# EDGAR Filing Document

**Accession Number:** 0000106444
**File Stem:** 0001752724-23-075084
**Filing Date:** 2023-3
**Character Count:** 85365
**Document Hash:** d294e783bfaa4d032a906240edc678a9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-075084.hdr.sgml**: 20230331

**ACCESSION NUMBER**: 0001752724-23-075084

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230331

**DATE AS OF CHANGE**: 20230331

**PERIOD START**: 20230131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VANGUARD FIXED INCOME SECURITIES FUNDS
- **CENTRAL INDEX KEY:** 0000106444
- **IRS NUMBER:** 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:** 23784173

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Malvern

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19355

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

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

- **a. Name of Series:** VANGUARD SHORT-TERM FEDERAL FUND

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

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

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

- **a. Date of fiscal year-end:** 2023-01-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $6256560246.84

**Total Liabilities:** $734822340.93

**Net Assets:** $5521737905.91

**Delayed Delivery Securities:** $686508486.38

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -15000.92048322 | **1-Year:** -343806.74876237 | **5-Year:** -578960.03247740 | **10-Year:** -483274.70840749 | **30-Year:** -193008.30985866

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007105 | 0.93%                | -0.06%               | 1.24%                |
| Class ID C000007106 | 0.94%                | -0.05%               | 1.25%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-13407907.98            | $84434141.23                               |
| Month 2  | $-2442114.04             | $-32791372.85                              |
| Month 3  | $-13363452.99            | $93676168.88                               |

**Designated Index Information**

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

- **Index Identifier:** I00640

### Schedule of Portfolio Investments

| Name                                                         | Title                          | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac Pool                                             | FR RA7881                      | CUSIP: 3133KPXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12439988 | PA      | $12511069.19  | 0.23%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CEY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 103000000 | PA      | $100569838.60 | 1.82%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                    | CUSIP: 3134GWJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  73100000 | PA      | $66921661.10  | 1.21%             | 2025-08-06      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K059 X1                   | CUSIP: 3137BSRG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3004345 | PA      | $26858.85     | 0.00%             | 2026-09-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RA8089                      | CUSIP: 3133KP7A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5390621 | PA      | $5419219.91   | 0.10%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18547                      | CUSIP: 3128MMTD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1040236 | PA      | $968569.60    | 0.02%             | 2030-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K045 A2                   | CUSIP: 3137BHXJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9110078 | PA      | $8845760.42   | 0.16%             | 2025-01-25      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS KG06 X1                   | CUSIP: 3137H4C73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  36976536 | PA      | $1330478.61   | 0.02%             | 2031-10-25      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CDZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  69600000 | PA      | $65967750.00  | 1.19%             | 2025-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Farm Credit Banks Funding Corp                       | FED FARM CREDIT                | CUSIP: 3133EL6S8<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        | 275000000 | PA      | $246676375.00 | 4.47%             | 2026-03-09      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 4.5 3/21                  | CUSIP: 01F042434<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 141000000 | PA      | $142266800.40 | 2.58%             | 2023-03-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K036 X1                   | CUSIP: 3137B7N21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3321053 | PA      | $11443.68     | 0.00%             | 2023-10-25      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 2YR NOTE (CBT) Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      2435 | NC      | $-363532.61   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K110 X1                   | CUSIP: 3137FTZS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20211626 | PA      | $1863665.49   | 0.03%             | 2030-04-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-214 CZ                | CUSIP: 38383FCA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5395292 | PA      | $4324566.95   | 0.08%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-225 GZ                | CUSIP: 38383FUD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1018214 | PA      | $825032.41    | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-1 ZQ                  | CUSIP: 38382MV55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    544465 | PA      | $475978.45    | 0.01%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CB4847                      | CUSIP: 3140QQL52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2857652 | PA      | $2913720.61   | 0.05%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CFP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41700000 | PA      | $42025781.25  | 0.76%             | 2025-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K055 X1                   | CUSIP: 3137BPW39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3673315 | PA      | $124838.36    | 0.00%             | 2026-03-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 161425000 | PA      | $157238039.06 | 2.85%             | 2025-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA2452                      | CUSIP: 3140Q9WN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.22         | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K040 X1                   | CUSIP: 3137BEVJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4052663 | PA      | $32642.99     | 0.00%             | 2024-09-25      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CDS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21400000 | PA      | $20166157.32  | 0.37%             | 2025-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-84 KZ                 | CUSIP: 3136BKSN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1216028 | PA      | $954046.56    | 0.02%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-93 WZ                 | CUSIP: 3136BK5D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1708797 | PA      | $1321587.27   | 0.02%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0492                      | CUSIP: 3132CWRM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8293975 | PA      | $7602780.86   | 0.14%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 4.5 1/21                  | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  88500000 | PA      | $89187362.69  | 1.62%             | 2038-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS3492                      | CUSIP: 3140XJ3A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2038-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS0003                      | CUSIP: 3140XFAD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10219575 | PA      | $9135071.91   | 0.17%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZT1989                      | CUSIP: 3132AEF68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19504424 | PA      | $19129045.35  | 0.35%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                    | CUSIP: 3134GYDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        | 250000000 | PA      | $250444250.00 | 4.54%             | 2025-01-24      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA4236                      | CUSIP: 3140QBV62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6595940 | PA      | $6455961.24   | 0.12%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8097                      | CUSIP: 3132D57J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15840312 | PA      | $14055847.35  | 0.25%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-114 TZ                | CUSIP: 38382URV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2842383 | PA      | $2288490.09   | 0.04%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-176 ZG                | CUSIP: 38383CDG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2193248 | PA      | $1696864.90   | 0.03%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CEX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 248000000 | PA      | $242691262.40 | 4.40%             | 2024-06-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-175 DZ                | CUSIP: 38383CC40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149470 | PA      | $111701.15    | 0.00%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                           | FRE PRIN STRIP                 | CUSIP: 3134A4AB0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  21820000 | PA      | $15817601.66  | 0.29%             | 2031-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-196 JZ                | CUSIP: 38383DAV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8672266 | PA      | $7013550.40   | 0.13%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS1974                      | CUSIP: 3140XHFQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  77217333 | PA      | $68472037.45  | 1.24%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 4 2/23                    | CUSIP: 01F040420<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  64250000 | PA      | $63888593.75  | 1.16%             | 2023-02-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K068 X1                   | CUSIP: 3137FBBZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4272449 | PA      | $71034.59     | 0.00%             | 2027-08-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5171 NZ                    | CUSIP: 3137H4Q52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    727851 | PA      | $571638.76    | 0.01%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-92 ZA                 | CUSIP: 3136BKE81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5288360 | PA      | $4232843.78   | 0.08%             | 2051-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-215 GZ                | CUSIP: 38383D2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5362266 | PA      | $4429669.97   | 0.08%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J31851                      | CUSIP: 31307NBU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     92103 | PA      | $85786.47     | 0.00%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-65 PZ                 | CUSIP: 3136BG3S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5500315 | PA      | $4173952.63   | 0.08%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K062 X1                   | CUSIP: 3137BUX86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  76970291 | PA      | $791516.30    | 0.01%             | 2026-12-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-199 ZA                | CUSIP: 38383DJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120412 | PA      | $93539.18     | 0.00%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-23 MG                 | CUSIP: 38382NXF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34908715 | PA      | $30087783.31  | 0.54%             | 2051-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS KIR1 X                    | CUSIP: 3137BP7A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  88316186 | PA      | $2416480.99   | 0.04%             | 2026-03-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                      | FED HOME LN BANK               | CUSIP: 3130ALGL2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  49145000 | PA      | $43805494.04  | 0.79%             | 2027-02-26      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-196 TZ                | CUSIP: 38383DBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5205754 | PA      | $4199465.22   | 0.08%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K140 X1                   | CUSIP: 3137H6M36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 127979423 | PA      | $2883670.76   | 0.05%             | 2032-01-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5194 ZN                    | CUSIP: 3137H5TC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7345437 | PA      | $5849802.04   | 0.11%             | 2051-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CB4833                      | CUSIP: 3140QQLP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3901540 | PA      | $3922228.58   | 0.07%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $60675000.00  | 1.10%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 2.5 1/23                  | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11000000 | PA      | $10268402.76  | 0.19%             | 2038-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5145 HZ                    | CUSIP: 3137H2N59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1239249 | PA      | $907894.72    | 0.02%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                    | CUSIP: 3134GXS88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        | 226200000 | PA      | $223050391.20 | 4.04%             | 2025-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-142 ZY                | CUSIP: 38382XPT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84027 | PA      | $63425.73     | 0.00%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-75 ZL                 | CUSIP: 3136BJ3P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7212388 | PA      | $5558897.45   | 0.10%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5153 Z                     | CUSIP: 3137H34H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8024653 | PA      | $6454464.35   | 0.12%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-155 ZT                | CUSIP: 38383AHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11552790 | PA      | $9086328.08   | 0.16%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K046 A2                   | CUSIP: 3137BJP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17000000 | PA      | $16549916.50  | 0.30%             | 2025-03-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Israel Government AID Bond                                   | AID-ISRAEL                     | CUSIP: 465139VE0<br>LEI: N/A                  | Long             | DBT              | NUSS              | IL        |   6905000 | PA      | $6379100.63   | 0.12%             | 2024-11-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                      | FED HOME LN BANK               | CUSIP: 3130ALED2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  10570000 | PA      | $9386487.67   | 0.17%             | 2027-02-24      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5 2/23                    | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $4515468.75   | 0.08%             | 2023-02-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                    | CUSIP: 3134GXR63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        | 125000000 | PA      | $123102500.00 | 2.23%             | 2025-08-28      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                        | FANNIE MAE                     | CUSIP: 3135G06N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        | 180495000 | PA      | $163517279.31 | 2.96%             | 2025-12-17      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10YR NOTE (CBT)Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     -5692 | NC      | $-8143081.04  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Pool                                             | FR SD8279                      | CUSIP: 3132DWFU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    977814 | PA      | $1004368.56   | 0.02%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-156 Z                 | CUSIP: 38383ASL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2460973 | PA      | $2019191.65   | 0.04%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BO8872                      | CUSIP: 3140K42E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    181931 | PA      | $175278.70    | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Private Export Funding Corp                                  | PRIVATE EXPT FDG               | CUSIP: 742651DY5<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |  26000000 | PA      | $22626326.32  | 0.41%             | 2028-07-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-197 QZ                | CUSIP: 38383DPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4932309 | PA      | $4419392.99   | 0.08%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18480                      | CUSIP: 3128MMRA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22727 | PA      | $21509.44     | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5176 Z                     | CUSIP: 3137H4EX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2590639 | PA      | $2043268.19   | 0.04%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-209 ZL                | CUSIP: 38383DV70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    554682 | PA      | $474727.16    | 0.01%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-85 BZ                 | CUSIP: 3136BKHY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19394012 | PA      | $12885021.02  | 0.23%             | 2051-12-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Coupon Strips                                    | FRESTP 0 3/15/2031             | CUSIP: 3134A4CP7<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   4455000 | PA      | $3229487.42   | 0.06%             | 2031-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5155 KZ                    | CUSIP: 3137H36F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1657476 | PA      | $1250056.77   | 0.02%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K052 X1                   | CUSIP: 3137BMTY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2299006 | PA      | $32608.42     | 0.00%             | 2025-11-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-176 JZ                | CUSIP: 38383CEA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12201914 | PA      | $9958598.11   | 0.18%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-155 JZ                | CUSIP: 38383AKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6014078 | PA      | $4771925.53   | 0.09%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                    | CUSIP: 3134GXHL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        | 194850000 | PA      | $176614767.90 | 3.20%             | 2025-12-30      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-93 Z                  | CUSIP: 3136BK6M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  32190805 | PA      | $25977590.04  | 0.47%             | 2051-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS KSG2 X1                   | CUSIP: 3137H4S92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 351261719 | PA      | $3333298.08   | 0.06%             | 2031-11-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K105 X1                   | CUSIP: 3137FRUL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  53080291 | PA      | $4420664.64   | 0.08%             | 2030-01-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                 | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        | 394377000 | PA      | $299643700.83 | 5.43%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                    | CUSIP: 3134GXS96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  45950000 | PA      | $45438990.05  | 0.82%             | 2024-08-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5139 ZG                    | CUSIP: 3137H2CA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1562233 | PA      | $1176697.41   | 0.02%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA4091                      | CUSIP: 3140QBRM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26192565 | PA      | $25664970.37  | 0.46%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-225 Z                 | CUSIP: 38383FWT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4325686 | PA      | $3674537.75   | 0.07%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Private Export Funding Corp                                  | PRIVATE EXPT FDG               | CUSIP: 742651DT6<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |   8700000 | PA      | $8576973.21   | 0.16%             | 2024-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS KG02 X1                   | CUSIP: 3137FPHS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15498777 | PA      | $780523.08    | 0.01%             | 2029-08-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  62500000 | PA      | $62519531.25  | 1.13%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-197 ZQ                | CUSIP: 38383DQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6659758 | PA      | $5548084.73   | 0.10%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5160 GZ                    | CUSIP: 3137H3WB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4887878 | PA      | $4012366.67   | 0.07%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA3613                      | CUSIP: 3140QBAP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6326700 | PA      | $6192293.06   | 0.11%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5132 PZ                    | CUSIP: 3137H1TB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1175327 | PA      | $923352.98    | 0.02%             | 2051-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4818                      | CUSIP: 31418EK82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9097855 | PA      | $9344758.37   | 0.17%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CB2221                      | CUSIP: 3140QMPF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3872637 | PA      | $3434109.29   | 0.06%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 2.5 2/23                  | CUSIP: 01F022428<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -11000000 | PA      | $-10288437.50 | -0.19%            | 2023-02-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5191 QZ                    | CUSIP: 3137H5PA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6543318 | PA      | $5366631.45   | 0.10%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5181 DZ                    | CUSIP: 3137H4TH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4666210 | PA      | $3811988.19   | 0.07%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5176 QZ                    | CUSIP: 3137H4EU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2320582 | PA      | $1766206.31   | 0.03%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS KW10 X1                   | CUSIP: 3137FQ3H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  53409073 | PA      | $1825671.65   | 0.03%             | 2029-09-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K060 X1                   | CUSIP: 3137BTAE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10939780 | PA      | $30972.70     | 0.00%             | 2026-10-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 9128286R6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 250000000 | PA      | $242734375.00 | 4.40%             | 2024-04-30      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2022-1 HZ                  | CUSIP: 3136BLLN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8763082 | PA      | $7159225.93   | 0.13%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2022-1 GZ                  | CUSIP: 3136BLLQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7940859 | PA      | $6391208.40   | 0.12%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5155 NZ                    | CUSIP: 3137H37J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8996513 | PA      | $6988026.74   | 0.13%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K065 X1                   | CUSIP: 3137F1G69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  35209251 | PA      | $827107.56    | 0.01%             | 2027-04-25      | Variable      | 0.67%                 | 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        |  96911807 | NS      | $96902116.23  | 1.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                 | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        | 227307000 | PA      | $170904404.86 | 3.10%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA4237                      | CUSIP: 3140QBV70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6463642 | PA      | $6326163.89   | 0.11%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-121 ZT                | CUSIP: 38382VMT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2934158 | PA      | $2363737.64   | 0.04%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Interest Strip                       | RFCO STRIPS                    | CUSIP: 76116EGR5<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   4155000 | PA      | $3154463.54   | 0.06%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  99200000 | PA      | $101199495.04 | 1.83%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 2.5 1/23                  | CUSIP: 01F022410<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -11000000 | PA      | $-10268402.76 | -0.19%            | 2038-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US LONG BOND(CBT) Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -164 | NC      | $-548625.01   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB6335                      | CUSIP: 31417DBD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50778 | PA      | $48949.56     | 0.00%             | 2027-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-95 LZ                 | CUSIP: 3136BKVV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1964072 | PA      | $1588704.19   | 0.03%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                   | TENN VALLEY AUTH               | CUSIP: 880591EX6<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |  50000000 | PA      | $40810773.00  | 0.74%             | 2031-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2022-4 UZ                  | CUSIP: 3136BLYX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  31744201 | PA      | $26058189.43  | 0.47%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA5269                      | CUSIP: 3140QC2B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11076137 | PA      | $10425011.11  | 0.19%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18559                      | CUSIP: 3128MMTR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    277226 | PA      | $258050.12    | 0.00%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J31975                      | CUSIP: 31307NFQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    746450 | PA      | $694841.73    | 0.01%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA8377                      | CUSIP: 3140QGJX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18134151 | PA      | $16082569.06  | 0.29%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                    | CUSIP: 3134GXS47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        | 151000000 | PA      | $148993512.00 | 2.70%             | 2025-08-28      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AT2769                      | CUSIP: 3138WQCF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1505828 | PA      | $1440337.69   | 0.03%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4302                      | CUSIP: 31418DX80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16277870 | PA      | $14443848.55  | 0.26%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 6 2/21                    | CUSIP: 01F060626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -11000000 | PA      | $-11292187.50 | -0.20%            | 2023-02-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-161 ZQ                | CUSIP: 38383A6E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1561138 | PA      | $1235513.36   | 0.02%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5179 HZ                    | CUSIP: 3137H5DH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10620954 | PA      | $8862072.74   | 0.16%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K104 X1                   | CUSIP: 3137FREK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  54936397 | PA      | $3341412.94   | 0.06%             | 2030-01-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-197 BZ                | CUSIP: 38383DPU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1870549 | PA      | $1277293.23   | 0.02%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS1330                      | CUSIP: 3140XGPQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 104730253 | PA      | $95278389.42  | 1.73%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                      | FED HOME LN BANK               | CUSIP: 3130AKYH3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        | 136475000 | PA      | $120134575.30 | 2.18%             | 2027-02-10      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-158 PZ                | CUSIP: 38382XU52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2591057 | PA      | $2064395.74   | 0.04%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds               | TSY INFL IX N/B                | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  62055850 | PA      | $61289845.49  | 1.11%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K054 X1                   | CUSIP: 3137BNGU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 116409430 | PA      | $3234016.94   | 0.06%             | 2026-01-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5167 MZ                    | CUSIP: 3137H3M41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4199380 | PA      | $3228583.37   | 0.06%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K058 X1                   | CUSIP: 3137BSP98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6611587 | PA      | $176459.95    | 0.00%             | 2026-08-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-216 Z                 | CUSIP: 38383D6H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    959912 | PA      | $748358.82    | 0.01%             | 2051-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K064 X1                   | CUSIP: 3137BXR20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2997868 | PA      | $62914.17     | 0.00%             | 2027-03-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K035 X1                   | CUSIP: 3137B5KX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6350753 | PA      | $9030.14      | 0.00%             | 2023-08-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 4.5 2/23                  | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  34500000 | PA      | $34063361.10  | 0.62%             | 2023-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS0001                      | CUSIP: 3138W9AB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    347990 | PA      | $332829.12    | 0.01%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 4.5 1/21                  | CUSIP: 01F042418<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -88500000 | PA      | $-89187362.69 | -1.62%            | 2038-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                      | FED HOME LN BANK               | CUSIP: 3130AL2X1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        | 100000000 | PA      | $88089600.00  | 1.60%             | 2027-02-17      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5.5 2/23                  | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -28000000 | PA      | $-28420000.00 | -0.51%            | 2023-02-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5 3/23                    | CUSIP: 01F050635<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $15043359.00  | 0.27%             | 2023-03-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                    | CUSIP: 3134GXZ64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        | 150000000 | PA      | $148588200.00 | 2.69%             | 2025-03-21      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                      | FED HOME LN BANK               | CUSIP: 3130ALCE2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  25900000 | PA      | $22876019.60  | 0.41%             | 2027-02-26      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5171 Z                     | CUSIP: 3137H4KJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    175608 | PA      | $122993.23    | 0.00%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 4.5 3/23                  | CUSIP: 01F042632<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21000000 | PA      | $20730937.50  | 0.38%             | 2023-03-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR QE4085                      | CUSIP: 3133BDRE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    827183 | PA      | $849349.42    | 0.02%             | 2052-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-82 ZW                 | CUSIP: 3136BKFJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2004715 | PA      | $1582302.22   | 0.03%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K088 X1                   | CUSIP: 3137FL6G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 269299818 | PA      | $7068204.60   | 0.13%             | 2029-01-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-176 ZQ                | CUSIP: 38383CDL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    888528 | PA      | $634441.83    | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-193 Z                 | CUSIP: 38383DRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1161471 | PA      | $923603.21    | 0.02%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS KG04 X1                   | CUSIP: 3137F84T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10980782 | PA      | $553700.46    | 0.01%             | 2030-11-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                      | FED HOME LN BANK               | CUSIP: 3130AL5A8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        | 105695000 | PA      | $93240852.46  | 1.69%             | 2027-02-26      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5188 LZ                    | CUSIP: 3137H5JW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9767734 | PA      | $7913499.02   | 0.14%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-215 ZG                | CUSIP: 38383DY28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3259461 | PA      | $2572827.01   | 0.05%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-197 ZB                | CUSIP: 38383DPW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15933916 | PA      | $12768640.19  | 0.23%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-122 BZ                | CUSIP: 38382WAA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145048 | PA      | $123924.77    | 0.00%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K053 X1                   | CUSIP: 3137BN6H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9910852 | PA      | $200594.66    | 0.00%             | 2025-12-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US ULTRA BOND CBT Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     -1376 | NC      | $-5242226.11  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 4.5 2/21                  | CUSIP: 01F042426<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 158000000 | PA      | $159407179.60 | 2.89%             | 2023-02-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                    | CUSIP: 3134GXA61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        | 300000000 | PA      | $295914600.00 | 5.36%             | 2024-12-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K057 X1                   | CUSIP: 3137BRQL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 132472648 | PA      | $4188069.79   | 0.08%             | 2026-07-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Principal Strip                                   | FNMA 0 11/15/2030              | CUSIP: 31358DDS0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   7000000 | PA      | $5153624.00   | 0.09%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K148 X1                   | CUSIP: 3137H8UB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 164958433 | PA      | $3685303.36   | 0.07%             | 2032-07-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                    | CUSIP: 3134GXEJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        | 174650000 | PA      | $158447370.20 | 2.87%             | 2025-11-24      | Fixed         | 0.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K038 X1                   | CUSIP: 3137BBBE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2077962 | PA      | $18316.61     | 0.00%             | 2024-03-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5184 PZ                    | CUSIP: 3137H4V49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5276986 | PA      | $4193261.76   | 0.08%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-196 ZG                | CUSIP: 38383DAC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1431814 | PA      | $1065287.95   | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K044 A2                   | CUSIP: 3137BHCY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15839331 | PA      | $15341812.51  | 0.28%             | 2025-01-25      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5155 JZ                    | CUSIP: 3137H35X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1819767 | PA      | $1349222.18   | 0.02%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-92 Z                  | CUSIP: 3136BKF72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2073157 | PA      | $1649809.17   | 0.03%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                        | FANNIE MAE                     | CUSIP: 3135G06K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        | 138500000 | PA      | $125472413.00 | 2.27%             | 2025-12-17      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-83 DZ                 | CUSIP: 3136BKGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    637737 | PA      | $505453.68    | 0.01%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-154 DZ                | CUSIP: 38383AHJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    652692 | PA      | $480139.99    | 0.01%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CFE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53500000 | PA      | $52396562.50  | 0.95%             | 2025-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K135 X1                   | CUSIP: 3137H4R51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 265725015 | PA      | $3553195.18   | 0.06%             | 2031-10-25      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K037 X1                   | CUSIP: 3137B8G50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  57736770 | PA      | $368816.71    | 0.01%             | 2024-01-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS KG07 X1                   | CUSIP: 3137H8U25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 231600000 | PA      | $961927.44    | 0.02%             | 2032-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-205 ZL                | CUSIP: 38383C3L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1309463 | PA      | $789705.00    | 0.01%             | 2051-11-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CB4573                      | CUSIP: 3140QQCK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13125901 | PA      | $13195603.43  | 0.24%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                    | CUSIP: 3134GXR97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  52950000 | PA      | $52219713.60  | 0.95%             | 2025-08-28      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RA8098                      | CUSIP: 3133KP7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14215657 | PA      | $14532260.74  | 0.26%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS KG05 X1                   | CUSIP: 3137FFXM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 114000000 | PA      | $2332519.80   | 0.04%             | 2031-01-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA1630                      | CUSIP: 3140Q8Y41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4173925 | PA      | $4090585.77   | 0.07%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5181 JZ                    | CUSIP: 3137H4TU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1219599 | PA      | $1022668.41   | 0.02%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CEQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $97125000.00  | 1.76%             | 2025-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5167 CZ                    | CUSIP: 3137H3LN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10722500 | PA      | $8670450.82   | 0.16%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 5YR NOTE (CBT) Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      2479 | NC      | $-137870.40   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-197 ZN                | CUSIP: 38383DQY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1455784 | PA      | $1175224.42   | 0.02%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 110000000 | PA      | $111650000.00 | 2.02%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RA8266                      | CUSIP: 3133KQFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7758856 | PA      | $7911533.46   | 0.14%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K043 X1                   | CUSIP: 3137BGK32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19425610 | PA      | $167619.70    | 0.00%             | 2024-12-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-209 ZV                | CUSIP: 38383DW61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2645153 | PA      | $2122469.22   | 0.04%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10yr Ultra Fut Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     -1617 | NC      | $-1812959.34  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Interest Strip                                    | FNMA GEN STRIP                 | CUSIP: 31359YBA4<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   8000000 | PA      | $7150808.00   | 0.13%             | 2025-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-206 Z                 | CUSIP: 38383DXW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16833 | PA      | $10538.84     | 0.00%             | 2051-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-30

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

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer