# EDGAR Filing Document

**Accession Number:** 0000836906
**File Stem:** 0000836906-26-000072
**Filing Date:** 2026-2
**Character Count:** 168827
**Document Hash:** 5a3e3246f95ea771f6c2323945518c00
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000836906-26-000072.hdr.sgml**: 20260226

**ACCESSION NUMBER**: 0000836906-26-000072

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260226

**DATE AS OF CHANGE**: 20260226

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VANGUARD MALVERN FUNDS
- **CENTRAL INDEX KEY:** 0000836906

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05628
- **FILM NUMBER:** 26688275

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VANGUARD ASSET ALLOCATION FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Vanguard Government Securities Active ETF (Series ID: S000093523)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000261813 | ETF Shares   | VGVT            |

## Nport-Ex

Vanguard<sup>®</sup> Government Securities Active ETF

Schedule of Investments (unaudited)

As of December 31, 2025

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;Coupon | &nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| **U.S. Government and Agency Obligations (68.2%)** | **U.S. Government and Agency Obligations (68.2%)** | **U.S. Government and Agency Obligations (68.2%)** | **U.S. Government and Agency Obligations (68.2%)** | **U.S. Government and Agency Obligations (68.2%)** | **U.S. Government and Agency Obligations (68.2%)** |
| **U.S. Government Securities (39.2%)** | **U.S. Government Securities (39.2%)** | **U.S. Government Securities (39.2%)** | **U.S. Government Securities (39.2%)** | **U.S. Government Securities (39.2%)** | **U.S. Government Securities (39.2%)** |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.875% | &nbsp;&nbsp;7/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;93 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.250% | &nbsp;&nbsp;6/30/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.875% | &nbsp;&nbsp;9/30/2029 | &nbsp;&nbsp;&nbsp;&nbsp;260 | &nbsp;&nbsp;&nbsp;&nbsp;262 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.125% | &nbsp;&nbsp;10/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;254 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.500% | &nbsp;&nbsp;1/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp;210 | &nbsp;&nbsp;&nbsp;&nbsp;209 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.750% | &nbsp;&nbsp;5/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;5/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp;198 | &nbsp;&nbsp;&nbsp;&nbsp;201 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.875% | &nbsp;&nbsp;6/30/2030 | &nbsp;&nbsp;1120 | &nbsp;&nbsp;1128 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.875% | &nbsp;&nbsp;7/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp;185 | &nbsp;&nbsp;&nbsp;&nbsp;186 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.125% | &nbsp;&nbsp;8/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp;270 | &nbsp;&nbsp;&nbsp;&nbsp;275 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.625% | &nbsp;&nbsp;9/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp;189 | &nbsp;&nbsp;&nbsp;&nbsp;188 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.625% | &nbsp;&nbsp;10/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.375% | &nbsp;&nbsp;11/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp;160 | &nbsp;&nbsp;&nbsp;&nbsp;165 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;1/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp;130 | &nbsp;&nbsp;&nbsp;&nbsp;131 |
| <sup>1</sup> | United States Treasury Note/Bond | &nbsp;&nbsp;4.625% | &nbsp;&nbsp;5/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp;712 | &nbsp;&nbsp;&nbsp;&nbsp;742 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.250% | &nbsp;&nbsp;6/30/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.125% | &nbsp;&nbsp;7/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp;210 | &nbsp;&nbsp;&nbsp;&nbsp;213 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;1.250% | &nbsp;&nbsp;8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;345 | &nbsp;&nbsp;&nbsp;&nbsp;301 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.750% | &nbsp;&nbsp;8/31/2031 | &nbsp;&nbsp;&nbsp;&nbsp;154 | &nbsp;&nbsp;&nbsp;&nbsp;154 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.625% | &nbsp;&nbsp;9/30/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;1.375% | &nbsp;&nbsp;11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;361 | &nbsp;&nbsp;&nbsp;&nbsp;315 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.125% | &nbsp;&nbsp;2/29/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;4/30/2032 | &nbsp;&nbsp;1193 | &nbsp;&nbsp;1202 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.875% | &nbsp;&nbsp;5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.125% | &nbsp;&nbsp;5/31/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;6/30/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.875% | &nbsp;&nbsp;9/30/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.125% | &nbsp;&nbsp;11/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;101 | &nbsp;&nbsp;&nbsp;&nbsp;103 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.375% | &nbsp;&nbsp;5/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.875% | &nbsp;&nbsp;8/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;11/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;108 | &nbsp;&nbsp;&nbsp;&nbsp;112 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;154 | &nbsp;&nbsp;&nbsp;&nbsp;154 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.375% | &nbsp;&nbsp;5/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;174 | &nbsp;&nbsp;&nbsp;&nbsp;177 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.875% | &nbsp;&nbsp;8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;197 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.250% | &nbsp;&nbsp;11/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;967 | &nbsp;&nbsp;&nbsp;&nbsp;978 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.625% | &nbsp;&nbsp;2/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.250% | &nbsp;&nbsp;5/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.375% | &nbsp;&nbsp;11/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp;203 | &nbsp;&nbsp;&nbsp;&nbsp;200 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.625% | &nbsp;&nbsp;2/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;170 | &nbsp;&nbsp;&nbsp;&nbsp;172 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;1.125% | &nbsp;&nbsp;5/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.875% | &nbsp;&nbsp;8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;1.375% | &nbsp;&nbsp;11/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;134 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;1.875% | &nbsp;&nbsp;2/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.375% | &nbsp;&nbsp;5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;1.750% | &nbsp;&nbsp;8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.000% | &nbsp;&nbsp;11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.375% | &nbsp;&nbsp;2/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp;295 | &nbsp;&nbsp;&nbsp;&nbsp;218 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.250% | &nbsp;&nbsp;5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.375% | &nbsp;&nbsp;8/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;11/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.875% | &nbsp;&nbsp;5/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.875% | &nbsp;&nbsp;5/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.375% | &nbsp;&nbsp;8/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.750% | &nbsp;&nbsp;11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;2/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.625% | &nbsp;&nbsp;5/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.125% | &nbsp;&nbsp;8/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;11/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.625% | &nbsp;&nbsp;11/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp;138 | &nbsp;&nbsp;&nbsp;&nbsp;136 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.500% | &nbsp;&nbsp;2/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.750% | &nbsp;&nbsp;2/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp;337 | &nbsp;&nbsp;&nbsp;&nbsp;336 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp;142 | &nbsp;&nbsp;&nbsp;&nbsp;146 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;Coupon | &nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.875% | &nbsp;&nbsp;8/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp;12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.875% | &nbsp;&nbsp;8/15/2045 | &nbsp;&nbsp;120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;121 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.750% | &nbsp;&nbsp;8/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp;36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.750% | &nbsp;&nbsp;11/15/2047 | &nbsp;&nbsp;276 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;197 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;2/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp;55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.125% | &nbsp;&nbsp;5/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp;58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;8/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp;63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.375% | &nbsp;&nbsp;11/15/2048 | &nbsp;&nbsp;116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;2/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp;66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.875% | &nbsp;&nbsp;5/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp;65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.250% | &nbsp;&nbsp;8/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp;63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.375% | &nbsp;&nbsp;11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp;60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.000% | &nbsp;&nbsp;2/15/2050 | &nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;1.250% | &nbsp;&nbsp;5/15/2050 | &nbsp;&nbsp;812 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;389 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;1.375% | &nbsp;&nbsp;8/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp;40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;1.625% | &nbsp;&nbsp;11/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp;72 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;1.875% | &nbsp;&nbsp;2/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp;92 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.375% | &nbsp;&nbsp;5/15/2051 | &nbsp;&nbsp;369 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;233 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.000% | &nbsp;&nbsp;8/15/2051 | &nbsp;&nbsp;321 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;184 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;1.875% | &nbsp;&nbsp;11/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp;83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.250% | &nbsp;&nbsp;2/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp;71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;2.875% | &nbsp;&nbsp;5/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp;66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46 |
| <sup>2</sup> | United States Treasury Note/Bond | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;8/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp;76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;11/15/2052 | &nbsp;&nbsp;195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;169 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.625% | &nbsp;&nbsp;2/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp;56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;3.625% | &nbsp;&nbsp;5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp;63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.125% | &nbsp;&nbsp;8/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp;76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.750% | &nbsp;&nbsp;11/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp;83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.250% | &nbsp;&nbsp;2/15/2054 | &nbsp;&nbsp;462 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;419 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.625% | &nbsp;&nbsp;5/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp;57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.250% | &nbsp;&nbsp;8/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp;78 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;11/15/2054 | &nbsp;&nbsp;479 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;453 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.625% | &nbsp;&nbsp;2/15/2055 | &nbsp;&nbsp;273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;263 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.750% | &nbsp;&nbsp;5/15/2055 | &nbsp;&nbsp;127 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;125 |
|  | United States Treasury Note/Bond | &nbsp;&nbsp;4.750% | &nbsp;&nbsp;8/15/2055 | &nbsp;&nbsp;101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99 |
|  |  |  |  |  | &nbsp;&nbsp;**14309** |
| **Conventional Mortgage-Backed Securities (8.0%)** | **Conventional Mortgage-Backed Securities (8.0%)** | **Conventional Mortgage-Backed Securities (8.0%)** | **Conventional Mortgage-Backed Securities (8.0%)** | **Conventional Mortgage-Backed Securities (8.0%)** |  |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;1.080% | &nbsp;&nbsp;12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;1.230% | &nbsp;&nbsp;12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;1.330% | &nbsp;&nbsp;10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;1.384% | &nbsp;&nbsp;12/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;1.385% | &nbsp;&nbsp;10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;1.400% | &nbsp;&nbsp;10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;1.455% | &nbsp;&nbsp;10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;1.470% | &nbsp;&nbsp;10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;1.540% | &nbsp;&nbsp;5/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;1.700% | &nbsp;&nbsp;9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;1.740% | &nbsp;&nbsp;2/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;2.190% | &nbsp;&nbsp;11/1/2026 | &nbsp;&nbsp;380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;374 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;2.360% | &nbsp;&nbsp;11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;2.380% | &nbsp;&nbsp;9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;2.420% | &nbsp;&nbsp;8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;2.470% | &nbsp;&nbsp;11/1/2028 | &nbsp;&nbsp;113 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;109 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;2.550% | &nbsp;&nbsp;9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;2.620% | &nbsp;&nbsp;4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;2.890% | &nbsp;&nbsp;1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;2.910% | &nbsp;&nbsp;12/1/2027 | &nbsp;&nbsp;143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;141 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;2.930% | &nbsp;&nbsp;10/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;2.965% | &nbsp;&nbsp;1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;3.040% | &nbsp;&nbsp;7/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;3.060% | &nbsp;&nbsp;8/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;3.090% | &nbsp;&nbsp;3/1/2027 | &nbsp;&nbsp;330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;327 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;3.120% | &nbsp;&nbsp;10/1/2027 | &nbsp;&nbsp;164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;162 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;3.150% | &nbsp;&nbsp;11/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;3.180% | &nbsp;&nbsp;1/1/2028 | &nbsp;&nbsp;246 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;243 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;3.220% | &nbsp;&nbsp;4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;3.230% | &nbsp;&nbsp;7/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;3.450% | &nbsp;&nbsp;5/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp;30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.150% | &nbsp;&nbsp;8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;Coupon | &nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.180% | &nbsp;&nbsp;8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.190% | &nbsp;&nbsp;5/1/2030–7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.200% | &nbsp;&nbsp;8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.220% | &nbsp;&nbsp;9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.230% | &nbsp;&nbsp;5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.260% | &nbsp;&nbsp;9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.290% | &nbsp;&nbsp;4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.305% | &nbsp;&nbsp;9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.340% | &nbsp;&nbsp;9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.390% | &nbsp;&nbsp;7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.420% | &nbsp;&nbsp;7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.490% | &nbsp;&nbsp;9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.510% | &nbsp;&nbsp;9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.650% | &nbsp;&nbsp;8/1/2028–2/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61 |
| <sup>3,4</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;1.250% | &nbsp;&nbsp;4/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27 |
| <sup>3,4</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;2.060% | &nbsp;&nbsp;10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 |
| <sup>3,4</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;2.120% | &nbsp;&nbsp;10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 |
| <sup>3,4</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;4.250% | &nbsp;&nbsp;4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
| <sup>3,4</sup> | Freddie Mac Gold Pool | &nbsp;&nbsp;5.200% | &nbsp;&nbsp;9/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;226 |
| <sup>3,4</sup> | UMBS Pool | &nbsp;&nbsp;2.500% | &nbsp;&nbsp;2/1/2035–4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 |
| <sup>3,4</sup> | UMBS Pool | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;10/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;137 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**2916** |
| **Nonconventional Mortgage-Backed Securities (21.0%)** | **Nonconventional Mortgage-Backed Securities (21.0%)** | **Nonconventional Mortgage-Backed Securities (21.0%)** | **Nonconventional Mortgage-Backed Securities (21.0%)** | **Nonconventional Mortgage-Backed Securities (21.0%)** |  |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.521% | &nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.551% | &nbsp;&nbsp;10/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;4.864% | &nbsp;&nbsp;12/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;5.079% | &nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;5.408% | &nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29 |
| <sup>3,4</sup> | Fannie Mae Pool | &nbsp;&nbsp;5.699% | &nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39 |
| <sup>3,4</sup> | Fannie Mae REMICS | &nbsp;&nbsp;1.500% | &nbsp;&nbsp;1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp;115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92 |
| <sup>3,4</sup> | Fannie Mae REMICS | &nbsp;&nbsp;1.750% | &nbsp;&nbsp;5/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;96 |
| <sup>3,4</sup> | Fannie Mae REMICS | &nbsp;&nbsp;2.000% | &nbsp;&nbsp;6/25/2048–9/25/2050 | &nbsp;&nbsp;1497 | &nbsp;&nbsp;&nbsp;&nbsp;1025 |
| <sup>3,4</sup> | Fannie Mae REMICS | &nbsp;&nbsp;2.500% | &nbsp;&nbsp;4/25/2043–9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp;265 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;236 |
| <sup>3,4</sup> | Fannie Mae REMICS | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;6/25/2033–11/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp;345 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;305 |
| <sup>3,4</sup> | Fannie Mae REMICS | &nbsp;&nbsp;3.200% | &nbsp;&nbsp;2/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp;118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;115 |
| <sup>3,4</sup> | Fannie Mae REMICS | &nbsp;&nbsp;3.500% | &nbsp;&nbsp;5/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp;118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;114 |
| <sup>3,4</sup> | Fannie Mae REMICS | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;84 |
| <sup>3,4</sup> | Fannie Mae REMICS | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;8/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp;116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;116 |
| <sup>3,4,5</sup> | Freddie Mac Non Gold Pool, SOFR30A + 2.105% | &nbsp;&nbsp;5.028% | &nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48 |
| <sup>3,4,5</sup> | Freddie Mac Non Gold Pool, SOFR30A + 2.325% | &nbsp;&nbsp;5.177% | &nbsp;&nbsp;10/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 |
| <sup>3,4,5</sup> | Freddie Mac Non Gold Pool, SOFR30A + 2.325% | &nbsp;&nbsp;5.334% | &nbsp;&nbsp;9/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 |
| <sup>3,4</sup> | Freddie Mac REMICS | &nbsp;&nbsp;2.000% | &nbsp;&nbsp;9/15/2047–5/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp;481 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;423 |
| <sup>3,4</sup> | Freddie Mac REMICS | &nbsp;&nbsp;2.500% | &nbsp;&nbsp;10/25/2047–12/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp;413 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;381 |
| <sup>3,4</sup> | Freddie Mac REMICS | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp;160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;132 |
| <sup>3,4</sup> | Freddie Mac REMICS | &nbsp;&nbsp;3.500% | &nbsp;&nbsp;9/15/2040–10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp;209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;193 |
| <sup>3,4</sup> | Freddie Mac REMICS | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;12/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp;743 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;733 |
| <sup>3,5</sup> | Ginnie Mae II Pool, 1YR CMT + 1.500% | &nbsp;&nbsp;4.500% | &nbsp;&nbsp;11/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp;180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;180 |
| <sup>3</sup> | Ginnie Mae REMICS | &nbsp;&nbsp;2.500% | &nbsp;&nbsp;10/20/2043–12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;247 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;218 |
| <sup>3</sup> | Ginnie Mae REMICS | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;9/20/2046–5/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp;580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;521 |
| <sup>3</sup> | Ginnie Mae REMICS | &nbsp;&nbsp;3.500% | &nbsp;&nbsp;4/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp;923 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;888 |
| <sup>3</sup> | Ginnie Mae REMICS | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;8/20/2041–11/20/2055 | &nbsp;&nbsp;1284 | &nbsp;&nbsp;&nbsp;&nbsp;1258 |
| <sup>3</sup> | Ginnie Mae REMICS | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;6/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp;154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;148 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**7647** |
| **Total U.S. Government and Agency Obligations (Cost $24,890)** | **Total U.S. Government and Agency Obligations (Cost $24,890)** | **Total U.S. Government and Agency Obligations (Cost $24,890)** | **Total U.S. Government and Agency Obligations (Cost $24,890)** | **Total U.S. Government and Agency Obligations (Cost $24,890)** | **24872** |
| **Asset-Backed/Commercial Mortgage-Backed Securities (27.0%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (27.0%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (27.0%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (27.0%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (27.0%)** | **Asset-Backed/Commercial Mortgage-Backed Securities (27.0%)** |
| <sup>3,6</sup> | Citigroup Mortgage Loan Trust Series 2025-LTV1 | &nbsp;&nbsp;5.237% | &nbsp;&nbsp;12/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2012-M14 | &nbsp;&nbsp;2.876% | &nbsp;&nbsp;9/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2015-M10 | &nbsp;&nbsp;3.092% | &nbsp;&nbsp;4/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2017-M7 | &nbsp;&nbsp;2.961% | &nbsp;&nbsp;2/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;114 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;113 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2017-M8 | &nbsp;&nbsp;3.061% | &nbsp;&nbsp;5/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2017-M11 | &nbsp;&nbsp;2.980% | &nbsp;&nbsp;8/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2017-M13 | &nbsp;&nbsp;2.935% | &nbsp;&nbsp;9/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;327 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2017-M14 | &nbsp;&nbsp;2.810% | &nbsp;&nbsp;11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2017-M15 | &nbsp;&nbsp;2.966% | &nbsp;&nbsp;9/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2017-M15 | &nbsp;&nbsp;3.158% | &nbsp;&nbsp;11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;959 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;949 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2018-M1 | &nbsp;&nbsp;2.984% | &nbsp;&nbsp;12/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2018-M7 | &nbsp;&nbsp;3.030% | &nbsp;&nbsp;3/25/2028 | &nbsp;&nbsp;1912 | &nbsp;&nbsp;&nbsp;&nbsp;1883 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2018-M8 | &nbsp;&nbsp;3.311% | &nbsp;&nbsp;6/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;Coupon | &nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2018-M10 | &nbsp;&nbsp;3.354% | &nbsp;&nbsp;7/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2019-M5 | &nbsp;&nbsp;3.273% | &nbsp;&nbsp;2/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;865 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;850 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2019-M22 | &nbsp;&nbsp;2.522% | &nbsp;&nbsp;8/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42 |
| <sup>3,4</sup> | Fannie Mae-Aces Series 2024-M6 | &nbsp;&nbsp;2.904% | &nbsp;&nbsp;7/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;415 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K064 | &nbsp;&nbsp;3.224% | &nbsp;&nbsp;3/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K068 | &nbsp;&nbsp;3.244% | &nbsp;&nbsp;8/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K069 | &nbsp;&nbsp;3.187% | &nbsp;&nbsp;9/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;173 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K070 | &nbsp;&nbsp;3.303% | &nbsp;&nbsp;11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;324 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;321 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K072 | &nbsp;&nbsp;3.444% | &nbsp;&nbsp;12/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K073 | &nbsp;&nbsp;3.350% | &nbsp;&nbsp;1/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K074 | &nbsp;&nbsp;3.600% | &nbsp;&nbsp;1/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;209 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K078 | &nbsp;&nbsp;3.854% | &nbsp;&nbsp;6/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K079 | &nbsp;&nbsp;3.926% | &nbsp;&nbsp;6/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K080 | &nbsp;&nbsp;3.926% | &nbsp;&nbsp;7/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K081 | &nbsp;&nbsp;3.900% | &nbsp;&nbsp;8/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K082 | &nbsp;&nbsp;3.920% | &nbsp;&nbsp;9/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K083 | &nbsp;&nbsp;4.050% | &nbsp;&nbsp;9/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K086 | &nbsp;&nbsp;3.859% | &nbsp;&nbsp;11/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K087 | &nbsp;&nbsp;3.771% | &nbsp;&nbsp;12/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K088 | &nbsp;&nbsp;3.690% | &nbsp;&nbsp;1/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K090 | &nbsp;&nbsp;3.422% | &nbsp;&nbsp;2/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K093 | &nbsp;&nbsp;2.982% | &nbsp;&nbsp;5/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K507 | &nbsp;&nbsp;4.800% | &nbsp;&nbsp;9/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;684 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K509 | &nbsp;&nbsp;4.850% | &nbsp;&nbsp;9/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;512 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K511 | &nbsp;&nbsp;4.860% | &nbsp;&nbsp;10/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;870 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K513 | &nbsp;&nbsp;4.724% | &nbsp;&nbsp;12/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K744 | &nbsp;&nbsp;1.712% | &nbsp;&nbsp;7/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K745 | &nbsp;&nbsp;1.657% | &nbsp;&nbsp;8/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47 |
| <sup>3,4</sup> | FHLMC Multifamily Structured Pass-Through Certificates Series K747 | &nbsp;&nbsp;1.752% | &nbsp;&nbsp;12/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;188 |
| <sup>3,6</sup> | GCAT Trust Series 2022-INV1 | &nbsp;&nbsp;3.000% | &nbsp;&nbsp;12/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65 |
| <sup>3,6</sup> | JP Morgan Mortgage Trust Series 2021-INV6 | &nbsp;&nbsp;2.500% | &nbsp;&nbsp;4/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;108 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91 |
| <sup>3,6</sup> | PMT Loan Trust Series 2025-CNF1 | &nbsp;&nbsp;5.000% | &nbsp;&nbsp;10/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;143 |
| <sup>3,6</sup> | PMT Loan Trust Series 2025-CNF2 | &nbsp;&nbsp;5.500% | &nbsp;&nbsp;1/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;101 |
| <sup>3,5,6</sup> | PMT Loan Trust Series 2025-INV9, SOFR30A + 1.300% | &nbsp;&nbsp;5.165% | &nbsp;&nbsp;9/1/2056 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;143 |
| <sup>3,6</sup> | PMT Loan Trust Series 2025-INV12 | &nbsp;&nbsp;5.293% | &nbsp;&nbsp;12/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 |
| <sup>3,6</sup> | Sequoia Mortgage Trust Series 2025-S2 | &nbsp;&nbsp;4.000% | &nbsp;&nbsp;11/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;93 |
| **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $9,838)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $9,838)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $9,838)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $9,838)** | **Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $9,838)** | &nbsp;&nbsp;**9850** |
|  |  |  |  | &nbsp;&nbsp;Shares |  |
| **Temporary Cash Investments (4.4%)** | **Temporary Cash Investments (4.4%)** | **Temporary Cash Investments (4.4%)** | **Temporary Cash Investments (4.4%)** | **Temporary Cash Investments (4.4%)** | **Temporary Cash Investments (4.4%)** |
| **Money Market Fund (4.4%)** | **Money Market Fund (4.4%)** | **Money Market Fund (4.4%)** | **Money Market Fund (4.4%)** | **Money Market Fund (4.4%)** | **Money Market Fund (4.4%)** |
| <sup>7</sup> | Vanguard Market Liquidity Fund **(Cost $1,590)** | &nbsp;&nbsp;3.780% |  | &nbsp;&nbsp;15896 | &nbsp;&nbsp;&nbsp;&nbsp;**1590** |
| **Total Investments (99.6%) (Cost $36,318)** | **Total Investments (99.6%) (Cost $36,318)** | **Total Investments (99.6%) (Cost $36,318)** | **Total Investments (99.6%) (Cost $36,318)** |  | &nbsp;&nbsp;**36312** |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | &nbsp;&nbsp;Coupon | &nbsp;&nbsp;Maturity<br> Date | &nbsp;&nbsp;Face<br> Amount<br> ($000) | &nbsp;&nbsp;Market<br> Value<br> ($000) |
| **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-0.3%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-0.3%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-0.3%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-0.3%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-0.3%)** | **Conventional Mortgage-Backed Securities—Liability for Sale Commitments (-0.3%)** |
| <sup>3,4,8</sup> | UMBS Pool **(Proceeds $101)** | &nbsp;&nbsp;5.500% | &nbsp;&nbsp;1/25/2056 | &nbsp;&nbsp;(100) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(101)** |
| **Other Assets and Liabilities—Net (0.7%)** | **Other Assets and Liabilities—Net (0.7%)** | **Other Assets and Liabilities—Net (0.7%)** | **Other Assets and Liabilities—Net (0.7%)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**241** |
| **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** | **Net Assets (100%)** |  | &nbsp;&nbsp;**36452** |

---

Cost is in $000.

---

| | |
|:---|:---|
| 1 | Securities with a value of $45 have been segregated as initial margin for open futures contracts. |
| 2 | Securities with a value of $27 have been segregated as initial margin for open centrally cleared swap contracts. |
| 3 | 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. |
| 4 | 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. |
| 5 | 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. |
| 6 | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2025, the aggregate value was $1,035, representing 2.8% of net assets. |
| 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. |
| 8 | Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2025. |

---

---

| |
|:---|
| 1YR—1-year. |
| CMT—Constant Maturing Treasury Rate. |
| REMICS—Real Estate Mortgage Investment Conduits. |
| SOFR30A—30 Day Average Secured Overnight Financing Rate. |
| UMBS—Uniform Mortgage-Backed Securities. |

---

------

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

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| 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 | Long Futures Contracts | Long Futures Contracts | Long Futures Contracts | Long Futures Contracts |
| 2-Year U.S. Treasury Note | March 2026 | &nbsp;&nbsp;&nbsp;22 | &nbsp;&nbsp;4593 | &nbsp;&nbsp;— |
| 5-Year U.S. Treasury Note | March 2026 | &nbsp;&nbsp;&nbsp;23 | &nbsp;&nbsp;2514 | &nbsp;&nbsp;&nbsp;1 |
| Long U.S. Treasury Bond | March 2026 | &nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;347 | &nbsp;&nbsp;— |
|  |  |  |  | &nbsp;&nbsp;&nbsp;1 |
| Short Futures Contracts | Short Futures Contracts | Short Futures Contracts | Short Futures Contracts | Short Futures Contracts |
| 10-Year U.S. Treasury Note | March 2026 | &nbsp;&nbsp;&nbsp;(1) | &nbsp;&nbsp;&nbsp;&nbsp;(113) | &nbsp;&nbsp;— |
| Ultra 10-Year U.S. Treasury Note | March 2026 | (16) | (1840) | &nbsp;&nbsp;(2) |
|  |  |  |  | &nbsp;&nbsp;(2) |
|  |  |  |  | &nbsp;&nbsp;(1) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| 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 Date | Future<br> Effective<br> Date<sup>1</sup> | &nbsp;&nbsp;&nbsp;Notional<br> Amount<br> (000)<sup>2</sup> | &nbsp;&nbsp;&nbsp;Interest<br> Rate<br> Received<sup>3</sup><br> (%) | &nbsp;&nbsp;&nbsp;Interest<br> Rate<br> (Paid)<sup>4</sup><br> (%) | &nbsp;&nbsp;&nbsp;Value<br> ($000) | &nbsp;&nbsp;&nbsp;Unrealized<br> Appreciation<br> (Depreciation)<br> ($000) |
| 12/15/2027 | 4/3/2026 | &nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;0.000 | &nbsp;&nbsp;&nbsp;(3.128) | &nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;1 |
| 12/15/2027 | 4/3/2026 | &nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;0.000 | &nbsp;&nbsp;&nbsp;(3.230) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— |
| 5/31/2030 | 4/3/2026 | &nbsp;&nbsp;&nbsp;230 | &nbsp;&nbsp;&nbsp;0.000 | &nbsp;&nbsp;&nbsp;(3.428) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— |
| 5/31/2030 | 4/3/2026 | &nbsp;&nbsp;&nbsp;120 | &nbsp;&nbsp;&nbsp;0.000 | &nbsp;&nbsp;&nbsp;(3.282) | &nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;1 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;2 |

---

---

| |
|:---|
| 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 Notional amount denominated in U.S. dollar. |
| 3 Based on Secured Overnight Financing Rate (SOFR) as of the most recent reset date. Interest payment received/(paid) annually. |
| 4 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. 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. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase substantially similar securities in the future at a predetermined price on a predetermined date. The fund forgoes principal and interest paid on the securities sold. In exchange for the forgone principal and interest paid, the fund is compensated by investing the proceeds of the sale, typically in high-quality short-term fixed income securities, and earning interest on such investments. Further the fund receives a lower price on the securities to be repurchased. The fund also enters into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell substantially similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund's portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased.

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 December 31, 2025, 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;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;24872 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;24872 |
| Asset-Backed/Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;9850 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;9850 |
| Temporary Cash Investments | 1590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;1590 |
| Total | 1590 | &nbsp;&nbsp;&nbsp;34722 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;36312 |
| Liabilities |  |  |  |  |
| Conventional Mortgage-Backed Securities—Liability for Sale Commitments | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(101) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(101) |
| **Derivative Financial Instruments** |  |  |  |  |
| Assets |  |  |  |  |
| Futures Contracts<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| Swap Contracts<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| Total | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| Liabilities |  |  |  |  |
| Futures Contracts<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) |

---

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 MALVERN FUNDS

- **b. Investment Company Act file number:** 811-05628

- **c. CIK number of Registrant:** 0000836906

- **d. LEI of Registrant:** 549300EW16IGZDA38J20

- **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 GOVERNMENT SECURITIES ACTIVE ETF

- **b. EDGAR series identifier (if any):** S000093523

- **c. LEI of Series:** 529900OC6H2J7T6KV667

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $34940927.79

**Total Liabilities:** $1528830.84

**Net Assets:** $33412096.95

**Delayed Delivery Securities:** $318561.25

**Cash Not Reported:** $1014991.98

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -48.42286461 | **1-Year:** -1333.60313577 | **5-Year:** -1425.39001419 | **10-Year:** -2131.07001334 | **30-Year:** -515.00934753

**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 C000261813 | 0.67%                | 0.80%                | -0.37%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $63671.32                | $-9304.68                                  |
| Month 2  | $40753.84                | $49638.43                                  |
| Month 3  | $1679.81                 | $-209074.12                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Government Total Return Index

- **Index Identifier:** I00006US

### Schedule of Portfolio Investments

| Name                                                         | Title                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     44300 | PA      | $41794.28     | 0.13%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2013-149 MZ                    | CUSIP: 38378UMF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135507 | PA      | $119637.23    | 0.36%             | 2043-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CC1148                          | CUSIP: 3140Y7H27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49561 | PA      | $49606.85     | 0.15%             | 2055-10-01      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4945                          | CUSIP: 3140Q0P71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $20191.72     | 0.06%             | 2030-09-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3766                          | CUSIP: 3140NYFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $20108.45     | 0.06%             | 2030-05-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M1 A2                     | CUSIP: 3136AY7L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26862 | PA      | $26489.45     | 0.08%             | 2027-12-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2025-192 HG                    | CUSIP: 38385JG72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    735110 | PA      | $727459.66    | 2.18%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    210000 | PA      | $213543.75    | 0.64%             | 2031-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    127200 | PA      | $125351.63    | 0.38%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10400 | PA      | $9642.34      | 0.03%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    116300 | PA      | $92226.81     | 0.28%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M11 A2                    | CUSIP: 3136AX3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65996 | PA      | $63874.06     | 0.19%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS4261                          | CUSIP: 3140LEWX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9418 | PA      | $8908.13      | 0.03%             | 2028-09-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    184500 | PA      | $185941.41    | 0.56%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2671                          | CUSIP: 3138LE6H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17041 | PA      | $16443.65     | 0.05%             | 2028-08-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     70700 | PA      | $71741.17     | 0.21%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K081 A2                       | CUSIP: 3137FJEH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $150125.97    | 0.45%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    337100 | PA      | $336046.56    | 1.01%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4514 Z                         | CUSIP: 3137BLFG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     96744 | PA      | $93541.81     | 0.28%             | 2040-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K083 A2                       | CUSIP: 3137FJXV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    170000 | PA      | $170775.74    | 0.51%             | 2028-09-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4949                          | CUSIP: 3140Q0QB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $50822.41     | 0.15%             | 2030-09-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2032                          | CUSIP: 3132XGHJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18363 | PA      | $18109.80     | 0.05%             | 2026-10-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $254355.47    | 0.76%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4846                          | CUSIP: 3140Q0L42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $10065.78     | 0.03%             | 2030-09-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    966400 | PA      | $977838.25    | 2.93%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2025-192 GH                    | CUSIP: 38385JF40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98867 | PA      | $97403.67     | 0.29%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    160000 | PA      | $164675.00    | 0.49%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2024-M6 A2                     | CUSIP: 3136BTGM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    170000 | PA      | $168031.50    | 0.50%             | 2027-07-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K078 A2                       | CUSIP: 3137FGR31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60000 | PA      | $60005.77     | 0.18%             | 2028-06-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     56200 | PA      | $45609.81     | 0.14%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.282050 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    120000 | NC      | $555.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     85000 | PA      | $86826.17     | 0.26%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5.5 1/26                      | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $76045.90     | 0.23%             | 2026-01-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    173500 | PA      | $177512.19    | 0.53%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     36000 | PA      | $25762.50     | 0.08%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K082 A2                       | CUSIP: 3137FJKE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60000 | PA      | $60123.91     | 0.18%             | 2028-09-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2019-3 BA                      | CUSIP: 3136B3G61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    118465 | PA      | $114578.74    | 0.34%             | 2049-02-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust 2025-CNF1                                     | PMTLT 2025-CNF1 A8                 | CUSIP: 729906AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142982 | PA      | $142554.79    | 0.43%             | 2056-10-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN3006                          | CUSIP: 3138LFKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    113002 | PA      | $109004.02    | 0.33%             | 2028-11-01      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     72200 | PA      | $38009.35     | 0.11%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust 2025-INV12                                    | PMTLT 2025-INV12 A35               | CUSIP: 73015KBM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $299951.01    | 0.90%             | 2056-12-25      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4510                          | CUSIP: 3140Q0AL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $25103.80     | 0.08%             | 2030-08-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     62500 | PA      | $46376.95     | 0.14%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M13 A2                    | CUSIP: 3136AY2C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    331173 | PA      | $326771.51    | 0.98%             | 2027-09-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    369000 | PA      | $233032.15    | 0.70%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50200 | PA      | $41946.41     | 0.13%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     75600 | PA      | $67092.05     | 0.20%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5146 QA                        | CUSIP: 3137H2GB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    161073 | PA      | $140484.95    | 0.42%             | 2051-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2025-89 GT                     | CUSIP: 38385GMP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80422 | PA      | $72911.63     | 0.22%             | 2055-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.427700 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    230000 | NC      | $-223.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2013-60 CB                     | CUSIP: 3136AEU21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    144496 | PA      | $140892.43    | 0.42%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     54100 | PA      | $53222.99     | 0.16%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     42100 | PA      | $40810.69     | 0.12%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K093 A2                       | CUSIP: 3137FMCR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19719 | PA      | $19191.94     | 0.06%             | 2029-05-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS8089                          | CUSIP: 3140XP7B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55028 | PA      | $53687.63     | 0.16%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3505                          | CUSIP: 3140LD3P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $18708.85     | 0.06%             | 2028-10-01      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6210                          | CUSIP: 3138LJ3U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8470 | PA      | $8364.20      | 0.03%             | 2027-08-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7502                          | CUSIP: 3138LLKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28450 | PA      | $28109.59     | 0.08%             | 2027-11-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF0191                          | CUSIP: 3140BQF97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28843 | PA      | $29410.31     | 0.09%             | 2055-09-01      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K090 A2                       | CUSIP: 3137FLMV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60000 | PA      | $59197.49     | 0.18%             | 2029-02-25      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K087 A2                       | CUSIP: 3137FKUP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68016 | PA      | $67836.57     | 0.20%             | 2028-12-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CC1615                          | CUSIP: 3140Y7YM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49731 | PA      | $50198.37     | 0.15%             | 2055-12-01      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3290                          | CUSIP: 3140LDUQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9756 | PA      | $9152.07      | 0.03%             | 2028-10-01      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     93000 | PA      | $93795.59     | 0.28%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2016-116 QW                    | CUSIP: 38380AKT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $447879.50    | 1.34%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4168                          | CUSIP: 3140NYT27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $20066.16     | 0.06%             | 2030-08-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     12300 | PA      | $9244.22      | 0.03%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1885                          | CUSIP: 3140LCCX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $9495.37      | 0.03%             | 2028-05-01      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| GCAT 2022-INV1 Trust                                         | GCAT 2022-INV1 A1                  | CUSIP: 36168YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74187 | PA      | $65014.95     | 0.19%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     90400 | PA      | $89743.19     | 0.27%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2036                          | CUSIP: 3132XGHN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18363 | PA      | $18101.65     | 0.05%             | 2026-10-01      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     71400 | PA      | $43431.28     | 0.13%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7683                          | CUSIP: 3138LLRD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $9826.25      | 0.03%             | 2028-01-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2495                          | CUSIP: 3138LEXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17597 | PA      | $17050.23     | 0.05%             | 2028-09-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     47100 | PA      | $43317.28     | 0.13%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     83000 | PA      | $82821.68     | 0.25%             | 2032-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    154000 | PA      | $153584.92    | 0.46%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL6327                          | CUSIP: 3140HYA57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9141 | PA      | $6989.00      | 0.02%             | 2050-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     57700 | PA      | $43926.38     | 0.13%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5605 MT                        | CUSIP: 3137HP7A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    743394 | PA      | $733311.61    | 2.19%             | 2055-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2020-96 A                      | CUSIP: 3136BDKT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    114496 | PA      | $91941.94     | 0.28%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2019-M22 A2                    | CUSIP: 3136B6XJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43572 | PA      | $41652.26     | 0.12%             | 2029-08-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     63400 | PA      | $39862.75     | 0.12%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1140                          | CUSIP: 3142BBHR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49114 | PA      | $49917.78     | 0.15%             | 2055-09-01      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US LONG BOND(CBT) Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -8 | NC      | $2740.08      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2025-59 L                      | CUSIP: 3136BWQ58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    116188 | PA      | $116304.65    | 0.35%             | 2055-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $38627.34     | 0.12%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7061                          | CUSIP: 3138LKZ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $19671.92     | 0.06%             | 2027-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K509 A2                       | CUSIP: 3137HAST4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $512347.80    | 1.53%             | 2028-09-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     65000 | PA      | $46736.52     | 0.14%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10yr Ultra Fut Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -9 | NC      | $-2343.83     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K074 A2                       | CUSIP: 3137F4D41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39959 | PA      | $39768.00     | 0.12%             | 2028-01-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 5YR NOTE (CBT) Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        18 | NC      | $887.88       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1193100 | PA      | $1201722.01   | 3.60%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K064 A2                       | CUSIP: 3137BXQY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $49654.39     | 0.15%             | 2027-03-25      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3346                          | CUSIP: 3140LDWG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30000 | PA      | $28037.09     | 0.08%             | 2028-10-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ0489                          | CUSIP: 3140NURK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $50975.02     | 0.15%             | 2029-02-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    120000 | PA      | $121406.25    | 0.36%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $42328.13     | 0.13%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     83100 | PA      | $46055.58     | 0.14%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    130000 | PA      | $131553.91    | 0.39%             | 2031-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4938 CB                        | CUSIP: 3137FQEX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    160000 | PA      | $132237.68    | 0.40%             | 2049-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K072 A2                       | CUSIP: 3137FEBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40000 | PA      | $39703.08     | 0.12%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     55300 | PA      | $41235.22     | 0.12%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K086 A2                       | CUSIP: 3137FKSH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40000 | PA      | $39986.38     | 0.12%             | 2028-11-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2021-INV6                           | JPMMT 2021-INV6 A2A                | CUSIP: 46654FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108311 | PA      | $90716.31     | 0.27%             | 2052-04-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    138300 | PA      | $135793.31    | 0.41%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M14 A2                    | CUSIP: 3136AY2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21820 | PA      | $21445.93     | 0.06%             | 2027-11-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CC1077                          | CUSIP: 3140Y7FT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49765 | PA      | $49797.96     | 0.15%             | 2055-09-01      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5194 H                         | CUSIP: 3137H5S81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     81207 | PA      | $74926.86     | 0.22%             | 2047-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K068 A2                       | CUSIP: 3137FBBX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $19824.37     | 0.06%             | 2027-08-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8019                          | CUSIP: 3138LL4D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16664 | PA      | $16363.35     | 0.05%             | 2028-01-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    712000 | PA      | $741564.69    | 2.22%             | 2031-05-31      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    210200 | PA      | $209050.47    | 0.63%             | 2030-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM9793                          | CUSIP: 3138LA3B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    163647 | PA      | $161721.28    | 0.48%             | 2027-10-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM6496                          | CUSIP: 3140JBGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17982 | PA      | $15891.59     | 0.05%             | 2030-12-01      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M15 ATS2                  | CUSIP: 3136AY6U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    959040 | PA      | $948745.92    | 2.84%             | 2027-11-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    142300 | PA      | $146363.33    | 0.44%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4063                          | CUSIP: 3140NYQR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $25335.54     | 0.08%             | 2030-07-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7060                          | CUSIP: 3138LKZ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $9835.96      | 0.03%             | 2027-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WR1005                          | CUSIP: 3142FEDK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $10044.63     | 0.03%             | 2030-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K744 A2                       | CUSIP: 3137H1Z33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18970 | PA      | $18062.11     | 0.05%             | 2028-07-25      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6219                          | CUSIP: 3138LJ4D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8731 | PA      | $8646.86      | 0.03%             | 2027-07-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M7 A2                     | CUSIP: 3136B1K86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1911625 | PA      | $1883471.81   | 5.64%             | 2028-03-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2023-27 EZ                     | CUSIP: 3136BP3R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94237 | PA      | $84416.01     | 0.25%             | 2050-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K088 A2                       | CUSIP: 3137FKZZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $19897.56     | 0.06%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     43000 | PA      | $43601.33     | 0.13%             | 2032-05-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AL3495                          | CUSIP: 3138EK3D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18651 | PA      | $18420.56     | 0.06%             | 2028-04-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100700 | PA      | $68086.57     | 0.20%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2053                          | CUSIP: 3132XGH74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28007 | PA      | $27120.75     | 0.08%             | 2027-04-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    273800 | PA      | $258944.21    | 0.78%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     76100 | PA      | $54634.45     | 0.16%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     40100 | PA      | $36039.88     | 0.11%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    203000 | PA      | $200454.57    | 0.60%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     25000 | PA      | $15891.60     | 0.05%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     63200 | PA      | $51256.19     | 0.15%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     57100 | PA      | $55128.27     | 0.16%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 2YR NOTE (CBT) Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        14 | NC      | $928.79       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    345100 | PA      | $300776.22    | 0.90%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5265                          | CUSIP: 3133LPZ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70069 | PA      | $71159.88     | 0.21%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3263                          | CUSIP: 3140LDTV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $18796.45     | 0.06%             | 2028-10-01      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K745 A2                       | CUSIP: 3137H2NE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $47381.96     | 0.14%             | 2028-08-25      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    811400 | PA      | $389345.22    | 1.17%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     48800 | PA      | $48344.41     | 0.14%             | 2031-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-86 T                      | CUSIP: 3136BKYQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    162736 | PA      | $146656.50    | 0.44%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9041                          | CUSIP: 3140LLBK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $10174.70     | 0.03%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K069 A2                       | CUSIP: 3137FBU79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    174805 | PA      | $172930.47    | 0.52%             | 2027-09-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MB0755                          | CUSIP: 3618N5ZV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    179765 | PA      | $180064.02    | 0.54%             | 2055-11-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Vanguard Cmt Funds-Vanguard Market Liquidity Fund            | Vanguard Market Liquidity Fund     | CUSIP: N/A<br>LEI: 1I6HV0TLSTR3A4XQ6L78       | Long             | STIV             | CORP              | US        |      5799 | NS      | $579869.70    | 1.74%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    133800 | PA      | $86996.13     | 0.26%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     66100 | PA      | $46311.31     | 0.14%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    154000 | PA      | $153699.22    | 0.46%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4913                          | CUSIP: 3140Q0N73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $10043.30     | 0.03%             | 2030-09-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.128310 15-DEC-2027 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    750000 | NC      | $1485.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2025-102 DZ                    | CUSIP: 38385G3H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153789 | PA      | $147764.18    | 0.44%             | 2055-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5201 CA                        | CUSIP: 3137H64V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     91280 | PA      | $84035.50     | 0.25%             | 2048-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     34000 | PA      | $33176.56     | 0.10%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA3776                          | CUSIP: 3140W4FS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74608 | PA      | $72982.74     | 0.22%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    272500 | PA      | $263228.61    | 0.79%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K513 A2                       | CUSIP: 3137HBFY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $10210.21     | 0.03%             | 2028-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA3288                          | CUSIP: 3140W3UN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74743 | PA      | $72612.47     | 0.22%             | 2036-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    170000 | PA      | $172071.88    | 0.51%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    101400 | PA      | $102635.81    | 0.31%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     95000 | PA      | $97219.14     | 0.29%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2013-67 KZ                     | CUSIP: 3136AFGA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    102480 | PA      | $89293.79     | 0.27%             | 2043-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      3800 | PA      | $2656.29      | 0.01%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    270000 | PA      | $274872.65    | 0.82%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust 2025-INV9                                     | PMTLT 2025-INV9 A34                | CUSIP: 69392UBK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142498 | PA      | $142766.54    | 0.43%             | 2056-09-01      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100700 | PA      | $99283.91     | 0.30%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2025-S2                               | SEMT 2025-S2 A1                    | CUSIP: 81748UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99489 | PA      | $93083.12     | 0.28%             | 2055-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    252100 | PA      | $228505.02    | 0.68%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2019-71 DB                     | CUSIP: 3136B6A94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $163714.18    | 0.49%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2600 | PA      | $2605.18      | 0.01%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2472                          | CUSIP: 3138LEXA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43877 | PA      | $42297.62     | 0.13%             | 2028-09-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     19200 | PA      | $19327.50     | 0.06%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2019-M5 A2                     | CUSIP: 3136B4KB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    864852 | PA      | $849714.08    | 2.54%             | 2029-02-25      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K073 A2                       | CUSIP: 3137FETN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $19814.85     | 0.06%             | 2028-01-25      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     33400 | PA      | $25968.50     | 0.08%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     92000 | PA      | $51516.41     | 0.15%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    295200 | PA      | $217675.41    | 0.65%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3622                          | CUSIP: 3140NYAY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $50419.10     | 0.15%             | 2030-04-01      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    260000 | PA      | $262275.00    | 0.78%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS4598                          | CUSIP: 3140LFDC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $9361.53      | 0.03%             | 2029-02-01      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K080 A2                       | CUSIP: 3137FHPJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     80000 | PA      | $80117.55     | 0.24%             | 2028-07-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    194900 | PA      | $169448.80    | 0.51%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5868                          | CUSIP: 31418FQW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     64808 | PA      | $65817.37     | 0.20%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2022-191 BY                    | CUSIP: 38383LHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    450000 | PA      | $434305.85    | 1.30%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     71800 | PA      | $50933.13     | 0.15%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     83300 | PA      | $81959.39     | 0.25%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     47000 | PA      | $44974.96     | 0.13%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K747 AM                       | CUSIP: 3137H5DY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $188254.62    | 0.56%             | 2028-12-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M10 A2                    | CUSIP: 3136B2HA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9615 | PA      | $9537.59      | 0.03%             | 2028-07-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN4968                          | CUSIP: 3138LHQW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    330000 | PA      | $326444.81    | 0.98%             | 2027-03-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5159 QA                        | CUSIP: 3137H3UJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    146188 | PA      | $133531.15    | 0.40%             | 2048-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                           | FHS 357 200                        | CUSIP: 3132J0P50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112476 | PA      | $97189.31     | 0.29%             | 2047-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2015-M10 A2                    | CUSIP: 3136AN6U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33624 | PA      | $33353.91     | 0.10%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1119600 | PA      | $1128346.88   | 3.38%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5252 ZP                        | CUSIP: 3137H8YD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    112355 | PA      | $98643.25     | 0.30%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1153                          | CUSIP: 3142BBH60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47780 | PA      | $48292.97     | 0.14%             | 2055-09-01      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M8 A2                     | CUSIP: 3136B2GX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39397 | PA      | $38958.70     | 0.12%             | 2028-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2025-82 A                      | CUSIP: 38385F4F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    922811 | PA      | $888228.78    | 2.66%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $58785.16     | 0.18%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2025-LTV1                      | CMLTI 2025-LTV1 A1                 | CUSIP: 17332XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100138.71    | 0.30%             | 2055-12-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4801                          | CUSIP: 3140Q0KP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40000 | PA      | $40185.98     | 0.12%             | 2030-09-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     16900 | PA      | $16569.92     | 0.05%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     64000 | PA      | $63760.00     | 0.19%             | 2030-10-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    361100 | PA      | $314707.11    | 0.94%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM8448                          | CUSIP: 3138L9L67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29733 | PA      | $24971.50     | 0.07%             | 2045-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     95400 | PA      | $66739.01     | 0.20%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M7 A2                     | CUSIP: 3136AV7G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    114257 | PA      | $113139.95    | 0.34%             | 2027-02-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN5679                          | CUSIP: 3138LJJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50311 | PA      | $49743.99     | 0.15%             | 2027-07-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4798                          | CUSIP: 3140HWKL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $9868.31      | 0.03%             | 2026-11-01      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust 2025-CNF2                                     | PMTLT 2025-CNF2 A1                 | CUSIP: 729911AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100667.97    | 0.30%             | 2057-01-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     24500 | PA      | $18987.50     | 0.06%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4481                          | CUSIP: 3140HV6T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    380000 | PA      | $374393.10    | 1.12%             | 2026-11-01      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5200 MA                        | CUSIP: 3137H6EQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     95258 | PA      | $88050.74     | 0.26%             | 2048-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2020-63 MZ                     | CUSIP: 3136BBC67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1299758 | PA      | $874249.19    | 2.62%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2022-17 BA                     | CUSIP: 3136BMPR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    117583 | PA      | $114465.10    | 0.34%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K079 A2                       | CUSIP: 3137FGZT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40000 | PA      | $40058.51     | 0.12%             | 2028-06-25      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 3 1/26                        | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    161000 | PA      | $142296.32    | 0.43%             | 2026-01-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K511 A2                       | CUSIP: 3137HB3G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    850000 | PA      | $870314.83    | 2.60%             | 2028-10-25      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN0200                          | CUSIP: 3132XEGJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    230000 | PA      | $225588.92    | 0.68%             | 2050-09-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1156                          | CUSIP: 3142BBH94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49766 | PA      | $50415.58     | 0.15%             | 2055-10-01      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    198000 | PA      | $200598.75    | 0.60%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4439                          | CUSIP: 3140NY4Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $25096.88     | 0.08%             | 2030-07-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     35000 | PA      | $32135.74     | 0.10%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3271                          | CUSIP: 3140LDT58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $18679.81     | 0.06%             | 2028-10-01      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4665                          | CUSIP: 3140Q0FF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $25001.16     | 0.07%             | 2030-08-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     40100 | PA      | $19761.78     | 0.06%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10YR NOTE (CBT)Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         4 | NC      | $113.46       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS0046                          | CUSIP: 3140LABQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $9506.08      | 0.03%             | 2027-12-01      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2012-M14 AL                    | CUSIP: 3136A9MS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32573 | PA      | $32062.94     | 0.10%             | 2027-09-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9129                          | CUSIP: 3140LLEB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $10132.37     | 0.03%             | 2028-07-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-28 NG                     | CUSIP: 3136BHKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    104981 | PA      | $96015.64     | 0.29%             | 2041-05-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     77500 | PA      | $70264.65     | 0.21%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4905                          | CUSIP: 3140Q0NX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30000 | PA      | $30416.87     | 0.09%             | 2030-09-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5.5 1/26                      | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -175000 | PA      | $-177440.43   | -0.53%            | 2026-01-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     28000 | PA      | $28076.56     | 0.08%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     66400 | PA      | $49034.84     | 0.15%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    189000 | PA      | $188350.31    | 0.56%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $197125.00    | 0.59%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2022-40 AZ                     | CUSIP: 3136BNPT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    107245 | PA      | $74499.47     | 0.22%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     78700 | PA      | $75730.30     | 0.23%             | 2033-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF0571                          | CUSIP: 3140BQT50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22482 | PA      | $22802.09     | 0.07%             | 2055-09-01      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    108100 | PA      | $111718.82    | 0.33%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3779                          | CUSIP: 3140NYFV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $50291.72     | 0.15%             | 2030-05-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL9743                          | CUSIP: 3140J2ZH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18680 | PA      | $17761.31     | 0.05%             | 2027-12-01      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2022-34 BA                     | CUSIP: 38383MCA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111177 | PA      | $97484.94     | 0.29%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.230150 15-DEC-2027 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    250000 | NC      | $77.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5170 DP                        | CUSIP: 3137H4FG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    208396 | PA      | $185356.37    | 0.55%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    321200 | PA      | $184501.80    | 0.55%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 3 1/26                        | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -161000 | PA      | $-142296.32   | -0.43%            | 2026-01-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $62355.47     | 0.19%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-59 H                      | CUSIP: 3136BGB34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89911 | PA      | $76076.29     | 0.23%             | 2048-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M15 A2                    | CUSIP: 3136AY6X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19860 | PA      | $19633.89     | 0.06%             | 2027-09-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DD8703                          | CUSIP: 3140B9U56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37847 | PA      | $38846.65     | 0.12%             | 2055-09-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    275500 | PA      | $196605.84    | 0.59%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M8 A2                     | CUSIP: 3136AW7J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     63471 | PA      | $62858.37     | 0.19%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-26

**Name of Applicant:** VANGUARD MALVERN FUNDS

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer