      | $41075331.87  | 1.45%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 4.517000 22-JAN-2041 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   1140000 | NC      | $2246.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 30Y RTR 3.750000 09-MAR-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -5060000 | NC      | $-2982.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26651000 | PA      | $20553542.76  | 0.73%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS2133                          | CUSIP: 3140LCLP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1177445 | PA      | $961768.56    | 0.03%             | 2037-10-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 5175 CV                        | CUSIP: 3137H4N48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7237834 | PA      | $5725859.16   | 0.20%             | 2041-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9968750.00   | 0.35%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3 1/26                        | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  41000000 | PA      | $36345860.40  | 1.29%             | 2056-01-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AN8089                          | CUSIP: 3138LL7B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3315000 | PA      | $2891998.71   | 0.10%             | 2038-01-01      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6.5 2/26                      | CUSIP: 01F062622<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -26750000 | PA      | $-27699833.65 | -0.98%            | 2026-02-12      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WN0200                          | CUSIP: 3132XEGJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24207000 | PA      | $24214981.05  | 0.86%             | 2050-09-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 5Y RTP 3.690000 08-APR-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  24100000 | NC      | $55589.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Strip Coupon               | STRIPS                             | CUSIP: 912834NP9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  42000000 | PA      | $16649062.50  | 0.59%             | 2044-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42200000 | PA      | $38505851.67  | 1.36%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50997500 | PA      | $24998735.32  | 0.88%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                               | US 10YR NOTE (CBT)Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       322 | NC      | $43315.00     | 0.00%             |  |  |  | No            |                  1 | 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       |   3433333 | NC      | $3296.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS3164                          | CUSIP: 3140LDQS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    920598 | PA      | $694132.95    | 0.02%             | 2051-09-01      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AN6754                          | CUSIP: 3138LKQG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15100000 | PA      | $13242657.72  | 0.47%             | 2037-09-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.573500 21-JAN-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  14300000 | NC      | $4414.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58100000 | PA      | $52253687.50  | 1.85%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5.5 1/26                      | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -35600000 | PA      | $-36139564.28 | -1.28%            | 2056-01-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23600000 | PA      | $17311890.68  | 0.61%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2022-40 AZ                     | CUSIP: 3136BNPT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16113496 | PA      | $11352817.01  | 0.40%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS3204                          | CUSIP: 3140LDR27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1245000 | PA      | $959151.11    | 0.03%             | 2039-10-01      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.230150 15-DEC-2027 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  18000000 | NC      | $30075.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WS4032                          | CUSIP: 3142GGPS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5848556 | PA      | $5419847.10   | 0.19%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 30Y RTR 3.690000 16-JUL-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   3370000 | NC      | $20875.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  87200000 | PA      | $49782343.97  | 1.76%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3 1/26                        | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -41000000 | PA      | $-36345860.40 | -1.29%            | 2056-01-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31300000 | PA      | $26799402.42  | 0.95%             | 2044-02-15      | Fixed         | 3.62%                 | 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       |   2085000 | NC      | $2675.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6.5 1/26                      | CUSIP: 01F062614<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -14750000 | PA      | $-15270857.90 | -0.54%            | 2056-01-14      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30289800 | PA      | $21496292.44  | 0.76%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

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

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer