# EDGAR Filing Document

**Accession Number:** 0000836906
**File Stem:** 0000836906-26-000277
**Filing Date:** 2026-5
**Character Count:** 105309
**Document Hash:** 4eaddb3014843afd857fb5b7e09d1265
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000836906-26-000277.hdr.sgml**: 20260528

**ACCESSION NUMBER**: 0000836906-26-000277

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260528

**DATE AS OF CHANGE**: 20260528

**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:** 261037120

**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            |

## 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:** 2026-03-31

**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:** $46168585.14

**Total Liabilities:** $1171330.33

**Net Assets:** $44997254.81

**Delayed Delivery Securities:** $203210.94

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -59.48363965 | **1-Year:** -1643.07829037 | **5-Year:** -1180.49534065 | **10-Year:** -881.34261552 | **30-Year:** -188.47863812

**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 | 0.22%                | 1.81%                | -1.78%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $17192.91                | $-56447.38                                 |
| Month 2  | $16273.96                | $552568.16                                 |
| Month 3  | $6966.90                 | $-840658.71                                |

**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      | $41437.80     | 0.09%             | 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        |    136355 | PA      | $119622.19    | 0.27%             | 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        |     48896 | PA      | $48697.17     | 0.11%             | 2055-10-01      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M1 A2                     | CUSIP: 3136AY7L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26454 | PA      | $26048.19     | 0.06%             | 2027-12-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K507 A2                       | CUSIP: 3137HAMS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    670000 | PA      | $678593.02    | 1.51%             | 2028-09-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2025-192 HG                    | CUSIP: 38385JG72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    693100 | PA      | $679501.52    | 1.51%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 6 4/26                        | CUSIP: 01F060642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $203796.88    | 0.45%             | 2026-04-13      | Fixed         | 6.00%                 | 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      | $211353.52    | 0.47%             | 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        |    267200 | PA      | $260186.00    | 0.58%             | 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        |     21000 | PA      | $19242.07     | 0.04%             | 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      | $91059.27     | 0.20%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M12 A2                    | CUSIP: 3136AX7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    240295 | PA      | $237555.12    | 0.53%             | 2027-06-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M11 A2                    | CUSIP: 3136AX3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    367270 | PA      | $354420.41    | 0.79%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ5613                          | CUSIP: 3140Q1GX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $9996.48      | 0.02%             | 2030-12-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS4261                          | CUSIP: 3140LEWX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9375 | PA      | $8837.25      | 0.02%             | 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        |    486500 | PA      | $485758.85    | 1.08%             | 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        |     16923 | PA      | $16293.81     | 0.04%             | 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      | $70978.93     | 0.16%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5209                          | CUSIP: 3132XKYF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $20202.08     | 0.04%             | 2029-12-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    295100 | PA      | $289935.75    | 0.64%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2032                          | CUSIP: 3132XGHJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18255 | PA      | $18058.52     | 0.04%             | 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      | $252041.02    | 0.56%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    341400 | PA      | $341293.31    | 0.76%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M4 A2                     | CUSIP: 3136B1XJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    251050 | PA      | $246653.64    | 0.55%             | 2028-03-25      | Variable      | 3.07%                 | 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      | $162900.00    | 0.36%             | 2030-11-30      | Fixed         | 4.38%                 | 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      | $45107.09     | 0.10%             | 2053-02-15      | Fixed         | 3.62%                 | 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      | $86052.54     | 0.19%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.892480 15-NOV-2035 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    120000 | NC      | $-491.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL1950                          | CUSIP: 3140HTEY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29045 | PA      | $28513.91     | 0.06%             | 2029-03-01      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    378500 | PA      | $382536.35    | 0.85%             | 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      | $25462.97     | 0.06%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2019-3 BA                      | CUSIP: 3136B3G61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    113260 | PA      | $108759.83    | 0.24%             | 2049-02-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN3006                          | CUSIP: 3138LFKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    112333 | PA      | $108067.60    | 0.24%             | 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        |    182200 | PA      | $95050.04     | 0.21%             | 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        |    291676 | PA      | $292670.75    | 0.65%             | 2056-12-25      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     62500 | PA      | $45849.61     | 0.10%             | 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        |    329856 | PA      | $324936.18    | 0.72%             | 2027-09-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    499000 | PA      | $312167.38    | 0.69%             | 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      | $41418.92     | 0.09%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8583                          | CUSIP: 3138LMRD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     95000 | PA      | $93901.57     | 0.21%             | 2028-04-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    216800 | PA      | $190225.06    | 0.42%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4140                          | CUSIP: 3140NYS69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $20153.21     | 0.04%             | 2030-07-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2013-60 CB                     | CUSIP: 3136AEU21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    134788 | PA      | $130448.01    | 0.29%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    760000 | PA      | $742217.19    | 1.65%             | 2029-08-31      | Fixed         | 3.12%                 | 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      | $52479.11     | 0.12%             | 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        |    372100 | PA      | $355849.69    | 0.79%             | 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        |    147353 | PA      | $142690.09    | 0.32%             | 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        |     48924 | PA      | $47537.98     | 0.11%             | 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      | $18712.11     | 0.04%             | 2028-10-01      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K070 A2                       | CUSIP: 3137FCJK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    324000 | PA      | $320073.96    | 0.71%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 2YR NOTE (CBT) Jun26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        13 | NC      | $-3356.70     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6210                          | CUSIP: 3138LJ3U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8413 | PA      | $8308.55      | 0.02%             | 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        |     28311 | PA      | $27934.34     | 0.06%             | 2027-11-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 6 4/26                        | CUSIP: 01F060642<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -200000 | PA      | $-203796.88   | -0.45%            | 2026-04-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5218                          | CUSIP: 3132XKYQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40000 | PA      | $40256.94     | 0.09%             | 2030-01-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF0191                          | CUSIP: 3140BQF97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27136 | PA      | $27641.40     | 0.06%             | 2055-09-01      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CC1615                          | CUSIP: 3140Y7YM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48726 | PA      | $49008.00     | 0.11%             | 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        |      9702 | PA      | $9110.57      | 0.02%             | 2028-10-01      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10yr Ultra Fut Jun26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         9 | NC      | $3912.19      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    265000 | PA      | $265848.83    | 0.59%             | 2030-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2843                          | CUSIP: 3138LFER5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    199588 | PA      | $192171.99    | 0.43%             | 2028-11-01      | Fixed         | 2.54%                 | 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      | $9135.15      | 0.02%             | 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      | $9486.91      | 0.02%             | 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        |     72747 | PA      | $63224.55     | 0.14%             | 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        |    410400 | PA      | $402913.41    | 0.90%             | 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        |     18255 | PA      | $18053.04     | 0.04%             | 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      | $43029.66     | 0.10%             | 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      | $9817.03      | 0.02%             | 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        |     17486 | PA      | $16911.58     | 0.04%             | 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      | $42726.69     | 0.09%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    110000 | PA      | $89903.52     | 0.20%             | 2044-05-15      | Fixed         | 3.38%                 | 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      | $81933.32     | 0.18%             | 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      | $152087.03    | 0.34%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K071 A2                       | CUSIP: 3137FCLD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59000 | PA      | $58279.09     | 0.13%             | 2027-11-25      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL6327                          | CUSIP: 3140HYA57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9089 | PA      | $6980.89      | 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      | $43405.73     | 0.10%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    175000 | PA      | $156064.45    | 0.35%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2020-96 A                      | CUSIP: 3136BDKT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    112159 | PA      | $88970.01     | 0.20%             | 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        |     47687 | PA      | $45332.02     | 0.10%             | 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      | $39419.45     | 0.09%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    730000 | PA      | $730484.76    | 1.62%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1140                          | CUSIP: 3142BBHR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43436 | PA      | $44028.02     | 0.10%             | 2055-09-01      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    394000 | PA      | $251021.09    | 0.56%             | 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      | $19674.82     | 0.04%             | 2027-10-01      | Fixed         | 2.93%                 | 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      | $46198.24     | 0.10%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K074 A2                       | CUSIP: 3137F4D41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    208586 | PA      | $206643.43    | 0.46%             | 2028-01-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1193100 | PA      | $1188905.50   | 2.64%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3346                          | CUSIP: 3140LDWG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30000 | PA      | $28079.00     | 0.06%             | 2028-10-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.572000 15-NOV-2035 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    110000 | NC      | $2313.37      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ0489                          | CUSIP: 3140NURK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $50735.48     | 0.11%             | 2029-02-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10YR NOTE (CBT)Jun26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         9 | NC      | $-6375.26     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $440736.33    | 0.98%             | 2032-10-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    293000 | PA      | $292072.93    | 0.65%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5187                          | CUSIP: 3132XKXR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30000 | PA      | $30100.79     | 0.07%             | 2029-11-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust 2026-CNF1                                     | PMTLT 2026-CNF1 A26                | CUSIP: 729920BE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245660 | PA      | $245208.36    | 0.54%             | 2057-01-25      | Floating      | 4.86%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $41775.39     | 0.09%             | 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        |    223100 | PA      | $122539.42    | 0.27%             | 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      | $130269.14    | 0.29%             | 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      | $131677.86    | 0.29%             | 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        |     93000 | PA      | $91981.75     | 0.20%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $249101.56    | 0.55%             | 2035-08-15      | Fixed         | 4.25%                 | 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      | $40757.83     | 0.09%             | 2048-02-15      | Fixed         | 3.00%                 | 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        |    106493 | PA      | $88526.16     | 0.20%             | 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        |    368300 | PA      | $356560.44    | 0.79%             | 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        |     20193 | PA      | $19785.77     | 0.04%             | 2027-11-25      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CC1077                          | CUSIP: 3140Y7FT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49219 | PA      | $48976.45     | 0.11%             | 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        |     78237 | PA      | $71579.29     | 0.16%             | 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      | $19773.39     | 0.04%             | 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        |     16540 | PA      | $16203.67     | 0.04%             | 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      | $733054.06    | 1.63%             | 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      | $207293.33    | 0.46%             | 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        |    162732 | PA      | $160604.42    | 0.36%             | 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        |     17792 | PA      | $15728.92     | 0.03%             | 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        |    937414 | PA      | $927069.08    | 2.06%             | 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      | $144156.57    | 0.32%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                               | PMTLT 2026-INV4 A1                 | CUSIP: 69383UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $203335.94    | 0.45%             | 2057-03-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7060                          | CUSIP: 3138LKZ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $9837.41      | 0.02%             | 2027-10-01      | Fixed         | 2.93%                 | 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        |     18899 | PA      | $17960.00     | 0.04%             | 2028-07-25      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1503000 | PA      | $1491433.95   | 3.31%             | 2028-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6219                          | CUSIP: 3138LJ4D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8678 | PA      | $8588.18      | 0.02%             | 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        |   2078231 | PA      | $2040512.25   | 4.53%             | 2028-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2020-126 AK                    | CUSIP: 38382HUW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53360 | PA      | $41949.83     | 0.09%             | 2050-08-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8202                          | CUSIP: 3138LMDG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    245361 | PA      | $241460.36    | 0.54%             | 2028-01-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     24000 | PA      | $24066.56     | 0.05%             | 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        |     18471 | PA      | $18139.72     | 0.04%             | 2028-04-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    480000 | PA      | $483281.25    | 1.07%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    356700 | PA      | $238570.99    | 0.53%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    478800 | PA      | $447378.75    | 0.99%             | 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      | $54114.23     | 0.12%             | 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      | $35552.72     | 0.08%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1323                          | CUSIP: 3142BBPG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49909 | PA      | $49699.45     | 0.11%             | 2056-01-01      | Floating      | 4.64%                 | 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      | $197734.69    | 0.44%             | 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        |    390000 | PA      | $245730.47    | 0.55%             | 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      | $50668.63     | 0.11%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust 2026-INV1                                     | PMTLT 2026-INV1 A36                | CUSIP: 73015LBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195938 | PA      | $196362.79    | 0.44%             | 2057-01-25      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     57100 | PA      | $54454.66     | 0.12%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K075 A2                       | CUSIP: 3137F4X72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     95000 | PA      | $94133.75     | 0.21%             | 2028-02-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5343 HZ                        | CUSIP: 3137HAQ90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    290350 | PA      | $296953.04    | 0.66%             | 2053-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    176000 | PA      | $175140.63    | 0.39%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    185000 | PA      | $164397.07    | 0.37%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    345100 | PA      | $299455.13    | 0.67%             | 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        |     63955 | PA      | $64651.67     | 0.14%             | 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      | $18771.43     | 0.04%             | 2028-10-01      | Fixed         | 1.47%                 | 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      | $47873.56     | 0.11%             | 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        |    158542 | PA      | $141558.23    | 0.31%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2021-INV2 Trust       | WFMBS 2021-INV2 A2                 | CUSIP: 95003FBR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189395 | PA      | $156969.38    | 0.35%             | 2051-09-25      | Variable      | 2.50%                 | Yes           |                  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        |    173842 | PA      | $171648.79    | 0.38%             | 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        |    178383 | PA      | $177985.08    | 0.40%             | 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        |      9646 | NS      | $964489.74    | 2.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2019-M18 A2                    | CUSIP: 3136B56M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8989 | PA      | $8543.62      | 0.02%             | 2029-08-25      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    133800 | PA      | $86196.47     | 0.19%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8982                          | CUSIP: 3138LM6U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    485459 | PA      | $479010.98    | 1.06%             | 2028-05-01      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 5YR NOTE (CBT) Jun26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        13 | NC      | $-14114.83    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     54000 | PA      | $52666.88     | 0.12%             | 2056-02-15      | Fixed         | 4.75%                 | 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      | $45846.55     | 0.10%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    240000 | PA      | $239371.87    | 0.53%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    314000 | PA      | $309841.95    | 0.69%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5201 CA                        | CUSIP: 3137H64V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90012 | PA      | $82101.39     | 0.18%             | 2048-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    310000 | PA      | $303388.28    | 0.67%             | 2032-11-30      | Fixed         | 3.75%                 | 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      | $32764.84     | 0.07%             | 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        |     65904 | PA      | $64310.67     | 0.14%             | 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        |    383000 | PA      | $365435.86    | 0.81%             | 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      | $10130.26     | 0.02%             | 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        |     69315 | PA      | $67042.87     | 0.15%             | 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      | $169628.13    | 0.38%             | 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      | $101427.73    | 0.23%             | 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      | $96176.37     | 0.21%             | 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        |    103121 | PA      | $89411.87     | 0.20%             | 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      | $2627.94      | 0.01%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN5966                          | CUSIP: 3138LJTY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28067 | PA      | $27589.50     | 0.06%             | 2027-07-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    940000 | PA      | $947307.03    | 2.11%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    172700 | PA      | $168301.55    | 0.37%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7661                          | CUSIP: 3138LLQP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    188695 | PA      | $185534.68    | 0.41%             | 2027-12-01      | Fixed         | 3.03%                 | 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        |     96793 | PA      | $89740.13     | 0.20%             | 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        |    462100 | PA      | $413994.67    | 0.92%             | 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      | $162487.44    | 0.36%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.251500 31-AUG-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    700000 | NC      | $8700.93      | 0.02%             |  |  |  | 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      | $2568.52      | 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        |     43594 | PA      | $41928.99     | 0.09%             | 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        |    119200 | PA      | $118664.53    | 0.26%             | 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        |   1022300 | PA      | $999586.11    | 2.22%             | 2029-02-25      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    295000 | PA      | $284479.10    | 0.63%             | 2045-11-15      | Fixed         | 4.62%                 | 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      | $19747.33     | 0.04%             | 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      | $25644.94     | 0.06%             | 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        |    673000 | PA      | $373620.16    | 0.83%             | 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      | $215253.84    | 0.48%             | 2042-02-15      | Fixed         | 2.38%                 | 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      | $260071.09    | 0.58%             | 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      | $9366.02      | 0.02%             | 2029-02-01      | Fixed         | 1.74%                 | 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      | $167515.03    | 0.37%             | 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        |     57723 | PA      | $58352.03     | 0.13%             | 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      | $428933.97    | 0.95%             | 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      | $50355.36     | 0.11%             | 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      | $81038.53     | 0.18%             | 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      | $44369.10     | 0.10%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $248076.17    | 0.55%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M10 A2                    | CUSIP: 3136B2HA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    215793 | PA      | $212608.11    | 0.47%             | 2028-07-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2019-M12 A2                    | CUSIP: 3136B5NV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19084 | PA      | $18400.40     | 0.04%             | 2029-06-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5159 QA                        | CUSIP: 3137H3UJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    143312 | PA      | $129707.48    | 0.29%             | 2048-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    170000 | PA      | $163558.59    | 0.36%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2015-M10 A2                    | CUSIP: 3136AN6U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33243 | PA      | $32972.36     | 0.07%             | 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      | $1118069.29   | 2.48%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7385                          | CUSIP: 3138LLF34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27040 | PA      | $26535.95     | 0.06%             | 2028-01-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1153                          | CUSIP: 3142BBH60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46788 | PA      | $47148.78     | 0.10%             | 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        |    432607 | PA      | $426069.75    | 0.95%             | 2028-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    240000 | PA      | $139687.50    | 0.31%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7907                          | CUSIP: 3140JCYD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48141 | PA      | $48681.00     | 0.11%             | 2055-12-01      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    390000 | PA      | $384089.06    | 0.85%             | 2030-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     96900 | PA      | $93856.73     | 0.21%             | 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        |    244000 | PA      | $240873.75    | 0.54%             | 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        |    546100 | PA      | $473592.42    | 1.05%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    195400 | PA      | $135345.03    | 0.30%             | 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        |    109502 | PA      | $108441.83    | 0.24%             | 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        |     49958 | PA      | $49356.82     | 0.11%             | 2027-07-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    475000 | PA      | $481067.38    | 1.07%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     94500 | PA      | $58922.23     | 0.13%             | 2040-08-15      | Fixed         | 1.12%                 | 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        |     96317 | PA      | $95838.99     | 0.21%             | 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      | $18759.73     | 0.04%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust 2026-INV1                                     | PMTLT 2026-INV1 A2                 | CUSIP: 73015LAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195938 | PA      | $195907.04    | 0.44%             | 2057-01-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN0918                          | CUSIP: 3138LDAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    171426 | PA      | $168871.36    | 0.38%             | 2028-02-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5200 MA                        | CUSIP: 3137H6EQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     91190 | PA      | $83650.46     | 0.19%             | 2048-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    180000 | PA      | $180070.31    | 0.40%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8717                          | CUSIP: 3138LMVK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $98105.10     | 0.22%             | 2028-03-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2022-17 BA                     | CUSIP: 3136BMPR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    112224 | PA      | $108547.87    | 0.24%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2019-M19 A2                    | CUSIP: 3136B57A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    201377 | PA      | $191840.13    | 0.43%             | 2029-09-25      | Fixed         | 2.56%                 | 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      | $863239.35    | 1.92%             | 2028-10-25      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1156                          | CUSIP: 3142BBH94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49404 | PA      | $49937.45     | 0.11%             | 2055-10-01      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ6511                          | CUSIP: 3140Q2GV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30000 | PA      | $30049.89     | 0.07%             | 2031-03-01      | Fixed         | 4.49%                 | 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      | $198719.30    | 0.44%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     35000 | PA      | $31672.27     | 0.07%             | 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      | $18685.62     | 0.04%             | 2028-10-01      | Fixed         | 1.33%                 | 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      | $19600.44     | 0.04%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7218                          | CUSIP: 3138LLAU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    259005 | PA      | $254123.68    | 0.56%             | 2027-12-01      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS0046                          | CUSIP: 3140LABQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10000 | PA      | $9545.31      | 0.02%             | 2027-12-01      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM4335                          | CUSIP: 3140J8Y98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     66918 | PA      | $66474.28     | 0.15%             | 2028-07-01      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    633000 | PA      | $647316.68    | 1.44%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2012-M14 AL                    | CUSIP: 3136A9MS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32381 | PA      | $31806.82     | 0.07%             | 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      | $10071.11     | 0.02%             | 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        |    101183 | PA      | $91863.58     | 0.20%             | 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        |    177500 | PA      | $159021.97    | 0.35%             | 2054-08-15      | Fixed         | 4.25%                 | 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      | $48477.19     | 0.11%             | 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      | $186689.18    | 0.41%             | 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      | $194882.81    | 0.43%             | 2034-08-15      | Fixed         | 3.88%                 | 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      | $74983.27     | 0.17%             | 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        |     22390 | PA      | $22651.46     | 0.05%             | 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      | $110346.45    | 0.25%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL9743                          | CUSIP: 3140J2ZH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18563 | PA      | $17693.17     | 0.04%             | 2027-12-01      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.157448 15-MAR-2028 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   1600000 | NC      | $11586.21     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5170 DP                        | CUSIP: 3137H4FG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    201957 | PA      | $178365.55    | 0.40%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1730                          | CUSIP: 3140LB4Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30000 | PA      | $28495.04     | 0.06%             | 2028-04-01      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.309340 31-AUG-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    125000 | NC      | $1278.10      | 0.00%             |  |  |  | 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      | $182895.80    | 0.41%             | 2051-08-15      | Fixed         | 2.00%                 | 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      | $61560.94     | 0.14%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M15 A2                    | CUSIP: 3136AY6X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    236950 | PA      | $234086.50    | 0.52%             | 2027-09-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL1409                          | CUSIP: 3140HSR78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70333 | PA      | $69294.82     | 0.15%             | 2029-01-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DD8703                          | CUSIP: 3140B9U56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36850 | PA      | $37741.35     | 0.08%             | 2055-09-01      | Floating      | 5.69%                 | 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      | $194195.21    | 0.43%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    870000 | PA      | $873296.48    | 1.94%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M8 A2                     | CUSIP: 3136AW7J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60708 | PA      | $60076.70     | 0.13%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2019-M25 A2                    | CUSIP: 3136B7FC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9125 | PA      | $8596.29      | 0.02%             | 2029-11-25      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-28

**Name of Applicant:** VANGUARD MALVERN FUNDS

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer