# EDGAR Filing Document

**Accession Number:** 0000106444
**File Stem:** 0000106444-26-000345
**Filing Date:** 2026-6
**Character Count:** 138172
**Document Hash:** 7644204ad22e11334bb560873321c29d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000106444-26-000345.hdr.sgml**: 20260626

**ACCESSION NUMBER**: 0000106444-26-000345

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260626

**DATE AS OF CHANGE**: 20260626

**PERIOD START**: 20270131

**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:** 261128174

**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 Long-Term Treasury Fund (Series ID: S000002589)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000007103 | Investor Shares | VUSTX           |
| C000007104 | Admiral Shares  | VUSUX           |

## Nport-Ex

Vanguard<sup>®</sup> Long-Term Treasury Fund

#### Schedule of Investments (unaudited)
As of April 30, 2026

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund's Form N-PORT reports are available on the SEC's website at www.sec.gov.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;Coupon | &nbsp;&nbsp;&nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;&nbsp;&nbsp;Market<br> Value<br> ($000) |
| **U.S. Government and Agency Obligations (100.3%)** | **U.S. Government and Agency Obligations (100.3%)** | **U.S. Government and Agency Obligations (100.3%)** | **U.S. Government and Agency Obligations (100.3%)** | **U.S. Government and Agency Obligations (100.3%)** | **U.S. Government and Agency Obligations (100.3%)** |
| **U.S. Government Securities (85.7%)** | **U.S. Government Securities (85.7%)** | **U.S. Government Securities (85.7%)** | **U.S. Government Securities (85.7%)** | **U.S. Government Securities (85.7%)** | **U.S. Government Securities (85.7%)** |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.125% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 57500 | &nbsp;&nbsp; 35978 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.125% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 71700 | &nbsp;&nbsp; 44390 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.375% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 74832 | &nbsp;&nbsp; 47852 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.875% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 72102 | &nbsp;&nbsp; 49598 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.250% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 19750 | &nbsp;&nbsp; 14289 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.375% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 31125 | &nbsp;&nbsp; 29749 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.750% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 60690 | &nbsp;&nbsp; 40285 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.750% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 19200 | &nbsp;&nbsp; 16990 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 73850 | &nbsp;&nbsp; 50708 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.375% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 28200 | &nbsp;&nbsp; 20422 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.250% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp; 16380 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.375% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 32132 | &nbsp;&nbsp; 26663 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 37800 | &nbsp;&nbsp; 33959 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.125% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 17611 | &nbsp;&nbsp; 13988 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.875% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 48825 | &nbsp;&nbsp; 43044 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.875% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 5914 | &nbsp;&nbsp; 4507 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.875% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 42400 | &nbsp;&nbsp; 37285 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.625% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 25670 | &nbsp;&nbsp; 21743 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.375% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 46500 | &nbsp;&nbsp; 43523 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.750% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 31057 | &nbsp;&nbsp; 26701 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.750% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp; 19599 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.500% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 26050 | &nbsp;&nbsp; 24696 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.375% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 8450 | &nbsp;&nbsp; 6844 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.625% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 19150 | &nbsp;&nbsp; 18421 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.125% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 15849 | &nbsp;&nbsp; 12319 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.125% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 33300 | &nbsp;&nbsp; 29944 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.625% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 51050 | &nbsp;&nbsp; 48974 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.500% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 12600 | &nbsp;&nbsp; 8751 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.750% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 60033 | &nbsp;&nbsp; 58481 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 5.000% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 54158 | &nbsp;&nbsp; 54416 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.875% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 12963 | &nbsp;&nbsp; 9539 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.875% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 45000 | &nbsp;&nbsp; 44457 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 4100 | &nbsp;&nbsp; 3072 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.625% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 33000 | &nbsp;&nbsp; 31551 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.500% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 13795 | &nbsp;&nbsp; 9424 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.625% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp; 8597 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.500% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 25651 | &nbsp;&nbsp; 17458 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.250% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 44370 | &nbsp;&nbsp; 28657 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.875% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 4469 | &nbsp;&nbsp; 3237 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp; 1108 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 11324 | &nbsp;&nbsp; 8330 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.750% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 22659 | &nbsp;&nbsp; 15883 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.750% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 30290 | &nbsp;&nbsp; 21160 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 34100 | &nbsp;&nbsp; 24888 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.125% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 30700 | &nbsp;&nbsp; 22858 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 35333 | &nbsp;&nbsp; 25651 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.375% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 32610 | &nbsp;&nbsp; 25283 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 25600 | &nbsp;&nbsp; 18491 |
| <sup>1</sup> | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.875% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 21761 | &nbsp;&nbsp; 15311 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.250% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 23800 | &nbsp;&nbsp; 14644 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.375% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 31600 | &nbsp;&nbsp; 19910 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.000% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 51661 | &nbsp;&nbsp; 29748 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.250% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 38500 | &nbsp;&nbsp; 18060 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.375% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 48797 | &nbsp;&nbsp; 23571 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.625% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 66012 | &nbsp;&nbsp; 34050 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.875% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 79300 | &nbsp;&nbsp; 43516 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.375% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 42420 | &nbsp;&nbsp; 26242 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.000% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 54200 | &nbsp;&nbsp; 30494 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 1.875% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 83400 | &nbsp;&nbsp; 45238 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.250% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 55500 | &nbsp;&nbsp; 33031 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;Coupon | &nbsp;&nbsp;&nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;&nbsp;&nbsp;Market<br> Value<br> ($000) |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 2.875% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 72250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49460 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 26200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18395 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 71900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61056 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.625% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 28700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22741 |
