# EDGAR Filing Document

**Accession Number:** 0000106444
**File Stem:** 0000106444-26-000143
**Filing Date:** 2026-3
**Character Count:** 112455
**Document Hash:** 42f5a44598cd2d21f3429edf880f6a7b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000106444-26-000143.hdr.sgml**: 20260331

**ACCESSION NUMBER**: 0000106444-26-000143

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260331

**DATE AS OF CHANGE**: 20260331

**PERIOD START**: 20260131

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02368
- **FILM NUMBER:** 26819648

**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:** 2026-01-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $6116150437.41

**Total Liabilities:** $301507714.10

**Net Assets:** $5814642723.31

**Delayed Delivery Securities:** $118327208.99

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -823.70762587 | **1-Year:** -33746.30459952 | **5-Year:** -93533.66357044 | **10-Year:** -10193.85236788 | **30-Year:** -1711.69091717

**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 | 0.51%                | 0.21%                | 0.21%                |
| Class ID C000007089 | 0.50%                | 0.21%                | 0.20%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $7332634.00              | $6458504.57                                |
| Month 2  | $3603056.03              | $-8655835.68                               |
| Month 3  | $898994.27               | $-7581906.07                               |

**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 WN5306                          | CUSIP: 3132XK3Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2900000 | PA      | $2890664.03   | 0.05%             | 2030-07-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CC1148                          | CUSIP: 3140Y7H27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4164759 | PA      | $4178722.03   | 0.07%             | 2055-10-01      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4945                          | CUSIP: 3140Q0P71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5620000 | PA      | $5673975.60   | 0.10%             | 2030-09-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 10Y RTR 3.350000 16-OCT-2030  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  31000000 | NC      | $524724.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WG9008                          | CUSIP: 31425SAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14100000 | PA      | $14075605.59  | 0.24%             | 2030-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3766                          | CUSIP: 3140NYFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5600000 | PA      | $5629028.72   | 0.10%             | 2030-05-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5198 FA                        | CUSIP: 3137H5KF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2593310 | PA      | $2284260.01   | 0.04%             | 2052-02-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7915                          | CUSIP: 3140JCYM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    499007 | PA      | $504714.90    | 0.01%             | 2056-01-01      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  93132000 | PA      | $87642305.39  | 1.51%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2058                          | CUSIP: 3132XGJC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3455792 | PA      | $3344265.73   | 0.06%             | 2027-05-01      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 3.850000 20-JAN-2028   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -33200000 | NC      | $-179432.72   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M12 A2                    | CUSIP: 3136AX7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1404442 | PA      | $1389593.74   | 0.02%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 5YR NOTE (CBT) Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     -2076 | NC      | $-35653.26    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  76200000 | PA      | $75211781.25  | 1.29%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.238500 05-JAN-2058 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   2340000 | NC      | $22742.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9079                          | CUSIP: 3140LLCR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4290000 | PA      | $4363688.47   | 0.08%             | 2028-07-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 30Y RTR 3.950000 09-MAR-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   5070000 | NC      | $11957.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C6060                          | CUSIP: 3142BGWV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1352278 | PA      | $1353494.36   | 0.02%             | 2055-10-01      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ3109                          | CUSIP: 3140H4N34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55274 | PA      | $53211.50     | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5320                          | CUSIP: 3132XK4E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1900000 | PA      | $1893593.20   | 0.03%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.409000 01-DEC-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  17000000 | NC      | $106364.39    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5 2/26                        | CUSIP: 01F050627<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -43750000 | PA      | $-43741455.63 | -0.75%            | 2026-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24841796.75  | 0.43%             | 2029-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52000000 | PA      | $52763750.00  | 0.91%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-227 F                     | CUSIP: 38383FQM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    956429 | PA      | $823888.17    | 0.01%             | 2051-12-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8B0503                          | CUSIP: 3142AWRY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    626492 | PA      | $635379.57    | 0.01%             | 2055-11-01      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4846                          | CUSIP: 3140Q0L42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4370000 | PA      | $4402690.22   | 0.08%             | 2030-09-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18000000 | PA      | $16901015.58  | 0.29%             | 2028-12-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20085937.40  | 0.35%             | 2027-05-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43000000 | PA      | $43587890.41  | 0.75%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  94075000 | PA      | $88658337.42  | 1.52%             | 2028-10-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19000000 | PA      | $19478710.89  | 0.33%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.282050 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  38000000 | NC      | $280420.91    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 101000000 | PA      | $102893750.00 | 1.77%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1157                          | CUSIP: 3142BBJA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    447684 | PA      | $455102.84    | 0.01%             | 2055-10-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    330000 | PA      | $340892.58    | 0.01%             | 2028-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF2961                          | CUSIP: 3140BTJF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    763546 | PA      | $775934.77    | 0.01%             | 2055-10-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL1950                          | CUSIP: 3140HTEY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4224551 | PA      | $4175687.38   | 0.07%             | 2029-03-01      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ6334                          | CUSIP: 3140Q2BC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1900000 | PA      | $1883161.25   | 0.03%             | 2031-01-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ5759                          | CUSIP: 3140Q1MH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5400000 | PA      | $5385221.28   | 0.09%             | 2030-12-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7895                          | CUSIP: 3140JCXZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  29049385 | PA      | $29476218.94  | 0.51%             | 2055-12-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43200000 | PA      | $40780124.78  | 0.70%             | 2028-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47000000 | PA      | $47332304.57  | 0.81%             | 2028-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K118 A2                       | CUSIP: 3137F62M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16400000 | PA      | $14675059.48  | 0.25%             | 2030-09-25      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4258                          | CUSIP: 3140NYWU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10110000 | PA      | $10184631.01  | 0.18%             | 2030-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2898                          | CUSIP: 31418CGG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2719 | PA      | $2631.90      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  88000000 | PA      | $88976250.00  | 1.53%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5369                          | CUSIP: 3140HW6F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3694946 | PA      | $3635073.40   | 0.06%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1115                          | CUSIP: 3142BBGY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18523332 | PA      | $18795445.45  | 0.32%             | 2055-09-01      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ0750                          | CUSIP: 3140NUZQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10488000 | PA      | $10804997.70  | 0.19%             | 2029-04-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 182070000 | PA      | $182660305.53 | 3.14%             | 2027-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8583                          | CUSIP: 3138LMRD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $695353.40    | 0.01%             | 2028-04-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4424                          | CUSIP: 3140HV4J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4292032 | PA      | $4045409.73   | 0.07%             | 2029-10-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.427700 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  38000000 | NC      | $67696.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 110000000 | PA      | $104457030.70 | 1.80%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5705                          | CUSIP: 3140HXKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6896891 | PA      | $6772108.14   | 0.12%             | 2027-03-01      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.478500 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   2638000 | NC      | $2871.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  99000000 | PA      | $93802500.00  | 1.61%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18665                          | CUSIP: 3128MMW33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     99995 | PA      | $96501.47     | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4324                          | CUSIP: 3140HVYW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1175539 | PA      | $1114505.59   | 0.02%             | 2029-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3505                          | CUSIP: 3140LD3P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3540000 | PA      | $3319305.43   | 0.06%             | 2028-10-01      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CB6531                          | CUSIP: 3140QSHH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2931392 | PA      | $2992600.76   | 0.05%             | 2053-06-01      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67000000 | PA      | $66955507.98  | 1.15%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK8908                          | CUSIP: 3131XC3R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34275 | PA      | $33012.43     | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF0191                          | CUSIP: 3140BQF97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8941848 | PA      | $9139661.30   | 0.16%             | 2055-09-01      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FREMF 2026-K554 Mortgage Trust                               | FHMS K554 A2                       | CUSIP: 3137HPUA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9500000 | PA      | $9550531.45   | 0.16%             | 2030-12-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 3.600000 20-JAN-2028   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  33200000 | NC      | $242203.96    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9244                          | CUSIP: 3140LLHW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1113814.68   | 0.02%             | 2028-08-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CC1615                          | CUSIP: 3140Y7YM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8255245 | PA      | $8349486.26   | 0.14%             | 2055-12-01      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| New Issuer: BB Company ID:69419330                           | FHMR 2021-P007 A1                  | CUSIP: 3137F92D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3972124 | PA      | $3782700.62   | 0.07%             | 2027-11-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3290                          | CUSIP: 3140LDUQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2415296 | PA      | $2273674.34   | 0.04%             | 2028-10-01      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2911                          | CUSIP: 3140NXGV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4066153.60   | 0.07%             | 2030-01-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3944                          | CUSIP: 3140NYL25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10711000 | PA      | $10830235.92  | 0.19%             | 2030-05-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  39000000 | PA      | $39275742.09  | 0.68%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4168                          | CUSIP: 3140NYT27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11540000 | PA      | $11589227.33  | 0.20%             | 2030-08-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 3.500000 21-JAN-2027   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  31520000 | NC      | $122754.64    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7906                          | CUSIP: 3140JCYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3147454 | PA      | $3210785.64   | 0.06%             | 2055-12-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18658                          | CUSIP: 3128MMWU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2651 | PA      | $2560.63      | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1885                          | CUSIP: 3140LCCX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5650000 | PA      | $5370994.53   | 0.09%             | 2028-05-01      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7858                          | CUSIP: 3140JCWU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4086577 | PA      | $4141968.43   | 0.07%             | 2055-11-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS5957                          | CUSIP: 3140LGTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1175059.20   | 0.02%             | 2029-07-01      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18654                          | CUSIP: 3128MMWQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4990639 | PA      | $4822485.29   | 0.08%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24105000 | PA      | $24201985.02  | 0.42%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7683                          | CUSIP: 3138LLRD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1970000 | PA      | $1939382.85   | 0.03%             | 2028-01-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M13 A2                    | CUSIP: 3136B3DE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1911553 | PA      | $1892518.94   | 0.03%             | 2030-09-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ0160                          | CUSIP: 3140NUFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17310062 | PA      | $17722865.58  | 0.30%             | 2028-12-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J36873                          | CUSIP: 31307TT68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4990 | PA      | $4826.53      | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN1065                          | CUSIP: 3132XFFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17110000 | PA      | $16303805.89  | 0.28%             | 2027-10-01      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 10Y RTR 3.608000 16-OCT-2035  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -26100000 | NC      | $-649232.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ5932                          | CUSIP: 3140Q1SW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7600000 | PA      | $7636070.36   | 0.13%             | 2030-12-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.100000 18-OCT-2040 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  12400000 | NC      | $306188.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1140                          | CUSIP: 3142BBHR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13078050 | PA      | $13326968.65  | 0.23%             | 2055-09-01      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1139                          | CUSIP: 3142BBHQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1030699 | PA      | $1049192.03   | 0.02%             | 2055-09-01      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.502000 27-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   2639429 | NC      | $-2626.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                          | US LONG BOND(CBT) Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -8 | NC      | $6240.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH0187                          | CUSIP: 3140GNF57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4658 | PA      | $4506.65      | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8764                          | CUSIP: 3138WJW20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3950 | PA      | $3819.67      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH9242                          | CUSIP: 3140GYHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14310 | PA      | $13782.87     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10yr Ultra Fut Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -320 | NC      | $106865.00    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5 2/26                        | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  43750000 | PA      | $43741455.63  | 0.75%             | 2026-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3346                          | CUSIP: 3140LDWG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5310000 | PA      | $4981001.96   | 0.09%             | 2028-10-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL0863                          | CUSIP: 3140HR5Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11100000 | PA      | $11079562.68  | 0.19%             | 2028-12-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ0489                          | CUSIP: 3140NURK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17840000 | PA      | $18186688.29  | 0.31%             | 2029-02-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds               | TSY INFL IX N/B                    | CUSIP: 91282CPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  43597835 | PA      | $43429234.27  | 0.75%             | 2036-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ3746                          | CUSIP: 3140H5EU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    554559 | PA      | $534591.81    | 0.01%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K125 A2                       | CUSIP: 3137F9Z79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12500000 | PA      | $11270572.50  | 0.19%             | 2031-01-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  80000000 | PA      | $75200000.00  | 1.29%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31000000 | PA      | $29953750.00  | 0.52%             | 2029-07-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH7081                          | CUSIP: 3140GV2P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1802 | PA      | $1736.87      | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS6088                          | CUSIP: 3140LGXS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1892895 | PA      | $1882402.34   | 0.03%             | 2030-08-01      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 107000000 | PA      | $108170312.50 | 1.86%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CC1077                          | CUSIP: 3140Y7FT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2474206 | PA      | $2481877.90   | 0.04%             | 2055-09-01      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 30Y RTR 4.090000 16-JUL-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -6850000 | NC      | $-148907.49   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26000000 | PA      | $25790781.12  | 0.44%             | 2030-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM6496                          | CUSIP: 3140JBGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6779111 | PA      | $6011500.43   | 0.10%             | 2030-12-01      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                     | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  71700000 | PA      | $61398144.00  | 1.06%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA3748                          | CUSIP: 3140QBEW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7290 | PA      | $7042.62      | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTR 2.870000 16-JUL-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -61130000 | NC      | $-64137.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.480000 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   5276000 | NC      | $5065.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4063                          | CUSIP: 3140NYQR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9750000 | PA      | $9888657.68   | 0.17%             | 2030-07-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF3558                          | CUSIP: 3140BT5U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5183142 | PA      | $5212778.43   | 0.09%             | 2055-11-01      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K153 A3                       | CUSIP: 3137BXHC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4100000 | PA      | $3886164.09   | 0.07%             | 2031-10-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTR 3.270000 16-JUL-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  61130000 | NC      | $187265.64    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5350                          | CUSIP: 3132XK5L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24500000 | PA      | $24316615.05  | 0.42%             | 2030-08-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN1290                          | CUSIP: 3132XFNG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5400000 | PA      | $5460479.46   | 0.09%             | 2028-11-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1141                          | CUSIP: 3142BBHS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1071334 | PA      | $1087953.78   | 0.02%             | 2055-09-01      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2053                          | CUSIP: 3132XGH74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11566257 | PA      | $11229373.34  | 0.19%             | 2027-04-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1323                          | CUSIP: 3142BBPG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3380122 | PA      | $3391622.19   | 0.06%             | 2056-01-01      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS9878                          | CUSIP: 3138WK6Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2660 | PA      | $2569.85      | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K549 A2                       | CUSIP: 3137HNNC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8530000 | PA      | $8623562.16   | 0.15%             | 2030-09-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 842074                          | CUSIP: 31288RJT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1368947 | PA      | $1387936.44   | 0.02%             | 2055-12-01      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4635                          | CUSIP: 3140Q0EH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17600000 | PA      | $17701912.80  | 0.30%             | 2030-09-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $30154687.50  | 0.52%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7546                          | CUSIP: 3138LLL45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3204660 | PA      | $3160155.94   | 0.05%             | 2027-12-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5229                          | CUSIP: 3132XKY35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9800000 | PA      | $9829357.86   | 0.17%             | 2030-02-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2022-M2 A2                     | CUSIP: 3136BK6X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18340000 | PA      | $16733791.97  | 0.29%             | 2031-11-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3461                          | CUSIP: 3140NXZ30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5800000 | PA      | $5831279.98   | 0.10%             | 2030-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 2YR NOTE (CBT) Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      3060 | NC      | $-387910.32   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ2987                          | CUSIP: 3140H4J96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     62712 | PA      | $60354.26     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29000000 | PA      | $29428202.98  | 0.51%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5265                          | CUSIP: 3133LPZ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9588125 | PA      | $9721836.59   | 0.17%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3263                          | CUSIP: 3140LDTV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8910000 | PA      | $8381883.81   | 0.14%             | 2028-10-01      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.505000 27-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   6598571 | NC      | $-8261.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM8441                          | CUSIP: 3138L9LX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5832661 | PA      | $5776026.43   | 0.10%             | 2027-04-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ6328                          | CUSIP: 3140Q2A65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14900000 | PA      | $14793679.56  | 0.25%             | 2031-01-01      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4627                          | CUSIP: 3140Q0D90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17000000 | PA      | $17164339.00  | 0.30%             | 2030-08-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.388930 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  15000000 | NC      | $49074.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3037                          | CUSIP: 3140NXLT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4100000 | PA      | $4195854.72   | 0.07%             | 2030-02-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9041                          | CUSIP: 3140LLBK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2810000 | PA      | $2858822.91   | 0.05%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MB0755                          | CUSIP: 3618N5ZV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4009484 | PA      | $4031357.38   | 0.07%             | 2055-11-20      | Floating      | 4.50%                 | 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        |  81626190 | NS      | $81626190.45  | 1.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN5171                          | CUSIP: 3138LHW91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1093054.16   | 0.02%             | 2027-04-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                     | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        | 110000000 | PA      | $93245680.00  | 1.60%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-83 FN                     | CUSIP: 38382QWE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2221330 | PA      | $1837400.48   | 0.03%             | 2051-05-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $197007.81    | 0.00%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41000000 | PA      | $41161757.71  | 0.71%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ0958                          | CUSIP: 3140H2B49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10792 | PA      | $10390.97     | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MB0881                          | CUSIP: 3618N56T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  24411191 | PA      | $24537528.68  | 0.42%             | 2056-01-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8712                          | CUSIP: 3138WJVE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4663 | PA      | $4509.64      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4913                          | CUSIP: 3140Q0N73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6460000 | PA      | $6507431.90   | 0.11%             | 2030-09-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  80800000 | PA      | $76681093.95  | 1.32%             | 2027-11-30      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 842048                          | CUSIP: 31288RHZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    828466 | PA      | $842840.64    | 0.01%             | 2055-11-01      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MB0632                          | CUSIP: 3618N5V22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2546876 | PA      | $2561608.59   | 0.04%             | 2055-09-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5367                          | CUSIP: 3140HW6D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2023423 | PA      | $1990635.48   | 0.03%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4691                          | CUSIP: 3140Q0F98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22225000 | PA      | $22772272.85  | 0.39%             | 2030-08-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL1276                          | CUSIP: 3140HSM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6800000 | PA      | $6793624.32   | 0.12%             | 2029-01-01      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3187                          | CUSIP: 31418CRH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    112722 | PA      | $108667.46    | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $29765625.00  | 0.51%             | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J37643                          | CUSIP: 31307UP44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2775 | PA      | $2678.14      | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42000000 | PA      | $41265000.00  | 0.71%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ6324                          | CUSIP: 3140Q2A24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9500000 | PA      | $9377502.25   | 0.16%             | 2031-01-01      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24839843.75  | 0.43%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55000000 | PA      | $56127929.55  | 0.97%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24500000 | PA      | $24852187.50  | 0.43%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9473700 | PA      | $8997054.47   | 0.15%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS0274                          | CUSIP: 3140LAJU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $4633302.96   | 0.08%             | 2031-01-01      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.092500 21-JAN-2038 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   6760000 | NC      | $14614.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20937500.00  | 0.36%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 101850000 | PA      | $101591396.74 | 1.75%             | 2027-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3622                          | CUSIP: 3140NYAY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16020000 | PA      | $16168466.95  | 0.28%             | 2030-04-01      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $11160703.07  | 0.19%             | 2029-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5.5 2/26                      | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  73450000 | PA      | $74497235.41  | 1.28%             | 2026-02-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  72500000 | PA      | $71639062.50  | 1.23%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  80000000 | PA      | $80946875.20  | 1.39%             | 2027-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 118000000 | PA      | $117382343.16 | 2.02%             | 2028-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5.5 2/26                      | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -73450000 | PA      | $-74497235.41 | -1.28%            | 2026-02-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS2194                          | CUSIP: 3140LCNL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    530000 | PA      | $499175.36    | 0.01%             | 2028-06-01      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 5Y RTP 3.460000 08-APR-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -24570000 | NC      | $-174846.26   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 101400000 | PA      | $102041671.37 | 1.75%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5868                          | CUSIP: 31418FQW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6201637 | PA      | $6288122.04   | 0.11%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26000000 | PA      | $26498671.94  | 0.46%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CND9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 105500000 | PA      | $105936835.41 | 1.82%             | 2028-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.358000 18-OCT-2045 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  13800000 | NC      | $-296133.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K117 A2                       | CUSIP: 3137FX3Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22100000 | PA      | $19737746.47  | 0.34%             | 2030-08-25      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8D0898                          | CUSIP: 3142BN7K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    528341 | PA      | $535289.25    | 0.01%             | 2055-10-01      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6611                          | CUSIP: 3138LKKZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1414387 | PA      | $1396197.48   | 0.02%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.491500 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   2638000 | NC      | $-62.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BE3977                          | CUSIP: 3140FPM30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6667 | PA      | $6449.69      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G16661                          | CUSIP: 3128MFTS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2169586 | PA      | $2092879.03   | 0.04%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 3.750000 21-JAN-2027   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -63040000 | NC      | $-142032.27   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50500000 | PA      | $50567070.06  | 0.87%             | 2027-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1201                          | CUSIP: 3142BBKN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1115640 | PA      | $1130694.41   | 0.02%             | 2055-11-01      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $35194140.45  | 0.61%             | 2027-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DC9067                          | CUSIP: 3140AXCD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1862721 | PA      | $1906584.76   | 0.03%             | 2055-05-01      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65000000 | PA      | $62001367.35  | 1.07%             | 2027-08-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.471500 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   2638000 | NC      | $4449.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 126500000 | PA      | $125294296.88 | 2.15%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48000000 | PA      | $46886249.76  | 0.81%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ1079                          | CUSIP: 3140NVFV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3557611 | PA      | $3676051.88   | 0.06%             | 2029-06-01      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1153                          | CUSIP: 3142BBH60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    913905 | PA      | $925618.94    | 0.02%             | 2055-09-01      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44981100 | PA      | $45441453.22  | 0.78%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 4.100000 20-JAN-2028   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -33200000 | NC      | $-131398.96   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN1881                          | CUSIP: 3138LECT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3731749 | PA      | $3672226.31   | 0.06%             | 2028-05-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.780500 22-JAN-2046 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   2690000 | NC      | $-3580.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7907                          | CUSIP: 3140JCYD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1127795 | PA      | $1144918.11   | 0.02%             | 2055-12-01      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.708500 05-JAN-2033 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   8710000 | NC      | $-35835.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4801                          | CUSIP: 3140Q0KP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12840000 | PA      | $12914350.02  | 0.22%             | 2030-09-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3246                          | CUSIP: 31418CTC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    179607 | PA      | $172992.72    | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27000000 | PA      | $26808046.74  | 0.46%             | 2030-10-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BE3963                          | CUSIP: 3140FPMM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7417 | PA      | $7178.39      | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CC0929                          | CUSIP: 3140Y7A73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1439852 | PA      | $1453689.55   | 0.03%             | 2055-08-01      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CBJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  61900000 | PA      | $58601890.63  | 1.01%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4798                          | CUSIP: 3140HWKL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3540000 | PA      | $3498363.23   | 0.06%             | 2026-11-01      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28696000 | PA      | $29258710.48  | 0.50%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  74735000 | PA      | $74924756.65  | 1.29%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.517000 22-JAN-2041 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   2190000 | NC      | $4314.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 30Y RTR 3.750000 09-MAR-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -10140000 | NC      | $-5977.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 151500000 | PA      | $143818475.81 | 2.47%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN4860                          | CUSIP: 3138LHMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $5460303.20   | 0.09%             | 2027-03-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 126500000 | PA      | $121776015.63 | 2.09%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 180000000 | PA      | $180885936.60 | 3.11%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8717                          | CUSIP: 3138LMVK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $394072.76    | 0.01%             | 2028-03-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: USD 3.306780 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  76000000 | NC      | $488604.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1548                          | CUSIP: 3140LBWJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  44100000 | PA      | $41892398.10  | 0.72%             | 2028-03-01      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF8681                          | CUSIP: 3140U0UF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    298032 | PA      | $303424.78    | 0.01%             | 2055-12-01      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912828ZN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  75000000 | PA      | $72263671.50  | 1.24%             | 2027-04-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7832                          | CUSIP: 3140JCV27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1596686 | PA      | $1624765.85   | 0.03%             | 2055-09-01      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 5Y RTP 3.690000 08-APR-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  49140000 | NC      | $113346.32    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1156                          | CUSIP: 3142BBH94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    884142 | PA      | $897491.46    | 0.02%             | 2055-10-01      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2921                          | CUSIP: 31418CG73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4012 | PA      | $3881.85      | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 227000000 | PA      | $224260039.63 | 3.86%             | 2027-03-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90000000 | PA      | $89655468.30  | 1.54%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 107600000 | PA      | $102493202.86 | 1.76%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3271                          | CUSIP: 3140LDT58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3540000 | PA      | $3314309.78   | 0.06%             | 2028-10-01      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4665                          | CUSIP: 3140Q0FF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7265000 | PA      | $7287493.17   | 0.13%             | 2030-08-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 148000000 | PA      | $149318125.00 | 2.57%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM6866                          | CUSIP: 3140JBTY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    588539 | PA      | $567211.62    | 0.01%             | 2051-08-01      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 115000000 | PA      | $115673827.55 | 1.99%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10YR NOTE (CBT)Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       227 | NC      | $44808.22     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5364                          | CUSIP: 3140HW6A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3167096 | PA      | $3115777.16   | 0.05%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J37112                          | CUSIP: 31307T3V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3041 | PA      | $2933.01      | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  83000000 | PA      | $83823515.21  | 1.44%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5325                          | CUSIP: 3132XK4K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8700000 | PA      | $8670728.85   | 0.15%             | 2030-09-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.480000 24-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   6600000 | NC      | $6337.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45000000 | PA      | $45161718.75  | 0.78%             | 2027-03-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65000000 | PA      | $66944921.55  | 1.15%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-28 NG                     | CUSIP: 3136BHKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8879629 | PA      | $8112205.59   | 0.14%             | 2041-05-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.573500 21-JAN-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  29040000 | NC      | $8964.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL9595                          | CUSIP: 3140J2UV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14900000 | PA      | $14184524.35  | 0.24%             | 2027-12-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $39825000.00  | 0.68%             | 2030-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33000000 | PA      | $33000000.00  | 0.57%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8B6048                          | CUSIP: 3142B3WH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    963091 | PA      | $979625.15    | 0.02%             | 2055-10-01      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52063600 | PA      | $52447975.67  | 0.90%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43000000 | PA      | $42711093.75  | 0.73%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MB0756                          | CUSIP: 3618N5ZW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1115216 | PA      | $1132571.13   | 0.02%             | 2055-11-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1195                          | CUSIP: 3142BBKG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    508550 | PA      | $516211.53    | 0.01%             | 2055-11-01      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF0571                          | CUSIP: 3140BQT50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5623056 | PA      | $5714660.18   | 0.10%             | 2055-09-01      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4341                          | CUSIP: 3140NYZF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8174344 | PA      | $8346923.95   | 0.14%             | 2030-10-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL9743                          | CUSIP: 3140J2ZH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8650155 | PA      | $8238456.36   | 0.14%             | 2027-12-01      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18669                          | CUSIP: 3128MMW74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2597156 | PA      | $2505357.61   | 0.04%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2941                          | CUSIP: 3140NXHT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5113717.50   | 0.09%             | 2030-01-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.230150 15-DEC-2027 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  35000000 | NC      | $58480.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ6195                          | CUSIP: 3140Q13D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3800000 | PA      | $3803736.16   | 0.07%             | 2031-01-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7912                          | CUSIP: 3140JCYJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1373132 | PA      | $1382402.15   | 0.02%             | 2055-12-01      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 30Y RTR 3.690000 16-JUL-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   6850000 | NC      | $42433.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2443                          | CUSIP: 3140NWWD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1900000 | PA      | $1939035.69   | 0.03%             | 2029-11-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ1040                          | CUSIP: 3140NVEN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3717973 | PA      | $3877686.14   | 0.07%             | 2029-06-01      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | SWP: IFS 2.474500 30-OCT-2035 USC  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   4000000 | NC      | $5133.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DD8703                          | CUSIP: 3140B9U56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9638496 | PA      | $9914863.66   | 0.17%             | 2055-09-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL6627                          | CUSIP: 3140HYLH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5570558 | PA      | $5416906.29   | 0.09%             | 2027-05-01      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $60600000.00  | 1.04%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9882                          | CUSIP: 3140LL6U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6620811 | PA      | $6802036.19   | 0.12%             | 2028-11-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer