# EDGAR Filing Document

**Accession Number:** 0001500604
**File Stem:** 0001752724-23-067656
**Filing Date:** 2023-3
**Character Count:** 158001
**Document Hash:** f2c8ee4b5da072056ca247622dd852bf
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-067656.hdr.sgml**: 20230327

**ACCESSION NUMBER**: 0001752724-23-067656

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230327

**DATE AS OF CHANGE**: 20230327

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Janus Detroit Street Trust
- **CENTRAL INDEX KEY:** 0001500604
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23112
- **FILM NUMBER:** 23763785

**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 ETF Trust
- **DATE OF NAME CHANGE:** 20100902

## Series and Classes Contracts Data

### Janus Henderson Mortgage-Backed Securities ETF (Series ID: S000063007)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000204446 | Janus Henderson Mortgage-Backed Securities ETF | JMBS            |

## Nport-Ex

# **Janus Henderson Mortgage-Backed Securities ETF**

Schedule of Investments (unaudited)

January 31, 2023

|  | Shares Principal Amount | Total |
| --- | --- | --- |
| Asset-Backed Securities - 0.3% |  |  |
| ACM Asset Trust, 3,1200%, 4,0529 (1444) | $113,018 | $112,829 |
| American Loan Investment Receivables Trust, 3,1200%, 3,1576 (1444) | 2,586,681 | 2,586,681 |
| Consumer Loan Underlying Bond O&B (Intangible Issue) Trust, 3,1000%, 1,0729 (1444) | 1,423,615 | 1,407,888 |
| Consumer Loan Underlying Bond O&B Credit Trust, 4,4200%, 1,8550 (1444) | 1,540,718 | 1,533,310 |
| FRESD AFS Trust, 6,8000%, 3,0577 (1444) | 1,807,082 | 1,807,240 |

1

# **Janus Henderson Mortgage-Backed Securities ETF**

# **Schedule of Investments (unaudited)**

**January 31, 2023**

| PRECEDING TARIFF, LIABILITY, EITHER (1994) | Current Principal Accountability | Total |
| --- | --- | --- |
| Mortgage-Backed Securities (continued) |  |  |
| Net Cash Flows (1994) |  |  |
| Net Cash Flows (1994) | $11,500,000 | $11,500,000 |
| Net Cash Flows (1995) | 2,000,000 | 2,000,000 |
| Net Cash Flows (1996) | 2,000,000 | 2,000,000 |
| Net Cash Flows (1997) | 2,000,000 | 2,000,000 |
| Net Cash Flows (1998) | 2,000,000 | 2,000,000 |
| Net Cash Flows (1999) | 2,000,000 | 2,000,000 |
| Net Cash Flows (2000) | 2,000,000 | 2,000,000 |
| Net Cash Flows (1,000) | 2,000,000 | 2,000,000 |
| Net Cash Flows (1,000) | 2,000,000 | 2,000,000 |
| Net Cash Flows (1,000) | 2,000,000 | 2,000,000 |

1

# Janus Henderson Mortgage-Backed Securities ETF

Schedule of Investments (unaudited)

January 31, 2023

| Pre-paid Earnings/Depreciation (L.C. 1,000)% 2016/21 (1.4A) | Current Principal Amounts | Total |
| --- | --- | --- |
| Mortgage-Backed Securities - (continued) |  |  |
| (1) 2023 (1.4A) - (continued) 1.4A 1,000% 2016/21 (1.4A) | 1,775.515 |  |
| (1) 2023 (1.4A) - (continued) 1.4A 1,000% 2016/21 (1.4A) | 1,775.515 | 81,806.223 |
| (1) 2023 (1.4A) - (continued) 1.4A 1,000% 2016/21 (1.4A) | 1,775.515 | 112.853 |
| (1) 2023 (1.4A) - (continued) 1.4A 1,000% 2016/21 (1.4A) | 1,775.515 | 2,080.224 |
| (1) 2023 (1.4A) - (continued) 1.4A 1,000% 2016/21 (1.4A) | 1,775.515 | 2,080.227 |
| (1) 2023 (1.4A) - (continued) 1.4A 1,000% 2016/21 (1.4A) | 1,775.515 | 900.828 |

# Janus Henderson Mortgage-Backed Securities ETF

Schedule of Investments (unaudited)

January 31, 2023

| AUGUST, 31, 2023 |  | Budget | Total |
| --- | --- | --- | --- |
| Mortgage-Backed Securities (continued) |  | Principal Amounts |  |
| 1 | Janus Henderson Mortgage-Backed Securities ETF | 1,000,000 |  |
| 2 | Janus Henderson Mortgage-Backed Securities ETF | 1,000,000 |  |
| 3 | Janus Henderson Mortgage-Backed Securities ETF | 1,000,000 | $520,040 |
| 4 | Janus Henderson Mortgage-Backed Securities ETF | 1,000,000 | 500,000 |
| 5 | Janus Henderson Mortgage-Backed Securities ETF | 1,000,000 | 430,000 |
| 6 | Janus Henderson Mortgage-Backed Securities ETF | 1,000,000 | 320,270 |
| 7 | Janus Henderson Mortgage-Backed Securities ETF | 1,000,000 | 380,230 |

1

# Janus Henderson Mortgage-Backed Securities ETF

Schedule of Investments (unaudited)

January 31, 2023

| EARNINGS (1994) + 2.0000% - 6.9000% - 0.0000% - (1994) |  | EARNINGS (1994) |  |
| --- | --- | --- | --- |
| Mortgage-Backed Securities (continued) |  | Principal Account | Other |
| 1 | 1.0000% - 2.0000% - 6.9000% - 0.0000% (1994) | 1,000,000 | $1,484,842 |
| 2 | 1.0000% - 2.0000% - 6.9000% - 0.0000% (1994) | 1,000,000 | 1,071,818 |
| 3 | 1.0000% - 2.0000% - 6.9000% - 0.0000% (1994) | 1,000,000 | 207,080 |
| 4 | 1.0000% - 2.0000% - 6.9000% - 0.0000% (1994) | 1,000,000 | 501,000 |
| 5 | 1.0000% - 2.0000% - 6.9000% - 0.0000% (1994) | 1,000,000 | 455,831 |

# Janus Henderson Mortgage-Backed Securities ETF

Schedule of Investments (unaudited)

January 31, 2023

| LOSSES, LIABILITIES AND LIABILITIES |  | Other | Total |
| --- | --- | --- | --- |
| Mortgage-Backed Securities (continued) |  |  |  |
| 1 | Interest | 1 | 1 |
| 1 | Interest | 1 | 1 |
| 1 | Interest | 1 | 1 |
| 1 | Interest | 1 | 1 |
| 1 | Interest | 1 | 1 |
| 1 | Interest | 1 | 1 |
| 1 | Interest | 1 | 1 |
| 1 | Interest | 1 | 1 |
| 1 | Interest | 1 | 1 |
| 1 | Interest | 1 | 1 |
| 1 | Interest | 1 | 1 |

# Janus Henderson Mortgage-Backed Securities ETF

Schedule of Investments (unaudited)

January 31, 2023

| Mortgage-Backed Securities (continued) |  | 1 | 2 | 3 |
| --- | --- | --- | --- | --- |
|  |  | Principal Amount | Total |  |
| 1 | 1.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000. | 1.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000. | 1.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000. | 1.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000. |
| 2 | 1.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000. | 1.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000. | 1.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000. | 1.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000. |
| 3 | 1.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000. | 1.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000. | 1.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000. | 1.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000. |

# Janus Henderson Mortgage-Backed Securities ETF

Schedule of Investments (unaudited)

January 31, 2023

| Projected Investment | 0.00% | Change in | 0.00% |
| --- | --- | --- | --- |
| Investment | 0.00% | Unrealized | 0.00% |
| Investment | 0.00% | Appreciation | 0.00% |
| Projected Investment | 0.00% | (Depreciation) | 0.00% |
| Investment | 0.00% |  |  |
| Projected Investment | 0.00% |  |  |
| Investment | 0.00% |  |  |
| Projected Investment | 0.00% |  |  |
| Investment | 0.00% |  |  |

1

# Janus Henderson Mortgage-Backed Securities ETF

Notes to Schedule of Investments and Other Information (continued)
January 31, 2023

| 2023 | 2,373 | $ |
| --- | --- | --- |
| 2023 | 2,373 | $ |
| 2023 | 2,373 | $ |
| 2023 | 2,373 | $ |
| 2023 | 2,373 | $ |

# Janus Henderson Mortgage-Backed Securities ETF

Notes to Schedule of Investments and Other Information (continued)

January 31, 2023

The following information is provided in the following table:

---

4

# Investment Valuation

Schedule of Income/Contracts

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11

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**รัฐสภาผู้แทนรัฐสภาผู้แทนรัฐสภาผู้แทนรัฐสภาผู้แทนรัฐสภาผู้แทนรัฐสภาผู้แทนรัฐสภาผู้แทนรัฐสภาผู้แทนรัฐสภาผู้แทนรัฐสภาผู้แทนรัฐสภาผู้แทนรัฐสภาผู้แทนรัฐสภาผู้แทนรัฐสภาผู้แทนรัฐสภาผู้แทนรัฐ

Summary: A survey of the selected studies between 1970-2020 in Brazil, 1980-2020, 1990-2020, and 1990-2020. The results of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research and development of the research

## Valuation Inputs Summary

FAOB ASC 820, Fair Value Measurements and Disclosures ('ASC 820'), defines fair value, establishes a framework

for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:

Level 1 - Unadjusted quoted prices in active markets the Fund has the ability to access for identical assets or liabilities.

Level 2 - Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or risk prices supplied by a pricing service; securities traded on CPC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof).

obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Fund's Trustees; and certain short-term debt securities with maturities of 60 days or less that are not valued at amortized cost. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.

Level 3 - Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Fund's own assumptions about the assumptions that a market participant would use in valuing the

## 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 Detroit Street Trust

- **b. Investment Company Act file number:** 811-23112

- **c. CIK number of Registrant:** 0001500604

- **d. LEI of Registrant:** 5493003MM7OCK5UJW595

- **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:** 303-333-3863

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

- **a. Name of Series:** Janus Henderson Mortgage-Backed Securities ETF

- **b. EDGAR series identifier (if any):** S000063007

- **c. LEI of Series:** 549300V6TVE4ZJCDWY16

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $2610423032.69

**Total Liabilities:** $1711649768.04

**Net Assets:** $898773264.65

**Delayed Delivery Securities:** $818740904.96

**Cash Not Reported:** $25102436.98

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1137.44326292 | **1-Year:** -9637.06197392 | **5-Year:** -297281.69373465 | **10-Year:** -247647.40718402 | **30-Year:** -23.16559090

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

- **3-Month:** -875.45400392 | **1-Year:** -3061.56929861 | **5-Year:** -1188.06213471 | **10-Year:** -31.46090107 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000204446 | 4.10%                | -0.32%               | 3.43%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4942733.39             | $35776203.17                               |
| Month 2  | $1570159.68              | $-7246600.21                               |
| Month 3  | $4193057.34              | $20634894.25                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Mortgage Backed Securities (Statistics Universe)

- **Index Identifier:** LEHM.MC.LEHM000095UUSD

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| TPI RE-REMIC Trust                                            | TPI RE-REMIC Trust, Series 2022-FRR1, Class AK35                                        | CUSIP: 872659AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3230000 | PA      | $3106599.14    | 0.35%             | 2046-08-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XGZ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24737595 | PA      | $23537453.07   | 2.62%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 15 Year                                                                           | CUSIP: 3132CWBH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     439082 | PA      | $417026.73     | 0.05%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132A5AL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2740050 | PA      | $2565820.42    | 0.29%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3131YAV98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     375143 | PA      | $376213.94     | 0.04%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Single Family, 30 Year                                                         | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   61517249 | PA      | $59777356.65   | 6.65%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140N4N45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12179530 | PA      | $12281751.56   | 1.37%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2002-53, Class FK                                                   | CUSIP: 31392EHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30545 | PA      | $30347.36      | 0.00%             | 2032-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 31334YHQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2432215 | PA      | $2259658.76    | 0.25%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                          | FREMF Mortgage Trust, Series 2019-KF70, Class C                                         | CUSIP: 30298UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1109388 | PA      | $1029008.15    | 0.11%             | 2029-09-25      | Floating      | 10.39%                | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                      | PRPM LLC, Series 2021-RPL2, Class A2                                                    | CUSIP: 69357QAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1618708.60    | 0.18%             | 2051-10-25      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264099 | PA      | $261247.95     | 0.03%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140JMBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1198272 | PA      | $1175442.17    | 0.13%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Single Family, 30 Year                                                         | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  122000000 | PA      | $121126968.00  | 13.48%            | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140E9H66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17998 | PA      | $16721.81      | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                                  | Chase Mortgage Finance Corp., Series 2021-CL1, Class M3                                 | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2399647 | PA      | $2069061.23    | 0.23%             | 2050-02-25      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8636570 | PA      | $8448042.85    | 0.94%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132DNGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4189995 | PA      | $4141736.97    | 0.46%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2017-163, Class LO                                                         | CUSIP: 38380KNA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4497526 | PA      | $3545083.94    | 0.39%             | 2041-05-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREED ABS Trust                                               | FREED ABS Trust, Series 2022-3FP, Class A                                               | CUSIP: 35634EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4281847 | PA      | $4270718.34    | 0.48%             | 2029-08-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                 | UMBS, Single Family, 30 Year                                                            | CUSIP: 01F050627<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -90426697 | PA      | $-90755850.18  | -10.10%           | 2053-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140HPR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     778580 | PA      | $768404.36     | 0.09%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MJ7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3825596 | PA      | $3614162.22    | 0.40%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | U.S. Treasury 10 Year Notes                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -471 | NC      | $130885.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | Freddie Mac Pool, 30 Year                                                               | CUSIP: 3132DPDW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6370254 | PA      | $6163779.17    | 0.69%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 3028, Class FM                                                     | CUSIP: 31396AFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19340 | PA      | $19235.58      | 0.00%             | 2035-09-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133BGDH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4650191 | PA      | $4778315.07    | 0.53%             | 2052-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2010-109, Class BS                                                  | CUSIP: 31398NTM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41248 | PA      | $74168.72      | 0.01%             | 2040-10-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140HBFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1598477 | PA      | $1632561.41    | 0.18%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust                              | SoFi Consumer Loan Program Trust, Series 2022-1S, Class A                               | CUSIP: 83406QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9112416 | PA      | $9101298.43    | 1.01%             | 2031-04-15      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                    | Freddie Mac Pool, 30 Year                                                               | CUSIP: 3132DPN95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19903462 | PA      | $20070377.41   | 2.23%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XJLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49009094 | PA      | $45024797.73   | 5.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3747065 | PA      | $3850305.75    | 0.43%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QPYX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2911305 | PA      | $2760865.92    | 0.31%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                        | Tesla Auto Lease Trust, Series 2020-A, Class D                                          | CUSIP: 88167HAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $1989725.00    | 0.22%             | 2024-02-20      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140FPAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     329851 | PA      | $328279.09     | 0.04%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                       | FHLMC STACR REMIC Trust, Series 2020-DNA6, Class M2                                     | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1733698 | PA      | $1729738.72    | 0.19%             | 2050-12-25      | Floating      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140N4PD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6299949 | PA      | $6429358.78    | 0.72%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Single Family, 30 Year                                                         | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21077414 | PA      | $18807840.22   | 2.09%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4055462 | PA      | $3978195.84    | 0.44%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TPI RE-REMIC Trust                                            | TPI RE-REMIC Trust, Series 2022-FRR1, Class AK34                                        | CUSIP: 872659AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2382000 | PA      | $2304888.23    | 0.26%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132DNSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     762988 | PA      | $746336.05     | 0.08%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133BPUK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4889929 | PA      | $4975840.99    | 0.55%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QQZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3836597 | PA      | $3817776.80    | 0.42%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3131Y2M21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127295 | PA      | $127621.45     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XBSP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1650368 | PA      | $1652349.69    | 0.18%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2007-89, Class GF                                                   | CUSIP: 31396XPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25764 | PA      | $25600.73      | 0.00%             | 2037-09-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5097784 | PA      | $5110848.43    | 0.57%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                 | UMBS, Single Family, 30 Year                                                            | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  304637700 | PA      | $266767578.24  | 29.68%            | 2053-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1017004 | PA      | $960620.19     | 0.11%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140X7JB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10274153 | PA      | $9814826.47    | 1.09%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Other                                                                             | CUSIP: 3140EVBD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     376996 | PA      | $348009.16     | 0.04%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378548 | PA      | $371336.03     | 0.04%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MRZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4645770 | PA      | $4489305.88    | 0.50%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140K54D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295866 | PA      | $296495.14     | 0.03%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                           | Connecticut Avenue Securities Trust, Series 2019-R01, Class 2M2                         | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89162 | PA      | $89273.28      | 0.01%             | 2031-07-25      | Floating      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                    | FHLMC Gold Pools, Other                                                                 | CUSIP: 3131Y6WK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3152 | PA      | $2951.14       | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 31334XYL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     335752 | PA      | $318753.78     | 0.04%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QQD69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17282799 | PA      | $17430096.91   | 1.94%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239700 | PA      | $237112.46     | 0.03%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QPYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1077563 | PA      | $1024280.74    | 0.11%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC STACR Trust, Series 2021-DNA7, Class M2                                           | CUSIP: 35564KMH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12000000 | PA      | $11530775.28   | 1.28%             | 2041-11-25      | Floating      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MSCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2356094 | PA      | $2331837.37    | 0.26%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | U.S. Treasury 2 Year Notes                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -169 | NC      | $-117668.28    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Connecticut Avenue Securities Trust                           | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M2                         | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4507308 | PA      | $4437443.69    | 0.49%             | 2041-10-25      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Other                                                                             | CUSIP: 31417C6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259283 | PA      | $242883.53     | 0.03%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XHVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11822838 | PA      | $11215578.70   | 1.25%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140JWB33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66543 | PA      | $66684.60      | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QBUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245266 | PA      | $245787.94     | 0.03%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                 | UMBS, Single Family, 30 Year                                                            | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6544914 | PA      | $5942382.67    | 0.66%             | 2053-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133BAFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3016795 | PA      | $2850106.85    | 0.32%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2007-37, Class FW                                                          | CUSIP: 38375KNR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28352 | PA      | $27904.21      | 0.00%             | 2037-06-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132DNQJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43320632 | PA      | $44363061.95   | 4.94%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2010-95, Class FB                                                   | CUSIP: 31398NEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14769 | PA      | $14711.30      | 0.00%             | 2040-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 15 Year                                                                           | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55038 | PA      | $53205.46      | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                       | Lendingpoint Asset Securitization Trust, Series 2022-A, Class A                         | CUSIP: 52605AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     542060 | PA      | $537470.91     | 0.06%             | 2029-06-15      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                                                | ACM Auto Trust, Series 2022-1A, Class A                                                 | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     113016 | PA      | $112829.43     | 0.01%             | 2029-04-20      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                        | Sequoia Mortgage Trust, Series 2013-5, Class A1                                         | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |     834606 | PA      | $734449.73     | 0.08%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140X6FJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403991 | PA      | $386239.15     | 0.04%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140LWV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2389044 | PA      | $2266334.72    | 0.25%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2005-48, Class AF                                                          | CUSIP: 38374LHM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24530 | PA      | $24051.24      | 0.00%             | 2035-06-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Rithm Capital Corp.                                           | Rithm Capital Corp., Series D                                                           | CUSIP: 64828T706<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EP               | CORP              | US        |      40000 | NS      | $846400.00     | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140X3A73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44509 | PA      | $41678.51      | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond Club Certificate Issuer Trust I | Consumer Loan Underlying Bond Club Certificate Issuer Trust I, Series 2019-HP1, Class C | CUSIP: 21055MAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1423015 | PA      | $1417887.59    | 0.16%             | 2026-12-15      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1177468 | PA      | $1107020.34    | 0.12%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140EU6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48015 | PA      | $45905.29      | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2007-61, Class FA                                                          | CUSIP: 38375LLN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14526 | PA      | $14369.58      | 0.00%             | 2037-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MNP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4245350 | PA      | $4010059.16    | 0.45%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TPI RE-REMIC Trust                                            | TPI RE-REMIC Trust, Series 2022-FRR1, Class AK33                                        | CUSIP: 872659AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2892000 | PA      | $2798378.15    | 0.31%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 31418BW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519671 | PA      | $496835.92     | 0.06%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133BJP30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4040622 | PA      | $4151950.90    | 0.46%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 3721, Class FB                                                     | CUSIP: 3137GAD20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66090 | PA      | $65525.30      | 0.01%             | 2040-09-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132ACNG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     417705 | PA      | $415017.03     | 0.05%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140HAMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123050 | PA      | $113203.99     | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | FHLMC Gold Pools, Other                                                                 | CUSIP: 3131Y4LZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67099 | PA      | $61953.34      | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20804152 | PA      | $20350019.90   | 2.26%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC STACR Trust, Series 2021-DNA1, Class M2                                           | CUSIP: 35564KAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1329246 | PA      | $1307266.53    | 0.15%             | 2051-01-25      | Floating      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326104 | PA      | $326798.36     | 0.04%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140J7UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161241 | PA      | $156677.34     | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2007-40, Class FG                                                          | CUSIP: 38375KZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45426 | PA      | $44606.91      | 0.00%             | 2037-07-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 15 Year                                                                           | CUSIP: 3138WHP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14956 | PA      | $14204.01      | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                           | Connecticut Avenue Securities Trust, Series 2019-R03, Class 1M2                         | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1278853 | PA      | $1278853.05    | 0.14%             | 2031-09-25      | Floating      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140JYSB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116516 | PA      | $107192.31     | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2010-123, Class FL                                                  | CUSIP: 31398N2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16223 | PA      | $15921.13      | 0.00%             | 2040-11-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QQVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7890102 | PA      | $7914029.39    | 0.88%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Single Family, 30 Year                                                         | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     985279 | PA      | $968021.42     | 0.11%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QPX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22310560 | PA      | $22080870.02   | 2.46%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, 30 Year                                                                        | CUSIP: 3617J6Q80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     172227 | PA      | $173208.18     | 0.02%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     154191 | PA      | $152847.35     | 0.02%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133BEVU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5002341 | PA      | $4745473.42    | 0.53%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140N0FK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2452014 | PA      | $2495123.34    | 0.28%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1243973 | PA      | $1174833.96    | 0.13%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198808 | PA      | $195020.67     | 0.02%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 15 Year                                                                           | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102170 | PA      | $98754.41      | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QQL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22414753 | PA      | $23155875.11   | 2.58%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                                  | Chase Mortgage Finance Corp., Series 2021-CL1, Class M2                                 | CUSIP: 46591HBY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2023725 | PA      | $1775389.44    | 0.20%             | 2050-02-25      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132DNFY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13368486 | PA      | $12690328.53   | 1.41%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140F9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88810 | PA      | $83378.91      | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QPHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23161594 | PA      | $22023514.71   | 2.45%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XJKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2913587 | PA      | $2849986.55    | 0.32%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     460502 | PA      | $455530.63     | 0.05%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8202714 | PA      | $8082169.11    | 0.90%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3131XVQW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16606 | PA      | $15558.11      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2010-6, Class FG                                                           | CUSIP: 38376TSC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9549 | PA      | $9508.91       | 0.00%             | 2040-01-16      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                                 | Lendbuzz Securitization Trust, Series 2022-1A, Class A                                  | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1788951 | PA      | $1726159.89    | 0.19%             | 2027-05-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Series 2021-R02, Class 2M2                                                        | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    2386000 | PA      | $2236875.00    | 0.25%             | 2041-11-25      | Floating      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140X45D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     340278 | PA      | $318641.02     | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | FHLMC Gold Pools, Other                                                                 | CUSIP: 3131Y6P45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61793 | PA      | $59614.79      | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2003-87, Class FG                                                   | CUSIP: 31393E4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29121 | PA      | $29171.38      | 0.00%             | 2033-09-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XH6R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20368040 | PA      | $20687452.64   | 2.30%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     894160 | PA      | $896061.42     | 0.10%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3131Y2YX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82835 | PA      | $84599.92      | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XKDZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11894578 | PA      | $11994407.65   | 1.33%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140J9D24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     946199 | PA      | $886353.20     | 0.10%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 31334WZG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1321246 | PA      | $1227673.47    | 0.14%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QNPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5666292 | PA      | $5380535.62    | 0.60%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MSNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1096226 | PA      | $1115498.58    | 0.12%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                           | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1                         | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1365498 | PA      | $1349624.63    | 0.15%             | 2041-12-25      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 2410, Class FX                                                     | CUSIP: 31339NJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22975 | PA      | $22917.04      | 0.00%             | 2032-02-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                                  | Chase Mortgage Finance Corp., Series 2021-CL1, Class M1                                 | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3679499 | PA      | $3371488.29    | 0.38%             | 2050-02-25      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Single Family, 30 Year                                                         | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28311337 | PA      | $26792603.64   | 2.98%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                       | JPMorgan Mortgage Trust, Series 2015-4, Class AM                                        | CUSIP: 46644VBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     606039 | PA      | $546063.81     | 0.06%             | 2045-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 15 Year                                                                           | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15649 | PA      | $14862.25      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                           | Connecticut Avenue Securities Trust, Series 2018-R07, Class 1M2                         | CUSIP: 20753QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139650 | PA      | $139837.49     | 0.02%             | 2031-04-25      | Floating      | 6.91%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XDEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1545975 | PA      | $1516520.04    | 0.17%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140X4X43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1372663 | PA      | $1346510.58    | 0.15%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QQN76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23396225 | PA      | $23814200.52   | 2.65%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XGZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2936080 | PA      | $2871313.42    | 0.32%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XFC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7474986 | PA      | $7377289.21    | 0.82%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2008-13, Class FB                                                          | CUSIP: 38375PNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57560 | PA      | $57094.23      | 0.01%             | 2038-02-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133B4H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1063908 | PA      | $978321.84     | 0.11%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113583 | PA      | $112356.77     | 0.01%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2012-75, Class FP                                                          | CUSIP: 38378EZ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20382 | PA      | $20202.66      | 0.00%             | 2041-07-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XHZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     409096 | PA      | $400165.41     | 0.04%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREED ABS Trust                                               | FREED ABS Trust, Series 2020-3FP, Class C                                               | CUSIP: 35634LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1907062 | PA      | $1907143.46    | 0.21%             | 2027-09-20      | Fixed         | 6.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2006-20, Class GF                                                   | CUSIP: 31395BU43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83498 | PA      | $82519.71      | 0.01%             | 2036-04-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 15 Year                                                                           | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66729 | PA      | $64308.97      | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4330328 | PA      | $4089652.72    | 0.46%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2002-16, Class VF                                                   | CUSIP: 31392CWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19210 | PA      | $19221.17      | 0.00%             | 2032-04-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M3               | CUSIP: 3137G0AY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    2633351 | PA      | $2697316.50    | 0.30%             | 2024-04-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | FHLMC Gold Pools, Other                                                                 | CUSIP: 31329L6W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56639 | PA      | $54642.00      | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR Trust                                             | FHLMC STACR Trust, Series 2019-DNA4, Class M2                                           | CUSIP: 35565AAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1918579 | PA      | $1918579.24    | 0.21%             | 2049-10-25      | Floating      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8242714 | PA      | $8263838.14    | 0.92%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Series 2015-C03, Class 1M2                                                        | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    2490768 | PA      | $2602852.74    | 0.29%             | 2025-07-25      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 2551, Class FD                                                     | CUSIP: 31393JAZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22338 | PA      | $22161.13      | 0.00%             | 2033-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140Q7DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150861 | PA      | $146590.46     | 0.02%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132ACH52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23236 | PA      | $21815.28      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132DPCD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16936896 | PA      | $17496781.39   | 1.95%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XHLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5122271 | PA      | $5024679.95    | 0.56%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Other                                                                             | CUSIP: 3138WJP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78219 | PA      | $72679.97      | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Other                                                                             | CUSIP: 31418APM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343082 | PA      | $321382.69     | 0.04%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                  | Upstart Securitization Trust, Series 2021-1, Class A                                    | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      15533 | PA      | $15488.26      | 0.00%             | 2031-03-20      | Fixed         | 0.87%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                        | Sequoia Mortgage Trust, Series 2019-CH3, Class A19                                      | CUSIP: 81748GBN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     116871 | PA      | $107751.25     | 0.01%             | 2049-09-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2010-125, Class VF                                                         | CUSIP: 38377JYJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        640 | PA      | $633.58        | 0.00%             | 2040-06-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond CLUB Credit Trust               | Consumer Loan Underlying Bond CLUB Credit Trust, Series 2019-P2, Class C                | CUSIP: 21054PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1540719 | PA      | $1533309.84    | 0.17%             | 2026-10-15      | Fixed         | 4.41%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132AEJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1589777 | PA      | $1555080.69    | 0.17%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 3738, Class FD                                                     | CUSIP: 3137GAYQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26981 | PA      | $27031.74      | 0.00%             | 2040-08-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134996 | PA      | $133300.49     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6490 | PA      | $6503.60       | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2004-59, Class FP                                                          | CUSIP: 38374HYS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32568 | PA      | $32111.88      | 0.00%             | 2034-08-16      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                           | Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1                         | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5300970 | PA      | $5318010.03    | 0.59%             | 2042-03-25      | Floating      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Other                                                                          | CUSIP: 36179UQT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     157425 | PA      | $153507.97     | 0.02%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA-CHASE                                  | JPMorgan Chase Bank NA-CHASE, Series 2020-CL1, Class M1                                 | CUSIP: 46591HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10306448 | PA      | $10103151.53   | 1.12%             | 2057-10-25      | Floating      | 6.76%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                    | FHLMC Gold Pools, Other                                                                 | CUSIP: 3132AED78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1084286 | PA      | $1015804.36    | 0.11%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317334 | PA      | $310406.48     | 0.03%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Janus Henderson Cash Liquidity Fund LLC                       | Janus Henderson Cash Liquidity Fund LLC                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   33429501 | NS      | $33436187.15   | 3.72%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259633 | PA      | $260185.14     | 0.03%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 15 Year                                                                           | CUSIP: 3131XCKS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13030 | PA      | $12375.85      | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 1999-27, Class FE                                                          | CUSIP: 3837H2WA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17467 | PA      | $17512.25      | 0.00%             | 2029-08-16      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk                      | FHLMC Multifamily Structured Credit Risk, Series 2021-MN1, Class M1                     | CUSIP: 35563FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1340239 | PA      | $1239689.27    | 0.14%             | 2051-01-25      | Floating      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132DV5G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     817528 | PA      | $819266.41     | 0.09%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2013-2, Class QF                                                    | CUSIP: 3136AB4P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44124 | PA      | $43756.65      | 0.00%             | 2043-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Series 2014-C04, Class 1M2                                                        | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     621040 | PA      | $645105.65     | 0.07%             | 2024-11-25      | Floating      | 9.41%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                 | UMBS, Single Family, 30 Year                                                            | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -30026526 | PA      | $-30501845.91  | -3.39%            | 2053-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2374818 | PA      | $2329571.55    | 0.26%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                           | Connecticut Avenue Securities Trust, Series 2020-R02, Class 2M2                         | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2069777 | PA      | $2059428.56    | 0.23%             | 2040-01-25      | Floating      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                 | UMBS, Single Family, 30 Year                                                            | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -111850449 | PA      | $-107957494.12 | -12.01%           | 2053-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140N7ZL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6192219 | PA      | $6301085.19    | 0.70%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                  | Upstart Securitization Trust, Series 2020-3, Class B                                    | CUSIP: 91680EAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     815670 | PA      | $811837.99     | 0.09%             | 2030-11-20      | Fixed         | 3.01%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13442753 | PA      | $12816288.48   | 1.43%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                | FHLMC Structured Agency Credit Risk Debt Notes, Series 2022-HQA2, Class M1A             | CUSIP: 35564KB24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     332823 | PA      | $336217.28     | 0.04%             | 2042-07-25      | Floating      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3131Y8MN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31430 | PA      | $31935.05      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                   | Extended Stay America Trust, Series 2021-ESH, Class D                                   | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2928577 | PA      | $2849451.88    | 0.32%             | 2038-07-15      | Floating      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2007-59, Class FA                                                          | CUSIP: 38375LPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34878 | PA      | $34151.63      | 0.00%             | 2037-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 3843, Class FE                                                     | CUSIP: 3137A9HT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     215495 | PA      | $213424.64     | 0.02%             | 2041-04-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                  | American Credit Acceptance Receivables Trust, Series 2022-3, Class A                    | CUSIP: 02528GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2585693 | PA      | $2568435.22    | 0.29%             | 2026-02-13      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                       | FHLMC STACR REMIC Trust, Series 2020-DNA3, Class B1                                     | CUSIP: 35565WBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1784193 | PA      | $1873612.35    | 0.21%             | 2050-06-25      | Floating      | 9.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MNNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1302291 | PA      | $1230315.85    | 0.14%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | U.S. Treasury Ultra Bonds                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        113 | NC      | $631704.73     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132ACSS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2471312 | PA      | $2320186.95    | 0.26%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2043174 | PA      | $2004246.85    | 0.22%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MJ6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4504864 | PA      | $4139282.28    | 0.46%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QPQ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3367042 | PA      | $3201597.64    | 0.36%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2521946 | PA      | $2473897.59    | 0.28%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132DNSD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4701311 | PA      | $4713369.44    | 0.52%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596186 | PA      | $568216.69     | 0.06%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Other                                                                             | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1717618 | PA      | $1584271.61    | 0.18%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133B9MB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3141714 | PA      | $2968123.87    | 0.33%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140Q9ED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1845255 | PA      | $1849983.87    | 0.21%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                 | UMBS, Single Family, 30 Year                                                            | CUSIP: 01F042624<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -168232382 | PA      | $-166135197.13 | -18.48%           | 2053-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Other                                                                             | CUSIP: 31418ATD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99705 | PA      | $93365.29      | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, 30 Year                                                                        | CUSIP: 3617J6W91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10218 | PA      | $10381.29      | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 31346YWK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     351905 | PA      | $352653.21     | 0.04%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Other                                                                          | CUSIP: 36179UMA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179673 | PA      | $175202.73     | 0.02%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1572125 | PA      | $1484941.67    | 0.17%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 15 Year                                                                           | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     911327 | PA      | $857542.64     | 0.10%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                       | Lendingpoint Asset Securitization Trust, Series 2021-A, Class B                         | CUSIP: 52607FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6333802 | PA      | $6280124.79    | 0.70%             | 2028-12-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3138WTUT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1527187 | PA      | $1430079.00    | 0.16%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1660378 | PA      | $1629296.63    | 0.18%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Series 2015-C02, Class 1M2                                                        | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    5635469 | PA      | $5748178.48    | 0.64%             | 2025-05-25      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140X6NZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455677 | PA      | $435654.37     | 0.05%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREED ABS Trust                                               | FREED ABS Trust, Series 2021-2, Class B                                                 | CUSIP: 35635CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      81518 | PA      | $81329.12      | 0.01%             | 2028-06-19      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133BPV54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7535285 | PA      | $7667673.70    | 0.85%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Other                                                                             | CUSIP: 31418ALK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199283 | PA      | $186678.90     | 0.02%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2020-98, Class AI                                                   | CUSIP: 3136BDLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24106135 | PA      | $4421699.20    | 0.49%             | 2061-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     264093 | PA      | $264654.94     | 0.03%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132ACLS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     546070 | PA      | $526694.51     | 0.06%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207155 | PA      | $194052.78     | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     730565 | PA      | $722677.31     | 0.08%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                 | UMBS, Single Family, 15 Year                                                            | CUSIP: 01F032427<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   39895329 | PA      | $38926431.04   | 4.33%             | 2038-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Other                                                                             | CUSIP: 3138W7HB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     431957 | PA      | $404490.81     | 0.05%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 15 Year                                                                           | CUSIP: 3138WJDM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17189 | PA      | $16325.19      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                           | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M1                         | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9844901 | PA      | $9738969.90    | 1.08%             | 2042-01-25      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Single Family, 30 Year                                                         | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   54920876 | PA      | $50478820.63   | 5.62%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, Other                                                                             | CUSIP: 31417GJ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181457 | PA      | $169918.70     | 0.02%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2646007 | PA      | $2595594.18    | 0.29%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 31334YMG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124650 | PA      | $114677.74     | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 3380, Class FM                                                     | CUSIP: 31397KTJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65768 | PA      | $65045.98      | 0.01%             | 2037-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 2426, Class FL                                                     | CUSIP: 31339W7G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34049 | PA      | $34044.13      | 0.00%             | 2032-03-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133A3FP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     412346 | PA      | $388535.35     | 0.04%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XJTC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5442673 | PA      | $5622629.95    | 0.63%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140N4PF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16134778 | PA      | $16579422.75   | 1.84%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2008-16, Class FC                                                          | CUSIP: 383742FU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28424 | PA      | $28203.30      | 0.00%             | 2038-02-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132DNP49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5080155 | PA      | $4912273.14    | 0.55%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163217 | PA      | $163564.66     | 0.02%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140X6ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459431 | PA      | $452679.43     | 0.05%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                      | PRPM LLC, Series 2021-RPL2, Class A3                                                    | CUSIP: 69357QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2088580.52    | 0.23%             | 2051-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Pawneee Equipment Receivables LLC                             | Pawneee Equipment Receivables LLC, Series 2022-1, Class A1                              | CUSIP: 70410DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     432359 | PA      | $432070.69     | 0.05%             | 2023-08-15      | Fixed         | 3.81%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2013-130, Class FN                                                  | CUSIP: 3136AHG53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139034 | PA      | $136776.03     | 0.02%             | 2042-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133B7FX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1827897 | PA      | $1680213.41    | 0.19%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3131Y3DA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1229613 | PA      | $1206186.53    | 0.13%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140XHCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5532708 | PA      | $5266008.47    | 0.59%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MUUU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1986024 | PA      | $1919137.25    | 0.21%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Single Family, 30 Year                                                         | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   85500000 | PA      | $86063445.00   | 9.58%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15375862 | PA      | $15415298.94   | 1.72%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, 30 Year                                                                        | CUSIP: 3617GDT77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     311033 | PA      | $310632.26     | 0.03%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132DV3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1670897 | PA      | $1634430.03    | 0.18%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                 | UMBS, Single Family, 15 Year                                                            | CUSIP: 01F040420<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   36067500 | PA      | $35835982.72   | 3.99%             | 2038-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Trust                                          | Pagaya AI Debt Trust, Series 2022-1, Class A                                            | CUSIP: 69546MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1382547 | PA      | $1336666.77    | 0.15%             | 2029-10-15      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Point Securitization Trust                                    | Point Securitization Trust, Series 2021-1, Class A1                                     | CUSIP: 73090AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2061350 | PA      | $1950574.38    | 0.22%             | 2052-02-25      | Variable      | 3.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MYAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7605690 | PA      | $7815289.09    | 0.87%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238094 | PA      | $238600.48     | 0.03%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                     | CIM Trust, Series 2021-NR1, Class A1                                                    | CUSIP: 12565YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1303024 | PA      | $1233502.87    | 0.14%             | 2055-07-25      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2005-83, Class KT                                                   | CUSIP: 31394FUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24513 | PA      | $24206.34      | 0.00%             | 2035-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237694 | PA      | $221936.36     | 0.02%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1538898 | PA      | $1542170.24    | 0.17%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MSF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1244944 | PA      | $1203015.54    | 0.13%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                       | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M1A                                    | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2147280 | PA      | $2129394.86    | 0.24%             | 2042-02-25      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                 | UMBS, Single Family, 15 Year                                                            | CUSIP: 01F030421<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11027503 | PA      | $10573103.71   | 1.18%             | 2038-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133BGQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5440400 | PA      | $5384398.03    | 0.60%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14840865 | PA      | $15150757.50   | 1.69%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                | FHLMC Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class M2              | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   13990000 | PA      | $14042964.18   | 1.56%             | 2033-08-25      | Floating      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2012-100, Class FG                                                  | CUSIP: 3136A8QW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10482 | PA      | $10304.71      | 0.00%             | 2042-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                  | Upstart Securitization Trust, Series 2021-5, Class A                                    | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2840733 | PA      | $2760447.07    | 0.31%             | 2031-11-20      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                       | FHLMC STACR REMIC Trust, Series 2022-DNA6, Class M1A                                    | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2307813 | PA      | $2324078.99    | 0.26%             | 2042-09-25      | Floating      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                           | CDI                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   36450000 | PA      | $-636597.61    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, 30 Year                                                                        | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1297414 | PA      | $1304862.83    | 0.15%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133BGBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4463119 | PA      | $4312797.04    | 0.48%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US Auto Funding                                               | US Auto Funding, Series 2021-1A, Class C                                                | CUSIP: 90355EAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $6761747.58    | 0.75%             | 2026-05-15      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1322855 | PA      | $1325667.70    | 0.15%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3138WGR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1887147 | PA      | $1753499.26    | 0.20%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140QCEU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     548620 | PA      | $515788.15     | 0.06%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2007-18, Class FD                                                          | CUSIP: 38375JC86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10329 | PA      | $10155.41      | 0.00%             | 2037-04-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     598274 | PA      | $591815.30     | 0.07%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209653 | PA      | $207389.90     | 0.02%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                         | FHLMC, REMIC, Series 2469, Class FE                                                     | CUSIP: 31392RC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17999 | PA      | $18097.00      | 0.00%             | 2032-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 31418DSK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4847270 | PA      | $4450385.03    | 0.50%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                        | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A                       | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4716007 | PA      | $4351226.54    | 0.48%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3138WJTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394966 | PA      | $366994.18     | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA II, Single Family, 30 Year                                                         | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     293470 | PA      | $288513.52     | 0.03%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2010-133, Class FD                                                         | CUSIP: 38377MHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44129 | PA      | $43717.27      | 0.00%             | 2040-10-16      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                        | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A                       | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1577257 | PA      | $1445337.68    | 0.16%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     907505 | PA      | $857080.32     | 0.10%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133BPL22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148046 | PA      | $150647.22     | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140K8U25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2682605 | PA      | $2487050.92    | 0.28%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2005-65, Class FA                                                          | CUSIP: 38374LL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30705 | PA      | $30046.32      | 0.00%             | 2035-08-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | U.S. Treasury 10 Year Ultra Bonds                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        124 | NC      | $178101.20     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                          | FNMA, REMIC, Series 2012-126, Class SY                                                  | CUSIP: 3136A9ZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     473554 | PA      | $279004.27     | 0.03%             | 2042-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173028 | PA      | $173395.84     | 0.02%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3131YDFA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     480006 | PA      | $468850.56     | 0.05%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 15 Year                                                                           | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92858 | PA      | $89766.13      | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                           | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M1                         | CUSIP: 20753YCH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1384344 | PA      | $1387132.23    | 0.15%             | 2042-03-25      | Floating      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214328 | PA      | $210245.06     | 0.02%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 15 Year                                                                           | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72118 | PA      | $69503.25      | 0.01%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                          | GNMA, Series 2004-69, Class CF                                                          | CUSIP: 38374JAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42328 | PA      | $41864.89      | 0.00%             | 2034-07-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                       | Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class B                         | CUSIP: 80290CAX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10938734 | PA      | $10889647.30   | 1.21%             | 2032-08-16      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                    | UMBS, 30 Year                                                                           | CUSIP: 3133BJNQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8933420 | PA      | $9073418.15    | 1.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                 | UMBS, Single Family, 30 Year                                                            | CUSIP: 01F032625<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -87243599 | PA      | $-81877855.93  | -9.11%            | 2053-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                          | UMBS, 30 Year                                                                           | CUSIP: 3140MAYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3254865 | PA      | $3088695.89    | 0.34%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-02

**Name of Applicant:** Janus Detroit Street Trust

**Signature:** Jesper Nergaard

**Name of Signer:** Jesper Nergaard

**Title:** VP, CFO, Treasurer, and Principal Accounting Officer