# EDGAR Filing Document

**Accession Number:** 0000277751
**File Stem:** 0001741773-23-000784
**Filing Date:** 2023-3
**Character Count:** 132772
**Document Hash:** 40719a42bc6c6cf619fc630ddf7882a8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001741773-23-000784.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001741773-23-000784

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JANUS INVESTMENT FUND
- **CENTRAL INDEX KEY:** 0000277751
- **IRS NUMBER:** 840592523
- **STATE OF INCORPORATION:** MA

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-01879
- **FILM NUMBER:** 23691540

**BUSINESS ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206
- **BUSINESS PHONE:** 303-333-3863

**MAIL ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** JANUS FUND /MD/
- **DATE OF NAME CHANGE:** 19870701

## Series and Classes Contracts Data

### Janus Henderson Short Duration Flexible Bond Fund (Series ID: S000010479)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000028938 | Class T      | JASBX           |
| C000077701 | Class A      | JSHAX           |
| C000077702 | Class C      | JSHCX           |
| C000077703 | Class I      | JSHIX           |
| C000077704 | Class S      | JSHSX           |
| C000083525 | Class D      | JNSTX           |
| C000114878 | Class N      | JSHNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JANUS INVESTMENT FUND

- **b. Investment Company Act file number:** 811-01879

- **c. CIK number of Registrant:** 0000277751

- **d. LEI of Registrant:** W6UYDZFUOFJ4HQQ32382

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

  - **Street Address 1:** 151 DETROIT STREET

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

  - **Telephone number:** 3033333863

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

- **a. Name of Series:** Janus Henderson Short Duration Flexible Bond Fund

- **b. EDGAR series identifier (if any):** S000010479

- **c. LEI of Series:** 0IWXBJ4S82V64ZFH4582

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

- **a. Date of fiscal year-end:** 2023-06-30

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $905135254.00

**Total Liabilities:** $7642636.00

**Net Assets:** $897492618.00

**Cash Not Reported:** $1754778.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -7402.09082 | **1-Year:** -68412.73797 | **5-Year:** -89660.21995 | **10-Year:** -18103.41297 | **30-Year:** -9.98596

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

- **3-Month:** -1813.673 | **1-Year:** -10192.29817 | **5-Year:** -8196.53026 | **10-Year:** -31.74345 | **30-Year:** 0

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000077701 | 0.25%                | 0.93%                | -0.17%               |
| Class ID C000077702 | 0.59%                | 0.87%                | -0.24%               |
| Class ID C000083525 | 0.62%                | 0.94%                | -0.16%               |
| Class ID C000077703 | 0.27%                | 0.95%                | -0.15%               |
| Class ID C000114878 | 0.64%                | 0.60%                | -0.15%               |
| Class ID C000077704 | 0.24%                | 1.27%                | -0.54%               |
| Class ID C000028938 | 0.62%                | 0.93%                | -0.17%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2136706.00             | $2534132.00                                |
| Month 2  | $-3363029.00             | $11920215.00                               |
| Month 3  | $-3776930.00             | $-204745.00                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                  | Royal Bank of Canada                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    357074 | PA      | $357074.00    | 0.04%             | 2023-01-03      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC                  | Reach Financial LLC 2022-2A A                                         | CUSIP: 75526GAA9<br>LEI: 5967007LIEEXZXK7FS45 | Long             | EC               | CORP              | US        |   1962906 | PA      | $1958861.00   | 0.22%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Janus Capital Group Inc              | Janus Henderson Cash Liquidity Fund                                   | CUSIP: N/A<br>LEI: 8T2ZO87FU1KVPZIG9I59       | Long             | EC               | PF                | US        |  15652821 | NS      | $15655952.00  | 1.74%             |  |  |  | No            |                  2 | On Loan: No      |
| Janus Henderson Cash Collateral Fund | Janus Henderson Cash Collateral Fund                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | PF                | US        |   1428296 | NS      | $1428296.00   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                       | Air Lease Corp                                                        | CUSIP: 00914AAP7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   3072000 | PA      | $2828756.00   | 0.32%             | 2024-08-18      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY               | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC | CUSIP: 013092AD3<br>LEI: 549300YKWOC0AOR16R51 | Long             | DBT              | CORP              | US        |   5132000 | PA      | $5099831.00   | 0.57%             | 2023-02-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| ARES CAPITAL CORP                    | Ares Capital Corp                                                     | CUSIP: 04010LBD4<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   4880000 | PA      | $4135909.00   | 0.46%             | 2027-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | Bank of America Corp                                                  | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2851000 | PA      | $2943577.00   | 0.33%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                         | Centene Corp                                                          | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |  13752000 | PA      | $12897495.00  | 1.44%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC             | Corebridge Financial Inc                                              | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   2625000 | PA      | $2516521.00   | 0.28%             | 2025-04-04      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| DAE FUNDING LLC                      | DAE Funding LLC                                                       | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |   1642000 | PA      | $1525926.00   | 0.17%             | 2024-08-01      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: No      |
| EQT CORP                             | EQT Corp                                                              | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   2371000 | PA      | $2359476.00   | 0.26%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE HLDG LLC               | GE HEALTHCARE HLDG LLC                                                | CUSIP: 36267VAC7<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   3053000 | PA      | $3071810.00   | 0.34%             | 2025-11-15      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| HCA INC                              | HCA Inc                                                               | CUSIP: 404119BR9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1308000 | PA      | $1306416.00   | 0.15%             | 2025-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HCA INC                              | HCA Inc                                                               | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    684000 | PA      | $688316.00    | 0.08%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                         | Illumina Inc                                                          | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   2951000 | PA      | $2971052.00   | 0.33%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                                   | CUSIP: 46647PCZ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6763000 | PA      | $6566345.00   | 0.73%             | 2026-04-26      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                       | LOW 3.35 04/01/27                                                     | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    916000 | PA      | $859908.00    | 0.10%             | 2027-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                       | Morgan Stanley                                                        | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5133000 | PA      | $5105252.00   | 0.57%             | 2024-04-24      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                       | Morgan Stanley                                                        | CUSIP: 61747YDU6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   8673000 | PA      | $8641293.00   | 0.96%             | 2023-05-22      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING             | NextEra Energy Operating Partners LP                                  | CUSIP: 65342QAK8<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |   1229000 | PA      | $1192131.00   | 0.13%             | 2024-07-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| OWL ROCK CAPITAL CORPORA             | Owl Rock Capital Corp                                                 | CUSIP: 69122JAC0<br>LEI: 5493003BCZ22YM5BRK17 | Long             | DBT              | CORP              | US        |   4908000 | PA      | $4040229.00   | 0.45%             | 2027-04-13      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                        | Providence Service Corp                                               | CUSIP: 743815AE2<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | DBT              | CORP              | US        |   1734000 | PA      | $1628792.00   | 0.18%             | 2025-11-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| SLM CORP                             | SLM Corp                                                              | CUSIP: 78442PGE0<br>LEI: 4K8SLPBF5DXXGPW03H93 | Long             | DBT              | CORP              | US        |   3419000 | PA      | $2907688.00   | 0.32%             | 2026-11-02      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                  | SVB Financial Group                                                   | CUSIP: 78486QAJ0<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    857000 | PA      | $565637.00    | 0.06%             | 2099-12-31      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                  | SVB Financial Group                                                   | CUSIP: 78486QAP6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   6640000 | PA      | $4356163.00   | 0.48%             | 2099-12-31      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                  | Southern California Edison Co                                         | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   2077000 | PA      | $2137829.00   | 0.24%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                           | Sprint Corp                                                           | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |   2254000 | PA      | $2285524.00   | 0.26%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS             | Targa Resources Partners LP / Targa Resources Partners Finance Corp   | CUSIP: 87612BBL5<br>LEI: 6OQWTZ1SPC04IFT4T704 | Long             | DBT              | CORP              | US        |   1643000 | PA      | $1653417.00   | 0.18%             | 2027-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                | Tenet Healthcare Corp                                                 | CUSIP: 88033GCS7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    712000 | PA      | $694383.00    | 0.08%             | 2024-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 9128286Z8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4521000 | PA      | $4332390.00   | 0.48%             | 2024-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CCD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24051000 | PA      | $23621652.00  | 2.63%             | 2023-05-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CCK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60346000 | PA      | $58996627.00  | 6.57%             | 2023-06-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CCU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4619000 | PA      | $4479528.00   | 0.50%             | 2023-08-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CDD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44134000 | PA      | $42560002.00  | 4.74%             | 2023-10-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CDH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9849000 | PA      | $9192657.00   | 1.02%             | 2024-11-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CDS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    760000 | PA      | $711223.00    | 0.08%             | 2025-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CDV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12392000 | PA      | $11890027.00  | 1.32%             | 2024-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CDZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    361000 | PA      | $339819.00    | 0.04%             | 2025-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1442000 | PA      | $1362577.00   | 0.15%             | 2025-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CEY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19964700 | PA      | $19337684.00  | 2.15%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51147000 | PA      | $49888304.00  | 5.56%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CFE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12236000 | PA      | $11879435.00  | 1.32%             | 2025-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CFK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7113000 | PA      | $6970740.00   | 0.78%             | 2025-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14758000 | PA      | $14813342.00  | 1.65%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22326000 | PA      | $22211754.00  | 2.48%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  49416100 | PA      | $49597550.00  | 5.53%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10568000 | PA      | $10631573.00  | 1.19%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1306000 | PA      | $1297225.00   | 0.14%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                                      | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21784000 | PA      | $21664869.00  | 2.41%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                | Wells Fargo & Co                                                      | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3116000 | PA      | $2885419.00   | 0.32%             | 2028-03-24      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| TRAVEL + LEISURE CO                  | Wyndham Destinations Inc                                              | CUSIP: 98310WAP3<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | DBT              | CORP              | US        |   1763000 | PA      | $1736469.00   | 0.19%             | 2024-04-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD             | Avolon Holdings Funding Ltd                                           | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2351000 | PA      | $2131302.00   | 0.24%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD             | Avolon Holdings Funding Ltd                                           | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   3354000 | PA      | $2886706.00   | 0.32%             | 2026-02-21      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS                          | BNP Paribas SA                                                        | CUSIP: 05565AAN3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   5148000 | PA      | $5090226.00   | 0.57%             | 2099-12-31      | Variable      | 7.38%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS                          | BNP Paribas SA                                                        | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3253000 | PA      | $3220482.00   | 0.36%             | 2025-01-10      | Variable      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| CASTLELAKE AVIATION FIN              | Castlelake Aviation Finance DAC                                       | CUSIP: 14856HAA6<br>LEI: 2138006F7SMD1COVC345 | Long             | DBT              | CORP              | IE        |   2999000 | PA      | $2609621.00   | 0.29%             | 2027-04-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: —       |
| JBS USA/FOOD/FINANCE                 | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                | CUSIP: 46590XAR7<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | CORP              | N/A       |   4222000 | PA      | $3693068.00   | 0.41%             | 2027-01-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                  | NOVA Chemicals Corp                                                   | CUSIP: 66977WAQ2<br>LEI: 5493007M1XGU5E55ZJ25 | Long             | DBT              | CORP              | CA        |   1707000 | PA      | $1651516.00   | 0.18%             | 2024-06-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| UBS GROUP AG                         | UBS Group AG                                                          | CUSIP: 90352JAF0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   5447000 | PA      | $5358886.00   | 0.60%             | 2099-12-31      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                            | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    993344 | PA      | $901709.00    | 0.10%             | 2052-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                            | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2741764 | PA      | $2639096.00   | 0.29%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                            | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    937576 | PA      | $923590.00    | 0.10%             | 2052-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2       | BX Commercial Mortgage Trust 2019-XL                                  | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3732437 | PA      | $3686366.00   | 0.41%             | 2036-10-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2       | BX Commercial Mortgage Trust 2019-XL                                  | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $834364.00    | 0.09%             | 2036-10-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R03                          | CUSIP: 20753MAF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351741 | PA      | $350749.00    | 0.04%             | 2031-09-25      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R07                          | CUSIP: 20753WAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4130 | PA      | $4119.00      | 0.00%             | 2039-10-25      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R06                          | CUSIP: 20754JAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81311 | PA      | $81212.00     | 0.01%             | 2039-09-25      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2021-R02 2M1                      | CUSIP: 20754KAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2013788 | PA      | $1958766.00   | 0.22%             | 2041-11-25      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36901 | PA      | $36093.00     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54721 | PA      | $52162.00     | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3132DN2L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1167814 | PA      | $1141546.00   | 0.13%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1916399 | PA      | $1876309.00   | 0.21%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3132DNP49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    514603 | PA      | $483018.00    | 0.05%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3132DNQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1150504 | PA      | $1056939.00   | 0.12%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3132DNSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186170 | PA      | $177081.00    | 0.02%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    647185 | PA      | $616918.00    | 0.07%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55203 | PA      | $53996.00     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115469 | PA      | $105527.00    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27968 | PA      | $26945.00     | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97522 | PA      | $89113.00     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3133BGBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457141 | PA      | $428890.00    | 0.05%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3133BPL22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     34552 | PA      | $34483.00     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3133BPUK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1141496 | PA      | $1139205.00   | 0.13%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3133BPV54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1759088 | PA      | $1755558.00   | 0.20%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    327201 | PA      | $320042.00    | 0.04%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     56161 | PA      | $54933.00     | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    286716 | PA      | $280443.00    | 0.03%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                      | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    194946 | PA      | $190681.00    | 0.02%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96747 | PA      | $92222.00     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MHTA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1072843 | PA      | $949657.00    | 0.11%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163980 | PA      | $149861.00    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MJ6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    897986 | PA      | $797121.00    | 0.09%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MJ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800336 | PA      | $708195.00    | 0.08%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440450 | PA      | $402471.00    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MJ7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    799269 | PA      | $730911.00    | 0.08%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33238 | PA      | $31993.00     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65027 | PA      | $62647.00     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113378 | PA      | $109229.00    | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147318 | PA      | $141926.00    | 0.02%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122353 | PA      | $111803.00    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MNNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261888 | PA      | $239489.00    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51620 | PA      | $49730.00     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59014 | PA      | $56855.00     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179865 | PA      | $173282.00    | 0.02%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MRZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458530 | PA      | $430184.00    | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MSF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116229 | PA      | $109044.00    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MSNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255894 | PA      | $255381.00    | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140MUUU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208282 | PA      | $195407.00    | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140N0FK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572442 | PA      | $571294.00    | 0.06%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140Q9ED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392446 | PA      | $384236.00    | 0.04%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36946 | PA      | $36137.00     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50656 | PA      | $49547.00     | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140QPX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1974380 | PA      | $1903242.00   | 0.21%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140QQL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4919179 | PA      | $5008901.00   | 0.56%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140QQVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1968083 | PA      | $1923797.00   | 0.21%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1937798 | PA      | $1843196.00   | 0.20%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5148106 | PA      | $4896777.00   | 0.55%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1021636 | PA      | $1000265.00   | 0.11%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140XGZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577511 | PA      | $548157.00    | 0.06%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140XHLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1257071 | PA      | $1198278.00   | 0.13%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140XHVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2960697 | PA      | $2719903.00   | 0.30%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48756 | PA      | $46475.00     | 0.01%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140XHZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100036 | PA      | $95153.00     | 0.01%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 3140XJKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738460 | PA      | $702408.00    | 0.08%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    606351 | PA      | $577993.00    | 0.06%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423565 | PA      | $404106.00    | 0.04%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    521792 | PA      | $497388.00    | 0.06%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77895 | PA      | $74092.00     | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                       | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70948 | PA      | $69395.00     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4 M2     | CUSIP: 35565AAH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202344 | PA      | $202212.00    | 0.02%             | 2049-10-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                     | Great Wolf Trust                                                      | CUSIP: 39152TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5929000 | PA      | $5753697.00   | 0.64%             | 2036-12-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor       | JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE B              | CUSIP: 46591PAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2560000 | PA      | $2347193.00   | 0.26%             | 2037-01-10      | Fixed         | 3.64%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2021-3 A                                 | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    852716 | PA      | $833307.00    | 0.09%             | 2031-07-20      | Fixed         | 0.83%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2022-2 A1                       | CUSIP: 69377AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2501161 | PA      | $2337168.00   | 0.26%             | 2027-03-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| VMC Finance LLC                      | VMC Finance LLC 2021-HT1 A                                            | CUSIP: 91835TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1233677 | PA      | $1190822.00   | 0.13%             | 2037-01-18      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                         | ARES CLO Ltd 2021-60A A                                               | CUSIP: 04018FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    491000 | PA      | $477595.00    | 0.05%             | 2034-07-18      | Floating      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| CBAM CLO Management                  | CBAM CLO Management 2019-11RA A2                                      | CUSIP: 12510TAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4325000 | PA      | $4061664.00   | 0.45%             | 2035-01-20      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                     | CIFC Funding Ltd 2021-7A B                                            | CUSIP: 12567HAE2<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |   1432000 | PA      | $1367341.00   | 0.15%             | 2035-01-23      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                     | CIFC Funding Ltd 2016-1A BRR                                          | CUSIP: 17180TBC5<br>LEI: 54930076OPDXR0U68E20 | Long             | ABS-CBDO         | CORP              | KY        |   1278000 | PA      | $1226131.00   | 0.14%             | 2031-10-21      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                  | Elmwood CLO VIII Ltd 2019-2A AR                                       | CUSIP: 29001LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    740000 | PA      | $722495.00    | 0.08%             | 2034-04-20      | Floating      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd             | Neuberger Berman CLO Ltd 2019-33A BR                                  | CUSIP: 64132TAL7<br>LEI: 549300RVE5T2OYI2H743 | Long             | ABS-CBDO         | CORP              | KY        |   3800000 | PA      | $3669094.00   | 0.41%             | 2033-10-16      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                          | OCP CLO Ltd 2015-10A BR2                                              | CUSIP: 67092DAV1<br>LEI: 254900FZYL5HDKV64882 | Long             | ABS-CBDO         | CORP              | KY        |   2686000 | PA      | $2564222.00   | 0.29%             | 2034-01-26      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 48       | Octagon Investment Partners 48 Ltd 2020-3A BR                         | CUSIP: 67577UAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    527000 | PA      | $505846.00    | 0.06%             | 2034-10-20      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd       | Palmer Square Loan Funding 2020-1A A2                                 | CUSIP: 69701EAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3093334 | PA      | $3040382.00   | 0.34%             | 2028-02-20      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO LTD                  | Sound Point CLO Ltd 2019-1A AR                                        | CUSIP: 83611KAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2136000 | PA      | $2090473.00   | 0.23%             | 2032-01-20      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Wind River CLO Ltd                   | THL Credit Wind River CLO Ltd 2014-1A ARR                             | CUSIP: 88432CBB1<br>LEI: 549300AMLFWC1VCUN251 | Long             | ABS-CBDO         | CORP              | KY        |   5118934 | PA      | $5003083.00   | 0.56%             | 2031-07-18      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| ACC Auto Trust                       | ACC Auto Trust 2022-A A                                               | CUSIP: 00085YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1742040 | PA      | $1709599.00   | 0.19%             | 2026-07-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                       | ACM Auto Trust 2022-1A A                                              | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    637867 | PA      | $634736.00    | 0.07%             | 2029-04-20      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| ACC Auto Trust                       | ACC Auto Trust 2021-A A                                               | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    274021 | PA      | $270855.00    | 0.03%             | 2027-04-15      | Fixed         | 1.08%                 | Yes           |                  2 | On Loan: No      |
| Affirm Inc                           | Affirm Asset Securitization Trust 2021-B A                            | CUSIP: 00834DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1402000 | PA      | $1329139.00   | 0.15%             | 2026-08-17      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust             | Angel Oak Mortgage Trust I LLC 2019-5                                 | CUSIP: 03464KAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    172341 | PA      | $165294.00    | 0.02%             | 2049-10-25      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust             | Angel Oak Mortgage Trust I LLC 2019-6                                 | CUSIP: 03464VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148851 | PA      | $141052.00    | 0.02%             | 2059-11-25      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                   | Aqua Finance Trust 2021-A A                                           | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    685228 | PA      | $615354.00    | 0.07%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec       | Arivo Acceptance Auto Loan Receivables 2022-1A A                      | CUSIP: 04047EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2285717 | PA      | $2218473.00   | 0.25%             | 2028-05-15      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Atalaya Equipment Leasing Fund       | Atalaya Equipment Leasing Fund I LP 2021-1A A2                        | CUSIP: 046497AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    857694 | PA      | $832545.00    | 0.09%             | 2026-05-15      | Fixed         | 1.23%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding       | Avis Budget Rental Car Funding AESOP LLC 2017-2A D                    | CUSIP: 05377REW0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1617000 | PA      | $1611633.00   | 0.18%             | 2024-03-20      | Fixed         | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S       | Barclays Commercial Mortgage Securities LLC 2017-DELC                 | CUSIP: 05552EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430000 | PA      | $422177.00    | 0.05%             | 2036-08-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                            | BPR Trust 2022-OANA A                                                 | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3717000 | PA      | $3660171.00   | 0.41%             | 2037-04-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-LBA AV                              | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1817000 | PA      | $1730824.00   | 0.19%             | 2036-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-LBA AJV                             | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1598000 | PA      | $1519468.00   | 0.17%             | 2036-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-21M A                               | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1868489 | PA      | $1795520.00   | 0.20%             | 2036-10-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-VOLT F                              | CUSIP: 05609VAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3235000 | PA      | $2981733.00   | 0.33%             | 2036-09-15      | Floating      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2022-FOX2 A2                             | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2005000 | PA      | $1846273.00   | 0.21%             | 2039-04-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun       | Oceanview Mortgage Trust 2021-4 A11                                   | CUSIP: 07336GAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1935358 | PA      | $1733855.00   | 0.19%             | 2051-10-25      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun       | Oceanview Mortgage Trust 2021-5 AF                                    | CUSIP: 07336JAX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1892985 | PA      | $1700105.00   | 0.19%             | 2051-11-25      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun       | Oceanview Mortgage Trust 2022-2 A1                                    | CUSIP: 07336NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3904326 | PA      | $3258445.00   | 0.36%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC              | CF Hippolyta Issuer LLC 2021-1A A1                                    | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2191812 | PA      | $1890662.00   | 0.21%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC              | CF Hippolyta Issuer LLC 2021-1A B1                                    | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    804204 | PA      | $660107.00    | 0.07%             | 2061-03-15      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC              | CF Hippolyta Issuer LLC 2022-1A A1                                    | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12430022 | PA      | $12048668.00  | 1.34%             | 2062-08-15      | Fixed         | 5.97%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                            | CIM Trust 2021-NR1 A1                                                 | CUSIP: 12565YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1174882 | PA      | $1106253.00   | 0.12%             | 2055-07-25      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust         | Credit Suisse Commercial Mortgage Trust 2019-ICE4                     | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3703000 | PA      | $3660465.00   | 0.41%             | 2036-05-15      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust         | Credit Suisse Commercial Mortgage Trust 2019-ICE4 C                   | CUSIP: 12653VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4106000 | PA      | $4016615.00   | 0.45%             | 2036-05-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust         | Credit Suisse Commercial Mortgage Trust 2021-WEHO A                   | CUSIP: 12657CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1528094 | PA      | $1483841.00   | 0.17%             | 2023-04-15      | Floating      | 8.29%                 | Yes           |                  2 | On Loan: No      |
| COLEM 2021-HLNE Mortgage Trust       | COLEM Mortgage Trust 2022-HLNE A                                      | CUSIP: 12659JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4914000 | PA      | $4123400.00   | 0.46%             | 2042-04-12      | Variable      | 2.46%                 | Yes           |                  2 | On Loan: No      |
| CP EF ASSET SECURITIZATION I,        | CP EF Asset Securitization I LLC 2002-1A A                            | CUSIP: 12662AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2934292 | PA      | $2886401.00   | 0.32%             | 2030-04-15      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust       | Carvana Auto Receivables Trust 2021-P4 A2                             | CUSIP: 14687KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615577 | PA      | $607664.00    | 0.07%             | 2025-04-10      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC            | Chesapeake Funding II LLC  2019-2A                                    | CUSIP: 165183CH5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   2858000 | PA      | $2845156.00   | 0.32%             | 2031-09-15      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| Cold Storage Trust                   | Cold Storage Trust 2020-ICE5 A                                        | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3282205 | PA      | $3196288.00   | 0.36%             | 2037-11-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Cold Storage Trust                   | Cold Storage Trust 2020-ICE5 B                                        | CUSIP: 193051AJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1683863 | PA      | $1630225.00   | 0.18%             | 2037-11-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Cold Storage Trust                   | Cold Storage Trust 2020-ICE5 C                                        | CUSIP: 193051AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1690744 | PA      | $1635344.00   | 0.18%             | 2037-11-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R02                          | CUSIP: 20753KAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     20728 | PA      | $20689.00     | 0.00%             | 2031-08-25      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2018-R07                          | CUSIP: 20753QAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     56254 | PA      | $56088.00     | 0.01%             | 2031-04-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R03 1M1                      | CUSIP: 20753XAA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1936442 | PA      | $1925587.00   | 0.21%             | 2042-03-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R04 1M1                      | CUSIP: 20753YCH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    873269 | PA      | $871166.00    | 0.10%             | 2042-03-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2021-R03 1M2                      | CUSIP: 20754AAB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    951000 | PA      | $883096.00    | 0.10%             | 2041-12-25      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2021-R02 2M2                      | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2548000 | PA      | $2371295.00   | 0.26%             | 2041-11-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R01 1M2                      | CUSIP: 20754LAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1997000 | PA      | $1867422.00   | 0.21%             | 2041-12-25      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R01 1B1                      | CUSIP: 20754LAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1759000 | PA      | $1651000.00   | 0.18%             | 2041-12-25      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R06 1M1                      | CUSIP: 20754NAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    766234 | PA      | $773226.00    | 0.09%             | 2042-05-25      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R08 1M1                      | CUSIP: 20755DAA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    931068 | PA      | $933720.00    | 0.10%             | 2042-07-25      | Floating      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Conn Funding II, L.P                 | Conn Funding II LP 2021-A A                                           | CUSIP: 20825GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1242 | PA      | $1240.00      | 0.00%             | 2026-05-15      | Fixed         | 1.05%                 | Yes           |                  2 | On Loan: No      |
| Conn Funding II, L.P                 | Conn Funding II LP 2022-A A                                           | CUSIP: 20825YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1228526 | PA      | $1226561.00   | 0.14%             | 2026-12-15      | Fixed         | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond        | Consumer Loan Underlying Bond Credit Trust 2019-P2 C                  | CUSIP: 21054PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315929 | PA      | $313992.00    | 0.04%             | 2026-10-15      | Fixed         | 4.41%                 | Yes           |                  2 | On Loan: No      |
| DB Master Finance LLC                | DB Master Finance LLC 2017-1A A2II                                    | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   4880610 | PA      | $4412209.00   | 0.49%             | 2047-11-20      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| DBCCRE Mortgage Trust                | DBCCRE Mortgage Trust 2014-ARCP E                                     | CUSIP: 23305MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4240000 | PA      | $3793928.00   | 0.42%             | 2034-01-10      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Diamond Infrastructure Funding       | Diamond Infrastructure Funding LLC 2021-1A A                          | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2114000 | PA      | $1731549.00   | 0.19%             | 2049-04-15      | Fixed         | 1.76%                 | Yes           |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust          | Diamond Resorts Owner Trust 2021-1A A                                 | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700629 | PA      | $637732.00    | 0.07%             | 2033-11-21      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Donlen Fleet Lease Funding           | Donlen Fleet Lease Funding 2021-2 B                                   | CUSIP: 257812AE7<br>LEI: 549300ZWUQETU54FDP26 | Long             | ABS-O            | CORP              | US        |   1572000 | PA      | $1472892.00   | 0.16%             | 2034-12-11      | Fixed         | 0.98%                 | Yes           |                  2 | On Loan: No      |
| Donlen Fleet Lease Funding           | Donlen Fleet Lease Funding 2021-2 C                                   | CUSIP: 257812AF4<br>LEI: 549300ZWUQETU54FDP26 | Long             | ABS-O            | CORP              | US        |   1471000 | PA      | $1366387.00   | 0.15%             | 2034-12-11      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust         | Drive Auto Receivables Trust 2020-1                                   | CUSIP: 26208QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2511000 | PA      | $2463469.00   | 0.27%             | 2027-05-17      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| DROP Mortgage Trust 2021-FILE        | DROP Mortgage Trust 2021-FILE A                                       | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3929000 | PA      | $3749321.00   | 0.42%             | 2043-10-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables        | Exeter Automobile Receivables Trust 2021-1A D                         | CUSIP: 30166RAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1081000 | PA      | $1007354.00   | 0.11%             | 2026-11-16      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables        | Exeter Automobile Receivables Trust 2019-1                            | CUSIP: 30167DAE7<br>LEI: 549300KR7NUJOX0UJ040 | Long             | ABS-O            | CORP              | US        |   2895000 | PA      | $2867875.00   | 0.32%             | 2026-01-15      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables        | Exeter Automobile Receivables Trust 2020-2A E                         | CUSIP: 30167YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2687000 | PA      | $2703817.00   | 0.30%             | 2027-09-15      | Fixed         | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust          | Extended Stay America Trust 2021-ESH B                                | CUSIP: 30227FAE0<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |    704811 | PA      | $675205.00    | 0.07%             | 2038-07-15      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust          | Extended Stay America Trust 2021-ESH E                                | CUSIP: 30227FAL4<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |   3306363 | PA      | $3147529.00   | 0.35%             | 2038-07-15      | Floating      | 7.17%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS Trust                      | FREED ABS Trust 2019-2 C                                              | CUSIP: 30312JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211528 | PA      | $211303.00    | 0.02%             | 2026-11-18      | Fixed         | 4.86%                 | Yes           |                  2 | On Loan: No      |
| Freedom Financial                    | FREED ABS Trust 2021-3FP B                                            | CUSIP: 30322MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2189782 | PA      | $2167777.00   | 0.24%             | 2028-11-20      | Fixed         | 1.01%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2015-C01 1M2                      | CUSIP: 30711XAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    386668 | PA      | $394170.00    | 0.04%             | 2025-02-25      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Fannie Mae Connecticut Avenue Securities                              | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    158802 | PA      | $164700.00    | 0.02%             | 2025-07-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Tru       | First Investors Auto Owner Trust 2022-1A A                            | CUSIP: 32057KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2703493 | PA      | $2620299.00   | 0.29%             | 2027-01-15      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust              | Flagstar Mortgage Trust 2021-13IN A2                                  | CUSIP: 33853HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5598845 | PA      | $4672640.00   | 0.52%             | 2051-12-30      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Foursight Capital Automobile R       | Foursight Capital Auto Receivables Trust 2021-1 B                     | CUSIP: 35105WAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2960000 | PA      | $2884987.00   | 0.32%             | 2026-01-15      | Fixed         | 0.87%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA1 M2     | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    681000 | PA      | $627315.00    | 0.07%             | 2033-08-25      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2     | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    622000 | PA      | $615099.00    | 0.07%             | 2033-08-25      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA3 M1A    | CUSIP: 35564KE39<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    785097 | PA      | $781876.00    | 0.09%             | 2042-08-25      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA2 M2     | CUSIP: 35564KFV6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2592000 | PA      | $2273106.00   | 0.25%             | 2033-12-25      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA1 M1A    | CUSIP: 35564KTA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    909465 | PA      | $901116.00    | 0.10%             | 2042-03-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA5 M1A    | CUSIP: 35564KYN3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1278669 | PA      | $1290303.00   | 0.14%             | 2042-06-25      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA2 M2     | CUSIP: 35565LAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1923102 | PA      | $1938074.00   | 0.22%             | 2050-03-25      | Floating      | 7.49%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 M2     | CUSIP: 35565TAH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1252471 | PA      | $1237241.00   | 0.14%             | 2050-11-25      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA6 M2     | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1135713 | PA      | $1126739.00   | 0.13%             | 2050-12-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Freedom Financial                    | FREED ABS Trust 2022-2CP B                                            | CUSIP: 35633LAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6317000 | PA      | $6179488.00   | 0.69%             | 2029-05-18      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Freedom Financial                    | FREED ABS Trust 2022-3FP A                                            | CUSIP: 35634EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1576549 | PA      | $1570556.00   | 0.17%             | 2029-08-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| GCAT                                 | GCAT 2022-INV1 A1                                                     | CUSIP: 36168YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4870109 | PA      | $4011232.00   | 0.45%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| HPEFS Equipment Trust                | Hewlett-Packard Financial Services Company Trust 2020-1A C            | CUSIP: 40438FAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    322899 | PA      | $321715.00    | 0.04%             | 2030-02-20      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| HPEFS Equipment Trust                | Hewlett-Packard Financial Services Company Trust 2020-1A D            | CUSIP: 40438FAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $791226.00    | 0.09%             | 2030-02-20      | Fixed         | 2.26%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust         | Hilton Grand Vacations Trust 2020-AA                                  | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1838591 | PA      | $1725574.00   | 0.19%             | 2039-02-25      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz       | NRZ Excess Spread Collateralized Notes 2020-PLS1 A                    | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    398953 | PA      | $363595.00    | 0.04%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL       | Chase Auto Credit Linked Notes 2020-1 B                               | CUSIP: 46591HAN0<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    740758 | PA      | $727691.00    | 0.08%             | 2028-01-25      | Fixed         | 0.99%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL       | Chase Auto Credit Linked Notes 2020-2 B                               | CUSIP: 46591HAU4<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    469634 | PA      | $456768.00    | 0.05%             | 2028-02-25      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL       | Chase Auto Credit Linked Notes 2021-1 B                               | CUSIP: 46591HBR0<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   1063684 | PA      | $1020993.00   | 0.11%             | 2028-09-25      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor       | JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE A              | CUSIP: 46591PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    991000 | PA      | $911169.00    | 0.10%             | 2037-01-10      | Fixed         | 3.29%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust             | JP Morgan Mortgage Trust 2019-LTV2                                    | CUSIP: 46651AAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41179 | PA      | $40640.00     | 0.01%             | 2049-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL       | Chase Auto Credit Linked Notes 2021-2 B                               | CUSIP: 48128U2M0<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    828431 | PA      | $791608.00    | 0.09%             | 2028-12-26      | Fixed         | 0.89%                 | Yes           |                  2 | On Loan: No      |
| KNDL Mortgage Trust                  | KNDL Mortgage Trust 2019-KNSQ A                                       | CUSIP: 482598AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3838000 | PA      | $3799583.00   | 0.42%             | 2036-05-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust           | LAD Auto Receivables Trust 2021-1A A                                  | CUSIP: 501683AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    702548 | PA      | $681811.00    | 0.08%             | 2026-08-17      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust           | LAD Auto Receivables Trust 2022-1A A                                  | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3407336 | PA      | $3351259.00   | 0.37%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat       | LendingPoint Asset Securitization Trust 2022-A A                      | CUSIP: 52605AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1187183 | PA      | $1175600.00   | 0.13%             | 2029-06-15      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust        | Lendbuzz Securitization Trust 2021-1A A                               | CUSIP: 52607BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2977062 | PA      | $2841824.00   | 0.32%             | 2026-06-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat       | LendingPoint Asset Securitization Trust 2021-B A                      | CUSIP: 52607HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    542278 | PA      | $538168.00    | 0.06%             | 2029-02-15      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust        | Lendbuzz Securitization Trust 2021-1A A                               | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2448422 | PA      | $2352092.00   | 0.26%             | 2027-05-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Oasis Securitisation                 | Oasis Securitization 2022-2A A                                        | CUSIP: 53161MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2446464 | PA      | $2432810.00   | 0.27%             | 2034-10-15      | Fixed         | 6.85%                 | Yes           |                  2 | On Loan: No      |
| Oasis Securitisation                 | Oasis Securitization 2022-1A A                                        | CUSIP: 53161NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1769631 | PA      | $1736024.00   | 0.19%             | 2034-05-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust        | Life Financial Services Trust 2021-BMR A                              | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3554420 | PA      | $3441766.00   | 0.38%             | 2038-03-15      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust        | Life Financial Services Trust 2021-BMR C                              | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1980685 | PA      | $1882570.00   | 0.21%             | 2038-03-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust        | Life Financial Services Trust 2022-BMR2 A1                            | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2823000 | PA      | $2753077.00   | 0.31%             | 2039-05-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust        | Life Financial Services Trust 2022-BMR2 B                             | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1059000 | PA      | $1022335.00   | 0.11%             | 2039-05-15      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust        | MHC Commercial Mortgage Trust 2021-MHC A                              | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3182956 | PA      | $3087697.00   | 0.34%             | 2038-04-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust        | MHC Commercial Mortgage Trust 2021-MHC C                              | CUSIP: 55316VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1797068 | PA      | $1712797.00   | 0.19%             | 2038-04-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust               | Marlette Funding Trust 2021-3A A                                      | CUSIP: 57108QAA1<br>LEI: 549300J7CH2COR8VWE03 | Long             | ABS-O            | CORP              | US        |    986133 | PA      | $975115.00    | 0.11%             | 2031-12-15      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN C                                                 | CUSIP: 58403YAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    587000 | PA      | $556652.00    | 0.06%             | 2038-11-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN D                                                 | CUSIP: 58403YAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    596000 | PA      | $564202.00    | 0.06%             | 2038-11-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN E                                                 | CUSIP: 58403YAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2647000 | PA      | $2456969.00   | 0.27%             | 2038-11-15      | Floating      | 7.47%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN F                                                 | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1665000 | PA      | $1533331.00   | 0.17%             | 2038-11-15      | Floating      | 8.32%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta       | Mello Mortgage Capital Acceptance Trust 2022-INV1 A2                  | CUSIP: 585490AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3347818 | PA      | $2745361.00   | 0.31%             | 2052-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta       | Mello Mortgage Capital Acceptance Trust 2021-INV3 A11                 | CUSIP: 585491BC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1760254 | PA      | $1589231.00   | 0.18%             | 2051-10-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta       | Mello Mortgage Capital Acceptance Trust 2021-INV4 A3                  | CUSIP: 58550NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1854910 | PA      | $1481400.00   | 0.17%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card        | Mercury Financial Credit Card Master Trust 2021-1A A                  | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1890000 | PA      | $1809319.00   | 0.20%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| NMEF Funding LLC                     | NMEF Funding LLC 2022-A A2                                            | CUSIP: 62920KAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3487030 | PA      | $3377384.00   | 0.38%             | 2028-10-16      | Fixed         | 2.58%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz       | NRZ Excess Spread Collateralized Notes 2021-FHT1 A                    | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    869539 | PA      | $754929.00    | 0.08%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC             | Onslow Bay Financial LLC 2022-INV1 A1                                 | CUSIP: 67115NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3933096 | PA      | $3283146.00   | 0.37%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC             | Onslow Bay Financial LLC 2022-INV1 A18                                | CUSIP: 67115NAU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1668108 | PA      | $1320215.00   | 0.15%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC             | Onslow Bay Financial LLC 2021-INV3 A3                                 | CUSIP: 67117JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2885448 | PA      | $2306836.00   | 0.26%             | 2051-10-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne       | Oak Street Investment Grade Net Lease Fund 2020-1A A1                 | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1067745 | PA      | $949271.00    | 0.11%             | 2050-11-20      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Oasis Securitisation                 | Oasis Securitization 2021-2A A                                        | CUSIP: 67422CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1318067 | PA      | $1285376.00   | 0.14%             | 2033-10-15      | Fixed         | 2.14%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun       | Oceanview Mortgage Trust 2022-1 A1                                    | CUSIP: 67648BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1970414 | PA      | $1644451.00   | 0.18%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Ondeck Asset Securitization Tr       | Ondeck Asset Securitization Trust LLC 2021-1A A                       | CUSIP: 68236WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1807000 | PA      | $1650811.00   | 0.18%             | 2027-05-17      | Fixed         | 1.59%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2021-10 A1                      | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1908180 | PA      | $1715813.00   | 0.19%             | 2026-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2021-9 A1                       | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1920029 | PA      | $1739133.00   | 0.19%             | 2026-10-25      | Variable      | 2.36%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust       | Pagaya AI Debt Selection Trust 2022-1 A                               | CUSIP: 69546MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    960065 | PA      | $915481.00    | 0.10%             | 2029-10-15      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Pawnee Equipment Receivables         | Pawnee Equipment Receivables 2021-1 A2                                | CUSIP: 704100AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2978572 | PA      | $2840077.00   | 0.32%             | 2027-07-15      | Fixed         | 1.10%                 | Yes           |                  2 | On Loan: No      |
| Pear LLC                             | Pear LLC 2022-1 A1                                                    | CUSIP: 70472XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2285646 | PA      | $2281576.00   | 0.25%             | 2034-10-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru       | Provident Funding Mortgage Trust 2021-INV1 A1                         | CUSIP: 74387VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1622425 | PA      | $1295173.00   | 0.14%             | 2051-08-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Woodward Capital Management          | Woodward Capital Management 2021-3 A21                                | CUSIP: 74938DAW3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1246602 | PA      | $1117099.00   | 0.12%             | 2051-07-25      | Floating      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                 | SMRT 2022-MINI A                                                      | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2805000 | PA      | $2707810.00   | 0.30%             | 2039-01-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                          | SREIT Trust 2021-MFP A                                                | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3236000 | PA      | $3111858.00   | 0.35%             | 2038-11-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                          | SREIT Trust 2021-FLWR D                                               | CUSIP: 78485GAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2543000 | PA      | $2413039.00   | 0.27%             | 2036-07-15      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl       | Santander Drive Auto Receivables Trust 2021-1 D                       | CUSIP: 80286NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4581000 | PA      | $4326629.00   | 0.48%             | 2026-11-16      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin       | Santander Bank Auto Credit-Linked Notes 2021-1A C                     | CUSIP: 80290CAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    788694 | PA      | $759941.00    | 0.09%             | 2031-12-15      | Fixed         | 3.27%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin       | Santander Bank Auto Credit-Linked Notes 2022-A B                      | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1899751 | PA      | $1839455.00   | 0.20%             | 2032-05-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Sierra Receivables Funding Co        | Sierra Receivables Funding Co LLC 2021-1A A                           | CUSIP: 82652QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1134708 | PA      | $1064010.00   | 0.12%             | 2037-11-20      | Fixed         | 0.99%                 | Yes           |                  2 | On Loan: No      |
| Social Professional Loan Progr       | SoFi Professional Loan Program 2020-C Trust                           | CUSIP: 83390UAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1757318 | PA      | $1590344.00   | 0.18%             | 2046-02-15      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU       | SoFi Consumer Loan Program Trust 2022-1S A                            | CUSIP: 83406QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3829000 | PA      | $3822934.00   | 0.43%             | 2031-04-15      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust                   | TPI Re-Remic Trust 2022-FRR1 AK33                                     | CUSIP: 872659AA5<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |    994000 | PA      | $955641.00    | 0.11%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust                   | TPI Re-Remic Trust 2022-FRR1 AK34                                     | CUSIP: 872659AC1<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |    819000 | PA      | $787394.00    | 0.09%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust                   | TPI Re-Remic Trust 2022-FRR1 AK35                                     | CUSIP: 872659AE7<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |   1109000 | PA      | $1059704.00   | 0.12%             | 2046-08-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TTAN                                 | TTAN 2021-MHC A                                                       | CUSIP: 87303TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1658861 | PA      | $1611245.00   | 0.18%             | 2038-03-15      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust               | Tesla Auto Lease Trust 2021-B A3                                      | CUSIP: 88161KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $988738.00    | 0.11%             | 2025-09-22      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust               | Tesla Auto Lease Trust 2021-B B                                       | CUSIP: 88161KAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    538000 | PA      | $497083.00    | 0.06%             | 2025-09-22      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust               | Tesla Auto Lease Trust 2020-A                                         | CUSIP: 88167HAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2650000 | PA      | $2629767.00   | 0.29%             | 2024-08-20      | Fixed         | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                | Theorem Funding Trust 2022-3A A                                       | CUSIP: 882925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3266688 | PA      | $3266006.00   | 0.36%             | 2029-04-15      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                | Theorem Funding Trust 2021-1A A                                       | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2770977 | PA      | $2719940.00   | 0.30%             | 2027-12-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization T       | Tricolor Auto Securitization Trust 2022-1A A                          | CUSIP: 89616BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1573172 | PA      | $1559238.00   | 0.17%             | 2025-02-18      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust       | 208 Park Avenue Mortgage Trust 2017-280P                              | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2890000 | PA      | $2819342.00   | 0.31%             | 2034-09-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| USASF Receivables LLC                | USASF Receivables LLC 2021-1A C                                       | CUSIP: 90355EAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2886866.00   | 0.32%             | 2026-05-15      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| UNIFY Auto Receivables Trust         | UNIFY Auto Receivables Trust 2021-1A A4                               | CUSIP: 90775QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2930000 | PA      | $2798115.00   | 0.31%             | 2026-07-15      | Fixed         | 0.98%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2021-5 A                                 | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    456174 | PA      | $439131.00    | 0.05%             | 2031-11-20      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2022-2 A                                 | CUSIP: 91679TAA3<br>LEI: 549300WNB47JRNENIC75 | Long             | ABS-O            | CORP              | US        |   2692271 | PA      | $2620681.00   | 0.29%             | 2032-05-20      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2022-1 A                                 | CUSIP: 91679WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3342757 | PA      | $3208923.00   | 0.36%             | 2032-03-20      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2020-3 B                                 | CUSIP: 91680EAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1692730 | PA      | $1680361.00   | 0.19%             | 2030-11-20      | Fixed         | 3.01%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2021-1 A                                 | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44714 | PA      | $44579.00     | 0.01%             | 2031-03-20      | Fixed         | 0.87%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2021-4 A                                 | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1361485 | PA      | $1317588.00   | 0.15%             | 2031-09-20      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC        | United Wholesale Mortgage LLC 2021-INV4 A3                            | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1432210 | PA      | $1155382.00   | 0.13%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers LLC             | Vantage Data Centers LLC 2020-1A A2                                   | CUSIP: 92212KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2652000 | PA      | $2334512.00   | 0.26%             | 2045-09-15      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| VASA Trust                           | VASA Trust 2021-VASA A                                                | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1260000 | PA      | $1165987.00   | 0.13%             | 2039-07-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Verizon Owner Trust                  | Verizon Owner Trust 2019-C                                            | CUSIP: 92348AAC9<br>LEI: 549300WANFF5OIMC3D47 | Long             | ABS-O            | CORP              | US        |   8417000 | PA      | $8383811.00   | 0.93%             | 2024-04-22      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust           | Verus Securitization Trust 2020-1                                     | CUSIP: 92536PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2872478 | PA      | $2705315.00   | 0.30%             | 2060-01-25      | Variable      | 2.64%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts                     | Westgate Resorts 2022-1A A                                            | CUSIP: 96034JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    648394 | PA      | $618164.00    | 0.07%             | 2036-08-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| OSCAR US Funding Trust               | Oscar US Funding Trust 2021-1A A3                                     | CUSIP: 68785AAC9<br>LEI: 353800F8174AEKJO6C39 | Long             | ABS-O            | CORP              | JP        |   2188000 | PA      | $2121160.00   | 0.24%             | 2025-04-10      | Fixed         | 0.70%                 | Yes           |                  2 | On Loan: No      |
| ZURN LLC                             | Zurn Holdings Inc                                                     | CUSIP: 76168JAS5<br>LEI: 549300XLZXRC2KJ6VK87 | Long             | LON              | CORP              | US        |   3247754 | PA      | $3235575.00   | 0.36%             | 2028-10-04      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                  | US 5YR NOTE (CBT) Mar23                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -1041 | NC      | $400250.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 2YR NOTE (CBT) Mar23                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1199 | NC      | $140508.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 10YR NOTE (CBT)Mar23                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -112 | NC      | $117250.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US LONG BOND(CBT) Mar23                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -99 | NC      | $215016.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 10yr Ultra Fut Mar23                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        39 | NC      | $-57891.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US ULTRA BOND CBT Mar23                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        24 | NC      | $-113997.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-14

**Name of Applicant:** JANUS INVESTMENT FUND

**Signature:** JESPER NERGAARD

**Name of Signer:** JESPER NERGAARD

**Title:** VP, CFO, TREASURER, AND PRINCIPAL ACCOUNTING OFFICER