# EDGAR Filing Document

**Accession Number:** 0000106444
**File Stem:** 0000106444-25-000242
**Filing Date:** 2025-12
**Character Count:** 261623
**Document Hash:** be42b5438c2ec28216efcd12671ba52b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000106444-25-000242.hdr.sgml**: 20251223

**ACCESSION NUMBER**: 0000106444-25-000242

**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:** 251598972

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

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

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

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

## Series and Classes Contracts Data

### Vanguard Short-Term Federal Fund (Series ID: S000002590)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000007105 | Investor Shares | VSGBX           |
| C000007106 | Admiral Shares  | VSGDX           |

## Nport-Ex

Vanguard<sup>®</sup> Short-Term Federal 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 (83.6%)** | **U.S. Government and Agency Obligations (83.6%)** | **U.S. Government and Agency Obligations (83.6%)** | **U.S. Government and Agency Obligations (83.6%)** | **U.S. Government and Agency Obligations (83.6%)** | **U.S. Government and Agency Obligations (83.6%)** |
| **U.S. Government Securities (19.3%)** | **U.S. Government Securities (19.3%)** | **U.S. Government Securities (19.3%)** | **U.S. Government Securities (19.3%)** | **U.S. Government Securities (19.3%)** | **U.S. Government Securities (19.3%)** |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp;4.125% | &nbsp;&nbsp;&nbsp;&nbsp;1/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp;122500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123117 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp;3.875% | &nbsp;&nbsp;&nbsp;&nbsp;10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 75000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75378 |
| <sup>2</sup> | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp;4.250% | &nbsp;&nbsp;&nbsp;&nbsp;1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81081 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp;1.250% | &nbsp;&nbsp;&nbsp;&nbsp;3/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75697 |
| <sup>3</sup> | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp;4.625% | &nbsp;&nbsp;&nbsp;&nbsp;9/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82247 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp;4.125% | &nbsp;&nbsp;&nbsp;&nbsp;3/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203141 |
| <sup>3</sup> | &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; 40000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39459 |
|  | &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; 40000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40825 |
|  | &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; 63500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64643 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp;4.375% | &nbsp;&nbsp;&nbsp;&nbsp;11/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 62000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63841 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; **849429** |
| **Agency Bonds and Notes (20.9%)** | **Agency Bonds and Notes (20.9%)** | **Agency Bonds and Notes (20.9%)** | **Agency Bonds and Notes (20.9%)** | **Agency Bonds and Notes (20.9%)** | **Agency Bonds and Notes (20.9%)** |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Interest Strip | &nbsp;&nbsp;&nbsp;&nbsp;0.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7989 |
| <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; 36600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30738 |
| <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; 7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5755 |
|  | &nbsp;&nbsp;&nbsp;Federal Home Loan Banks | &nbsp;&nbsp;&nbsp;&nbsp;4.800% | &nbsp;&nbsp;&nbsp;&nbsp;3/6/2028 | &nbsp;&nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100319 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;Federal Home Loan Mortgage Corp. | &nbsp;&nbsp;&nbsp;&nbsp;4.500% | &nbsp;&nbsp;&nbsp;&nbsp;5/19/2027 | &nbsp;&nbsp;&nbsp;&nbsp;150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150041 |
| <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; 19983 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16184 |
|  | &nbsp;&nbsp;&nbsp;Private Export Funding Corp. | &nbsp;&nbsp;&nbsp;&nbsp;4.300% | &nbsp;&nbsp;&nbsp;&nbsp;12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 34000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34327 |
|  | &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;443437 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 376778 |
|  | &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;232107 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195232 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; **917363** |
| **Conventional Mortgage-Backed Securities (40.4%)** | **Conventional Mortgage-Backed Securities (40.4%)** | **Conventional Mortgage-Backed Securities (40.4%)** | **Conventional Mortgage-Backed Securities (40.4%)** | **Conventional Mortgage-Backed Securities (40.4%)** | **Conventional Mortgage-Backed Securities (40.4%)** |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.080% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6262 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.120% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 16500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15587 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.160% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8252 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.230% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2027–6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3194 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.330% | &nbsp;&nbsp;&nbsp;&nbsp;3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 33000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31078 |
| <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; 5198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4587 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.470% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6343 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.530% | &nbsp;&nbsp;&nbsp;&nbsp;5/1/2027–10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 18121 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17041 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.540% | &nbsp;&nbsp;&nbsp;&nbsp;5/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4058 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.700% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1039 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.740% | &nbsp;&nbsp;&nbsp;&nbsp;2/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1303 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.773% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 461 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 441 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.120% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4030 |
| <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; 3235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3018 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.170% | &nbsp;&nbsp;&nbsp;&nbsp;3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7528 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.190% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 99620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97713 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.220% | &nbsp;&nbsp;&nbsp;&nbsp;2/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9690 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.280% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2294 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2254 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.340% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19716 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.360% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2653 |
| <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; 1600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1500 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.380% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11459 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.450% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1871 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.470% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 28758 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27624 |
| <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; 886 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 835 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.680% | &nbsp;&nbsp;&nbsp;&nbsp;6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 12700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12317 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.830% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3779 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3729 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.870% | &nbsp;&nbsp;&nbsp;&nbsp;7/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 38200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37517 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.890% | &nbsp;&nbsp;&nbsp;&nbsp;1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3783 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3700 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.914% | &nbsp;&nbsp;&nbsp;&nbsp;1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3821 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.920% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 986 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 948 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.930% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6085 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.940% | &nbsp;&nbsp;&nbsp;&nbsp;4/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4402 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4338 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.970% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2484 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2438 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.000% | &nbsp;&nbsp;&nbsp;&nbsp;6/1/2027–8/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 26964 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26573 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.020% | &nbsp;&nbsp;&nbsp;&nbsp;3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 294 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &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;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.040% | &nbsp;&nbsp;&nbsp;&nbsp;7/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 12279 | &nbsp;&nbsp; 12098 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.050% | &nbsp;&nbsp;&nbsp;&nbsp;5/1/2028–4/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9852 | &nbsp;&nbsp; 9632 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.060% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1693 | &nbsp;&nbsp; 1666 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.140% | &nbsp;&nbsp;&nbsp;&nbsp;3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4100 | &nbsp;&nbsp; 4053 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.160% | &nbsp;&nbsp;&nbsp;&nbsp;1/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4100 | &nbsp;&nbsp; 4058 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.230% | &nbsp;&nbsp;&nbsp;&nbsp;7/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2247 | &nbsp;&nbsp; 2218 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.290% | &nbsp;&nbsp;&nbsp;&nbsp;4/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp; 792 |
| <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; 900 | &nbsp;&nbsp; 878 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.485% | &nbsp;&nbsp;&nbsp;&nbsp;4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp; 544 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.500% | &nbsp;&nbsp;&nbsp;&nbsp;5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 381 | &nbsp;&nbsp; 376 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.790% | &nbsp;&nbsp;&nbsp;&nbsp;1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp; 4959 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.840% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8200 | &nbsp;&nbsp; 8162 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.070% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4830 | &nbsp;&nbsp; 4824 |
| <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; 10200 | &nbsp;&nbsp; 10203 |
| <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; 4220 | &nbsp;&nbsp; 4231 |
| <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; 7075 | &nbsp;&nbsp; 7102 |
| <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; 7575 | &nbsp;&nbsp; 7601 |
| <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; 18200 | &nbsp;&nbsp; 18296 |
| <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; 13230 | &nbsp;&nbsp; 13295 |
| <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; 6050 | &nbsp;&nbsp; 6086 |
| <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; 2940 | &nbsp;&nbsp; 2958 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.290% | &nbsp;&nbsp;&nbsp;&nbsp;4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10840 | &nbsp;&nbsp; 10921 |
| <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; 3350 | &nbsp;&nbsp; 3363 |
| <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; 13000 | &nbsp;&nbsp; 13108 |
| <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; 3460 | &nbsp;&nbsp; 3492 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.390% | &nbsp;&nbsp;&nbsp;&nbsp;7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1990 | &nbsp;&nbsp; 2013 |
| <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; 5050 | &nbsp;&nbsp; 5115 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.430% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp; 809 |
| <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; 8982 | &nbsp;&nbsp; 9129 |
| <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; 6440 | &nbsp;&nbsp; 6528 |
| <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; 3000 | &nbsp;&nbsp; 3047 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.551% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 3187 | &nbsp;&nbsp; 3185 |
| <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; 1400 | &nbsp;&nbsp; 1428 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.625% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 1142 | &nbsp;&nbsp; 1147 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.700% | &nbsp;&nbsp;&nbsp;&nbsp;7/1/2028–1/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6800 | &nbsp;&nbsp; 6932 |
| <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; 3100 | &nbsp;&nbsp; 3171 |
| <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; 11525 | &nbsp;&nbsp; 11792 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.910% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 13100 | &nbsp;&nbsp; 13403 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.004% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 3200 | &nbsp;&nbsp; 3230 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.080% | &nbsp;&nbsp;&nbsp;&nbsp;4/1/2029–9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 12103 | &nbsp;&nbsp; 12388 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.090% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4800 | &nbsp;&nbsp; 4930 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.110% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 590 | &nbsp;&nbsp; 597 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.140% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 1262 | &nbsp;&nbsp; 1279 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.220% | &nbsp;&nbsp;&nbsp;&nbsp;6/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2690 | &nbsp;&nbsp; 2779 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.423% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 7011 | &nbsp;&nbsp; 7130 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.470% | &nbsp;&nbsp;&nbsp;&nbsp;6/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2764 | &nbsp;&nbsp; 2884 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.699% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 7900 | &nbsp;&nbsp; 8088 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.000% | &nbsp;&nbsp;&nbsp;&nbsp;3/1/2028–6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 22467 | &nbsp;&nbsp; 21998 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.500% | &nbsp;&nbsp;&nbsp;&nbsp;2/1/2031–7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 28070 | &nbsp;&nbsp; 27152 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 766 | &nbsp;&nbsp; 758 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.561% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 1040 | &nbsp;&nbsp; 1037 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.818% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 2884 | &nbsp;&nbsp; 2893 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.960% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp; 484 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.026% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 715 | &nbsp;&nbsp; 722 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.100% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 850 | &nbsp;&nbsp; 858 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.129% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 14758 | &nbsp;&nbsp; 14913 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.178% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 679 | &nbsp;&nbsp; 686 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.259% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp; 354 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.296% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 869 | &nbsp;&nbsp; 880 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.309% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 390 | &nbsp;&nbsp; 394 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.317% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 812 | &nbsp;&nbsp; 823 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.334% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 10577 | &nbsp;&nbsp; 10721 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Non Gold Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.365% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 410 | &nbsp;&nbsp; 414 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.050% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 13200 | &nbsp;&nbsp; 12455 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.180% | &nbsp;&nbsp;&nbsp;&nbsp;5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3770 | &nbsp;&nbsp; 3615 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.250% | &nbsp;&nbsp;&nbsp;&nbsp;4/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8853 | &nbsp;&nbsp; 8518 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.060% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5309 | &nbsp;&nbsp; 5208 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.100% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1970 | &nbsp;&nbsp; 1931 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.120% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4774 | &nbsp;&nbsp; 4686 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2026–8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 10845 | &nbsp;&nbsp; 10613 |