| <sup>2</sup> | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 3.625% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 40725 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32238 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.125% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 44900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38907 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.750% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 51990 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49927 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.250% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 64560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57146 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.625% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 88800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83635 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.250% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 68150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60294 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.500% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 74393 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68657 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.625% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65929 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.750% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 55815 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53661 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.750% | &nbsp;&nbsp;&nbsp;&nbsp;8/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 81200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78111 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.625% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 41600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39226 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Note/Bond | &nbsp;&nbsp;&nbsp;&nbsp; 4.750% | &nbsp;&nbsp;&nbsp;&nbsp;2/15/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 16700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16076 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Strip Coupon | &nbsp;&nbsp;&nbsp;&nbsp; 0.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 39000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15760 |
|  | &nbsp;&nbsp;&nbsp;United States Treasury Strip Coupon | &nbsp;&nbsp;&nbsp;&nbsp; 0.000% | &nbsp;&nbsp;&nbsp;&nbsp;5/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 42000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16472 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; **2381649** |
| **Agency Bonds and Notes (3.9%)** | **Agency Bonds and Notes (3.9%)** | **Agency Bonds and Notes (3.9%)** | **Agency Bonds and Notes (3.9%)** | **Agency Bonds and Notes (3.9%)** | **Agency Bonds and Notes (3.9%)** |
| <sup>3</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Principal Strip | &nbsp;&nbsp;&nbsp;&nbsp; 0.000% | &nbsp;&nbsp;&nbsp;&nbsp;8/6/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 31000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17133 |
| <sup>3</sup> | &nbsp;&nbsp;&nbsp;Federal Home Loan Mortgage Corp. | &nbsp;&nbsp;&nbsp;&nbsp; 0.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 14465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7869 |
| <sup>3</sup> | &nbsp;&nbsp;&nbsp;Federal National Mortgage Association | &nbsp;&nbsp;&nbsp;&nbsp; 0.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 49591 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41187 |
| <sup>3</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Principal Strips | &nbsp;&nbsp;&nbsp;&nbsp; 0.000% | &nbsp;&nbsp;&nbsp;&nbsp;3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 32416 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26533 |
|  | &nbsp;&nbsp;&nbsp;Resolution Funding Corp. Principal Strip | &nbsp;&nbsp;&nbsp;&nbsp; 0.000% | &nbsp;&nbsp;&nbsp;&nbsp;1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 19800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17014 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **109736** |
| **Conventional Mortgage-Backed Securities (6.6%)** | **Conventional Mortgage-Backed Securities (6.6%)** | **Conventional Mortgage-Backed Securities (6.6%)** | **Conventional Mortgage-Backed Securities (6.6%)** | **Conventional Mortgage-Backed Securities (6.6%)** | **Conventional Mortgage-Backed Securities (6.6%)** |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.070% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1829 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1401 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.160% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2489 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1797 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.260% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2375 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.310% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1522 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1082 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.330% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 951 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.340% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1352 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1001 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.390% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 7463 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5726 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.430% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1173 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 951 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.460% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 682 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.470% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2381 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1776 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.480% | &nbsp;&nbsp;&nbsp;&nbsp;1/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2996 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2359 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.510% | &nbsp;&nbsp;&nbsp;&nbsp;10/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 7822 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6268 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.520% | &nbsp;&nbsp;&nbsp;&nbsp;12/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 6746 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5329 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.590% | &nbsp;&nbsp;&nbsp;&nbsp;4/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 7890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6008 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.620% | &nbsp;&nbsp;&nbsp;&nbsp;4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1016 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.930% | &nbsp;&nbsp;&nbsp;&nbsp;4/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 19124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16250 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 3.170% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 15100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13192 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 3.330% | &nbsp;&nbsp;&nbsp;&nbsp;1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 3315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2870 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 3.490% | &nbsp;&nbsp;&nbsp;&nbsp;9/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 8249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7333 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 3.840% | &nbsp;&nbsp;&nbsp;&nbsp;4/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1906 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1732 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae Pool | &nbsp;&nbsp;&nbsp;&nbsp; 3.990% | &nbsp;&nbsp;&nbsp;&nbsp;3/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1628 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1497 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.160% | &nbsp;&nbsp;&nbsp;&nbsp;5/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 4337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3317 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.660% | &nbsp;&nbsp;&nbsp;&nbsp;1/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2352 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1817 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp; 3.750% | &nbsp;&nbsp;&nbsp;&nbsp;6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3951 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3506 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp; 3.800% | &nbsp;&nbsp;&nbsp;&nbsp;5/1/2039–2/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 8601 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7879 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.000% | &nbsp;&nbsp;&nbsp;&nbsp;8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 5831 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5393 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.750% | &nbsp;&nbsp;&nbsp;&nbsp;1/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9462 |
| <sup>3,4,5</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp; 2.500% | &nbsp;&nbsp;&nbsp;&nbsp;5/13/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 9250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7754 |
| <sup>3,4,5</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp; 3.500% | &nbsp;&nbsp;&nbsp;&nbsp;5/13/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 9250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8433 |
| <sup>3,4,5</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp; 4.500% | &nbsp;&nbsp;&nbsp;&nbsp;5/13/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 27400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26391 |
| <sup>3,4,5</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp; 5.000% | &nbsp;&nbsp;&nbsp;&nbsp;5/13/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 27700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27313 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **182861** |
| **Nonconventional Mortgage-Backed Securities (4.1%)** | **Nonconventional Mortgage-Backed Securities (4.1%)** | **Nonconventional Mortgage-Backed Securities (4.1%)** | **Nonconventional Mortgage-Backed Securities (4.1%)** | **Nonconventional Mortgage-Backed Securities (4.1%)** | **Nonconventional Mortgage-Backed Securities (4.1%)** |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 2.500% | &nbsp;&nbsp;&nbsp;&nbsp;11/25/2046–11/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 17318 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13698 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4430 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 4.000% | &nbsp;&nbsp;&nbsp;&nbsp;11/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 12459 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9707 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 4.500% | &nbsp;&nbsp;&nbsp;&nbsp;1/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 14114 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12552 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 5.000% | &nbsp;&nbsp;&nbsp;&nbsp;6/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 8108 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7559 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 1.500% | &nbsp;&nbsp;&nbsp;&nbsp;12/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 11700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8086 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 2.000% | &nbsp;&nbsp;&nbsp;&nbsp;8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 25801 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17552 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 2.500% | &nbsp;&nbsp;&nbsp;&nbsp;3/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 7238 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5674 |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp; 7/15/2045–12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 7217 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6051 |

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---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;Coupon | &nbsp;&nbsp;&nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;&nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>3,4</sup> | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;Freddie Mac REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 4.000% | &nbsp;&nbsp;&nbsp;&nbsp;4/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7102 |
| <sup>4</sup> | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;Ginnie Mae REMICS | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp;12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 27233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21799 |
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; **114210** |
| **Total U.S. Government and Agency Obligations (Cost $2,961,246)** | **Total U.S. Government and Agency Obligations (Cost $2,961,246)** | **Total U.S. Government and Agency Obligations (Cost $2,961,246)** | **Total U.S. Government and Agency Obligations (Cost $2,961,246)** | **Total U.S. Government and Agency Obligations (Cost $2,961,246)** | **Total U.S. Government and Agency Obligations (Cost $2,961,246)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**2788456** |
| **Asset-Backed/Commercial Mortgage-Backed Securities (0.0%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (0.0%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (0.0%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (0.0%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (0.0%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (0.0%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (0.0%)** |
| <sup>3,4,6</sup> | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class AQ2 Series 2016-M10<br> **(Cost $921)** | &nbsp;&nbsp;&nbsp;Fannie Mae-Aces Class AQ2 Series 2016-M10<br> **(Cost $921)** | &nbsp;&nbsp;&nbsp;&nbsp; 3.796% | &nbsp;&nbsp;&nbsp;&nbsp;11/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **909** |
|  |  |  |  |  | &nbsp;&nbsp;Shares |  |
| **Temporary Cash Investments (0.1%)** | **Temporary Cash Investments (0.1%)** | **Temporary Cash Investments (0.1%)** | **Temporary Cash Investments (0.1%)** | **Temporary Cash Investments (0.1%)** | **Temporary Cash Investments (0.1%)** | **Temporary Cash Investments (0.1%)** |
| **Money Market Fund (0.1%)** | **Money Market Fund (0.1%)** | **Money Market Fund (0.1%)** | **Money Market Fund (0.1%)** | **Money Market Fund (0.1%)** | **Money Market Fund (0.1%)** | **Money Market Fund (0.1%)** |
| <sup>7</sup> | &nbsp;&nbsp;&nbsp;Vanguard Market Liquidity Fund **(Cost** $**3,137**) | &nbsp;&nbsp;&nbsp;Vanguard Market Liquidity Fund **(Cost** $**3,137**) | &nbsp;&nbsp;&nbsp;&nbsp; 3.685% |  | &nbsp;&nbsp;&nbsp;&nbsp; 31377 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **3138** |
|  |  | Counterparty | &nbsp;&nbsp;&nbsp;&nbsp;Expiration<br> Date | &nbsp;&nbsp;&nbsp;&nbsp;Exercise<br> Rate | &nbsp;&nbsp;Notional<br> Amount on<br> Underlying<br> Swap<br> ($000) |  |
| **Options Purchased (0.1%)** | **Options Purchased (0.1%)** | **Options Purchased (0.1%)** | **Options Purchased (0.1%)** | **Options Purchased (0.1%)** | **Options Purchased (0.1%)** | **Options Purchased (0.1%)** |
| **Over-the-Counter Swaptions (0.1%)** | **Over-the-Counter Swaptions (0.1%)** | **Over-the-Counter Swaptions (0.1%)** | **Over-the-Counter Swaptions (0.1%)** | **Over-the-Counter Swaptions (0.1%)** | **Over-the-Counter Swaptions (0.1%)** | **Over-the-Counter Swaptions (0.1%)** |
| **Call Swaptions** | **Call Swaptions** | **Call Swaptions** | **Call Swaptions** | **Call Swaptions** | **Call Swaptions** | **Call Swaptions** |
|  | &nbsp;&nbsp;&nbsp;2-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.270% Annually | &nbsp;&nbsp;&nbsp;&nbsp;WFB | &nbsp;&nbsp;&nbsp;&nbsp; 7/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp;3.270% | &nbsp;&nbsp;&nbsp; 30110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
|  | &nbsp;&nbsp;&nbsp;10-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.350% Annually | NGFP | &nbsp;&nbsp;&nbsp;&nbsp;10/16/2030 | &nbsp;&nbsp;&nbsp;&nbsp;3.350% | &nbsp;&nbsp;&nbsp; 16200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 326 |
|  | &nbsp;&nbsp;&nbsp;10-Year Interest Rate Swap, Pays SOFR Annually, Receives 4.018% Annually | NGFP | &nbsp;&nbsp;&nbsp;&nbsp; 4/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp;4.018% | &nbsp;&nbsp;&nbsp; 4030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 |
|  | &nbsp;&nbsp;&nbsp;30-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.690% Annually | &nbsp;&nbsp;&nbsp;&nbsp;WFB | &nbsp;&nbsp;&nbsp;&nbsp; 7/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp;3.690% | &nbsp;&nbsp;&nbsp; 3370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **488** |
| **Put Swaptions** | **Put Swaptions** | **Put Swaptions** | **Put Swaptions** | **Put Swaptions** | **Put Swaptions** | **Put Swaptions** |
|  | &nbsp;&nbsp;&nbsp;2-Year Interest Rate Swap, Receives SOFR Annually, Pays 3.600% Annually | JPMC | &nbsp;&nbsp;&nbsp;&nbsp; 1/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp;3.600% | &nbsp;&nbsp;&nbsp; 16260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153 |
|  | &nbsp;&nbsp;&nbsp;2-Year Interest Rate Swap, Receives SOFR Annually, Pays 3.500% Annually | &nbsp;&nbsp;&nbsp;&nbsp;WFB | &nbsp;&nbsp;&nbsp;&nbsp; 1/21/2027 | &nbsp;&nbsp;&nbsp;&nbsp;3.500% | &nbsp;&nbsp;&nbsp; 15290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 |
|  | &nbsp;&nbsp;&nbsp;2-Year Interest Rate Swap, Receives SOFR Annually, Pays 3.450% Annually | JPMC | &nbsp;&nbsp;&nbsp;&nbsp; 2/5/2027 | &nbsp;&nbsp;&nbsp;&nbsp;3.450% | &nbsp;&nbsp;&nbsp; 15090 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 |
|  | &nbsp;&nbsp;&nbsp;5-Year Interest Rate Swap, Receives SOFR Annually, Pays 3.500% Annually | BNPSW | &nbsp;&nbsp;&nbsp;&nbsp; 5/13/2026 | &nbsp;&nbsp;&nbsp;&nbsp;3.500% | &nbsp;&nbsp;&nbsp; 12720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 |
|  | &nbsp;&nbsp;&nbsp;5-Year Interest Rate Swap, Receives SOFR Annually, Pays 3.798% Annually | MSBNA | &nbsp;&nbsp;&nbsp;&nbsp;10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;3.798% | &nbsp;&nbsp;&nbsp; 5080 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |
|  | &nbsp;&nbsp;&nbsp;10-Year Interest Rate Swap, Receives SOFR Annually, Pays 4.018% Annually | NGFP | &nbsp;&nbsp;&nbsp;&nbsp; 4/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp;4.018% | &nbsp;&nbsp;&nbsp; 4030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 156 |
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **739** |
| **Total Options Purchased (Cost $1,290)** | **Total Options Purchased (Cost $1,290)** | **Total Options Purchased (Cost $1,290)** | **Total Options Purchased (Cost $1,290)** | **Total Options Purchased (Cost $1,290)** | **Total Options Purchased (Cost $1,290)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**1227** |
| **Total Investments (100.5%) (Cost $2,966,594)** | **Total Investments (100.5%) (Cost $2,966,594)** | **Total Investments (100.5%) (Cost $2,966,594)** | **Total Investments (100.5%) (Cost $2,966,594)** | **Total Investments (100.5%) (Cost $2,966,594)** | **Total Investments (100.5%) (Cost $2,966,594)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**2793730** |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;Coupon | &nbsp;&nbsp;&nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) |  |
| **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.6%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.6%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.6%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.6%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.6%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.6%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-2.6%)** |
| <sup>3,4,5</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp; 3.000% | &nbsp;&nbsp;&nbsp;&nbsp;5/13/2056 | &nbsp;&nbsp;&nbsp;&nbsp; (18500) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (16208) |
| <sup>3,4,5</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp; 5.500% | &nbsp;&nbsp;&nbsp;&nbsp;5/13/2056 | &nbsp;&nbsp;&nbsp;&nbsp; (27400) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (27549) |

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---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;Coupon | &nbsp;&nbsp;&nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;&nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>3,4,5</sup> | &nbsp;&nbsp;&nbsp;UMBS Pool | &nbsp;&nbsp;&nbsp;&nbsp; 6.000% | &nbsp;&nbsp;&nbsp;&nbsp;5/13/2056 | &nbsp;&nbsp;&nbsp;&nbsp; (27700) | &nbsp;&nbsp; (28286) |
| **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $72,320)** | **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $72,320)** | **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $72,320)** | **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $72,320)** | **Total Conventional Mortgage-Backed Securities—Liability for Sale Commitments (Proceeds $72,320)** | &nbsp;&nbsp;&nbsp;&nbsp;**(72043)** |
| **Other Assets and Liabilities—Net (2.1%)** | **Other Assets and Liabilities—Net (2.1%)** | **Other Assets and Liabilities—Net (2.1%)** | **Other Assets and Liabilities—Net (2.1%)** | **Other Assets and Liabilities—Net (2.1%)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**58228** |
| **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** | **2779915** |
| Cost is in $000. | Cost is in $000. | Cost is in $000. |  |  |  |

---

---

| | |
|:---|:---|
| 1 | Securities with a value of $2,621 have been segregated as initial margin for open centrally cleared swap contracts. |
| 2 | Securities with a value of $7,301 have been segregated as initial margin for open futures contracts. |
| 3 | The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock. |
| 4 | The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called. |
| 5 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of April 30, 2026. |
| 6 | Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions. |
| 7 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
|  | BNPSW—BNP Paribas. |
|  | JPMC—JPMorgan Chase Bank, N.A. |
|  | MSBNA—Morgan Stanley Bank, N.A. |
|  | NGFP—Nomura Global Financial Products Inc. |
|  | REMICS—Real Estate Mortgage Investment Conduits. |
|  | SOFR—Secured Overnight Financing Rate. |
|  | UMBS—Uniform Mortgage-Backed Securities. |
|  | WFB—Wells Fargo Bank N.A. |

---

------

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

------

Options Written

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Counterparty | &nbsp;&nbsp;&nbsp;Expiration<br> Date | &nbsp;&nbsp;&nbsp;Exercise<br> Rate | &nbsp;&nbsp;&nbsp;Notional<br> Amount on<br> Underlying<br> Swap<br> ($000) | &nbsp;&nbsp;&nbsp;Market<br> Value<br> ($000) |
| Over-the-Counter Swaptions | Over-the-Counter Swaptions | Over-the-Counter Swaptions | Over-the-Counter Swaptions | Over-the-Counter Swaptions | Over-the-Counter Swaptions |
| Call Swaptions |  |  |  |  |  |
| 2-Year Interest Rate Swap, Receives SOFR Annually, Pays 2.870% Annually | WFB | &nbsp;&nbsp;&nbsp;&nbsp;7/16/2026 | &nbsp;&nbsp;&nbsp;2.870% | &nbsp;&nbsp;&nbsp;30110 | &nbsp;&nbsp;&nbsp;(9) |
| 10-Year Interest Rate Swap, Receives SOFR Annually, Pays 3.608% Annually | NGFP | &nbsp;&nbsp;&nbsp;10/16/2035 | &nbsp;&nbsp;&nbsp;3.608% | &nbsp;&nbsp;&nbsp;13600 | &nbsp;&nbsp;&nbsp;(389) |
| 30-Year Interest Rate Swap, Receives SOFR Annually, Pays 4.170% Annually | NGFP | &nbsp;&nbsp;&nbsp;&nbsp;4/17/2028 | &nbsp;&nbsp;&nbsp;4.170% | &nbsp;&nbsp;&nbsp;1950 | &nbsp;&nbsp;&nbsp;(123) |
| 30-Year Interest Rate Swap, Receives SOFR Annually, Pays 4.090% Annually | WFB | &nbsp;&nbsp;&nbsp;&nbsp;7/16/2026 | &nbsp;&nbsp;&nbsp;4.090% | &nbsp;&nbsp;&nbsp;3370 | &nbsp;&nbsp;&nbsp;(42) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;(563) |
| Put Swaptions |  |  |  |  |  |
| 2-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.750% Annually | JPMC | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2/5/2027 | &nbsp;&nbsp;&nbsp;3.750% | &nbsp;&nbsp;&nbsp;30180 | &nbsp;&nbsp;&nbsp;(169) |
| 2-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.850% Annually | JPMC | &nbsp;&nbsp;&nbsp;&nbsp;1/20/2028 | &nbsp;&nbsp;&nbsp;3.850% | &nbsp;&nbsp;&nbsp;16260 | &nbsp;&nbsp;&nbsp;(119) |
| 2-Year Interest Rate Swap, Pays SOFR Annually, Receives 4.100% Annually | JPMC | &nbsp;&nbsp;&nbsp;&nbsp;1/20/2028 | &nbsp;&nbsp;&nbsp;4.100% | &nbsp;&nbsp;&nbsp;16260 | &nbsp;&nbsp;&nbsp;(92) |
| 2-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.750% Annually | WFB | &nbsp;&nbsp;&nbsp;&nbsp;1/21/2027 | &nbsp;&nbsp;&nbsp;3.750% | &nbsp;&nbsp;&nbsp;30580 | &nbsp;&nbsp;&nbsp;(166) |
| 5-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.700% Annually | BNPSW | &nbsp;&nbsp;&nbsp;&nbsp;5/13/2026 | &nbsp;&nbsp;&nbsp;3.700% | &nbsp;&nbsp;&nbsp;12720 | &nbsp;&nbsp;&nbsp;(41) |
| 5-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.800% Annually | BNPSW | &nbsp;&nbsp;&nbsp;&nbsp;5/13/2026 | &nbsp;&nbsp;&nbsp;3.800% | &nbsp;&nbsp;&nbsp;12720 | &nbsp;&nbsp;&nbsp;(18) |
| 5-Year Interest Rate Swap, Pays SOFR Annually, Receives 3.873% Annually | MSBNA | &nbsp;&nbsp;&nbsp;&nbsp;4/15/2027 | &nbsp;&nbsp;&nbsp;3.873% | &nbsp;&nbsp;&nbsp;3710 | &nbsp;&nbsp;&nbsp;(48) |
| 30-Year Interest Rate Swap, Pays SOFR Annually, Receives 4.170% Annually | NGFP | &nbsp;&nbsp;&nbsp;&nbsp;4/17/2028 | &nbsp;&nbsp;&nbsp;4.170% | &nbsp;&nbsp;&nbsp;1950 | &nbsp;&nbsp;&nbsp;(143) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;(796) |
| Total Options Written **(Premiums Received** $**1,493)** | Total Options Written **(Premiums Received** $**1,493)** |  |  |  | &nbsp;&nbsp;&nbsp;(1359) |

---

---

| |
|:---|
| BNPSW—BNP Paribas. |
| JPMC—JPMorgan Chase Bank, N.A. |
| MSBNA—Morgan Stanley Bank, N.A. |
| NGFP—Nomura Global Financial Products Inc. |
| SOFR—Secured Overnight Financing Rate. |
| WFB—Wells Fargo Bank N.A. |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| Futures Contracts | Futures Contracts | Futures Contracts | Futures Contracts | Futures Contracts |
|  |  |  | ($000) | ($000) |
|  | Expiration | Number of<br> Long (Short)<br> Contracts | Notional<br> Amount | &nbsp;&nbsp;Value and<br> Unrealized<br> Appreciation<br> (Depreciation) |
| Long Futures Contracts |  |  |  |  |
| 2-Year U.S. Treasury Note | June 2026 | 257 | 53231 | &nbsp;&nbsp;(401) |
| Long U.S. Treasury Bond | June 2026 | 515 | 58115 | &nbsp;&nbsp;(527) |
| Ultra Long U.S. Treasury Bond | June 2026 | 1064 | 122393 | &nbsp;&nbsp;(3430) |
|  |  |  |  | &nbsp;&nbsp;(4358) |
| Short Futures Contracts |  |  |  |  |
| 5-Year U.S. Treasury Note | June 2026 | (286) | (30841) | &nbsp;&nbsp;60 |
| 10-Year U.S. Treasury Note | June 2026 | (298) | (32957) | &nbsp;&nbsp;166 |
| Ultra 10-Year U.S. Treasury Note | June 2026 | (521) | (58800) | &nbsp;&nbsp;288 |
|  |  |  |  | &nbsp;&nbsp;514 |
|  |  |  |  | &nbsp;&nbsp;(3844) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps | Centrally Cleared Interest Rate Swaps |
| Termination<br> Date | Future<br> Effective<br> Date | &nbsp;&nbsp;&nbsp;Notional<br> Amount<br> ($000) | &nbsp;&nbsp;&nbsp;Interest<br> Rate<br> Received<br> (%) | &nbsp;&nbsp;&nbsp;Interest<br> Rate<br> (Paid)<br> (%) | &nbsp;&nbsp;&nbsp;Value<br> ($000) | &nbsp;&nbsp;&nbsp;Unrealized<br> Appreciation<br> (Depreciation)<br> ($000) |
| 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;7/6/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;87700 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.157)<sup>3</sup> | &nbsp;&nbsp;&nbsp;796 | &nbsp;&nbsp;&nbsp;776 |
| 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;7/6/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;17700 | &nbsp;&nbsp;&nbsp;3.598<sup>3</sup> | &nbsp;&nbsp;&nbsp;(0.000)<sup>2</sup> | &nbsp;&nbsp;&nbsp;(34) | &nbsp;&nbsp;&nbsp;(34) |
| 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;7/6/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;9000 | &nbsp;&nbsp;&nbsp;3.724<sup>3</sup> | &nbsp;&nbsp;&nbsp;(0.000)<sup>2</sup> | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— |
| 8/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp;7/6/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;36922 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.252)<sup>3</sup> | &nbsp;&nbsp;&nbsp;621 | &nbsp;&nbsp;&nbsp;639 |
| 8/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp;7/6/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;7400 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.574)<sup>3</sup> | &nbsp;&nbsp;&nbsp;34 | &nbsp;&nbsp;&nbsp;33 |
| 4/10/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;N/A | &nbsp;&nbsp;&nbsp;1275 | &nbsp;&nbsp;&nbsp;3.650<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.617)<sup>3</sup> | &nbsp;&nbsp;&nbsp;6 | &nbsp;&nbsp;&nbsp;6 |
| 4/10/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;N/A | &nbsp;&nbsp;&nbsp;1275 | &nbsp;&nbsp;&nbsp;3.669<sup>3</sup> | &nbsp;&nbsp;&nbsp;(3.650)<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3) | &nbsp;&nbsp;&nbsp;(3) |
| 5/15/2031 | &nbsp;&nbsp;&nbsp;5/15/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;1870 | &nbsp;&nbsp;&nbsp;3.624<sup>3</sup> | &nbsp;&nbsp;&nbsp;(0.000)<sup>2</sup> | &nbsp;&nbsp;&nbsp;(8) | &nbsp;&nbsp;&nbsp;(8) |
| 11/15/2035 | &nbsp;&nbsp;&nbsp;6/30/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;7240 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.572)<sup>3</sup> | &nbsp;&nbsp;&nbsp;199 | &nbsp;&nbsp;&nbsp;197 |
| 11/15/2035 | &nbsp;&nbsp;&nbsp;6/30/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;3700 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.682)<sup>3</sup> | &nbsp;&nbsp;&nbsp;70 | &nbsp;&nbsp;&nbsp;70 |
| 11/15/2035 | &nbsp;&nbsp;&nbsp;6/30/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;3600 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.833)<sup>3</sup> | &nbsp;&nbsp;&nbsp;26 | &nbsp;&nbsp;&nbsp;26 |
| 11/15/2035 | &nbsp;&nbsp;&nbsp;6/30/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;3600 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.837)<sup>3</sup> | &nbsp;&nbsp;&nbsp;25 | &nbsp;&nbsp;&nbsp;25 |
| 11/15/2035 | &nbsp;&nbsp;&nbsp;6/30/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;1800 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(3.926)<sup>3</sup> | &nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;2 |
| 10/18/2040 | 10/18/2030<sup>1</sup> | &nbsp;&nbsp;&nbsp;6500 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(4.100)<sup>3</sup> | &nbsp;&nbsp;&nbsp;123 | &nbsp;&nbsp;&nbsp;123 |
| 1/22/2041 | &nbsp;&nbsp;&nbsp;1/22/2031<sup>1</sup> | &nbsp;&nbsp;&nbsp;1140 | &nbsp;&nbsp;&nbsp;4.517<sup>3</sup> | &nbsp;&nbsp;&nbsp;(0.000)<sup>2</sup> | &nbsp;&nbsp;&nbsp;9 | &nbsp;&nbsp;&nbsp;9 |
| 10/18/2045 | 10/18/2035<sup>1</sup> | &nbsp;&nbsp;&nbsp;7200 | &nbsp;&nbsp;&nbsp;4.358<sup>3</sup> | &nbsp;&nbsp;&nbsp;(0.000)<sup>2</sup> | &nbsp;&nbsp;&nbsp;(121) | &nbsp;&nbsp;&nbsp;(121) |
| 1/22/2046 | &nbsp;&nbsp;&nbsp;1/22/2036<sup>1</sup> | &nbsp;&nbsp;&nbsp;1410 | &nbsp;&nbsp;&nbsp;0.000<sup>2</sup> | &nbsp;&nbsp;&nbsp;(4.781)<sup>3</sup> | &nbsp;&nbsp;&nbsp;(9) | &nbsp;&nbsp;&nbsp;(9) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;1736 | &nbsp;&nbsp;&nbsp;1731 |

---

---

| | |
|:---|:---|
| 1 | Forward interest rate swap. In a forward interest rate swap, the fund and the counterparty agree to make periodic net payments beginning on a specified future effective date. |
| 2 | Based on Secured Overnight Financing Rate (SOFR) as of the most recent reset date. Interest payment received/(paid) annually. |
| 3 | Interest payment received/(paid) annually. |

---

**A.** Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and other temporary cash investments are valued using
the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt
securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or
option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued
at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the
securities' primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.

**B.** To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for
settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery
arrangements. The fund may sell a TBA that it does not hold (Sales Commitments) to manage portfolio risks while giving the fund more flexibility. The settlement date of a Sales Commitment is not set, and the positions
can be increased or decreased to ensure appropriate hedging ratios for the fund and may be offset by entering into an equal amount of TBA purchases. When the fund is a buyer of TBA transactions, it maintains cash,
short-term investments, or

------

Treasuries in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its MSFTA, and sell or retain any collateral held up to the net amount owed to the fund under the MSFTA.

**C.** Swaptions: The fund invests in options on swaps, which are transacted over-the-counter (OTC) and not on an exchange. The fund enters into swaptions to adjust the fund's sensitivity to interest rates or to
adjust its exposure to the underlying investments. The fund may purchase a swaption from a counterparty whereby the fund has the right to enter into a swap in which the fund will pay either a fixed percentage rate or
a floating rate, which is reset periodically based on short-term interest rates, and receive a different floating rate, each applied to a notional amount. The fund may also sell a swaption to a counterparty whereby
the fund grants the counterparty the right to enter into a swap in which the fund will pay a floating rate and receive a fixed rate, each applied to a notional amount. Swaptions also include options that allow an
existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike
price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor
an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to
the fund. The fund mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.

The primary risk associated with purchasing swaptions is that interest rates or the value of the underlying investments move in such a way that the exercise price of the swaption exceeds the value of the underlying investment, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with selling swaptions is that interest rates or the value of the underlying investments move in such a way that the exercise price of the swaption exceeds the value of the underlying investment, the counterparty exercises the swaption, and the resulting interest rate swap results in a negative cash flow to the fund in an amount greater than the premium received. A risk associated with all types of swaptions is the possibility that a counterparty may default on its obligations under the swaption contract.

Swaptions are valued based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased swaption is recorded as an asset and is subsequently adjusted daily based on the current market value of the swaption. The premium received for a written swaption is recorded as an asset with an equal liability and is subsequently adjusted daily based on the current market value of the swaption. Fluctuations in the value of swaptions are recorded as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains(losses) are recognized.

**D.** Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are
attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by
the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing
broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with
its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund's performance and requires daily settlement of variation margin representing changes in the market value of each
contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.

Futures contracts are valued at their quoted daily settlement prices. Fluctuations in the value of the contracts are recorded as an asset (liability).

**E.** Swap Contracts: The fund enters into interest rate swap transactions to adjust the fund's sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under
the terms of the swaps, one party pays the other either an amount that is a fixed percentage rate or a floating rate, which is reset periodically based on short-term interest rates, applied to a notional amount. In
return, the counterparty agrees to pay a different floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount. The fund enters into inflation swap transactions
to transfer inflation risk from one party to another through an exchange of cash flows. Under the terms of the swap, one party pays a fixed rate applied to a notional amount. In return, the other party pays a floating
rate linked to an inflation index.

The fund enters into centrally cleared interest rate swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the fund's performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund's maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty's default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a

------

certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded as an asset (liability) and as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.

**F.** Various inputs may be used to determine the value of the fund's investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used
to value securities are not necessarily an indication of the risk associated with investing in those securities.

#### Level 1 —Quoted prices in active markets for identical securities.

#### Level 2 —Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
**Level 3—Significant unobservable inputs (including the fund's own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.**

The following table summarizes the market value of the fund's investments and derivatives as of April 30, 2026, based on the inputs used to value them:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Level 1<br> ($000) | &nbsp;&nbsp;&nbsp;Level 2<br> ($000) | &nbsp;&nbsp;&nbsp;Level 3<br> ($000) | &nbsp;&nbsp;&nbsp;Total<br> ($000) |
| **Investments** |  |  |  |  |
| Assets |  |  |  |  |
| U.S. Government and Agency Obligations |  | &nbsp;&nbsp;&nbsp;2788456 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;2788456 |
| Asset-Backed/Commercial Mortgage-Backed Securities |  | &nbsp;&nbsp;&nbsp;909 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;909 |
| Temporary Cash Investments | 3138 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;3138 |
| Options Purchased |  | &nbsp;&nbsp;&nbsp;1227 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;1227 |
| Total | 3138 | &nbsp;&nbsp;&nbsp;2790592 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;2793730 |
| Liabilities |  |  |  |  |
| Conventional Mortgage-Backed Securities—Liability for Sale Commitments |  | &nbsp;&nbsp;&nbsp;(72043) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(72043) |
| **Derivative Financial Instruments** |  |  |  |  |
| Assets |  |  |  |  |
| Futures Contracts<sup>1</sup> | 514 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;514 |
| Swap Contracts<sup>1</sup> |  | &nbsp;&nbsp;&nbsp;1906 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;1906 |
| Total | 514 | &nbsp;&nbsp;&nbsp;1906 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;2420 |
| Liabilities |  |  |  |  |
| Options Written |  | &nbsp;&nbsp;&nbsp;(1359) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(1359) |
| Futures Contracts<sup>1</sup> | (4358) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(4358) |
| Swap Contracts<sup>1</sup> |  | &nbsp;&nbsp;&nbsp;(175) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(175) |
| Total | (4358) | &nbsp;&nbsp;&nbsp;(1534) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(5892) |

---

1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Malvern

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19355

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

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

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

- **b. EDGAR series identifier (if any):** S000002589

- **c. LEI of Series:** CX72FM3M58T4MKTZA209

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

- **a. Date of fiscal year-end:** 2027-01-31

- **b. Date as of which information is reported:** 2026-04-30

**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:** $3149833589.61

**Total Liabilities:** $379179087.27

**Net Assets:** $2770654502.34

**Delayed Delivery Securities:** $211857206.64

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -279.68150909 | **1-Year:** -9521.71484942 | **5-Year:** -48065.38595203 | **10-Year:** -147633.56489933 | **30-Year:** -34738.83544254

**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 C000007103 | 4.25%                | -4.01%               | -0.52%               |
| Class ID C000007104 | 4.26%                | -4.00%               | -0.51%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $123229.25               | $111602489.46                              |
| Month 2  | $-5643772.68             | $-117614336.87                             |
| Month 3  | $-23290306.43            | $-2329812.35                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Long Treasury Bond Index

- **Index Identifier:** I00050

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Vanguard Cmt Funds-Vanguard Market Liquidity Fund | Vanguard Market Liquidity Fund     | CUSIP: N/A<br>LEI: 1I6HV0TLSTR3A4XQ6L78       | Long             | STIV             | CORP              | US        |  11857262 | NS      | $11856076.27  | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | US 5YR NOTE (CBT) Jun26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -286 | NC      | $60020.84     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | US 2YR NOTE (CBT) Jun26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       297 | NC      | $-472043.25   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | US 10YR NOTE (CBT)Jun26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -298 | NC      | $166030.54    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 2.5 5/26                      | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9250000 | PA      | $7754462.78   | 0.28%             | 2026-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3 5/26                        | CUSIP: 01F030652<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -18500000 | PA      | $-16207735.30 | -0.58%            | 2026-05-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 3.5 5/26                      | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9250000 | PA      | $8432675.55   | 0.30%             | 2026-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4 5/26                        | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14000000 | PA      | $13145234.20  | 0.47%             | 2026-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4 5/26                        | CUSIP: 01F040651<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -14000000 | PA      | $-13145234.20 | -0.47%            | 2026-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 4.5 5/26                      | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  27400000 | PA      | $26390696.34  | 0.95%             | 2026-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5 5/26                        | CUSIP: 01F050650<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -41900000 | PA      | $-41314053.64 | -1.49%            | 2026-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5 5/26                        | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  69600000 | PA      | $68626685.76  | 2.48%             | 2026-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 5.5 5/26                      | CUSIP: 01F052656<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -27400000 | PA      | $-27548773.78 | -0.99%            | 2026-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | FNCL 6 5/26                        | CUSIP: 01F060659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -27700000 | PA      | $-28286461.63 | -1.02%            | 2026-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 5 5/26                        | CUSIP: 21H050656<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -7740000 | PA      | $-7677801.36  | -0.28%            | 2026-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 5 5/26                        | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7740000 | PA      | $7677801.36   | 0.28%             | 2026-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 6 5/26                        | CUSIP: 21H060655<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -7740000 | PA      | $-7892985.74  | -0.28%            | 2026-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                | G2SF 6 5/26                        | CUSIP: 21H060655<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7740000 | PA      | $7892985.74   | 0.28%             | 2026-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp                   | FREDDIE MAC                        | CUSIP: 3128X75U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  14465000 | PA      | $7869524.14   | 0.28%             | 2038-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WA3285                          | CUSIP: 3132WW2T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5856482 | PA      | $5387546.32   | 0.19%             | 2039-05-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WA3424                          | CUSIP: 3132WXA26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2745187 | PA      | $2492177.27   | 0.09%             | 2041-02-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WA3429                          | CUSIP: 3132WXA75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3950912 | PA      | $3506468.76   | 0.13%             | 2042-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WA3416                          | CUSIP: 3132WXAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4337415 | PA      | $3316794.87   | 0.12%             | 2039-05-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WA3506                          | CUSIP: 3132WXDL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2351823 | PA      | $1817141.28   | 0.07%             | 2043-01-01      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WN0179                          | CUSIP: 3132XEFV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9462306.00   | 0.34%             | 2045-01-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                | FRE PRIN STRIP                     | CUSIP: 3134A4AB0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  32416000 | PA      | $26532787.74  | 0.96%             | 2031-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Principal Strip                        | FNMA PRIN STP                      | CUSIP: 31358DCT9<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  31000000 | PA      | $17132863.00  | 0.62%             | 2038-08-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                   | FNA 2016-M10 AQ2                   | CUSIP: 3136ATY24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1022283 | PA      | $909412.15    | 0.03%             | 2045-11-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2016-85 GB                     | CUSIP: 3136AUBY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $3936096.00   | 0.14%             | 2046-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2019-71 DB                     | CUSIP: 3136B6A94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5450000 | PA      | $4429948.03   | 0.16%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2022-16 KB                     | CUSIP: 3136BMNW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12318028 | PA      | $9762242.90   | 0.35%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2024-102 KZ                    | CUSIP: 3136BUJF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8108226 | PA      | $7558636.90   | 0.27%             | 2053-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2024-103 ZJ                    | CUSIP: 3136BUNV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14113709 | PA      | $12551696.54  | 0.45%             | 2055-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association             | FANNIE MAE                         | CUSIP: 3136F7NM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |  49591000 | PA      | $41187259.55  | 1.49%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                 | FNR 2026-20 NZ                     | CUSIP: 3136G5EB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12459054 | PA      | $9706643.52   | 0.35%             | 2055-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 4493 PY                        | CUSIP: 3137BKLV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4226349.50   | 0.15%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 5048 JY                        | CUSIP: 3137F7EU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11700000 | PA      | $8085729.60   | 0.29%             | 2050-12-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 4938 CB                        | CUSIP: 3137FQEX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2217279 | PA      | $1824805.98   | 0.07%             | 2049-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 5000 BZ                        | CUSIP: 3137FVEK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25800619 | PA      | $17551766.46  | 0.63%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 5175 CV                        | CUSIP: 3137H4N48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7237834 | PA      | $5674351.84   | 0.20%             | 2041-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                | FHR 5224 DZ                        | CUSIP: 3137H7G31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7805291 | PA      | $7102458.66   | 0.26%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AM8956                          | CUSIP: 3138L95S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8248519 | PA      | $7333087.72   | 0.26%             | 2045-09-01      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AN1154                          | CUSIP: 3138LDH89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1628223 | PA      | $1496586.18   | 0.05%             | 2046-03-01      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AN5005                          | CUSIP: 3138LHR30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1906146 | PA      | $1732342.77   | 0.06%             | 2047-04-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AN6754                          | CUSIP: 3138LKQG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15100000 | PA      | $13192336.97  | 0.48%             | 2037-09-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN AN8089                          | CUSIP: 3138LL7B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3315000 | PA      | $2869947.99   | 0.10%             | 2038-01-01      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BL6327                          | CUSIP: 3140HYA57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1330914 | PA      | $1015798.56   | 0.04%             | 2050-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BL8889                          | CUSIP: 3140J12X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1828774 | PA      | $1401068.16   | 0.05%             | 2040-10-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BL8591                          | CUSIP: 3140J1RM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2488761 | PA      | $1797262.66   | 0.06%             | 2050-10-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BL9572                          | CUSIP: 3140J2T63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1352113 | PA      | $1000672.86   | 0.04%             | 2050-12-01      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS0069                          | CUSIP: 3140LACF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1521729 | PA      | $1081555.16   | 0.04%             | 2050-12-01      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS1824                          | CUSIP: 3140LCA27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7890000 | PA      | $6008399.90   | 0.22%             | 2041-04-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS2133                          | CUSIP: 3140LCLP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1172852 | PA      | $950857.83    | 0.03%             | 2037-10-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS3483                          | CUSIP: 3140LD2R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3340000 | PA      | $2375047.61   | 0.09%             | 2041-10-01      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS3576                          | CUSIP: 3140LD6N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7822272 | PA      | $6268216.46   | 0.23%             | 2046-10-01      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS3003                          | CUSIP: 3140LDKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2380533 | PA      | $1775561.39   | 0.06%             | 2051-09-01      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS3164                          | CUSIP: 3140LDQS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    915447 | PA      | $681989.30    | 0.02%             | 2051-09-01      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS3204                          | CUSIP: 3140LDR27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1245000 | PA      | $951076.17    | 0.03%             | 2039-10-01      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS4025                          | CUSIP: 3140LEPK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7463000 | PA      | $5725579.27   | 0.21%             | 2041-12-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS4188                          | CUSIP: 3140LEUN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6746021 | PA      | $5328927.46   | 0.19%             | 2041-12-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS4593                          | CUSIP: 3140LFC77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2995938 | PA      | $2358722.21   | 0.09%             | 2042-01-01      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                   | FN BS5198                          | CUSIP: 3140LFX41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19124454 | PA      | $16249964.33  | 0.59%             | 2038-04-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                  | FR WS4032                          | CUSIP: 3142GGPS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5830685 | PA      | $5392886.06   | 0.19%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION          | GNR 2022-174 CZ                    | CUSIP: 38383UV64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27233337 | PA      | $21799085.17  | 0.79%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Principal Strip           | RFC PRIN STRIP                     | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  19800000 | PA      | $17013823.20  | 0.61%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31125000 | PA      | $29748691.41  | 1.07%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810QS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19200000 | PA      | $16990499.90  | 0.61%             | 2041-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17610600 | PA      | $13988044.46  | 0.50%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5914100 | PA      | $4507422.09   | 0.16%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25670000 | PA      | $21743292.19  | 0.78%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31056600 | PA      | $26701396.95  | 0.96%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8450000 | PA      | $6843509.74   | 0.25%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15848600 | PA      | $12319191.11  | 0.44%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12600000 | PA      | $8750601.59   | 0.32%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12963100 | PA      | $9538512.26   | 0.34%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4100000 | PA      | $3072117.17   | 0.11%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13795000 | PA      | $9424248.21   | 0.34%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25651100 | PA      | $17457778.01  | 0.63%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44370000 | PA      | $28656780.25  | 1.03%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4468700 | PA      | $3236665.42   | 0.12%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1107597.66   | 0.04%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11323500 | PA      | $8329849.69   | 0.30%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22659300 | PA      | $15882753.09  | 0.57%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30289800 | PA      | $21160264.97  | 0.76%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34100000 | PA      | $24887671.88  | 0.90%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30700000 | PA      | $22858308.52  | 0.83%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35332700 | PA      | $25650712.00  | 0.93%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32610000 | PA      | $25282940.63  | 0.91%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25600000 | PA      | $18491000.06  | 0.67%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21761300 | PA      | $15311114.67  | 0.55%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23800000 | PA      | $14643507.87  | 0.53%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31600000 | PA      | $19910468.59  | 0.72%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51661300 | PA      | $29747625.78  | 1.07%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38500000 | PA      | $18060410.06  | 0.65%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48797500 | PA      | $23571479.64  | 0.85%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  71700000 | PA      | $44389581.85  | 1.60%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57500000 | PA      | $35977929.40  | 1.30%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  66011600 | PA      | $34050123.98  | 1.23%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  74832300 | PA      | $47851747.71  | 1.73%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  79300000 | PA      | $43515875.00  | 1.57%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  72101800 | PA      | $49598151.91  | 1.79%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42420100 | PA      | $26242465.66  | 0.95%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19750000 | PA      | $14288662.06  | 0.52%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54200000 | PA      | $30493851.70  | 1.10%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60690200 | PA      | $40285490.81  | 1.45%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  83400000 | PA      | $45237983.96  | 1.63%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  73850000 | PA      | $50708409.79  | 1.83%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55500000 | PA      | $33031171.88  | 1.19%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28200000 | PA      | $20421867.26  | 0.74%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  72250000 | PA      | $49460204.90  | 1.79%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $16380468.80  | 0.59%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26200000 | PA      | $18395265.49  | 0.66%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32131800 | PA      | $26663118.34  | 0.96%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  71900000 | PA      | $61056019.71  | 2.20%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53800000 | PA      | $48333836.07  | 1.74%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28700000 | PA      | $22741386.65  | 0.82%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48825000 | PA      | $43044196.17  | 1.55%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52075000 | PA      | $41222651.24  | 1.49%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42400000 | PA      | $37285500.00  | 1.35%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44900000 | PA      | $38906902.46  | 1.40%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  46500000 | PA      | $43522910.04  | 1.57%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42150000 | PA      | $40477171.88  | 1.46%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19599218.80  | 0.71%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  64560000 | PA      | $57145687.50  | 2.06%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26050000 | PA      | $24695603.45  | 0.89%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  69000000 | PA      | $64986679.86  | 2.35%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19150000 | PA      | $18421402.25  | 0.66%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  68150000 | PA      | $60294115.06  | 2.18%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33300000 | PA      | $29943984.38  | 1.08%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  74393400 | PA      | $68656971.05  | 2.48%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51050000 | PA      | $48974099.74  | 1.77%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70000000 | PA      | $65928515.80  | 2.38%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60033100 | PA      | $58480681.25  | 2.11%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  75000000 | PA      | $72105468.75  | 2.60%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54158000 | PA      | $54416096.45  | 1.96%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  81200000 | PA      | $78110593.34  | 2.82%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45000000 | PA      | $44456836.05  | 1.60%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30600000 | PA      | $28853648.51  | 1.04%             | 2055-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33000000 | PA      | $31551093.75  | 1.14%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7700000 | PA      | $7412152.36   | 0.27%             | 2056-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                  | US TREASURY N/B                    | CUSIP: 912810UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $8596757.79   | 0.31%             | 2046-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds    | TSY INFL IX N/B                    | CUSIP: 91282CQP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  30857946 | PA      | $30718121.08  | 1.11%             | 2031-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Strip Coupon               | STRIPS                             | CUSIP: 912834MZ8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  39000000 | PA      | $15759960.84  | 0.57%             | 2043-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Strip Coupon               | STRIPS                             | CUSIP: 912834NP9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  42000000 | PA      | $16471875.00  | 0.59%             | 2044-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                               | US LONG BOND(CBT) Jun26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       464 | NC      | $-529325.39   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | US 10yr Ultra Fut Jun26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -536 | NC      | $299419.78    | 0.01%             |  |  |  | No            |                  1 | 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       |   6500000 | NC      | $122534.25    | 0.00%             |  |  |  | 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       |   7200000 | NC      | $-120719.20   | -0.00%            |  |  |  | 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       |   1140000 | NC      | $9082.49      | 0.00%             |  |  |  | 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       |   1410000 | NC      | $-8568.76     | -0.00%            |  |  |  | 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       |  16200000 | NC      | $325769.04    | 0.01%             |  |  |  | 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       | -13600000 | NC      | $-389577.44   | -0.01%            |  |  |  | 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       |  30110000 | NC      | $26547.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 2Y RTR 2.870000 16-JUL-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -30110000 | NC      | $-8786.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 30Y RTR 4.090000 16-JUL-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -3370000 | NC      | $-41787.06    | -0.00%            |  |  |  | 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       |   3370000 | NC      | $6119.25      | 0.00%             |  |  |  | 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       |  16260000 | NC      | $152614.73    | 0.01%             |  |  |  | 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       | -16260000 | NC      | $-118823.20   | -0.00%            |  |  |  | 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       | -16260000 | NC      | $-91781.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 2Y RTP 3.500000 21-JAN-2027   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  15290000 | NC      | $121485.17    | 0.00%             |  |  |  | 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       | -30580000 | NC      | $-166200.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 2Y RTP 3.450000 05-FEB-2027   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  15090000 | NC      | $130776.73    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 2Y RTP 3.750000 05-FEB-2027   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -30180000 | NC      | $-168964.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 5Y RTP 3.700000 13-MAY-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -12720000 | NC      | $-41281.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 5Y RTP 3.500000 13-MAY-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  12720000 | NC      | $131330.18    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 5Y RTP 3.800000 13-MAY-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -12720000 | NC      | $-17683.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.572000 15-NOV-2035 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   7240000 | NC      | $199082.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.251500 31-AUG-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  36922326 | NC      | $621305.69    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.157448 15-MAR-2028 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  87700000 | NC      | $796509.45    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.681517 15-NOV-2035 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   3700000 | NC      | $70105.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | SWP: OIS 3.616500 10-APR-2031 SOF  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   1275000 | NC      | $5682.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | SWP: OIS 3.668500 10-APR-2031 SOF  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   1275000 | NC      | $-2699.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.833160 15-NOV-2035 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   3600000 | NC      | $25591.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 10Y RTR 4.017500 17-APR-2028  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   4030000 | NC      | $129216.71    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 10Y RTP 4.017500 17-APR-2028  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   4030000 | NC      | $156212.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 30Y RTP 4.170000 17-APR-2028  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -1950000 | NC      | $-142788.56   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 30Y RTR 4.170000 17-APR-2028  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -1950000 | NC      | $-123186.77   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 5Y RTP 3.798000 15-OCT-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   5080000 | NC      | $47039.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FWDP 5Y RTP 3.873000 15-APR-2027   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -3710000 | NC      | $-48127.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.574404 31-AUG-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   7400000 | NC      | $33519.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.624000 15-MAY-2031 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   1870000 | NC      | $-8046.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.597560 15-MAR-2028 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  17700000 | NC      | $-34107.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | FSWP: OIS 3.836880 15-NOV-2035 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   3600000 | NC      | $24545.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                               | US ULTRA BOND CBT Jun26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      1189 | NC      | $-4077963.58  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-25

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

**Signature:** My Trieu-Gatt

**Name of Signer:** My Trieu-Gatt

**Title:** Treasurer