# EDGAR Filing Document

**Accession Number:** 0000106444
**File Stem:** 0000106444-26-000142
**Filing Date:** 2026-3
**Character Count:** 96335
**Document Hash:** 687fe48efb6ffdbc6c9fb24d9374b895
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000106444-26-000142.hdr.sgml**: 20260331

**ACCESSION NUMBER**: 0000106444-26-000142

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260331

**DATE AS OF CHANGE**: 20260331

**PERIOD START**: 20260131

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02368
- **FILM NUMBER:** 26819646

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

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

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

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

## Series and Classes Contracts Data

### Vanguard Intermediate-Term Treasury Fund (Series ID: S000002587)

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Malvern

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19355

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

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $7436960641.37

**Total Liabilities:** $350498965.17

**Net Assets:** $7086461676.20

**Delayed Delivery Securities:** $139025958.99

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2037.83090285 | **1-Year:** -75651.91774999 | **5-Year:** -268735.77466193 | **10-Year:** -99190.22757197 | **30-Year:** -10304.49630566

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007100 | 0.92%                | -0.26%               | -0.07%               |
| Class ID C000007099 | 0.91%                | -0.27%               | -0.07%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5217252.89              | $32046799.21                               |
| Month 2  | $2373626.53              | $-45060010.02                              |
| Month 3  | $5048394.64              | $-31664740.68                              |

**Designated Index Information**

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

- **Index Identifier:** I00647

### Schedule of Portfolio Investments

| Name                                                         | Title                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 137100000 | PA      | $128799022.75 | 1.82%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4945                          | CUSIP: 3140Q0P71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6150000 | PA      | $6209065.83   | 0.09%             | 2030-09-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 10Y RTR 3.350000 16-OCT-2030  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  38400000 | NC      | $649981.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WG9008                          | CUSIP: 31425SAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16400000 | PA      | $16371626.36  | 0.23%             | 2030-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3766                          | CUSIP: 3140NYFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6210000 | PA      | $6242190.78   | 0.09%             | 2030-05-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5198 FA                        | CUSIP: 3137H5KF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1683716 | PA      | $1483064.34   | 0.02%             | 2052-02-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2020-12 JC                     | CUSIP: 3136B8G60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    996499 | PA      | $847957.28    | 0.01%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7915                          | CUSIP: 3140JCYM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4560927 | PA      | $4613094.18   | 0.07%             | 2056-01-01      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1921                          | CUSIP: 3140LCD32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3200000 | PA      | $2894729.60   | 0.04%             | 2031-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5150 MD                        | CUSIP: 3137H2ZT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19912453 | PA      | $16111389.10  | 0.23%             | 2051-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 171500000 | PA      | $173657147.58 | 2.45%             | 2031-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 3.850000 20-JAN-2028   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -40400000 | NC      | $-218345.84   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 107900000 | PA      | $106500671.88 | 1.50%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Principal Strip                                   | FNMA PRIN STP                      | CUSIP: 31358DDR2<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  56411000 | PA      | $47753265.36  | 0.67%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.238500 05-JAN-2058 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   2860000 | NC      | $27796.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 30Y RTR 3.950000 09-MAR-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   6150000 | NC      | $14504.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2685                          | CUSIP: 3140NW6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3763874 | PA      | $3829291.09   | 0.05%             | 2029-12-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29000000 | PA      | $29292265.48  | 0.41%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5320                          | CUSIP: 3132XK4E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7225000 | PA      | $7200637.30   | 0.10%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.409000 01-DEC-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  21000000 | NC      | $131391.31    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5 2/26                        | CUSIP: 01F050627<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -51250000 | PA      | $-51239990.88 | -0.72%            | 2026-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 115519800 | PA      | $116611822.53 | 1.65%             | 2032-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-105 KA                    | CUSIP: 38382TZK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2263954 | PA      | $1810103.40   | 0.03%             | 2051-04-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55000000 | PA      | $55807812.50  | 0.79%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-227 F                     | CUSIP: 38383FQM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    619908 | PA      | $534001.59    | 0.01%             | 2051-12-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4846                          | CUSIP: 3140Q0L42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5410000 | PA      | $5450470.05   | 0.08%             | 2030-09-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 169300000 | PA      | $170080366.34 | 2.40%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2025-M1 2A2                    | CUSIP: 3136BUQR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3309478 | PA      | $3398586.12   | 0.05%             | 2032-01-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.282050 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  46000000 | NC      | $339456.89    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 128600000 | PA      | $131011250.00 | 1.85%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31200000 | PA      | $31948312.34  | 0.45%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL7863                          | CUSIP: 3140J0WZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    993338 | PA      | $835902.67    | 0.01%             | 2032-09-01      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ5759                          | CUSIP: 3140Q1MH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6595000 | PA      | $6576950.80   | 0.09%             | 2030-12-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 133600000 | PA      | $135755343.42 | 1.92%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7895                          | CUSIP: 3140JCXZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  27270851 | PA      | $27671552.47  | 0.39%             | 2055-12-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K118 A2                       | CUSIP: 3137F62M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8900000 | PA      | $7963904.23   | 0.11%             | 2030-09-25      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2015-117 HZ                    | CUSIP: 38379MS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17269800 | PA      | $16475740.01  | 0.23%             | 2045-08-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4258                          | CUSIP: 3140NYWU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11220000 | PA      | $11302824.92  | 0.16%             | 2030-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5092 PB                        | CUSIP: 3137FYD45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2576277 | PA      | $2125555.65   | 0.03%             | 2050-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1011                          | CUSIP: 3140LBDR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1415063 | PA      | $1245084.54   | 0.02%             | 2031-02-01      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5220 PK                        | CUSIP: 3137H77F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14030293 | PA      | $13521668.61  | 0.19%             | 2051-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2025-104 AB                    | CUSIP: 38385GG37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4081831 | PA      | $3958869.80   | 0.06%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-76 KB                     | CUSIP: 3136BJWZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7434036 | PA      | $6371163.26   | 0.09%             | 2051-11-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5146 QA                        | CUSIP: 3137H2GB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3606395 | PA      | $3148325.59   | 0.04%             | 2051-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4424                          | CUSIP: 3140HV4J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4955346 | PA      | $4670609.41   | 0.07%             | 2029-10-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.427700 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  46000000 | NC      | $81948.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 111150000 | PA      | $105549081.48 | 1.49%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.478500 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   3270000 | NC      | $3559.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  68000000 | PA      | $64430000.00  | 0.91%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4324                          | CUSIP: 3140HVYW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1469424 | PA      | $1393132.01   | 0.02%             | 2029-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                        | CUSIP: 3134GWAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  18340000 | PA      | $15591365.86  | 0.22%             | 2032-07-27      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CB6531                          | CUSIP: 3140QSHH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2693712 | PA      | $2749957.45   | 0.04%             | 2053-06-01      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 140700000 | PA      | $145888312.50 | 2.06%             | 2031-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                           | FRE PRIN STRIP                     | CUSIP: 3134A4AB0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  18703000 | PA      | $15266435.97  | 0.22%             | 2031-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN9753                          | CUSIP: 3138LNZT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2762747 | PA      | $2657128.14   | 0.04%             | 2033-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 3.600000 20-JAN-2028   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  40400000 | NC      | $294730.12    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2911                          | CUSIP: 3140NXGV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4600000 | PA      | $4676076.64   | 0.07%             | 2030-01-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3944                          | CUSIP: 3140NYL25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1112245.31   | 0.02%             | 2030-05-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4168                          | CUSIP: 3140NYT27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7810000 | PA      | $7843315.90   | 0.11%             | 2030-08-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1581400 | PA      | $1596719.81   | 0.02%             | 2030-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 3.500000 21-JAN-2027   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  38300000 | NC      | $149159.35    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 121900000 | PA      | $113233671.88 | 1.60%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS5957                          | CUSIP: 3140LGTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1272980.80   | 0.02%             | 2029-07-01      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 196700000 | PA      | $194102944.33 | 2.74%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2016-49 AP                     | CUSIP: 3136ATKB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1034846 | PA      | $986897.80    | 0.01%             | 2044-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5050 PD                        | CUSIP: 3137F7RX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15009738 | PA      | $12707926.71  | 0.18%             | 2050-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $34737500.00  | 0.49%             | 2032-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5072 YE                        | CUSIP: 3137F9B67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1078214 | PA      | $840437.76    | 0.01%             | 2051-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59800000 | PA      | $59388875.00  | 0.84%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                      | FED HOME LN BANK                   | CUSIP: 3130ALJJ4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  33640000 | PA      | $27371589.68  | 0.39%             | 2036-03-04      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM1691                          | CUSIP: 3138L12Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    588063 | PA      | $536033.57    | 0.01%             | 2043-01-01      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 10Y RTR 3.608000 16-OCT-2035  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -32300000 | NC      | $-803456.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS5250                          | CUSIP: 3140LFZQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1370611.05   | 0.02%             | 2032-04-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4161 BW                        | CUSIP: 3137AYL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6857994 | PA      | $6251171.26   | 0.09%             | 2043-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2686                          | CUSIP: 3140NW6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12869491 | PA      | $13047865.96  | 0.18%             | 2029-12-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $53657812.20  | 0.76%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2020-96 A                      | CUSIP: 3136BDKT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3065585 | PA      | $2462968.02   | 0.03%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ5932                          | CUSIP: 3140Q1SW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9200000 | PA      | $9243664.12   | 0.13%             | 2030-12-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.100000 18-OCT-2040 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  15400000 | NC      | $380266.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS4585                          | CUSIP: 3140LFCX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1408337.44   | 0.02%             | 2032-02-01      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.502000 27-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   3277143 | NC      | $-3261.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                          | US LONG BOND(CBT) Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -305 | NC      | $428908.65    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2014-83 HP                     | CUSIP: 3136AL2A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    130096 | PA      | $120255.40    | 0.00%             | 2044-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3222                          | CUSIP: 3140LDSL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    561740 | PA      | $502810.38    | 0.01%             | 2031-10-01      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 5YR NOTE (CBT) Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      1478 | NC      | $-75302.64    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  99000000 | PA      | $99232031.25  | 1.40%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5 2/26                        | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  51250000 | PA      | $51239990.88  | 0.72%             | 2026-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN4932                          | CUSIP: 3138LHPS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3193137 | PA      | $2953161.29   | 0.04%             | 2037-03-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5051 YA                        | CUSIP: 3137F82J1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8756589 | PA      | $7333123.31   | 0.10%             | 2044-12-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  56000000 | PA      | $55129374.72  | 0.78%             | 2032-10-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds               | TSY INFL IX N/B                    | CUSIP: 91282CPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  49826739 | PA      | $49634049.54  | 0.70%             | 2036-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  68700000 | PA      | $69271605.30  | 0.98%             | 2031-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K125 A2                       | CUSIP: 3137F9Z79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6311520.60   | 0.09%             | 2031-01-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-67 LG                     | CUSIP: 38382R2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    424846 | PA      | $343470.01    | 0.00%             | 2051-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 142000000 | PA      | $142122030.54 | 2.01%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS6088                          | CUSIP: 3140LGXS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2369108 | PA      | $2355975.14   | 0.03%             | 2030-08-01      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13000000 | PA      | $13142187.50  | 0.19%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 30Y RTR 4.090000 16-JUL-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -8350000 | NC      | $-181514.97   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 136950000 | PA      | $142000031.25 | 2.00%             | 2031-05-31      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM6496                          | CUSIP: 3140JBGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8368386 | PA      | $7420819.06   | 0.10%             | 2030-12-01      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                     | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  98500000 | PA      | $84347520.00  | 1.19%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTR 2.870000 16-JUL-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -74570000 | NC      | $-78238.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.480000 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   6540000 | NC      | $6279.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4063                          | CUSIP: 3140NYQR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8625000 | PA      | $8747658.71   | 0.12%             | 2030-07-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  89600000 | PA      | $91720999.55  | 1.29%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF3558                          | CUSIP: 3140BT5U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4815113 | PA      | $4842645.17   | 0.07%             | 2055-11-01      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2807                          | CUSIP: 3140NXDM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19428603 | PA      | $19678373.30  | 0.28%             | 2030-01-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K153 A3                       | CUSIP: 3137BXHC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4739224.50   | 0.07%             | 2031-10-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTR 3.270000 16-JUL-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  74570000 | NC      | $228437.74    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5350                          | CUSIP: 3132XK5L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  29750000 | PA      | $29527318.28  | 0.42%             | 2030-08-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-86 EA                     | CUSIP: 3136BKB76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25699983 | PA      | $22190580.72  | 0.31%             | 2049-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70800000 | PA      | $71756905.90  | 1.01%             | 2031-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5159 UA                        | CUSIP: 3137H3US9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1269086 | PA      | $1146815.49   | 0.02%             | 2048-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1323                          | CUSIP: 3142BBPG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3190000 | PA      | $3200853.34   | 0.05%             | 2056-01-01      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K549 A2                       | CUSIP: 3137HNNC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  29668039 | PA      | $29993455.85  | 0.42%             | 2030-09-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN9752                          | CUSIP: 3138LNZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1885921 | PA      | $1805255.58   | 0.03%             | 2033-07-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4635                          | CUSIP: 3140Q0EH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19530000 | PA      | $19643088.47  | 0.28%             | 2030-09-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  75000000 | PA      | $75386718.75  | 1.06%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5156                          | CUSIP: 3140HWWS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2357632.00   | 0.03%             | 2029-12-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5229                          | CUSIP: 3132XKY35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11600000 | PA      | $11634750.12  | 0.16%             | 2030-02-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5149 GA                        | CUSIP: 3137H2SC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    903409 | PA      | $751620.50    | 0.01%             | 2051-09-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2022-M2 A2                     | CUSIP: 3136BK6X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $7755574.25   | 0.11%             | 2031-11-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29000000 | PA      | $29031718.75  | 0.41%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 2YR NOTE (CBT) Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        59 | NC      | $-2941.51     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  99000000 | PA      | $100461796.38 | 1.42%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42600000 | PA      | $37048687.50  | 0.52%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5063 KC                        | CUSIP: 3137F8VU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11510567 | PA      | $8984179.41   | 0.13%             | 2051-01-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10yr Ultra Fut Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       751 | NC      | $-36536.79    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.505000 27-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   8192857 | NC      | $-10257.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2019-75 KC                     | CUSIP: 3136B7SW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7217840 | PA      | $6375593.92   | 0.09%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  49587600 | PA      | $48913518.56  | 0.69%             | 2031-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4627                          | CUSIP: 3140Q0D90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21000000 | PA      | $21203007.00  | 0.30%             | 2030-08-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-86 T                      | CUSIP: 3136BKYQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6836888 | PA      | $6165577.35   | 0.09%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.388930 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  19000000 | NC      | $62160.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3130                          | CUSIP: 3140LDPQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2800000 | PA      | $2449932.80   | 0.03%             | 2031-09-01      | Fixed         | 1.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3037                          | CUSIP: 3140NXLT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4800000 | PA      | $4912220.16   | 0.07%             | 2030-02-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3248                          | CUSIP: 3140LDTE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2900000 | PA      | $2522315.02   | 0.04%             | 2031-10-01      | Fixed         | 1.57%                 | 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        |  80229493 | NS      | $80229493.00  | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                     | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        | 192107000 | PA      | $162846798.62 | 2.30%             | 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        |   1442207 | PA      | $1192939.12   | 0.02%             | 2051-05-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MB0881                          | CUSIP: 3618N56T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  22740000 | PA      | $22857688.60  | 0.32%             | 2056-01-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 127000000 | PA      | $127262929.37 | 1.80%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 126000000 | PA      | $128460937.50 | 1.81%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 194050000 | PA      | $192443023.44 | 2.72%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4913                          | CUSIP: 3140Q0N73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5730000 | PA      | $5772071.95   | 0.08%             | 2030-09-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.128310 15-DEC-2027 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | 230000000 | NC      | $768753.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  75400000 | PA      | $76236468.75  | 1.08%             | 2031-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4691                          | CUSIP: 3140Q0F98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19750000 | PA      | $20236327.95  | 0.29%             | 2030-08-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5483                          | CUSIP: 3140HXCV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $908631.30    | 0.01%             | 2032-09-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5201 CA                        | CUSIP: 3137H64V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1070532 | PA      | $986252.52    | 0.01%             | 2048-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS6474                          | CUSIP: 3140LHFQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6540328 | PA      | $6370496.28   | 0.09%             | 2033-01-01      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2024-20 GA                     | CUSIP: 3136BRWR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11937395 | PA      | $12052998.02  | 0.17%             | 2042-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS4963                          | CUSIP: 3140LFQR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2100000 | PA      | $1915396.35   | 0.03%             | 2032-04-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2025-82 JA                     | CUSIP: 3136BXD27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4203140 | PA      | $3817516.53   | 0.05%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60300000 | PA      | $60691007.51  | 0.86%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 140000000 | PA      | $142608593.40 | 2.01%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90000000 | PA      | $91293750.00  | 1.29%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.092500 21-JAN-2038 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   8240000 | NC      | $17813.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27000000 | PA      | $27041132.88  | 0.38%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3622                          | CUSIP: 3140NYAY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19810000 | PA      | $19993591.16  | 0.28%             | 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        |  55500000 | PA      | $56310820.04  | 0.79%             | 2029-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5.5 2/26                      | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  86450000 | PA      | $87682586.81  | 1.24%             | 2026-02-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5.5 2/26                      | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -86450000 | PA      | $-87682586.81 | -1.24%            | 2026-02-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 5Y RTP 3.460000 08-APR-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -29930000 | NC      | $-212989.36   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $503164.06    | 0.01%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5132 PA                        | CUSIP: 3137H1T55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2071647 | PA      | $1724160.07   | 0.02%             | 2051-08-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2022-191 BY                    | CUSIP: 38383LHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12200000 | PA      | $11764567.36  | 0.17%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4629                          | CUSIP: 3140Q0EB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13862000 | PA      | $13954283.49  | 0.20%             | 2030-09-01      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ5404                          | CUSIP: 3140Q1AE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3400000 | PA      | $3424463.68   | 0.05%             | 2030-11-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.358000 18-OCT-2045 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  17100000 | NC      | $-366948.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5084 NC                        | CUSIP: 3137FFL47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2120277 | PA      | $1690835.43   | 0.02%             | 2044-10-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $59887500.00  | 0.85%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K117 A2                       | CUSIP: 3137FX3Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $10717328.40  | 0.15%             | 2030-08-25      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3381                          | CUSIP: 3140LDXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1578218.40   | 0.02%             | 2031-10-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.491500 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   3270000 | NC      | $-77.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5207 AB                        | CUSIP: 3137H64F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17117821 | PA      | $15426011.97  | 0.22%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5159 QA                        | CUSIP: 3137H3UJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1522023 | PA      | $1391203.44   | 0.02%             | 2048-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51750000 | PA      | $50051953.13  | 0.71%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2020-7 EP                      | CUSIP: 38382DFG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1959575 | PA      | $1723524.95   | 0.02%             | 2049-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 3.750000 21-JAN-2027   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -76600000 | NC      | $-172583.63   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                           | FHS 357 200                        | CUSIP: 3132J0P50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.01         | 0.00%             | 2047-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 196400000 | PA      | $174673250.00 | 2.46%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  64592500 | PA      | $64895277.34  | 0.92%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-227 E                     | CUSIP: 38383FNR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18312424 | PA      | $16237758.28  | 0.23%             | 2050-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS4478                          | CUSIP: 3140LE6Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    371071 | PA      | $328773.55    | 0.00%             | 2032-01-01      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.471500 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   3270000 | NC      | $5515.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37000000 | PA      | $38121562.50  | 0.54%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20204687.40  | 0.29%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 4.100000 20-JAN-2028   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -40400000 | NC      | $-159895.12   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $402343.75    | 0.01%             | 2029-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.780500 22-JAN-2046 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   3340000 | NC      | $-4446.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Principal Strip                                   | FNMA 0 11/15/2030                  | CUSIP: 31358DDS0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   6000000 | PA      | $4969698.00   | 0.07%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7907                          | CUSIP: 3140JCYD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10278764 | PA      | $10434823.85  | 0.15%             | 2055-12-01      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  81200000 | PA      | $80438750.00  | 1.14%             | 2030-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.708500 05-JAN-2033 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  10630000 | NC      | $-43734.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15168750.00  | 0.21%             | 2031-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27000000 | PA      | $26808046.74  | 0.38%             | 2030-10-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  80000000 | PA      | $82850000.00  | 1.17%             | 2030-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 208500000 | PA      | $181232109.38 | 2.56%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US ULTRA BOND CBT Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -7 | NC      | $8959.51      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 130000000 | PA      | $132549218.10 | 1.87%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.517000 22-JAN-2041 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   2710000 | NC      | $5339.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5173 CA                        | CUSIP: 3137H4CT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4737191 | PA      | $3938935.66   | 0.06%             | 2051-05-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 30Y RTR 3.750000 09-MAR-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -12300000 | NC      | $-7250.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5200 MA                        | CUSIP: 3137H6EQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    748007 | PA      | $693144.37    | 0.01%             | 2048-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 151550000 | PA      | $145890554.69 | 2.06%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2025-M5 A2                     | CUSIP: 3136BXM35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19200000 | PA      | $16969374.72  | 0.24%             | 2031-11-25      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4109 GE                        | CUSIP: 3137AUJM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3474936 | PA      | $3447338.17   | 0.05%             | 2041-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2019-55 CB                     | CUSIP: 3136B6FG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    578120 | PA      | $519110.98    | 0.01%             | 2049-10-25      | 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        |  16669169 | PA      | $14892287.27  | 0.21%             | 2049-08-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 5Y RTP 3.690000 08-APR-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  59850000 | NC      | $138050.01    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2109                          | CUSIP: 3132XGKX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2825285 | PA      | $2495778.82   | 0.04%             | 2031-07-01      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37100000 | PA      | $37320281.25  | 0.53%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4665                          | CUSIP: 3140Q0FF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6650000 | PA      | $6670589.07   | 0.09%             | 2030-08-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10YR NOTE (CBT)Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      3337 | NC      | $-3349223.74  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5325                          | CUSIP: 3132XK4K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10700000 | PA      | $10663999.85  | 0.15%             | 2030-09-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.480000 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   8166667 | NC      | $7841.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42000000 | PA      | $43256718.54  | 0.61%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.573500 21-JAN-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  35420000 | NC      | $10934.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42000000 | PA      | $41816250.00  | 0.59%             | 2030-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 120000000 | PA      | $120000000.00 | 1.69%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $99328125.00  | 1.40%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 181500000 | PA      | $177721113.74 | 2.51%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MB0756                          | CUSIP: 3618N5ZW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10126561 | PA      | $10284150.41  | 0.15%             | 2055-11-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5080 WC                        | CUSIP: 3137FXX78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    743620 | PA      | $599514.52    | 0.01%             | 2050-10-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  77000000 | PA      | $73685390.24  | 1.04%             | 2033-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  98400000 | PA      | $101013750.00 | 1.43%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5149 GC                        | CUSIP: 3137H2SE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1084090 | PA      | $926711.18    | 0.01%             | 2051-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4341                          | CUSIP: 3140NYZF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9944787 | PA      | $10154745.53  | 0.14%             | 2030-10-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2941                          | CUSIP: 3140NXHT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5721000 | PA      | $5851115.56   | 0.08%             | 2030-01-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2022-34 BA                     | CUSIP: 38383MCA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    581292 | PA      | $509417.95    | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.230150 15-DEC-2027 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  42000000 | NC      | $70176.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM8155                          | CUSIP: 3138L9BZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1607639 | PA      | $1517824.49   | 0.02%             | 2035-04-01      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 30Y RTR 3.690000 16-JUL-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   8350000 | NC      | $51724.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5170 DP                        | CUSIP: 3137H4FG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11710205 | PA      | $10403137.32  | 0.15%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2022-4 YT                      | CUSIP: 3136BLYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6002525 | PA      | $5480850.17   | 0.08%             | 2052-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2443                          | CUSIP: 3140NWWD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2200000 | PA      | $2245199.22   | 0.03%             | 2029-11-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS4800                          | CUSIP: 3140LFKN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4886177 | PA      | $4412934.44   | 0.06%             | 2032-02-01      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 157700000 | PA      | $162671246.49 | 2.30%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.474500 30-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   4900000 | NC      | $6288.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 114000000 | PA      | $115140000.00 | 1.62%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer