0001752724-23-075084.txt : 20230331 0001752724-23-075084.hdr.sgml : 20230331 20230331103333 ACCESSION NUMBER: 0001752724-23-075084 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20230131 FILED AS OF DATE: 20230331 DATE AS OF CHANGE: 20230331 PERIOD START: 20230131 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD FIXED INCOME SECURITIES FUNDS CENTRAL INDEX KEY: 0000106444 IRS NUMBER: 231899003 STATE OF INCORPORATION: DE FISCAL YEAR END: 0131 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-02368 FILM NUMBER: 23784173 BUSINESS ADDRESS: STREET 1: PO BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 BUSINESS PHONE: 6106691000 MAIL ADDRESS: STREET 1: PO BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD FIXED INCOME SECURITIES FUND INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: WESTMINSTER BOND FUND INC DATE OF NAME CHANGE: 19800619 0000106444 S000002590 Vanguard Short-Term Federal Fund C000007105 Investor Shares VSGBX C000007106 Admiral Shares VSGDX NPORT-P 1 primary_doc.xml NPORT-P false 0000106444 XXXXXXXX S000002590 C000007105 C000007106 VANGUARD FIXED INCOME SECURITIES FUNDS 811-02368 0000106444 549300F3N7VQKU6I4K64 100 Vanguard Boulevard Malvern 19355 610-669-1000 VANGUARD SHORT-TERM FEDERAL FUND S000002590 K4A6QLIWM1594TB2F156 2023-01-31 2023-01-31 N 6256560246.84 734822340.93 5521737905.91 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 686508486.38000000 0.00000000 0.00000000 0.00000000 USD N Bloomberg U.S. 1-5 Year Government Bond Index I00640 Freddie Mac Pool N/A 3133KPXJ2 12439988.34000000 PA USD 12511069.19000000 0.226578468648 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 5.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CEY3 103000000.00000000 PA USD 100569838.60000000 1.821343937609 Long DBT UST US N 2 2025-07-15 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3134GWJN7 73100000.00000000 PA USD 66921661.10000000 1.211967359558 Long DBT USGSE US N 2 2025-08-06 Fixed 0.68000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BSRG0 3004345.31000000 PA USD 26858.85000000 0.000486420225 Long ABS-MBS USGSE US N 2 2026-09-25 Variable 0.30430000 N N N N N N Freddie Mac Pool N/A 3133KP7A0 5390620.51000000 PA USD 5419219.91000000 0.098143374465 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 5.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMTD5 1040236.26000000 PA USD 968569.60000000 0.017541028141 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 2.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BHXJ1 9110078.41000000 PA USD 8845760.42000000 0.160198846282 Long ABS-MBS USGSE US N 2 2025-01-25 Fixed 3.02300000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137H4C73 36976535.71000000 PA USD 1330478.61000000 0.024095287256 Long ABS-MBS USGSE US N 2 2031-10-25 Variable 0.53170000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CDZ1 69600000.00000000 PA USD 65967750.00000000 1.194691800373 Long DBT UST US N 2 2025-02-15 Fixed 1.50000000 N N N N N N Federal Farm Credit Banks Funding Corp 254900C5LP6DN9OP9V83 3133EL6S8 275000000.00000000 PA USD 246676375.00000000 4.467368411962 Long DBT USGSE US N 2 2026-03-09 Fixed 0.68000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F042434 141000000.00000000 PA USD 142266800.40000000 2.576485932947 Long ABS-MBS USGSE US N 2 2023-03-16 Fixed 4.50000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137B7N21 3321052.88000000 PA USD 11443.68000000 0.000207247793 Long ABS-MBS USGSE US N 2 2023-10-25 Variable 0.68230000 N N N N N N N/A N/A N/A 2435.00000000 NC USD -363532.61000000 -0.00658366290 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Long N/A CBOT 2 Year US Treasury Note Future 2023-03-31 501117479.14000000 USD -363532.61000000 N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137FTZS9 20211625.61000000 PA USD 1863665.49000000 0.033751429744 Long ABS-MBS USGSE US N 2 2030-04-25 Variable 1.69690000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383FCA9 5395291.73000000 PA USD 4324566.95000000 0.078318946384 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383FUD3 1018214.10000000 PA USD 825032.41000000 0.014941535148 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382MV55 544465.14000000 PA USD 475978.45000000 0.008620084076 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140QQL52 2857651.77000000 PA USD 2913720.61000000 0.052768180229 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 5.50000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CFP1 41700000.00000000 PA USD 42025781.25000000 0.761096994571 Long DBT UST US N 2 2025-10-15 Fixed 4.25000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BPW39 3673315.44000000 PA USD 124838.36000000 0.002260852690 Long ABS-MBS USGSE US N 2 2026-03-25 Variable 1.34490000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CEU1 161425000.00000000 PA USD 157238039.06000000 2.847618661720 Long DBT UST US N 2 2025-06-15 Fixed 2.87500000 N N N N N N Fannie Mae Pool N/A 3140Q9WN9 0.22000000 PA USD 0.22000000 0.000000003984 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.50000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BEVJ0 4052663.36000000 PA USD 32642.99000000 0.000591172390 Long ABS-MBS USGSE US N 2 2024-09-25 Variable 0.69470000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CDS7 21400000.00000000 PA USD 20166157.32000000 0.365213953715 Long DBT UST US N 2 2025-01-15 Fixed 1.12500000 N N N N N N Fannie Mae REMICS N/A 3136BKSN3 1216028.15000000 PA USD 954046.56000000 0.017278012398 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 3.00000000 N N N N N N Fannie Mae REMICS N/A 3136BK5D0 1708796.88000000 PA USD 1321587.27000000 0.023934262953 Long ABS-MBS USGSE US N 2 2051-07-25 Fixed 3.00000000 N N N N N N Freddie Mac Pool N/A 3132CWRM8 8293975.03000000 PA USD 7602780.86000000 0.137688187841 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 2.00000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F042418 88500000.00000000 PA USD 89187362.69000000 1.615204564391 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 3140XJ3A9 0.01000000 PA USD 0.01000000 0.000000000181 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 3140XFAD3 10219575.28000000 PA USD 9135071.91000000 0.165438346869 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 1.50000000 N N N N N N Freddie Mac Pool N/A 3132AEF68 19504423.59000000 PA USD 19129045.35000000 0.346431606786 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3.50000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3134GYDT6 250000000.00000000 PA USD 250444250.00000000 4.535605533394 Long DBT USGSE US N 2 2025-01-24 Fixed 5.15000000 N N N N N N Fannie Mae Pool N/A 3140QBV62 6595939.61000000 PA USD 6455961.24000000 0.116919009015 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 3.50000000 N N N N N N Freddie Mac Pool N/A 3132D57J5 15840312.40000000 PA USD 14055847.35000000 0.254554772238 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 1.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382URV5 2842382.99000000 PA USD 2288490.09000000 0.041445105309 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383CDG2 2193247.75000000 PA USD 1696864.90000000 0.030730630988 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 3.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CEX5 248000000.00000000 PA USD 242691262.40000000 4.395197065406 Long DBT UST US N 2 2024-06-30 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383CC40 149469.85000000 PA USD 111701.15000000 0.002022934661 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 3.00000000 N N N N N N Freddie Mac Strips N/A 3134A4AB0 21820000.00000000 PA USD 15817601.66000000 0.286460566030 Long DBT USGSE US N 2 2031-03-15 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383DAV0 8672266.12000000 PA USD 7013550.40000000 0.127017082656 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140XHFQ5 77217332.81000000 PA USD 68472037.45000000 1.240045047714 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 1.50000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F040420 64250000.00000000 PA USD 63888593.75000000 1.157037781196 Long ABS-MBS USGSE US N 2 2023-02-16 Fixed 4.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137FBBZ8 4272449.02000000 PA USD 71034.59000000 0.001286453490 Long ABS-MBS USGSE US N 2 2027-08-25 Variable 0.42420000 N N N N N N Freddie Mac REMICS N/A 3137H4Q52 727850.55000000 PA USD 571638.76000000 0.010352515272 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3.00000000 N N N N N N Fannie Mae REMICS N/A 3136BKE81 5288360.30000000 PA USD 4232843.78000000 0.076657817740 Long ABS-MBS USGSE US N 2 2051-08-25 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383D2W7 5362266.19000000 PA USD 4429669.97000000 0.080222387325 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 31307NBU7 92103.24000000 PA USD 85786.47000000 0.001553613580 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 2.00000000 N N N N N N Fannie Mae REMICS N/A 3136BG3S8 5500315.12000000 PA USD 4173952.63000000 0.075591284865 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BUX86 76970291.48000000 PA USD 791516.30000000 0.014334550344 Long ABS-MBS USGSE US N 2 2026-12-25 Variable 0.29200000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383DJQ2 120412.05000000 PA USD 93539.18000000 0.001694017021 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382NXF9 34908715.29000000 PA USD 30087783.31000000 0.544896983933 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 1.50000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BP7A1 88316185.95000000 PA USD 2416480.99000000 0.043763051256 Long ABS-MBS USGSE US N 2 2026-03-25 Variable 1.03740000 N N N N N N Federal Home Loan Banks 2549001DPIFGXC1TOL40 3130ALGL2 49145000.00000000 PA USD 43805494.04000000 0.793328020750 Long DBT USGSE US N 2 2027-02-26 Fixed 1.11500000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383DBF4 5205754.16000000 PA USD 4199465.22000000 0.076053323999 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137H6M36 127979423.31000000 PA USD 2883670.76000000 0.052223970227 Long ABS-MBS USGSE US N 2 2032-01-25 Variable 0.29060000 N N N N N N Freddie Mac REMICS N/A 3137H5TC1 7345437.40000000 PA USD 5849802.04000000 0.105941320281 Long ABS-MBS USGSE US N 2 2051-08-25 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140QQLP8 3901539.88000000 PA USD 3922228.58000000 0.071032501846 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 5.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CGC9 60000000.00000000 PA USD 60675000.00000000 1.098838826360 Long DBT UST US N 2 2027-12-31 Fixed 3.87500000 N N N N N N Fannie Mae or Freddie Mac N/A 01F022410 11000000.00000000 PA USD 10268402.76000000 0.185963240830 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 2.50000000 N N N N N N Freddie Mac REMICS N/A 3137H2N59 1239249.12000000 PA USD 907894.72000000 0.016442191488 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3134GXS88 226200000.00000000 PA USD 223050391.20000000 4.039496169516 Long DBT USGSE US N 2 2025-02-28 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382XPT6 84026.82000000 PA USD 63425.73000000 0.001148655207 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 3.00000000 N N N N N N Fannie Mae REMICS N/A 3136BJ3P8 7212387.85000000 PA USD 5558897.45000000 0.100672968270 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3.00000000 N N N N N N Freddie Mac REMICS N/A 3137H34H2 8024653.02000000 PA USD 6454464.35000000 0.116891899977 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383AHX5 11552789.78000000 PA USD 9086328.08000000 0.164555584398 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BJP64 17000000.00000000 PA USD 16549916.50000000 0.299722963711 Long ABS-MBS USGSE US N 2 2025-03-25 Fixed 3.20500000 N N N N N N Israel Government AID Bond N/A 465139VE0 6905000.00000000 PA USD 6379100.63000000 0.115527044903 Long DBT NUSS IL N 2 2024-11-01 None 0.00000000 N N N N N N Federal Home Loan Banks 2549001DPIFGXC1TOL40 3130ALED2 10570000.00000000 PA USD 9386487.67000000 0.169991546682 Long DBT USGSE US N 2 2027-02-24 Fixed 1.02000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F050627 4500000.00000000 PA USD 4515468.75000000 0.081776223843 Long ABS-MBS USGSE US N 2 2023-02-13 Fixed 5.00000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3134GXR63 125000000.00000000 PA USD 123102500.00000000 2.229415848735 Long DBT USGSE US N 2 2025-08-28 Fixed 4.05000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3135G06N8 180495000.00000000 PA USD 163517279.31000000 2.961337211152 Long DBT USGSE US N 2 2025-12-17 Fixed 0.65000000 N N N N N N N/A N/A N/A -5692.00000000 NC USD -8143081.04000000 -0.14747315390 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A CBOT 10 Year US Treasury Note 2023-03-22 -643679856.46000000 USD -8143081.04000000 N N N Freddie Mac Pool N/A 3132DWFU2 977814.44000000 PA USD 1004368.56000000 0.018189355907 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 6.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383ASL9 2460973.26000000 PA USD 2019191.65000000 0.036568045865 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140K42E9 181930.52000000 PA USD 175278.70000000 0.003174339365 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 3.00000000 N N N N N N Private Export Funding Corp CYQE6SAYPFKNQJ6FMH60 742651DY5 26000000.00000000 PA USD 22626326.32000000 0.409768205328 Long DBT CORP US N 2 2028-07-15 Fixed 1.40000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383DPZ5 4932309.25000000 PA USD 4419392.99000000 0.080036268749 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMRA3 22726.78000000 PA USD 21509.44000000 0.000389541125 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 2.00000000 N N N N N N Freddie Mac REMICS N/A 3137H4EX4 2590639.16000000 PA USD 2043268.19000000 0.037004077788 Long ABS-MBS USGSE US N 2 2051-07-25 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383DV70 554682.48000000 PA USD 474727.16000000 0.008597422914 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.50000000 N N N N N N Fannie Mae REMICS N/A 3136BKHY1 19394012.27000000 PA USD 12885021.02000000 0.233350826126 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 1.50000000 N N N N N N Freddie Mac Coupon Strips N/A 3134A4CP7 4455000.00000000 PA USD 3229487.42000000 0.058486793017 Long DBT USGSE US N 2 2031-03-15 None 0.00000000 N N N N N N Freddie Mac REMICS N/A 3137H36F4 1657475.53000000 PA USD 1250056.77000000 0.022638828414 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BMTY2 2299006.32000000 PA USD 32608.42000000 0.000590546319 Long ABS-MBS USGSE US N 2 2025-11-25 Variable 0.63570000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383CEA4 12201913.88000000 PA USD 9958598.11000000 0.180352604192 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383AKL7 6014078.01000000 PA USD 4771925.53000000 0.086420717739 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3134GXHL1 194850000.00000000 PA USD 176614767.90000000 3.198535876014 Long DBT USGSE US N 2 2025-12-30 Fixed 0.70000000 N N N N N N Fannie Mae REMICS N/A 3136BK6M9 32190804.89000000 PA USD 25977590.04000000 0.470460396394 Long ABS-MBS USGSE US N 2 2051-08-25 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137H4S92 351261718.72000000 PA USD 3333298.08000000 0.060366829009 Long ABS-MBS USGSE US N 2 2031-11-25 Variable 0.12150000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137FRUL3 53080290.96000000 PA USD 4420664.64000000 0.080059298636 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.52260000 N N N N N N Resolution Funding Corp Principal Strip N/A 76116FAB3 394377000.00000000 PA USD 299643700.83000000 5.426619407438 Long DBT USGSE US N 2 2030-01-15 None 0.00000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3134GXS96 45950000.00000000 PA USD 45438990.05000000 0.822911025917 Long DBT USGSE US N 2 2024-08-28 Fixed 4.00000000 N N N N N N Freddie Mac REMICS N/A 3137H2CA0 1562233.31000000 PA USD 1176697.41000000 0.021310272780 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140QBRM2 26192564.58000000 PA USD 25664970.37000000 0.464798779067 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383FWT6 4325686.34000000 PA USD 3674537.75000000 0.066546761411 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 3.00000000 N N N N N N Private Export Funding Corp CYQE6SAYPFKNQJ6FMH60 742651DT6 8700000.00000000 PA USD 8576973.21000000 0.155331045336 Long DBT CORP US N 2 2024-01-15 Fixed 3.55000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137FPHS7 15498777.44000000 PA USD 780523.08000000 0.014135460489 Long ABS-MBS USGSE US N 2 2029-08-25 Variable 1.02120000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CFQ9 62500000.00000000 PA USD 62519531.25000000 1.132243730421 Long DBT UST US N 2 2024-10-31 Fixed 4.37500000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383DQA9 6659758.21000000 PA USD 5548084.73000000 0.100477147313 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N Freddie Mac REMICS N/A 3137H3WB4 4887878.00000000 PA USD 4012366.67000000 0.072664924311 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140QBAP3 6326700.01000000 PA USD 6192293.06000000 0.112143914932 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 3.50000000 N N N N N N Freddie Mac REMICS N/A 3137H1TB2 1175327.28000000 PA USD 923352.98000000 0.016722144291 Long ABS-MBS USGSE US N 2 2051-08-25 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 31418EK82 9097855.31000000 PA USD 9344758.37000000 0.169235819034 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 6.00000000 N N N N N N Fannie Mae Pool N/A 3140QMPF5 3872637.46000000 PA USD 3434109.29000000 0.062192544240 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 1.50000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F022428 -11000000.00000000 PA USD -10288437.50000000 -0.18632607478 Short ABS-MBS USGSE US N 2 2023-02-16 Fixed 2.50000000 N N N N N N Freddie Mac REMICS N/A 3137H5PA9 6543317.56000000 PA USD 5366631.45000000 0.097190984821 Long ABS-MBS USGSE US N 2 2052-02-25 Fixed 3.00000000 N N N N N N Freddie Mac REMICS N/A 3137H4TH3 4666210.31000000 PA USD 3811988.19000000 0.069036021900 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 3.00000000 N N N N N N Freddie Mac REMICS N/A 3137H4EU0 2320581.67000000 PA USD 1766206.31000000 0.031986420581 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137FQ3H4 53409072.67000000 PA USD 1825671.65000000 0.033063352174 Long ABS-MBS USGSE US N 2 2029-09-25 Variable 0.63940000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BTAE1 10939779.68000000 PA USD 30972.70000000 0.000560923037 Long ABS-MBS USGSE US N 2 2026-10-25 Variable 0.06960000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 9128286R6 250000000.00000000 PA USD 242734375.00000000 4.395977844949 Long DBT UST US N 2 2024-04-30 Fixed 2.25000000 N N N N N N Fannie Mae REMICS N/A 3136BLLN8 8763082.00000000 PA USD 7159225.93000000 0.129655301500 Long ABS-MBS USGSE US N 2 2052-02-25 Fixed 3.00000000 N N N N N N Fannie Mae REMICS N/A 3136BLLQ1 7940859.11000000 PA USD 6391208.40000000 0.115746319526 Long ABS-MBS USGSE US N 2 2052-02-25 Fixed 3.00000000 N N N N N N Freddie Mac REMICS N/A 3137H37J5 8996512.57000000 PA USD 6988026.74000000 0.126554843041 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137F1G69 35209251.24000000 PA USD 827107.56000000 0.014979116613 Long ABS-MBS USGSE US N 2 2027-04-25 Variable 0.66710000 N N N N N N Vanguard Cmt Funds-Vanguard Market Liquidity Fund 1I6HV0TLSTR3A4XQ6L78 N/A 96911807.41000000 NS USD 96902116.23000000 1.754920604367 Long STIV CORP US N 1 N N N Resolution Funding Corp Principal Strip N/A 76116FAC1 227307000.00000000 PA USD 170904404.86000000 3.095119829521 Long DBT USGSE US N 2 2030-04-15 None 0.00000000 N N N N N N Fannie Mae Pool N/A 3140QBV70 6463642.33000000 PA USD 6326163.89000000 0.114568347824 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382VMT3 2934157.89000000 PA USD 2363737.64000000 0.042807856516 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 3.00000000 N N N N N N Resolution Funding Corp Interest Strip N/A 76116EGR5 4155000.00000000 PA USD 3154463.54000000 0.057128092527 Long DBT USGSE US N 2 2030-01-15 None 0.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CFM8 99200000.00000000 PA USD 101199495.04000000 1.832747167004 Long DBT UST US N 2 2027-09-30 Fixed 4.12500000 N N N N N N Fannie Mae or Freddie Mac N/A 01F022410 -11000000.00000000 PA USD -10268402.76000000 -0.18596324083 Short ABS-MBS USGSE US N 2 2038-01-01 Fixed 2.50000000 N N N N N N N/A N/A N/A -164.00000000 NC USD -548625.01000000 -0.00993573073 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A CBOT US Treasure Bond Futures 2023-03-22 -20750874.99000000 USD -548625.01000000 N N N Fannie Mae Pool N/A 31417DBD4 50777.60000000 PA USD 48949.56000000 0.000886488291 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 2.00000000 N N N N N N Fannie Mae REMICS N/A 3136BKVV1 1964071.68000000 PA USD 1588704.19000000 0.028771814545 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 3.00000000 N N N N N N Tennessee Valley Authority 549300HE1ISW43LNKM54 880591EX6 50000000.00000000 PA USD 40810773.00000000 0.739092903274 Long DBT USGA US N 2 2031-09-15 Fixed 1.50000000 N N N N N N Fannie Mae REMICS N/A 3136BLYX2 31744201.23000000 PA USD 26058189.43000000 0.471920070710 Long ABS-MBS USGSE US N 2 2052-02-25 Fixed 3.00000000 N N N N N N Fannie Mae Pool N/A 3140QC2B1 11076137.35000000 PA USD 10425011.11000000 0.188799455672 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 2.50000000 N N N N N N Freddie Mac Gold Pool N/A 3128MMTR4 277225.65000000 PA USD 258050.12000000 0.004673349666 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 2.00000000 N N N N N N Freddie Mac Gold Pool N/A 31307NFQ2 746450.18000000 PA USD 694841.73000000 0.012583750656 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 2.00000000 N N N N N N Fannie Mae Pool N/A 3140QGJX6 18134150.83000000 PA USD 16082569.06000000 0.291259189299 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 1.50000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3134GXS47 151000000.00000000 PA USD 148993512.00000000 2.698308296026 Long DBT USGSE US N 2 2025-08-28 Fixed 4.20000000 N N N N N N Fannie Mae Pool N/A 3138WQCF7 1505828.27000000 PA USD 1440337.69000000 0.026084861587 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 2.00000000 N N N N N N Fannie Mae Pool N/A 31418DX80 16277869.61000000 PA USD 14443848.55000000 0.261581567182 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 1.50000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F060626 -11000000.00000000 PA USD -11292187.50000000 -0.20450422842 Short ABS-MBS USGSE US N 2 2023-02-13 Fixed 6.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383A6E9 1561138.22000000 PA USD 1235513.36000000 0.022375443765 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N Freddie Mac REMICS N/A 3137H5DH7 10620953.64000000 PA USD 8862072.74000000 0.160494266316 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137FREK3 54936396.79000000 PA USD 3341412.94000000 0.060513791073 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.12540000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383DPU6 1870548.82000000 PA USD 1277293.23000000 0.023132087247 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 2.00000000 N N N N N N Fannie Mae Pool N/A 3140XGPQ6 104730252.85000000 PA USD 95278389.42000000 1.725514521759 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 2.00000000 N N N N N N Federal Home Loan Banks 2549001DPIFGXC1TOL40 3130AKYH3 136475000.00000000 PA USD 120134575.30000000 2.175666019414 Long DBT USGSE US N 2 2027-02-10 Fixed 0.83000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382XU52 2591056.80000000 PA USD 2064395.74000000 0.037386702794 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 91282CGK1 62055850.50000000 PA USD 61289845.49000000 1.109973825892 Long SN UST US N 2 2033-01-15 Fixed 1.12500000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BNGU2 116409429.90000000 PA USD 3234016.94000000 0.058568823712 Long ABS-MBS USGSE US N 2 2026-01-25 Variable 1.15600000 N N N N N N Freddie Mac REMICS N/A 3137H3M41 4199380.10000000 PA USD 3228583.37000000 0.058470420454 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BSP98 6611587.01000000 PA USD 176459.95000000 0.003195732086 Long ABS-MBS USGSE US N 2 2026-08-25 Variable 0.91470000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383D6H6 959911.75000000 PA USD 748358.82000000 0.013552958013 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 1.50000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BXR20 2997868.41000000 PA USD 62914.17000000 0.001139390732 Long ABS-MBS USGSE US N 2 2027-03-25 Variable 0.60180000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137B5KX0 6350752.74000000 PA USD 9030.14000000 0.000163538004 Long ABS-MBS USGSE US N 2 2023-08-25 Variable 0.31480000 N N N N N N Fannie Mae or Freddie Mac N/A 01F042624 34500000.00000000 PA USD 34063361.10000000 0.616895652789 Long ABS-MBS USGSE US N 2 2023-02-13 Fixed 4.50000000 N N N N N N Fannie Mae Pool N/A 3138W9AB6 347989.60000000 PA USD 332829.12000000 0.006027615320 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 2.00000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F042418 -88500000.00000000 PA USD -89187362.69000000 -1.61520456439 Short ABS-MBS USGSE US N 2 2038-01-01 Fixed 4.50000000 N N N N N N Federal Home Loan Banks 2549001DPIFGXC1TOL40 3130AL2X1 100000000.00000000 PA USD 88089600.00000000 1.595323818352 Long DBT USGSE US N 2 2027-02-17 Fixed 0.85000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F052623 -28000000.00000000 PA USD -28420000.00000000 -0.51469302752 Short ABS-MBS USGSE US N 2 2023-02-13 Fixed 5.50000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F050635 15000000.00000000 PA USD 15043359.00000000 0.272438845456 Long ABS-MBS USGSE US N 2 2023-03-13 Fixed 5.00000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3134GXZ64 150000000.00000000 PA USD 148588200.00000000 2.690967998335 Long DBT USGSE US N 2 2025-03-21 Fixed 4.32000000 N N N N N N Federal Home Loan Banks 2549001DPIFGXC1TOL40 3130ALCE2 25900000.00000000 PA USD 22876019.60000000 0.414290210614 Long DBT USGSE US N 2 2027-02-26 Fixed 0.92000000 N N N N N N Freddie Mac REMICS N/A 3137H4KJ8 175608.28000000 PA USD 122993.23000000 0.002227436942 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 2.00000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F042632 21000000.00000000 PA USD 20730937.50000000 0.375442258456 Long ABS-MBS USGSE US N 2 2023-03-13 Fixed 4.50000000 N N N N N N Freddie Mac Pool N/A 3133BDRE7 827183.31000000 PA USD 849349.42000000 0.015381922041 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 6.00000000 N N N N N N Fannie Mae REMICS N/A 3136BKFJ6 2004714.64000000 PA USD 1582302.22000000 0.028655873331 Long ABS-MBS USGSE US N 2 2051-11-25 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137FL6G4 269299817.78000000 PA USD 7068204.60000000 0.128006883347 Long ABS-MBS USGSE US N 2 2029-01-25 Variable 0.50990000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383CDL1 888528.07000000 PA USD 634441.83000000 0.011489893957 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383DRL4 1161471.10000000 PA USD 923603.21000000 0.016726676016 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137F84T7 10980782.45000000 PA USD 553700.46000000 0.010027648349 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.85120000 N N N N N N Federal Home Loan Banks 2549001DPIFGXC1TOL40 3130AL5A8 105695000.00000000 PA USD 93240852.46000000 1.688614237923 Long DBT USGSE US N 2 2027-02-26 Fixed 0.90000000 N N N N N N Freddie Mac REMICS N/A 3137H5JW8 9767734.42000000 PA USD 7913499.02000000 0.143315368364 Long ABS-MBS USGSE US N 2 2052-02-25 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383DY28 3259460.78000000 PA USD 2572827.01000000 0.046594515238 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383DPW2 15933915.74000000 PA USD 12768640.19000000 0.231243141336 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 2.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38382WAA5 145048.40000000 PA USD 123924.77000000 0.002244307355 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BN6H2 9910852.25000000 PA USD 200594.66000000 0.003632817482 Long ABS-MBS USGSE US N 2 2025-12-25 Variable 0.87700000 N N N N N N N/A N/A N/A -1376.00000000 NC USD -5242226.11000000 -0.09493797422 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A Ultra U.S. Treasury Bond Futures 2023-03-22 -189805773.89000000 USD -5242226.11000000 N N N Fannie Mae or Freddie Mac N/A 01F042426 158000000.00000000 PA USD 159407179.60000000 2.886902318007 Long ABS-MBS USGSE US N 2 2023-02-16 Fixed 4.50000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3134GXA61 300000000.00000000 PA USD 295914600.00000000 5.359084495540 Long DBT USGSE US N 2 2024-12-30 Fixed 4.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BRQL2 132472648.31000000 PA USD 4188069.79000000 0.075846950024 Long ABS-MBS USGSE US N 2 2026-07-25 Variable 1.16800000 N N N N N N Fannie Mae Principal Strip N/A 31358DDS0 7000000.00000000 PA USD 5153624.00000000 0.093333368729 Long DBT USGSE US N 2 2030-11-15 None 0.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137H8UB5 164958433.20000000 PA USD 3685303.36000000 0.066741729194 Long ABS-MBS USGSE US N 2 2032-07-25 Variable 0.24950000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3134GXEJ9 174650000.00000000 PA USD 158447370.20000000 2.869519939191 Long DBT USGSE US N 2 2025-11-24 Fixed 0.64000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BBBE9 2077961.82000000 PA USD 18316.61000000 0.000331718207 Long ABS-MBS USGSE US N 2 2024-03-25 Variable 1.07560000 N N N N N N Freddie Mac REMICS N/A 3137H4V49 5276986.44000000 PA USD 4193261.76000000 0.075940977848 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383DAC2 1431813.63000000 PA USD 1065287.95000000 0.019292620695 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BHCY1 15839330.64000000 PA USD 15341812.51000000 0.277843910222 Long ABS-MBS USGSE US N 2 2025-01-25 Fixed 2.81100000 N N N N N N Freddie Mac REMICS N/A 3137H35X6 1819766.97000000 PA USD 1349222.18000000 0.024434737812 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 3.00000000 N N N N N N Fannie Mae REMICS N/A 3136BKF72 2073156.68000000 PA USD 1649809.17000000 0.029878440413 Long ABS-MBS USGSE US N 2 2051-07-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3135G06K4 138500000.00000000 PA USD 125472413.00000000 2.272335542505 Long DBT USGSE US N 2 2025-12-17 Fixed 0.65000000 N N N N N N Fannie Mae REMICS N/A 3136BKGE6 637737.45000000 PA USD 505453.68000000 0.009153887573 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383AHJ6 652692.23000000 PA USD 480139.99000000 0.008695450566 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CFE6 53500000.00000000 PA USD 52396562.50000000 0.948914334451 Long DBT UST US N 2 2025-08-15 Fixed 3.12500000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137H4R51 265725014.52000000 PA USD 3553195.18000000 0.064349218317 Long ABS-MBS USGSE US N 2 2031-10-25 Variable 0.19140000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137B8G50 57736770.17000000 PA USD 368816.71000000 0.006679359221 Long ABS-MBS USGSE US N 2 2024-01-25 Variable 0.90940000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137H8U25 231600000.00000000 PA USD 961927.44000000 0.017420737028 Long ABS-MBS USGSE US N 2 2032-08-25 Variable 0.00160000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383C3L2 1309463.34000000 PA USD 789705.00000000 0.014301747266 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 1.50000000 N N N N N N Fannie Mae Pool N/A 3140QQCK9 13125900.96000000 PA USD 13195603.43000000 0.238975548185 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 5.00000000 N N N N N N Federal Home Loan Mortgage Corp S6XOOCT0IEG5ABCC6L87 3134GXR97 52950000.00000000 PA USD 52219713.60000000 0.945711558386 Long DBT USGSE US N 2 2025-08-28 Fixed 4.16000000 N N N N N N Freddie Mac Pool N/A 3133KP7K8 14215656.74000000 PA USD 14532260.74000000 0.263182733183 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 5.50000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137FFXM4 114000000.00000000 PA USD 2332519.80000000 0.042242493934 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 0.31200000 N N N N N N Fannie Mae Pool N/A 3140Q8Y41 4173924.86000000 PA USD 4090585.77000000 0.074081491003 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.50000000 N N N N N N Freddie Mac REMICS N/A 3137H4TU4 1219599.31000000 PA USD 1022668.41000000 0.018520770587 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 3.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CEQ0 100000000.00000000 PA USD 97125000.00000000 1.758957082987 Long DBT UST US N 2 2025-05-15 Fixed 2.75000000 N N N N N N Freddie Mac REMICS N/A 3137H3LN0 10722500.44000000 PA USD 8670450.82000000 0.157023947310 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 3.00000000 N N N N N N N/A N/A N/A 2479.00000000 NC USD -137870.40000000 -0.00249686606 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Long N/A CBOT 5 Year US Treasury Note 2023-03-31 270949254.45000000 USD -137870.40000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383DQY7 1455783.62000000 PA USD 1175224.42000000 0.021283596578 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 3.00000000 N N N N N N United States Treasury Note/Bond 254900HROIFWPRGM1V77 91282CFW6 110000000.00000000 PA USD 111650000.00000000 2.022008322425 Long DBT UST US N 2 2025-11-15 Fixed 4.50000000 N N N N N N Freddie Mac Pool N/A 3133KQFF8 7758856.24000000 PA USD 7911533.46000000 0.143279771601 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 5.50000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Certificates N/A 3137BGK32 19425609.84000000 PA USD 167619.70000000 0.003035633035 Long ABS-MBS USGSE US N 2 2024-12-25 Variable 0.50920000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383DW61 2645152.72000000 PA USD 2122469.22000000 0.038438427469 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N N/A N/A N/A -1617.00000000 NC USD -1812959.34000000 -0.03283312918 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A Ultra 10-Year US Treasury Note Futures 2023-03-22 -194172493.79000000 USD -1812959.34000000 N N N Fannie Mae Interest Strip N/A 31359YBA4 8000000.00000000 PA USD 7150808.00000000 0.129502850766 Long DBT USGSE US N 2 2025-11-15 None 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 549300M8ZYFG0OCMTT87 38383DXW3 16833.17000000 PA USD 10538.84000000 0.000190860924 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 1.50000000 N N N N N N 2023-03-30 VANGUARD FIXED INCOME SECURITIES FUNDS Ashley Grim Ashley Grim Treasurer