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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</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.000% | &nbsp;&nbsp;&nbsp;&nbsp;4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10563 |
| <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; 2820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2830 |
| <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; 3070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3093 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.500% | &nbsp;&nbsp;&nbsp;&nbsp;7/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1977 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1974 |
| <sup>5</sup> | &nbsp;&nbsp;&nbsp;Ginnie Mae I Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.500% | &nbsp;&nbsp;&nbsp;&nbsp;1/15/2028–7/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5201 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5129 |
| <sup>5</sup> | &nbsp;&nbsp;&nbsp;Ginnie Mae II Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.500% | &nbsp;&nbsp;&nbsp;&nbsp;5/20/2027–1/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9866 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9726 |
| <sup>5</sup> | &nbsp;&nbsp;&nbsp;Ginnie Mae II Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.000% | &nbsp;&nbsp;&nbsp;&nbsp;2/20/2032–1/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp;252535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246110 |
| <sup>5,6</sup> | &nbsp;&nbsp;&nbsp;Ginnie Mae II Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.500% | &nbsp;&nbsp;&nbsp;&nbsp;9/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 1968 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1966 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp;1.500% | &nbsp;&nbsp;&nbsp;&nbsp;11/1/2030–1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;164881 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151934 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.000% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2027–2/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;341186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 319695 |
| <sup>4,5,7</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.500% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2027–11/18/2040 | &nbsp;&nbsp;&nbsp;&nbsp;144524 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137694 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.000% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2027–4/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 44340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43112 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp;3.500% | &nbsp;&nbsp;&nbsp;&nbsp;4/1/2031–6/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 18047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17748 |
| <sup>4,5,7</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.000% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2037–12/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 13953 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13740 |
| <sup>4,5,7</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp;4.500% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2039–7/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 16623 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16597 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp;6.000% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 5372 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5552 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; **1776332** |
| **Nonconventional Mortgage-Backed Securities (3.0%)** | **Nonconventional Mortgage-Backed Securities (3.0%)** | **Nonconventional Mortgage-Backed Securities (3.0%)** | **Nonconventional Mortgage-Backed Securities (3.0%)** | **Nonconventional Mortgage-Backed Securities (3.0%)** | **Nonconventional Mortgage-Backed Securities (3.0%)** |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp;1.750% | &nbsp;&nbsp;&nbsp;&nbsp;5/25/2041–7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 13721 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12623 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp;2.000% | &nbsp;&nbsp;&nbsp;&nbsp;10/25/2032–3/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9394 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8887 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp;2.500% | &nbsp;&nbsp;&nbsp;&nbsp;11/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 15748 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14900 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp;3.000% | &nbsp;&nbsp;&nbsp;&nbsp;6/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 8940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8638 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp;3.500% | &nbsp;&nbsp;&nbsp;&nbsp;10/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 9406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9205 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp;5.000% | &nbsp;&nbsp;&nbsp;&nbsp;2/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1271 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1296 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp;5.500% | &nbsp;&nbsp;&nbsp;&nbsp;9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3902 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4019 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp;1.000% | &nbsp;&nbsp;&nbsp;&nbsp;4/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7613 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7140 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp;2.000% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 5040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4647 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp;2.250% | &nbsp;&nbsp;&nbsp;&nbsp;8/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 13786 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12280 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp;3.000% | &nbsp;&nbsp;&nbsp;&nbsp;9/15/2032–12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 28411 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27489 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp;3.500% | &nbsp;&nbsp;&nbsp;&nbsp;2/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 511 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 450 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp;4.000% | &nbsp;&nbsp;&nbsp;&nbsp;7/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3183 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3168 |
| <sup>5</sup> | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp;2.250% | &nbsp;&nbsp;&nbsp;&nbsp;9/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 18446 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17249 |
| <sup>5,6</sup> | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp;2.500% | &nbsp;&nbsp;&nbsp;&nbsp;5/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 439 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 367 |
| <sup>5,6</sup> | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp;3.000% | &nbsp;&nbsp;&nbsp;&nbsp;12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 182 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **132516** |
| **Total U.S. Government and Agency Obligations (Cost $3,698,977)** | **Total U.S. Government and Agency Obligations (Cost $3,698,977)** | **Total U.S. Government and Agency Obligations (Cost $3,698,977)** | **Total U.S. Government and Agency Obligations (Cost $3,698,977)** | **Total U.S. Government and Agency Obligations (Cost $3,698,977)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**3675640** |
| **Asset-Backed/Commercial Mortgage-Backed Securities (14.7%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (14.7%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (14.7%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (14.7%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (14.7%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (14.7%)** |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2015-M10 | &nbsp;&nbsp;&nbsp;&nbsp;3.092% | &nbsp;&nbsp;&nbsp;&nbsp;4/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9092 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8989 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2016-M7 | &nbsp;&nbsp;&nbsp;&nbsp;2.499% | &nbsp;&nbsp;&nbsp;&nbsp;9/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7936 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7848 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2017-M1 | &nbsp;&nbsp;&nbsp;&nbsp;2.418% | &nbsp;&nbsp;&nbsp;&nbsp;10/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 20918 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20584 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2017-M11 | &nbsp;&nbsp;&nbsp;&nbsp;2.980% | &nbsp;&nbsp;&nbsp;&nbsp;8/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 16526 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15888 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2017-M12 | &nbsp;&nbsp;&nbsp;&nbsp;3.061% | &nbsp;&nbsp;&nbsp;&nbsp;6/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1100 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2017-M14 | &nbsp;&nbsp;&nbsp;&nbsp;2.810% | &nbsp;&nbsp;&nbsp;&nbsp;11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2898 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2838 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2017-M15 | &nbsp;&nbsp;&nbsp;&nbsp;2.966% | &nbsp;&nbsp;&nbsp;&nbsp;9/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7968 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2017-M7 | &nbsp;&nbsp;&nbsp;&nbsp;2.961% | &nbsp;&nbsp;&nbsp;&nbsp;2/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 33015 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32546 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2017-M8 | &nbsp;&nbsp;&nbsp;&nbsp;3.061% | &nbsp;&nbsp;&nbsp;&nbsp;5/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5297 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2018-M1 | &nbsp;&nbsp;&nbsp;&nbsp;2.986% | &nbsp;&nbsp;&nbsp;&nbsp;12/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1860 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1826 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2018-M7 | &nbsp;&nbsp;&nbsp;&nbsp;3.030% | &nbsp;&nbsp;&nbsp;&nbsp;3/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 64449 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63192 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2018-M8 | &nbsp;&nbsp;&nbsp;&nbsp;3.311% | &nbsp;&nbsp;&nbsp;&nbsp;6/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9412 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class A2 Series 2024-M6 | &nbsp;&nbsp;&nbsp;&nbsp;2.904% | &nbsp;&nbsp;&nbsp;&nbsp;7/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;134451 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 132251 |
| <sup>4,5,8</sup> | &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; 11890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10499 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class AL Series 2012-M14 | &nbsp;&nbsp;&nbsp;&nbsp;2.876% | &nbsp;&nbsp;&nbsp;&nbsp;9/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8718 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates Class A2 Series K547 | &nbsp;&nbsp;&nbsp;&nbsp;4.421% | &nbsp;&nbsp;&nbsp;&nbsp;5/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10368 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multiclass Certificates Class A1 Series 2021-P007 | &nbsp;&nbsp;&nbsp;&nbsp;1.097% | &nbsp;&nbsp;&nbsp;&nbsp;11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4864 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K057 | &nbsp;&nbsp;&nbsp;&nbsp;2.570% | &nbsp;&nbsp;&nbsp;&nbsp;7/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 61543 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60913 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K058 | &nbsp;&nbsp;&nbsp;&nbsp;2.653% | &nbsp;&nbsp;&nbsp;&nbsp;8/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 26223 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25922 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K059 | &nbsp;&nbsp;&nbsp;&nbsp;3.120% | &nbsp;&nbsp;&nbsp;&nbsp;9/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 15862 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15727 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K061 | &nbsp;&nbsp;&nbsp;&nbsp;3.347% | &nbsp;&nbsp;&nbsp;&nbsp;11/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 36084 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35736 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K068 | &nbsp;&nbsp;&nbsp;&nbsp;3.244% | &nbsp;&nbsp;&nbsp;&nbsp;8/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 21580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21331 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K069 | &nbsp;&nbsp;&nbsp;&nbsp;3.187% | &nbsp;&nbsp;&nbsp;&nbsp;9/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 44245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43654 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K070 | &nbsp;&nbsp;&nbsp;&nbsp;3.303% | &nbsp;&nbsp;&nbsp;&nbsp;11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4052 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K071 | &nbsp;&nbsp;&nbsp;&nbsp;3.286% | &nbsp;&nbsp;&nbsp;&nbsp;11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 22500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22250 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K072 | &nbsp;&nbsp;&nbsp;&nbsp;3.444% | &nbsp;&nbsp;&nbsp;&nbsp;12/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 22060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21843 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K074 | &nbsp;&nbsp;&nbsp;&nbsp;3.600% | &nbsp;&nbsp;&nbsp;&nbsp;1/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11231 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K086 | &nbsp;&nbsp;&nbsp;&nbsp;3.859% | &nbsp;&nbsp;&nbsp;&nbsp;11/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8673 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8667 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K087 | &nbsp;&nbsp;&nbsp;&nbsp;3.771% | &nbsp;&nbsp;&nbsp;&nbsp;12/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3245 |
| <sup>4,5</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K088 | &nbsp;&nbsp;&nbsp;&nbsp;3.690% | &nbsp;&nbsp;&nbsp;&nbsp;1/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4944 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &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 Multifamily Structured Pass Through Certificates Class A2 Series K093 | &nbsp;&nbsp;&nbsp;&nbsp;2.982% | &nbsp;&nbsp;&nbsp;&nbsp;5/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4427 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4296 |
| <sup>4,5,6</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Multifamily Structured Pass Through Certificates Class A2 Series K513 | &nbsp;&nbsp;&nbsp;&nbsp;4.724% | &nbsp;&nbsp;&nbsp;&nbsp;12/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1265 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1292 |
| <sup>4,5,6,7</sup> | &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; 15110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15283 |
| **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $643,045)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $643,045)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $643,045)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $643,045)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $643,045)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**644574** |
|  |  |  |  | &nbsp;&nbsp;Shares |  |
| **Temporary Cash Investments (0.2%)** | **Temporary Cash Investments (0.2%)** | **Temporary Cash Investments (0.2%)** | **Temporary Cash Investments (0.2%)** | **Temporary Cash Investments (0.2%)** | **Temporary Cash Investments (0.2%)** |
| **Money Market Fund (0.2%)** | **Money Market Fund (0.2%)** | **Money Market Fund (0.2%)** | **Money Market Fund (0.2%)** | **Money Market Fund (0.2%)** | **Money Market Fund (0.2%)** |
| <sup>9</sup> | &nbsp;&nbsp;&nbsp;Vanguard Market Liquidity Fund **(Cost** $**8,860**) | &nbsp;&nbsp;&nbsp;&nbsp;4.141% |  | &nbsp;&nbsp;&nbsp;&nbsp; 88610 | &nbsp;&nbsp; **8861** |
| **Total Investments (98.5%) (Cost $4,350,882)** | **Total Investments (98.5%) (Cost $4,350,882)** | **Total Investments (98.5%) (Cost $4,350,882)** | **Total Investments (98.5%) (Cost $4,350,882)** | **Total Investments (98.5%) (Cost $4,350,882)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**4329075** |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) |  |
| **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-4.4%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-4.4%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-4.4%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-4.4%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-4.4%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-4.4%)** |
| <sup>4,5,7</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp;2.500% | &nbsp;&nbsp;&nbsp;&nbsp;11/18/2040 | &nbsp;&nbsp;&nbsp;&nbsp; (4000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3764) |
| <sup>4,5,7</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/13/2055 | &nbsp;&nbsp;&nbsp;&nbsp; (94503) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (93393) |
| <sup>4,5,7</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp;5.500% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; (94256) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (95067) |
| **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $191,646)** | **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $191,646)** | **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $191,646)** | **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $191,646)** | **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $191,646)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(192224)** |
| **Other Assets and Liabilities—Net (5.9%)** | **Other Assets and Liabilities—Net (5.9%)** | **Other Assets and Liabilities—Net (5.9%)** | **Other Assets and Liabilities—Net (5.9%)** | **Other Assets and Liabilities—Net (5.9%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**259144** |
| **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**4395995** |
| Cost is in $000. | Cost is in $000. | Cost is in $000. |  |  |  |

---

---

| | |
|:---|:---|
| 1 | Securities with a value of $1,794 have been segregated as initial margin for open futures contracts. |
| 2 | Securities with a value of $5,913 have been segregated as initial margin for open centrally cleared swap contracts. |
| 3 | Securities with a value of $600 have been segregated as collateral for certain open To Be Announced (TBA) transactions. |
| 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 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of October 31, 2025. |
| 8 | Security value determined using significant unobservable inputs. |
| 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. |
|  | REMICS—Real Estate Mortgage Investment Conduits. |
|  | UMBS—Uniform Mortgage-Backed Securities. |

---

------

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

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| 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 | 2256 | 469794 | &nbsp;&nbsp;(672) |
| 10-Year U.S. Treasury Note | December 2025 | 164 | 18478 | &nbsp;&nbsp;(98) |
| Long U.S. Treasury Bond | December 2025 | 149 | 17480 | &nbsp;&nbsp;473 |
| Ultra 10-Year U.S. Treasury Note | December 2025 | 91 | 10509 | &nbsp;&nbsp;21 |
| Ultra Long U.S. Treasury Bond | December 2025 | 36 | 4366 | &nbsp;&nbsp;154 |
|  |  |  |  | &nbsp;&nbsp;(122) |
| Short Futures Contracts |  |  |  |  |
| 5-Year U.S. Treasury Note | December 2025 | (1951) | (213071) | &nbsp;&nbsp;689 |
|  |  |  |  | &nbsp;&nbsp;567 |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| 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 | 12/1/2025<sup>1</sup> | &nbsp;&nbsp;&nbsp;375000 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.206)<sup>3</sup> | &nbsp;&nbsp;&nbsp;1065 | &nbsp;&nbsp;&nbsp;1065 |

---

---

| | |
|:---|:---|
| 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. |

---

**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 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.** Options: The fund invests in options contracts on futures to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that if interest
rates move in such a way that the exercise price of the option 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 options is that if interest rates move in such a way that the exercise price of the option exceeds the value of the underlying investment, the counterparty exercises the option, and the fund loses an
amount equal to the market value of the option written less the premium received. Counterparty risk involving options on futures contracts is mitigated because a regulated clearinghouse is the counterparty instead of
the clearing broker. To further mitigate counterparty risk, the fund trades options on futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into
clearing agreements with its clearing brokers.

Options contracts on futures and foreign currency are valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

The fund had no open options contracts on futures at October 31, 2025.

**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 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;3675640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;3675640 |
| Asset-Backed/Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;634075 | &nbsp;&nbsp;&nbsp;10499 | &nbsp;&nbsp;&nbsp;&nbsp;644574 |
| Temporary Cash Investments | 8861 | &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;&nbsp;8861 |
| Total | 8861 | &nbsp;&nbsp;&nbsp;4309715 | &nbsp;&nbsp;&nbsp;10499 | &nbsp;&nbsp;&nbsp;4329075 |
| Liabilities |  |  |  |  |
| Conventional Mortgage-Backed Securities—Liability for Sale Commitments | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(192224) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(192224) |
| **Derivative Financial Instruments** |  |  |  |  |
| Assets |  |  |  |  |
| Futures Contracts<sup>1</sup> | 1337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;1337 |
| Swap Contracts<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;1065 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;1065 |
| Total | 1337 | &nbsp;&nbsp;&nbsp;1065 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;2402 |
| Liabilities |  |  |  |  |
| Futures Contracts<sup>1</sup> | &nbsp;&nbsp;&nbsp;(770) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(770) |

---

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 SHORT-TERM FEDERAL FUND

- **b. EDGAR series identifier (if any):** S000002590

- **c. LEI of Series:** K4A6QLIWM1594TB2F156

**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:** $4688989476.87

**Total Liabilities:** $302435811.04

**Net Assets:** $4386553665.83

**Delayed Delivery Securities:** $2748066.41

**Cash Not Reported:** $15685284.24

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -15781.68302756 | **1-Year:** -244233.41059143 | **5-Year:** -431878.46417088 | **10-Year:** -5823.91707986 | **30-Year:** 20037.38749557

**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 C000007105 | 1.01%                | 0.32%                | 0.32%                |
| Class ID C000007106 | 1.02%                | 0.33%                | 0.33%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $661685.17               | $30554089.07                               |
| Month 2  | $4534919.23              | $-4048190.59                               |
| Month 3  | $4021323.10              | $-1308135.57                               |

**Designated Index Information**

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

- **Index Identifier:** I00640

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae Pool                                              | FN CC1148                          | CUSIP: 3140Y7H27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3186602 | PA      | $3184710.94    | 0.07%             | 2055-10-01      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                        | CUSIP: 3134HBQZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  150000000 | PA      | $150041100.00  | 3.42%             | 2027-05-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4945                          | CUSIP: 3140Q0P71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3460000 | PA      | $3491879.75    | 0.08%             | 2030-09-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WG9008                          | CUSIP: 31425SAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10600000 | PA      | $10563451.20   | 0.24%             | 2030-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1455                          | CUSIP: 3132CXTL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4627049 | PA      | $4730013.10    | 0.11%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3766                          | CUSIP: 3140NYFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3350000 | PA      | $3364991.59    | 0.08%             | 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        |     510929 | PA      | $450397.50     | 0.01%             | 2052-02-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18547                          | CUSIP: 3128MMTD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     482762 | PA      | $466994.19     | 0.01%             | 2030-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0635                          | CUSIP: 3132CWV43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10794354 | PA      | $10394167.74   | 0.24%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M1 A2                     | CUSIP: 3136AY7L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1860265 | PA      | $1826346.59    | 0.04%             | 2027-12-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J33761                          | CUSIP: 31307QFA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     307703 | PA      | $298389.26     | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4597                          | CUSIP: 3131X8DA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64663 | PA      | $63948.31      | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5071                          | CUSIP: 3133LPT49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8864723 | PA      | $8470096.07    | 0.19%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80000000 | PA      | $82246875.20   | 1.87%             | 2028-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8710                          | CUSIP: 3132A9VB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     814938 | PA      | $791839.05     | 0.02%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18611                          | CUSIP: 3128MMVD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128136 | PA      | $124106.05     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM5328                          | CUSIP: 3140X84N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4258855 | PA      | $4055263.22    | 0.09%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4343                          | CUSIP: 3131X7ZG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71504 | PA      | $70757.35      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3830                          | CUSIP: 3131X7HF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23016 | PA      | $22839.78      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4262                          | CUSIP: 3131X7WX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39581 | PA      | $39167.58      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2058                          | CUSIP: 3132XGJC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3770086 | PA      | $3614689.13    | 0.08%             | 2027-05-01      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M12 A2                    | CUSIP: 3136AX7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1117869 | PA      | $1100131.25    | 0.03%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2010-2 LC                      | CUSIP: 31398G7D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1271036 | PA      | $1295490.47    | 0.03%             | 2040-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M11 A2                    | CUSIP: 3136AX3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16525497 | PA      | $15888374.39   | 0.36%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40000000 | PA      | $39459374.80   | 0.90%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3954                          | CUSIP: 3131X7MB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58649 | PA      | $58134.74      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM0309                          | CUSIP: 3138L0KX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     986018 | PA      | $948099.48     | 0.02%             | 2032-08-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Principal Strip                                   | FNMA PRIN STP                      | CUSIP: 31358DDR2<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   36600000 | PA      | $30737595.00   | 0.70%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS4261                          | CUSIP: 3140LEWX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1105074 | PA      | $1039329.36    | 0.02%             | 2028-09-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9079                          | CUSIP: 3140LLCR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3149639.99    | 0.07%             | 2028-07-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2685                          | CUSIP: 3140NW6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2382347 | PA      | $2421307.35    | 0.06%             | 2029-12-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7051                          | CUSIP: 3138WGZR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     403235 | PA      | $391104.36     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                            | GN AA8333                          | CUSIP: 36178GHJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     202320 | PA      | $199358.28     | 0.00%             | 2028-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C6060                          | CUSIP: 3142BGWV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1040000 | PA      | $1036884.89    | 0.02%             | 2055-10-01      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K547 A2                       | CUSIP: 3137HN6B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10215000 | PA      | $10368057.47   | 0.24%             | 2030-05-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ3109                          | CUSIP: 3140H4N34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44458 | PA      | $42743.83      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35715                          | CUSIP: 31307SK44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     174539 | PA      | $168916.11     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4949                          | CUSIP: 3140Q0QB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6600000 | PA      | $6707547.66    | 0.15%             | 2030-09-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2032                          | CUSIP: 3132XGHJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4774263 | PA      | $4686471.22    | 0.11%             | 2026-10-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4041                          | CUSIP: 3131X7P28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10334 | PA      | $10233.20      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS6141                          | CUSIP: 3138WFZF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5678 | PA      | $5518.88       | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS3563                          | CUSIP: 3140XJ5Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4008687 | PA      | $3897844.33    | 0.09%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J34500                          | CUSIP: 31307Q7M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2296745 | PA      | $2227240.72    | 0.05%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN4354                          | CUSIP: 3138LGZU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4100000 | PA      | $4057740.07    | 0.09%             | 2027-01-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA2691                          | CUSIP: 3140W27D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2922592 | PA      | $2988541.00    | 0.07%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-227 F                     | CUSIP: 38383FQM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     181609 | PA      | $157683.97     | 0.00%             | 2051-12-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5062                          | CUSIP: 3133LPTT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     945909 | PA      | $894979.76     | 0.02%             | 2031-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8621                          | CUSIP: 3132A9SJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25627 | PA      | $24794.61      | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8241                          | CUSIP: 3138WJEP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     672402 | PA      | $650578.50     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8B0503                          | CUSIP: 3142AWRY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     480000 | PA      | $484225.87     | 0.01%             | 2055-11-01      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4846                          | CUSIP: 3140Q0L42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2940000 | PA      | $2957962.52    | 0.07%             | 2030-09-01      | Fixed         | 4.26%                 | 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        | -134950000 | PA      | $-134285789.60 | -3.06%            | 2025-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3913                          | CUSIP: 3131X7K23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38576 | PA      | $38251.66      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4368                          | CUSIP: 31418D2A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15932506 | PA      | $15264727.14   | 0.35%             | 2031-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   62000000 | PA      | $63840625.00   | 1.46%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2024-M6 A2                     | CUSIP: 3136BTGM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  134451463 | PA      | $132251164.81  | 3.01%             | 2027-07-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4871                          | CUSIP: 36179TMU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   30451805 | PA      | $29651488.82   | 0.68%             | 2032-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40000000 | PA      | $40825000.00   | 0.93%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1157                          | CUSIP: 3142BBJA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     349782 | PA      | $354020.92     | 0.01%             | 2055-10-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0138                          | CUSIP: 36179MEK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      80041 | PA      | $79098.07      | 0.00%             | 2027-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB9503                          | CUSIP: 31417GRZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7910448 | PA      | $7733490.00    | 0.18%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 5YR NOTE (CBT) Dec25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -1951 | NC      | $689016.41     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF2961                          | CUSIP: 3140BTJF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     590000 | PA      | $597162.25     | 0.01%             | 2055-10-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8700                          | CUSIP: 3132A9UZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2960880 | PA      | $2877851.47    | 0.07%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK6692                          | CUSIP: 3131XANH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     193114 | PA      | $189968.79     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN5831                          | CUSIP: 3138LJPR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38200000 | PA      | $37517098.60   | 0.86%             | 2027-07-01      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4425                          | CUSIP: 36179S4J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   12939566 | PA      | $12618804.73   | 0.29%             | 2032-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM1649                          | CUSIP: 3140X4ZP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3653731 | PA      | $3600398.32    | 0.08%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.205950 30-SEP-2027 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  375000000 | NC      | $1065277.27    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4077                          | CUSIP: 3131X7Q68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13005 | PA      | $12906.04      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3238                          | CUSIP: 3140LDS42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8031779 | PA      | $7518882.48    | 0.17%             | 2028-09-01      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M1 A2                     | CUSIP: 3136AUG21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20917637 | PA      | $20583891.55   | 0.47%             | 2026-10-25      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4258                          | CUSIP: 3140NYWU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6050000 | PA      | $6085615.14    | 0.14%             | 2030-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2898                          | CUSIP: 31418CGG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2235 | PA      | $2159.38       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN3006                          | CUSIP: 3138LFKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28758472 | PA      | $27624206.54   | 0.63%             | 2028-11-01      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5369                          | CUSIP: 3140HW6F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4160914 | PA      | $4066271.44    | 0.09%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4510                          | CUSIP: 3140Q0AL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7575000 | PA      | $7601434.48    | 0.17%             | 2030-08-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1115                          | CUSIP: 3142BBGY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14758487 | PA      | $14913144.53   | 0.34%             | 2055-09-01      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0492                          | CUSIP: 3132CWRM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5567624 | PA      | $5165290.04    | 0.12%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ0750                          | CUSIP: 3140NUZQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7800000 | PA      | $8032744.98    | 0.18%             | 2029-04-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7046                          | CUSIP: 3138WGZL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     311864 | PA      | $302605.77     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35097                          | CUSIP: 31307RUW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2452035 | PA      | $2375770.75    | 0.05%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4212 MB                        | CUSIP: 3137B2R51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22478336 | PA      | $21729611.38   | 0.50%             | 2033-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8583                          | CUSIP: 3138LMRD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     550000 | PA      | $543944.06     | 0.01%             | 2028-04-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN3933                          | CUSIP: 3138LGLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3778924 | PA      | $3729026.88    | 0.09%             | 2026-12-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC2777                          | CUSIP: 3140EXCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     246560 | PA      | $238941.52     | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM8471                          | CUSIP: 3140XCMV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5418461 | PA      | $5116992.32    | 0.12%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4104 KJ                        | CUSIP: 3137ATTJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1747479 | PA      | $1694322.10    | 0.04%             | 2032-09-15      | Fixed         | 3.00%                 | 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        | -108900000 | PA      | $-110031536.34 | -2.51%            | 2025-11-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2014-63 BW                     | CUSIP: 3136AK7H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9406272 | PA      | $9205429.16    | 0.21%             | 2034-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BD8034                          | CUSIP: 3140FF4U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     793784 | PA      | $768605.49     | 0.02%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZT1989                          | CUSIP: 3132AEF68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10074949 | PA      | $9922306.50    | 0.23%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN1371                          | CUSIP: 3138LDQZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12700000 | PA      | $12316875.29   | 0.28%             | 2028-06-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4424                          | CUSIP: 3140HV4J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3235312 | PA      | $3018064.00    | 0.07%             | 2029-10-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8893                          | CUSIP: 3138WJ3B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     681466 | PA      | $658297.70     | 0.02%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3578                          | CUSIP: 3140J76Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6075 | PA      | $5868.60       | 0.00%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1476                          | CUSIP: 3132CXT93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4211084 | PA      | $4205589.68    | 0.10%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5705                          | CUSIP: 3140HXKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7719798 | PA      | $7528272.31    | 0.17%             | 2027-03-01      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8208                          | CUSIP: 3138WJDN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11408 | PA      | $11032.95      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3081                          | CUSIP: 3140LDM71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6955000 | PA      | $6499677.71    | 0.15%             | 2028-10-01      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CB1469                          | CUSIP: 3140QLT30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     701730 | PA      | $647073.82     | 0.01%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0983                          | CUSIP: 3132CXCU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7463429 | PA      | $7296012.00    | 0.17%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18665                          | CUSIP: 3128MMW33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81737 | PA      | $78761.85      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4324                          | CUSIP: 3140HVYW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     885897 | PA      | $835460.63     | 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       |       1113 | NC      | $-628622.21    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K093 A2                       | CUSIP: 3137FMCR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4427236 | PA      | $4296052.29    | 0.10%             | 2029-05-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8245                          | CUSIP: 3138WJET1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     206273 | PA      | $199577.59     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4149                          | CUSIP: 3131X7TE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62573 | PA      | $62002.58      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K070 A2                       | CUSIP: 3137FCJK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4100000 | PA      | $4052124.30    | 0.09%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4274                          | CUSIP: 3131X7XB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15284 | PA      | $15123.82      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6210                          | CUSIP: 3138LJ3U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1692852 | PA      | $1665704.59    | 0.04%             | 2027-08-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                           | FRE PRIN STRIP                     | CUSIP: 3134A4AB0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   19983000 | PA      | $16183971.92   | 0.37%             | 2031-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN3336                          | CUSIP: 3138LFV62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2294403 | PA      | $2253536.48    | 0.05%             | 2026-11-01      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN3270                          | CUSIP: 3138LFT40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1900000 | PA      | $1870822.46    | 0.04%             | 2026-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK8908                          | CUSIP: 3131XC3R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27488 | PA      | $26438.89      | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF0191                          | CUSIP: 3140BQF97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7010627 | PA      | $7129539.18    | 0.16%             | 2055-09-01      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS9318                          | CUSIP: 3138WKK87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5151 | PA      | $4975.48       | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K087 A2                       | CUSIP: 3137FKUP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3260000 | PA      | $3245427.47    | 0.07%             | 2028-12-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA7509                          | CUSIP: 3140QFKX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5049106 | PA      | $4555709.03    | 0.10%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4294                          | CUSIP: 36179SXX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   27500075 | PA      | $26832475.04   | 0.61%             | 2032-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8193                          | CUSIP: 3138WJC71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8072 | PA      | $7806.84       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9244                          | CUSIP: 3140LLHW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     800000 | PA      | $808767.12     | 0.02%             | 2028-08-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS0427                          | CUSIP: 3140XFPM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12839591 | PA      | $11823490.07   | 0.27%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Issuer: BB Company ID:69419330                           | FHMR 2021-P007 A1                  | CUSIP: 3137F92D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5147903 | PA      | $4864007.74    | 0.11%             | 2027-11-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0513                          | CUSIP: 36179MSA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     571136 | PA      | $563007.63     | 0.01%             | 2027-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0204                          | CUSIP: 36179MGM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     875750 | PA      | $864547.43     | 0.02%             | 2027-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J31851                          | CUSIP: 31307NBU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49816 | PA      | $48135.85      | 0.00%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2911                          | CUSIP: 3140NXGV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3046777.80    | 0.07%             | 2030-01-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                            | GN 783809                          | CUSIP: 3622A2GS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     941616 | PA      | $928262.26     | 0.02%             | 2028-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3764                          | CUSIP: 3131X7FD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14148 | PA      | $14058.95      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5080 BF                        | CUSIP: 3137FXTM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122722 | PA      | $106344.94     | 0.00%             | 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        |    4220000 | PA      | $4231047.96    | 0.10%             | 2030-08-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18658                          | CUSIP: 3128MMWU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2162 | PA      | $2084.45       | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1885                          | CUSIP: 3140LCCX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4300000 | PA      | $4058084.15    | 0.09%             | 2028-05-01      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5556                          | CUSIP: 31418FE60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4277842 | PA      | $4211776.62    | 0.10%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4815 DA                        | CUSIP: 3137FGT70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3183136 | PA      | $3167460.90    | 0.07%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7858                          | CUSIP: 3140JCWU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3200000 | PA      | $3230448.00    | 0.07%             | 2055-11-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS5957                          | CUSIP: 3140LGTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $877914.63     | 0.02%             | 2029-07-01      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4048                          | CUSIP: 3131X7P93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34457 | PA      | $34154.68      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18654                          | CUSIP: 3128MMWQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4091025 | PA      | $3946517.43    | 0.09%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK5913                          | CUSIP: 3131X9SA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     259079 | PA      | $255533.78     | 0.01%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2036                          | CUSIP: 3132XGHN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5308833 | PA      | $5208346.12    | 0.12%             | 2026-10-01      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ0160                          | CUSIP: 3140NUFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13100000 | PA      | $13402750.17   | 0.31%             | 2028-12-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN1024                          | CUSIP: 3132XFD62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1970000 | PA      | $1930536.96    | 0.04%             | 2026-11-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J36873                          | CUSIP: 31307TT68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4051 | PA      | $3911.24       | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZA3720                          | CUSIP: 31329MDZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     276664 | PA      | $272194.28     | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4058                          | CUSIP: 3131X7QK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38600 | PA      | $38247.83      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN1065                          | CUSIP: 3132XFFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13200000 | PA      | $12454863.96   | 0.28%             | 2027-10-01      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K071 A2                       | CUSIP: 3137FCLD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22500000 | PA      | $22250297.25   | 0.51%             | 2027-11-25      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2012-144 HP                    | CUSIP: 3136ABJU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3664237 | PA      | $3447061.40    | 0.08%             | 2042-07-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0993                          | CUSIP: 3132CXC67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23918789 | PA      | $22674718.15   | 0.52%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB6778                          | CUSIP: 31417DQ89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2175921 | PA      | $2135677.41    | 0.05%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8300                          | CUSIP: 3132D6GH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1872465 | PA      | $1843547.55    | 0.04%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3793                          | CUSIP: 3140J8GB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12529 | PA      | $12182.53      | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3158                          | CUSIP: 31418CQL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     827385 | PA      | $815999.87     | 0.02%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10YR NOTE (CBT)Dec25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        164 | NC      | $-97566.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS1155                          | CUSIP: 3140XGH93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3790651 | PA      | $3705788.56    | 0.08%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1140                          | CUSIP: 3142BBHR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10577275 | PA      | $10721463.51   | 0.24%             | 2055-09-01      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1139                          | CUSIP: 3142BBHQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     812407 | PA      | $822734.36     | 0.02%             | 2055-09-01      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5097 KE                        | CUSIP: 3137FYP34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7613061 | PA      | $7140131.17    | 0.16%             | 2031-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4200                          | CUSIP: 31418DU26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5875959 | PA      | $5595032.51    | 0.13%             | 2030-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH0187                          | CUSIP: 3140GNF57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3785 | PA      | $3654.86       | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK5927                          | CUSIP: 3131X9SQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     257439 | PA      | $253990.53     | 0.01%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8764                          | CUSIP: 3138WJW20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3205 | PA      | $3093.23       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4367                          | CUSIP: 31418DZ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10077811 | PA      | $9548397.41    | 0.22%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH9242                          | CUSIP: 3140GYHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11740 | PA      | $11292.89      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7061                          | CUSIP: 3138LKZ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4140000 | PA      | $4056733.01    | 0.09%             | 2027-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8592                          | CUSIP: 3138WJRN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     240985 | PA      | $232882.93     | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8622                          | CUSIP: 3132A9SK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     542126 | PA      | $529475.00     | 0.01%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10yr Ultra Fut Dec25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         91 | NC      | $21016.56      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS5872                          | CUSIP: 3138WFQ25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6602 | PA      | $6416.28       | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2016-M7 A2                     | CUSIP: 3136AS4R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7935787 | PA      | $7848340.34    | 0.18%             | 2026-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2022-22 MD                     | CUSIP: 38383MTP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18445984 | PA      | $17249186.11   | 0.39%             | 2051-09-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5770                          | CUSIP: 31418FMU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2873628 | PA      | $2868980.93    | 0.07%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K074 A2                       | CUSIP: 3137F4D41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11310000 | PA      | $11230764.40   | 0.26%             | 2028-01-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4402                          | CUSIP: 31418D3L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10045016 | PA      | $9032030.62    | 0.21%             | 2036-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8704                          | CUSIP: 3132A9U54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     943453 | PA      | $917194.57     | 0.02%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL0863                          | CUSIP: 3140HR5Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8200000 | PA      | $8161512.48    | 0.19%             | 2028-12-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  122500000 | PA      | $123117284.85  | 2.81%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4749                          | CUSIP: 36179TH24<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   26388703 | PA      | $25694983.30   | 0.59%             | 2032-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC9043                          | CUSIP: 3140F5BM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     192884 | PA      | $186469.60     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 2.5 11/25                     | CUSIP: 01F0224B8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4000000 | PA      | $-3763906.40   | -0.09%            | 2025-11-18      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2803                          | CUSIP: 31418CDH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     269455 | PA      | $260499.28     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4318                          | CUSIP: 3131X7YP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39826 | PA      | $39385.48      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8503                          | CUSIP: 3132D6NU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   74639254 | PA      | $69385539.08   | 1.58%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA0742                          | CUSIP: 3140W0ZG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5371639 | PA      | $5552387.57    | 0.13%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1577                          | CUSIP: 3132CXXE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1977477 | PA      | $1974278.98    | 0.05%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG V61427                          | CUSIP: 3132KFSQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     568950 | PA      | $550851.46     | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4424                          | CUSIP: 31418D4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     982535 | PA      | $929631.25     | 0.02%             | 2031-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7605                          | CUSIP: 3138WHNX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4274 | PA      | $4136.71       | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4012                          | CUSIP: 3131X7N53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62350 | PA      | $61803.11      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZA2676                          | CUSIP: 31329K6M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38965 | PA      | $38651.90      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS7502                          | CUSIP: 3132A8KP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     368181 | PA      | $357543.66     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5065                          | CUSIP: 3133LPTW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     961100 | PA      | $908723.19     | 0.02%             | 2031-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2012-110 DA                    | CUSIP: 3136A9KB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4236886 | PA      | $3999185.21    | 0.09%             | 2032-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4368                          | CUSIP: 3131X7Z92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92207 | PA      | $91214.73      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18480                          | CUSIP: 3128MMRA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8854 | PA      | $8648.28       | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4624                          | CUSIP: 36179TD51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   15743049 | PA      | $15340971.85   | 0.35%             | 2032-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ3746                          | CUSIP: 3140H5EU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     453177 | PA      | $436213.83     | 0.01%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5067                          | CUSIP: 3133LPTY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     989388 | PA      | $934830.69     | 0.02%             | 2031-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G16000                          | CUSIP: 3128ME3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     853823 | PA      | $826302.26     | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J34184                          | CUSIP: 31307QUH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91616 | PA      | $88954.58      | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K072 A2                       | CUSIP: 3137FEBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22060000 | PA      | $21842951.66   | 0.50%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7617                          | CUSIP: 3138WHPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5845 | PA      | $5659.73       | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US ULTRA BOND CBT Dec25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         36 | NC      | $154087.14     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH7081                          | CUSIP: 3140GV2P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1502 | PA      | $1446.05       | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J37836                          | CUSIP: 31307UV54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     765643 | PA      | $758282.29     | 0.02%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K086 A2                       | CUSIP: 3137FKSH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8673000 | PA      | $8667039.91    | 0.20%             | 2028-11-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M14 A2                    | CUSIP: 3136AY2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2897780 | PA      | $2838267.84    | 0.06%             | 2027-11-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG V61479                          | CUSIP: 3132KFUC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2013045 | PA      | $1947459.58    | 0.04%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K068 A2                       | CUSIP: 3137FBBX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21580000 | PA      | $21330796.32   | 0.49%             | 2027-08-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4150                          | CUSIP: 3131X7TF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     186536 | PA      | $184771.07     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8195                          | CUSIP: 3138WJC97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14803 | PA      | $14322.21      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8019                          | CUSIP: 3138LL4D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3782521 | PA      | $3699737.66    | 0.08%             | 2028-01-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3868                          | CUSIP: 3131X7JM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64589 | PA      | $64070.23      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2014-83 P                      | CUSIP: 3136ALY88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8939824 | PA      | $8637878.86    | 0.20%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM6496                          | CUSIP: 3140JBGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5197868 | PA      | $4587392.61    | 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        |  443437000 | PA      | $376778219.85  | 8.59%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA3748                          | CUSIP: 3140QBEW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5893 | PA      | $5683.35       | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK5804                          | CUSIP: 3131X9NV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     145142 | PA      | $143196.78     | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4063                          | CUSIP: 3140NYQR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5050000 | PA      | $5115419.72    | 0.12%             | 2030-07-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8240                          | CUSIP: 3138WJEN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     218129 | PA      | $210880.79     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4359                          | CUSIP: 3131X7ZY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15991 | PA      | $15856.17      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7060                          | CUSIP: 3138LKZ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2070000 | PA      | $2028366.50    | 0.05%             | 2027-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WR1005                          | CUSIP: 3142FEDK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2820000 | PA      | $2829545.42    | 0.06%             | 2030-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0674                          | CUSIP: 36179MXB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3695661 | PA      | $3639695.37    | 0.08%             | 2028-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6219                          | CUSIP: 3138LJ4D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2247288 | PA      | $2218255.29    | 0.05%             | 2027-07-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M7 A2                     | CUSIP: 3136B1K86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   64448524 | PA      | $63191996.78   | 1.44%             | 2028-03-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4676                          | CUSIP: 3140Q0FS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5650000 | PA      | $5657404.33    | 0.13%             | 2030-08-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3103                          | CUSIP: 31418CNV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     782732 | PA      | $774862.35     | 0.02%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2417                          | CUSIP: 3138LEVK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4100000 | PA      | $4030244.24    | 0.09%             | 2026-09-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K088 A2                       | CUSIP: 3137FKZZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4980000 | PA      | $4944314.32    | 0.11%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS5302                          | CUSIP: 3138WE3L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1341686 | PA      | $1305130.21    | 0.03%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4108                          | CUSIP: 3131X7R59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130245 | PA      | $129011.91     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1141                          | CUSIP: 3142BBHS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     869061 | PA      | $880062.70     | 0.02%             | 2055-09-01      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G14686                          | CUSIP: 3128MDNB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9390340 | PA      | $9208360.85    | 0.21%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3918                          | CUSIP: 3140J8K85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     371370 | PA      | $362487.18     | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2053                          | CUSIP: 3132XGH74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8852823 | PA      | $8517670.48    | 0.19%             | 2027-04-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4225                          | CUSIP: 31418DVT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18963156 | PA      | $18030714.86   | 0.41%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM6612                          | CUSIP: 3140XAK27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21416155 | PA      | $20576146.67   | 0.47%             | 2031-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4206                          | CUSIP: 3131X7U71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41522 | PA      | $41129.22      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS9878                          | CUSIP: 3138WK6Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2202 | PA      | $2123.87       | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF 2025-K549 Mortgage Trust                               | FHMS K549 A2                       | CUSIP: 3137HNNC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15110000 | PA      | $15282500.29   | 0.35%             | 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        |   10540000 | PA      | $10604188.60   | 0.24%             | 2030-09-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4409                          | CUSIP: 31418D3T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     958511 | PA      | $906889.87     | 0.02%             | 2031-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7546                          | CUSIP: 3138LLL45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2484472 | PA      | $2438376.64    | 0.06%             | 2027-12-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RC1756                          | CUSIP: 3133L75R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21520062 | PA      | $19417130.30   | 0.44%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5156                          | CUSIP: 3140HWWS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1600000 | PA      | $1500399.52    | 0.03%             | 2029-12-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5591                          | CUSIP: 31418FF93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5844385 | PA      | $5968959.67    | 0.14%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G15860                          | CUSIP: 3128MEWV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99314 | PA      | $96307.49      | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35760                          | CUSIP: 31307SMH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1509735 | PA      | $1461107.99    | 0.03%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ2987                          | CUSIP: 3140H4J96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50372 | PA      | $48417.98      | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM9087                          | CUSIP: 3138LACZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20583708 | PA      | $20277280.15   | 0.46%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3901                          | CUSIP: 3131X7KN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     152726 | PA      | $151390.73     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5265                          | CUSIP: 3133LPZ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8049417 | PA      | $8150369.58    | 0.19%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3822                          | CUSIP: 3131X7G77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104560 | PA      | $103681.46     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3263                          | CUSIP: 3140LDTV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6790000 | PA      | $6343044.18    | 0.14%             | 2028-10-01      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA2557                          | CUSIP: 3140W2ZX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14483985 | PA      | $14629426.92   | 0.33%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4245                          | CUSIP: 3131X7WE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76009 | PA      | $75214.79      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2003-90 BA                     | CUSIP: 31393ETS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3902261 | PA      | $4018503.69    | 0.09%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM8441                          | CUSIP: 3138L9LX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4401818 | PA      | $4338057.72    | 0.10%             | 2027-04-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8386                          | CUSIP: 3138WJJ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3433406 | PA      | $3319318.16    | 0.08%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4627                          | CUSIP: 3140Q0D90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13000000 | PA      | $13107692.00   | 0.30%             | 2030-08-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3037                          | CUSIP: 3140NXLT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3171021.31    | 0.07%             | 2030-02-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K069 A2                       | CUSIP: 3137FBU79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44245446 | PA      | $43654127.94   | 1.00%             | 2027-09-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4569                          | CUSIP: 3131X8CE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98275 | PA      | $97188.65      | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | 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        |   21755163 | NS      | $21755162.91   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN5171                          | CUSIP: 3138LHW91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     800000 | PA      | $791996.56     | 0.02%             | 2027-04-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                     | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  232107000 | PA      | $195231464.59  | 4.45%             | 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        |     439246 | PA      | $366673.80     | 0.01%             | 2051-05-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM9637                          | CUSIP: 3140XDV78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44333993 | PA      | $40853193.56   | 0.93%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ0958                          | CUSIP: 3140H2B49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8655 | PA      | $8322.07       | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4278                          | CUSIP: 31418DXG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11831021 | PA      | $10674898.20   | 0.24%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8712                          | CUSIP: 3138WJVE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3818 | PA      | $3686.30       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB6335                          | CUSIP: 31417DBD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14526 | PA      | $14266.78      | 0.00%             | 2027-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4913                          | CUSIP: 3140Q0N73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3350000 | PA      | $3362582.94    | 0.08%             | 2030-09-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4282                          | CUSIP: 3131X7XK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     187717 | PA      | $185822.89     | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BP7591                          | CUSIP: 3140KFNH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4815159 | PA      | $4347632.66    | 0.10%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4356                          | CUSIP: 36179SZV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   15659000 | PA      | $15274801.41   | 0.35%             | 2032-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MB0632                          | CUSIP: 3618N5V22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1967526 | PA      | $1965574.32    | 0.04%             | 2055-09-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5367                          | CUSIP: 3140HW6D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2213252 | PA      | $2162910.36    | 0.05%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                      | FED HOME LN BANK                   | CUSIP: 3130B0EE5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  100000000 | PA      | $100319200.00  | 2.29%             | 2028-03-06      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8008                          | CUSIP: 3138WH3S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     337158 | PA      | $326345.48     | 0.01%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4691                          | CUSIP: 3140Q0F98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11525000 | PA      | $11791815.28   | 0.27%             | 2030-08-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8383                          | CUSIP: 3132D6J43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5538414 | PA      | $5529457.02    | 0.13%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4804                          | CUSIP: 3131X8KR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22301 | PA      | $22035.90      | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK5542                          | CUSIP: 3131X9EP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     229314 | PA      | $226308.95     | 0.01%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7697                          | CUSIP: 3138WHRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     171829 | PA      | $166250.62     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA5269                          | CUSIP: 3140QC2B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6974345 | PA      | $6626849.84    | 0.15%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL1276                          | CUSIP: 3140HSM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4958999.00    | 0.11%             | 2029-01-01      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB8546                          | CUSIP: 31417FP85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4800823 | PA      | $4699668.23    | 0.11%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3187                          | CUSIP: 31418CRH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92659 | PA      | $89193.50      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18559                          | CUSIP: 3128MMTR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     139481 | PA      | $134551.15     | 0.00%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA8380                          | CUSIP: 3140QGJ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1005682 | PA      | $931122.68     | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3979                          | CUSIP: 3131X7M47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43356 | PA      | $42960.13      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J31975                          | CUSIP: 31307NFQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     307273 | PA      | $296899.65     | 0.01%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2022-16 KA                     | CUSIP: 3136BMNF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15747852 | PA      | $14900085.15   | 0.34%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4497                          | CUSIP: 31418D7K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9608074 | PA      | $8853714.62    | 0.20%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4139 EB                        | CUSIP: 3137AWXK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1475327 | PA      | $1429395.65    | 0.03%             | 2032-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4808                          | CUSIP: 36179TKV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   33113351 | PA      | $32251300.84   | 0.74%             | 2032-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2510                          | CUSIP: 31418BYG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101677 | PA      | $98739.32      | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Private Export Funding Corp                                  | PRIVATE EXPT FDG                   | CUSIP: 742651EA6<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |   34000000 | PA      | $34327431.22   | 0.78%             | 2028-12-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K513 A2                       | CUSIP: 3137HBFY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1265000 | PA      | $1291573.35    | 0.03%             | 2028-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J37643                          | CUSIP: 31307UP44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2236 | PA      | $2155.10       | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4337                          | CUSIP: 3131X7ZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94913 | PA      | $93921.10      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4547                          | CUSIP: 3140Q0BR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4830000 | PA      | $4823636.96    | 0.11%             | 2030-08-01      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8508                          | CUSIP: 3132D6NZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31424345 | PA      | $29094603.43   | 0.66%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC0257                          | CUSIP: 3140EUJB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     297747 | PA      | $289392.68     | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZA2704                          | CUSIP: 31329LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24930 | PA      | $24720.85      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4155                          | CUSIP: 3131X7TL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130048 | PA      | $128773.75     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AT2769                          | CUSIP: 3138WQCF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     500780 | PA      | $489573.84     | 0.01%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K061 A2                       | CUSIP: 3137BTUM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   36083714 | PA      | $35736318.05   | 0.81%             | 2026-11-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4386                          | CUSIP: 3131X72T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76713 | PA      | $75864.43      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8509                          | CUSIP: 3132D6N22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44810032 | PA      | $41487901.41   | 0.95%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5075                          | CUSIP: 3133LPT80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2159188 | PA      | $2036026.51    | 0.05%             | 2031-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2472                          | CUSIP: 3138LEXA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11940192 | PA      | $11458719.11   | 0.26%             | 2028-09-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR QS0204                          | CUSIP: 3133HMGM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5372567 | PA      | $5069499.85    | 0.12%             | 2031-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM1543                          | CUSIP: 3140J5WD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     381286 | PA      | $375985.36     | 0.01%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J22872                          | CUSIP: 31307BFM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4079871 | PA      | $4000775.36    | 0.09%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RC2277                          | CUSIP: 3133L8Q65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     952361 | PA      | $856022.80     | 0.02%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3895                          | CUSIP: 3131X7KG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93907 | PA      | $93050.65      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                            | GN 783707                          | CUSIP: 3622A2DL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3188487 | PA      | $3144750.20    | 0.07%             | 2028-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS0001                          | CUSIP: 3138W9AB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132657 | PA      | $129519.90     | 0.00%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3622                          | CUSIP: 3140NYAY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10840000 | PA      | $10920634.42   | 0.25%             | 2030-04-01      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  200000000 | PA      | $203140624.00  | 4.63%             | 2029-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C6052                          | CUSIP: 3142BGWM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2884409 | PA      | $2892940.99    | 0.07%             | 2055-09-01      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS6029                          | CUSIP: 3140XMVX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18672083 | PA      | $18043950.23   | 0.41%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM8991                          | CUSIP: 3140XC7D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31432556 | PA      | $29728917.89   | 0.68%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0601                          | CUSIP: 36179MU24<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2708306 | PA      | $2668516.05    | 0.06%             | 2027-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4522                          | CUSIP: 31418EAY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6505400 | PA      | $6134033.94    | 0.14%             | 2032-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK6693                          | CUSIP: 3131XANJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     434500 | PA      | $427478.24     | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS2194                          | CUSIP: 3140LCNL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $370501.24     | 0.01%             | 2028-06-01      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS4598                          | CUSIP: 3140LFDC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1400000 | PA      | $1303072.68    | 0.03%             | 2029-02-01      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5868                          | CUSIP: 31418FQW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5510504 | PA      | $5579614.03    | 0.13%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3920                          | CUSIP: 3131X7K98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53516 | PA      | $53047.85      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL2246                          | CUSIP: 3140HTP86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1509016 | PA      | $1465524.10    | 0.03%             | 2029-04-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5081                          | CUSIP: 3133LPUE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1133304 | PA      | $1067173.30    | 0.02%             | 2032-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4383                          | CUSIP: 3131X72Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57466 | PA      | $56883.84      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80000000 | PA      | $79906249.60   | 1.82%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8D0898                          | CUSIP: 3142BN7K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     410000 | PA      | $414017.06     | 0.01%             | 2055-10-01      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6611                          | CUSIP: 3138LKKZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1089204 | PA      | $1068718.68    | 0.02%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0545                          | CUSIP: 3132CWTA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10586953 | PA      | $9821907.10    | 0.22%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BE3977                          | CUSIP: 3140FPM30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5443 | PA      | $5255.87       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G16661                          | CUSIP: 3128MFTS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1772249 | PA      | $1707728.79    | 0.04%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2015-M10 A2                    | CUSIP: 3136AN6U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9091887 | PA      | $8988700.21    | 0.20%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5079                          | CUSIP: 3133LPUC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1130624 | PA      | $1064674.01    | 0.02%             | 2032-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1201                          | CUSIP: 3142BBKN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     850000 | PA      | $857961.70     | 0.02%             | 2055-11-01      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4390                          | CUSIP: 31418D2Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15122221 | PA      | $14480299.12   | 0.33%             | 2031-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   75000000 | PA      | $75377929.50   | 1.72%             | 2027-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8693                          | CUSIP: 3132A9US4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1184000 | PA      | $1151667.81    | 0.03%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G16186                          | CUSIP: 3128MFCX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4986 | PA      | $4848.86       | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS6195                          | CUSIP: 3140XM3D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     233258 | PA      | $230821.58     | 0.01%             | 2037-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ1079                          | CUSIP: 3140NVFV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2689873 | PA      | $2778750.82    | 0.06%             | 2029-06-01      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1153                          | CUSIP: 3142BBH60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     715356 | PA      | $721511.42     | 0.02%             | 2055-09-01      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18626                          | CUSIP: 3128MMVU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     247475 | PA      | $239316.89     | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8009                          | CUSIP: 3138WH3T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6387 | PA      | $6179.80       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M8 A2                     | CUSIP: 3136B2GX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9547284 | PA      | $9411861.31    | 0.21%             | 2028-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN1881                          | CUSIP: 3138LECT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8343232 | PA      | $8166389.82    | 0.19%             | 2028-05-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Principal Strip                                   | FNMA 0 11/15/2030                  | CUSIP: 31358DDS0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    7000000 | PA      | $5755302.00    | 0.13%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3800                          | CUSIP: 3131X7GH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27976 | PA      | $27762.72      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K059 A2                       | CUSIP: 3137BSRE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15861965 | PA      | $15727263.74   | 0.36%             | 2026-09-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AL9994                          | CUSIP: 3138ESC89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     343819 | PA      | $332384.21     | 0.01%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4801                          | CUSIP: 3140Q0KP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7660000 | PA      | $7691556.90    | 0.18%             | 2030-09-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4681 DA                        | CUSIP: 3137BYFS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2587436 | PA      | $2530258.31    | 0.06%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3246                          | CUSIP: 31418CTC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     147235 | PA      | $141672.75     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BE3963                          | CUSIP: 3140FPMM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6017 | PA      | $5810.40       | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CC0929                          | CUSIP: 3140Y7A73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1142316 | PA      | $1147209.81    | 0.03%             | 2055-08-01      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC0255                          | CUSIP: 3140EUH93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     274326 | PA      | $266511.35     | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M7 A2                     | CUSIP: 3136AV7G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33015420 | PA      | $32545997.02   | 0.74%             | 2027-02-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN5679                          | CUSIP: 3138LJJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12278878 | PA      | $12098235.11   | 0.28%             | 2027-07-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4798                          | CUSIP: 3140HWKL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2700000 | PA      | $2653432.02    | 0.06%             | 2026-11-01      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4484                          | CUSIP: 36179S6V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    7288281 | PA      | $7103965.89    | 0.16%             | 2032-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8051                          | CUSIP: 3138LL5M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3900271 | PA      | $3821202.58    | 0.09%             | 2028-01-01      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4172                          | CUSIP: 31418DT69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     647115 | PA      | $616634.37     | 0.01%             | 2030-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2013-24 PD                     | CUSIP: 3136AB7F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5156558 | PA      | $4887580.59    | 0.11%             | 2033-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8011                          | CUSIP: 3138WH3V2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     584993 | PA      | $566002.45     | 0.01%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4481                          | CUSIP: 3140HV6T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   99620000 | PA      | $97713402.71   | 2.23%             | 2026-11-01      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC2863                          | CUSIP: 3140EXFD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1691880 | PA      | $1637551.13    | 0.04%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0374                          | CUSIP: 36179MMX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1349749 | PA      | $1331825.19    | 0.03%             | 2027-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN4860                          | CUSIP: 3138LHMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4100000 | PA      | $4052536.76    | 0.09%             | 2027-03-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0625                          | CUSIP: 3132CWVS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6977804 | PA      | $6725653.05    | 0.15%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB7031                          | CUSIP: 31417DY56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2111742 | PA      | $2071350.82    | 0.05%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BR1050                          | CUSIP: 3140KYEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000679 | PA      | $903518.91     | 0.02%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3753                          | CUSIP: 3140J8E33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     370418 | PA      | $367143.64     | 0.01%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2025-M5 A2                     | CUSIP: 3136BXM35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11890000 | PA      | $10498498.44   | 0.24%             | 2031-11-25      | Fixed         | 1.84%                 | No            |                  3 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1648                          | CUSIP: 3132CXZM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2525104.18    | 0.06%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8717                          | CUSIP: 3138LMVK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $294159.27     | 0.01%             | 2028-03-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM7428                          | CUSIP: 3140XBHE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13734064 | PA      | $12409144.79   | 0.28%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS0819                          | CUSIP: 3140XF4D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7193468 | PA      | $6801335.37    | 0.16%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1548                          | CUSIP: 3140LBWJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33000000 | PA      | $31078419.90   | 0.71%             | 2028-03-01      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB8440                          | CUSIP: 31417FLW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4837171 | PA      | $4738439.78    | 0.11%             | 2028-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AL9102                          | CUSIP: 3138ERDG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     831723 | PA      | $813066.22     | 0.02%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS1712                          | CUSIP: 3140XG3W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8979239 | PA      | $8762077.20    | 0.20%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5194 AE                        | CUSIP: 3137H5R74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13785468 | PA      | $12280059.22   | 0.28%             | 2049-08-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7832                          | CUSIP: 3140JCV27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1261736 | PA      | $1279242.73    | 0.03%             | 2055-09-01      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4340                          | CUSIP: 3131X7ZD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62021 | PA      | $61433.70      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1156                          | CUSIP: 3142BBH94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     678981 | PA      | $686490.65     | 0.02%             | 2055-10-01      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM4130                          | CUSIP: 3140J8SU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1104680 | PA      | $1095336.42    | 0.02%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2921                          | CUSIP: 31418CG73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3278 | PA      | $3165.72       | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5055                          | CUSIP: 3133LPTL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6819655 | PA      | $6470392.88    | 0.15%             | 2031-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8629                          | CUSIP: 3132A9SS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     272062 | PA      | $263014.42     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3834                          | CUSIP: 3131X7HK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30753 | PA      | $30495.35      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8194                          | CUSIP: 3138WJC89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     223717 | PA      | $216369.53     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80000000 | PA      | $75696875.20   | 1.73%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4279                          | CUSIP: 3131X7XG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18723 | PA      | $18527.95      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5059                          | CUSIP: 3133LPTQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     905908 | PA      | $858305.59     | 0.02%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35338                          | CUSIP: 31307R4X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137823 | PA      | $133429.11     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4439                          | CUSIP: 3140NY4Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3725000 | PA      | $3736515.47    | 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        |    4550000 | PA      | $4546424.61    | 0.10%             | 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        |    3070000 | PA      | $3093264.15    | 0.07%             | 2030-03-01      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM6866                          | CUSIP: 3140JBTY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     460706 | PA      | $440678.74     | 0.01%             | 2051-08-01      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1625                          | CUSIP: 3132CXYW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9902910 | PA      | $10008540.49   | 0.23%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8429                          | CUSIP: 3138WJLK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     518987 | PA      | $501938.87     | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5364                          | CUSIP: 3140HW6A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3541204 | PA      | $3460656.50    | 0.08%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18469                          | CUSIP: 3128MMQX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8009235 | PA      | $7833099.91    | 0.18%             | 2028-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J37112                          | CUSIP: 31307T3V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2437 | PA      | $2347.04       | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80000000 | PA      | $81081249.60   | 1.85%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4331                          | CUSIP: 31418DY55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     892046 | PA      | $845763.19     | 0.02%             | 2031-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB7028                          | CUSIP: 31417DY23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2139978 | PA      | $2099045.16    | 0.05%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8346                          | CUSIP: 3132D6HX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5570325 | PA      | $5484299.61    | 0.13%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4935                          | CUSIP: 36179TPU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   19371611 | PA      | $18857821.48   | 0.43%             | 2033-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J34888                          | CUSIP: 31307RND3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5615948 | PA      | $5446015.83    | 0.12%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS0046                          | CUSIP: 3140LABQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2990000 | PA      | $2822881.13    | 0.06%             | 2027-12-01      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM6278                          | CUSIP: 3140X96Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13295291 | PA      | $12004389.95   | 0.27%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM8990                          | CUSIP: 3140XC7C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27343042 | PA      | $25912322.80   | 0.59%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4515                          | CUSIP: 31418EAR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12181647 | PA      | $10934160.14   | 0.25%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4690                          | CUSIP: 36179TF75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   22734775 | PA      | $22148375.08   | 0.50%             | 2032-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4057                          | CUSIP: 3131X7QJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17524 | PA      | $17364.80      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K058 A2                       | CUSIP: 3137BSP72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26223000 | PA      | $25921967.83   | 0.59%             | 2026-08-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35072                          | CUSIP: 31307RT54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     468719 | PA      | $454145.05     | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0982                          | CUSIP: 3132CXCT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4485918 | PA      | $4383747.37    | 0.10%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8388                          | CUSIP: 3138WJKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     297677 | PA      | $287669.43     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2012-M14 AL                    | CUSIP: 3136A9MS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8889576 | PA      | $8717659.07    | 0.20%             | 2027-09-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18622                          | CUSIP: 3128MMVQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2819898 | PA      | $2728012.56    | 0.06%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9129                          | CUSIP: 3140LLEB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1990000 | PA      | $2013300.91    | 0.05%             | 2028-07-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-28 NG                     | CUSIP: 3136BHKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10057269 | PA      | $9175837.90    | 0.21%             | 2041-05-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0072                          | CUSIP: 36179MCH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     584601 | PA      | $578016.41     | 0.01%             | 2027-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4905                          | CUSIP: 3140Q0NX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6440000 | PA      | $6527993.58    | 0.15%             | 2030-09-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL9595                          | CUSIP: 3140J2UV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16500000 | PA      | $15586586.40   | 0.36%             | 2027-12-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2411                          | CUSIP: 3138LEVD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $19715596.00   | 0.45%             | 2026-08-01      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US LONG BOND(CBT) Dec25            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        149 | NC      | $472579.69     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5110 HG                        | CUSIP: 3137H0FB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5040046 | PA      | $4646832.62    | 0.11%             | 2041-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS6268                          | CUSIP: 3138WF6E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     233078 | PA      | $226630.08     | 0.01%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1195                          | CUSIP: 3142BBKG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     390000 | PA      | $393858.23     | 0.01%             | 2055-11-01      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF0571                          | CUSIP: 3140BQT50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4302958 | PA      | $4355415.12    | 0.10%             | 2055-09-01      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG V61321                          | CUSIP: 3132KFPE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     198835 | PA      | $192506.98     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3779                          | CUSIP: 3140NYFV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13230000 | PA      | $13294865.37   | 0.30%             | 2030-05-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL9743                          | CUSIP: 3140J2ZH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6630293 | PA      | $6262241.52    | 0.14%             | 2027-12-01      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18669                          | CUSIP: 3128MMW74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2123723 | PA      | $2045653.21    | 0.05%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2941                          | CUSIP: 3140NXHT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3700000 | PA      | $3782013.83    | 0.09%             | 2030-01-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3828                          | CUSIP: 3140J8HE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2487955 | PA      | $2465526.07    | 0.06%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K057 A2                       | CUSIP: 3137BRQJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   61543405 | PA      | $60912830.99   | 1.39%             | 2026-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC9254                          | CUSIP: 3140F5H89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     241394 | PA      | $233844.39     | 0.01%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                            | GN 783796                          | CUSIP: 3622A2GD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     869377 | PA      | $857047.59     | 0.02%             | 2028-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3813                          | CUSIP: 3131X7GW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72444 | PA      | $71808.69      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5057                          | CUSIP: 3133LPTN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     877082 | PA      | $831576.31     | 0.02%             | 2031-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA2637                          | CUSIP: 3140W24X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5290571 | PA      | $5227443.27    | 0.12%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3631                          | CUSIP: 3140LEA98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $8252145.95    | 0.19%             | 2026-11-01      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RC2193                          | CUSIP: 3133L8NJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3956793 | PA      | $3672098.99    | 0.08%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2443                          | CUSIP: 3140NWWD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1400000 | PA      | $1427584.20    | 0.03%             | 2029-11-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CB0405                          | CUSIP: 3140QKNX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6702163 | PA      | $6190616.25    | 0.14%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB7030                          | CUSIP: 31417DY49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2094629 | PA      | $2054564.16    | 0.05%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ1040                          | CUSIP: 3140NVEN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2764390 | PA      | $2884253.86    | 0.07%             | 2029-06-01      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M15 A2                    | CUSIP: 3136AY6X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8095130 | PA      | $7967431.91    | 0.18%             | 2027-09-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB8788                          | CUSIP: 31417FXS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6953404 | PA      | $6811471.59    | 0.16%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                    | FNMA GEN STRIP                     | CUSIP: 31359YBA4<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    8000000 | PA      | $7989120.00    | 0.18%             | 2025-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4235                          | CUSIP: 36179SV46<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   29220316 | PA      | $28518607.76   | 0.65%             | 2032-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DD8703                          | CUSIP: 3140B9U56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7899887 | PA      | $8088400.00    | 0.18%             | 2055-09-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL6627                          | CUSIP: 3140HYLH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3133523 | PA      | $3021862.23    | 0.07%             | 2027-05-01      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M8 A2                     | CUSIP: 3136AW7J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5375064 | PA      | $5296969.35    | 0.12%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9882                          | CUSIP: 3140LL6U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4800000 | PA      | $4929614.40    | 0.11%             | 2028-11-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4559                          | CUSIP: 36179TB46<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   12123674 | PA      | $11817065.80   | 0.27%             | 2032-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 4.5 11/25                     | CUSIP: 01F0424B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2750000 | PA      | $2745166.05    | 0.06%             | 2025-11-18      | Fixed         | 4.50%                 | 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