# EDGAR Filing Document

**Accession Number:** 0000106444
**File Stem:** 0001752724-23-075093
**Filing Date:** 2023-3
**Character Count:** 57038
**Document Hash:** d215bd35a2ce5b8109cef2c2675fdd17
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-075093.hdr.sgml**: 20230331

**ACCESSION NUMBER**: 0001752724-23-075093

**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:** 23784181

**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 Treasury Fund (Series ID: S000002583)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000007089 | Investor Shares | VFISX           |
| C000007090 | Admiral Shares  | VFIRX           |

## 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 TREASURY FUND

- **b. EDGAR series identifier (if any):** S000002583

- **c. LEI of Series:** SMW62R66J4CAWU1R4S26

**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:** $7303998936.40

**Total Liabilities:** $572412916.99

**Net Assets:** $6731586019.41

**Delayed Delivery Securities:** $477493076.18

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -947.34168665 | **1-Year:** -21451.12798384 | **5-Year:** -60248.18204786 | **10-Year:** -227193.78106590 | **30-Year:** -166846.38564009

**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 C000007090 | 0.75%                | -0.04%               | 0.98%                |
| Class ID C000007089 | 0.75%                | -0.04%               | 0.98%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-21970946.58            | $69234306.23                               |
| Month 2  | $-23568714.72            | $-2461138.72                               |
| Month 3  | $-18884285.49            | $81269267.57                               |

**Designated Index Information**

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

- **Index Identifier:** I00641

### 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        |  14353833 | PA      | $14435849.06  | 0.21%             | 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        |  70100000 | PA      | $68446074.62  | 1.02%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 9128285C0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $97562500.00  | 1.45%             | 2025-09-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CEH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 214000000 | PA      | $207312500.00 | 3.08%             | 2025-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CDZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 289988400 | PA      | $274854630.38 | 4.08%             | 2025-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 912828ZC7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57400000 | PA      | $53973937.50  | 0.80%             | 2025-02-28      | Fixed         | 1.12%                 | 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        |  66500000 | PA      | $67097462.60  | 1.00%             | 2023-03-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5393                      | CUSIP: 3140QQ7F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  83274366 | PA      | $83716844.02  | 1.24%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 912828D56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 169000000 | PA      | $163718750.00 | 2.43%             | 2024-08-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  88500000 | PA      | $79608511.20  | 1.18%             | 2026-08-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                               | US 2YR NOTE (CBT) Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       889 | NC      | $-308057.32   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5 2/23                    | CUSIP: 01F050627<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -56750000 | PA      | $-56945078.13 | -0.85%            | 2023-02-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-214 CZ                | CUSIP: 38383FCA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12540434 | PA      | $10051717.32  | 0.15%             | 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        |   4214990 | PA      | $3415296.74   | 0.05%             | 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        |   2087858 | PA      | $1825232.62   | 0.03%             | 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   | 0.04%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 9128286X3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12000000 | PA      | $11379374.40  | 0.17%             | 2026-05-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 170500000 | PA      | $166077656.25 | 2.47%             | 2025-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZA1949                      | CUSIP: 31329KEW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    861232 | PA      | $895335.35    | 0.01%             | 2026-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CDS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 118000000 | PA      | $111196568.40 | 1.65%             | 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        |   5840786 | PA      | $4582444.95   | 0.07%             | 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        |   1969092 | PA      | $1522900.25   | 0.02%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 9128282U3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $28818750.00  | 0.43%             | 2024-08-31      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CBT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47000000 | PA      | $42755312.50  | 0.64%             | 2026-03-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 9128283V0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57400000 | PA      | $55534500.00  | 0.82%             | 2025-01-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CBR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 174000000 | PA      | $165599071.20 | 2.46%             | 2024-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CEX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  76000000 | PA      | $74373128.80  | 1.10%             | 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        |    706834 | PA      | $528227.93    | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | 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        |  51000000 | PA      | $50713125.00  | 0.75%             | 2023-02-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 5171 NZ                    | CUSIP: 3137H4Q52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2544256 | PA      | $1998206.14   | 0.03%             | 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        |   5773054 | PA      | $4620796.18   | 0.07%             | 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        |  11701231 | PA      | $9666172.70   | 0.14%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-199 ZA                | CUSIP: 38383DJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378604 | PA      | $294109.44    | 0.00%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22000000 | PA      | $19531875.00  | 0.29%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 912828WJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  80000000 | PA      | $77850000.00  | 1.16%             | 2024-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 5194 ZN                    | CUSIP: 3137H5TC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8893704 | PA      | $7082819.90   | 0.11%             | 2051-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 912828W48<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  84600000 | PA      | $82260285.48  | 1.22%             | 2024-02-29      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CEK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 174000000 | PA      | $169432500.00 | 2.52%             | 2024-04-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-142 ZY                | CUSIP: 38382XPT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    402993 | PA      | $304189.78    | 0.00%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 377000000 | PA      | $358856875.00 | 5.33%             | 2025-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CCG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  88000000 | PA      | $82995000.00  | 1.23%             | 2024-06-15      | Fixed         | 0.25%                 | 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        |  43000000 | PA      | $43147812.50  | 0.64%             | 2023-02-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SD8279                      | CUSIP: 3132DWFU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15072194 | PA      | $15481504.04  | 0.23%             | 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        |   4813300 | PA      | $3949240.25   | 0.06%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 912828ZT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 163000000 | PA      | $149348750.00 | 2.22%             | 2025-05-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0299                      | CUSIP: 3132D9KL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    134216 | PA      | $136017.83    | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 5176 Z                     | CUSIP: 3137H4EX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10288239 | PA      | $8114457.69   | 0.12%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 9128284Z0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $33939062.50  | 0.50%             | 2025-08-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-209 ZL                | CUSIP: 38383DV70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2462570 | PA      | $2107600.13   | 0.03%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  66000000 | PA      | $64576875.00  | 0.96%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70000000 | PA      | $61271875.00  | 0.91%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2021-93 Z                  | CUSIP: 3136BK6M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  35956461 | PA      | $29016428.61  | 0.43%             | 2051-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CCX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  72000000 | PA      | $67511246.40  | 1.00%             | 2024-09-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-225 Z                 | CUSIP: 38383FWT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16900867 | PA      | $14356768.04  | 0.21%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 135000000 | PA      | $122913288.00 | 1.83%             | 2026-12-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CCT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  83000000 | PA      | $77968125.00  | 1.16%             | 2024-08-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256803                      | CUSIP: 31371NGL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    107570 | PA      | $110603.52    | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 5132 PZ                    | CUSIP: 3137H1TB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4532899 | PA      | $3561106.88   | 0.05%             | 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        |   9576690 | PA      | $9836587.75   | 0.15%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 5191 QZ                    | CUSIP: 3137H5PA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8067331 | PA      | $6616581.10   | 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        |   9240932 | PA      | $7549236.51   | 0.11%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $54412500.00  | 0.81%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN MA4847                      | CUSIP: 31418EL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    121709 | PA      | $125012.38    | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CAJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32000000 | PA      | $29110000.00  | 0.43%             | 2025-08-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                               | US 10YR NOTE (CBT)Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       859 | NC      | $-362098.81   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 9128286R6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 143000000 | PA      | $138844062.50 | 2.06%             | 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        |   8736793 | PA      | $7137748.25   | 0.11%             | 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        |   7791359 | PA      | $6270883.41   | 0.09%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vanguard Cmt Funds-Vanguard Market Liquidity Fund | Vanguard Market Liquidity Fund | CUSIP: N/A<br>LEI: 1I6HV0TLSTR3A4XQ6L78       | Long             | STIV             | CORP              | US        |  79672441 | NS      | $79664474.21  | 1.18%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43400000 | PA      | $41826750.00  | 0.62%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-121 ZT                | CUSIP: 38382VMT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13459904 | PA      | $10843207.39  | 0.16%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  74000000 | PA      | $66970000.00  | 0.99%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                               | US LONG BOND(CBT) Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -166 | NC      | $-554793.53   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 9128282A7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 121000000 | PA      | $111925000.00 | 1.66%             | 2026-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2021-95 LZ                 | CUSIP: 3136BKVV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3195680 | PA      | $2584931.52   | 0.04%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2022-4 UZ                  | CUSIP: 3136BLYX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  28924320 | PA      | $23743404.68  | 0.35%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 912828X70<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $58068750.00  | 0.86%             | 2024-04-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  64200000 | PA      | $59766187.50  | 0.89%             | 2027-02-28      | Fixed         | 1.88%                 | 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        | -25000000 | PA      | $-25664062.50 | -0.38%            | 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        |   6764932 | PA      | $5353891.22   | 0.08%             | 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        |  12440698 | PA      | $10380458.50  | 0.15%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN CB5313                      | CUSIP: 3140QQ3X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-197 BZ                | CUSIP: 38383DPU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7210698 | PA      | $4923782.91   | 0.07%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-158 PZ                | CUSIP: 38382XU52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11355061 | PA      | $9047018.92   | 0.13%             | 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        |  74591952 | PA      | $73671203.71  | 1.09%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-216 Z                 | CUSIP: 38383D6H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3641214 | PA      | $2838734.83   | 0.04%             | 2051-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR SC0006                      | CUSIP: 3132D9AF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    177173 | PA      | $179532.70    | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | 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        |  40000000 | PA      | $39493752.00  | 0.59%             | 2023-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 120000000 | PA      | $107700000.00 | 1.60%             | 2026-07-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5.5 2/23                  | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18000000 | PA      | $18270000.00  | 0.27%             | 2023-02-13      | Fixed         | 5.50%                 | 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        | -45500000 | PA      | $-46182500.00 | -0.69%            | 2023-02-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CEG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  95000000 | PA      | $92372661.00  | 1.37%             | 2024-03-31      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 912828XT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 175000000 | PA      | $169093750.00 | 2.51%             | 2024-05-31      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 5171 Z                     | CUSIP: 3137H4KJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1275225 | PA      | $893147.06    | 0.01%             | 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        |  30500000 | PA      | $30109218.75  | 0.45%             | 2023-03-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2021-82 ZW                 | CUSIP: 3136BKFJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7916079 | PA      | $6248085.83   | 0.09%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CDN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 148000000 | PA      | $139374382.40 | 2.07%             | 2024-12-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-193 Z                 | CUSIP: 38383DRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5001955 | PA      | $3977560.99   | 0.06%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 5188 LZ                    | CUSIP: 3137H5JW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9690213 | PA      | $7850693.48   | 0.12%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 912828Y95<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 110000000 | PA      | $103228125.00 | 1.53%             | 2026-07-31      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-215 ZG                | CUSIP: 38383DY28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7335937 | PA      | $5790557.80   | 0.09%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-122 BZ                | CUSIP: 38382WAA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    805353 | PA      | $688068.21    | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41000000 | PA      | $39488125.00  | 0.59%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                               | US ULTRA BOND CBT Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     -1988 | NC      | $-8025926.35  | -0.12%            |  |  |  | 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        |  67500000 | PA      | $68101168.50  | 1.01%             | 2023-02-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 912828Z52<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17300000 | PA      | $16375531.25  | 0.24%             | 2025-01-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256395                      | CUSIP: 31371MXY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    158479 | PA      | $163253.83    | 0.00%             | 2026-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30500000 | PA      | $27030625.00  | 0.40%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $18043750.00  | 0.27%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CFK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 168100000 | PA      | $166235132.22 | 2.47%             | 2025-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 5184 PZ                    | CUSIP: 3137H4V49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5158345 | PA      | $4098985.10   | 0.06%             | 2052-01-25      | 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        |   8607880 | PA      | $6850114.09   | 0.10%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2021-83 DZ                 | CUSIP: 3136BKGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2781891 | PA      | $2204852.28   | 0.03%             | 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        |   1958077 | PA      | $1440419.96   | 0.02%             | 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        | 156500000 | PA      | $153272187.50 | 2.28%             | 2025-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-205 ZL                | CUSIP: 38383C3L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2488199 | PA      | $1500571.11   | 0.02%             | 2051-11-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR RA8098                      | CUSIP: 3133KP7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16176437 | PA      | $16536710.50  | 0.25%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR ZS9174                      | CUSIP: 3132AAFP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    109454 | PA      | $112502.13    | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38553500 | PA      | $34288519.06  | 0.51%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CBE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63700000 | PA      | $60952937.50  | 0.91%             | 2024-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN 256752                      | CUSIP: 31371NEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     79681 | PA      | $81924.18     | 0.00%             | 2027-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 5181 JZ                    | CUSIP: 3137H4TU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2182415 | PA      | $1830016.88   | 0.03%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CBV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  83300000 | PA      | $79161031.25  | 1.18%             | 2024-04-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 197100000 | PA      | $178067531.25 | 2.65%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CEQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 120000000 | PA      | $116550000.00 | 1.73%             | 2025-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CAZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 191000000 | PA      | $173093750.00 | 2.57%             | 2025-11-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 108100000 | PA      | $98252760.22  | 1.46%             | 2026-10-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CDK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38600000 | PA      | $35198375.00  | 0.52%             | 2026-11-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 912828Y87<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $48007810.00  | 0.71%             | 2024-07-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CCC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $94562500.00  | 1.40%             | 2024-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                               | US 5YR NOTE (CBT) Mar23        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      3946 | NC      | $-1095953.17  | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-197 ZN                | CUSIP: 38383DQY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5419622 | PA      | $4375150.54   | 0.06%             | 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        |  51800000 | PA      | $52577000.00  | 0.78%             | 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        |   8728713 | PA      | $8900475.14   | 0.13%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 912828XX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 151000000 | PA      | $145691413.80 | 2.16%             | 2024-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-209 ZV                | CUSIP: 38383DW61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12599249 | PA      | $10109631.26  | 0.15%             | 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       |     -1117 | NC      | $75751.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CDV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 157000000 | PA      | $151063437.50 | 2.24%             | 2024-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                | CUSIP: 91282CDH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 345600000 | PA      | $324540000.00 | 4.82%             | 2024-11-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2021-206 Z                 | CUSIP: 38383DXW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88394 | PA      | $55341.62     | 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