# EDGAR Filing Document

**Accession Number:** 0001500604
**File Stem:** 0001752724-23-067662
**Filing Date:** 2023-3
**Character Count:** 141142
**Document Hash:** 00de7c16d10320215b742d14fe67bad6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-067662.hdr.sgml**: 20230327

**ACCESSION NUMBER**: 0001752724-23-067662

**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:** 23763793

**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 Sustainable & Impact Core Bond ETF (Series ID: S000073435)

| Class ID   | Class Name                                         | Ticker Symbol   |
|:---|:---|:---|
| C000230328 | Janus Henderson Sustainable & Impact Core Bond ETF | JIB             |

## Nport-Ex

# **Janus Henderson Sustainable & Impact Core Bond ETF**

# **Schedule of Investments (unaudited)**

**January 31, 2023**

|  | Shares/ Principal Amounts | Value |
| --- | --- | --- |
| Asset-Banked Securities - 12.3% |  |  |
| ACM Auto Trust, 12.000%, 40.00% (2008) | $26,250 | $20,200 |
| AT&H Asset Reconciliation Trust, 0.000%, 10.00% (2008) | 84,500 | 80,000 |
| Alleged Data Centers Asset LLC, 1.000%, 80.00% (2008) | 600,000 | 602,000 |
| Asso Finance Trust, 1.000%, 73.70% (2008) | 219,000 | 205,000 |
| Carolina Auto Receivables Trust, 0.000%, 20.00% | 18,000 | 18,000 |
| CF Heparipin Asset LLC, 1.000%, 8.50% (2008) | 608,000 | 600,000 |

1

# **Janus Henderson Sustainable & Impact Core Bond ETF**

# **Schedule of Investments (unaudited)**

**January 31, 2023**

| PREED AOS Total, 1,000th, 110,000 (1MM) | Change Principal (1MM) | Value |
| --- | --- | --- |
| Corporate Funds - (Unsecured) |  |  |
| 1. 2023/04/01 1,000,000 Equity Shareholders' Equity, 1,000th, 110,000 (1MM) | 1,000,000 |  |
| 2. 2023/04/01 1,000,000 Equity Shareholders' Equity, 1,000th, 110,000 (1MM) | 1,000,000 | $275,942 |
| 3. 2023/04/01 1,000,000 Equity Shareholders' Equity, 1,000th, 110,000 (1MM) | 1,000,000 | 220,708 |
| 4. 2023/04/01 1,000,000 Equity Shareholders' Equity, 1,000th, 110,000 (1MM) | 1,000,000 | 180,000 |
| 5. 2023/04/01 1,000,000 Equity Shareholders' Equity, 1,000th, 110,000 (1MM) | 1,000,000 | 180,000 |
| 6. 2023/04/01 1,000,000 Equity Shareholders' Equity, 1,000th, 110,000 (1MM) | 1,000,000 | 180,000 |
| 7. 2023/04/01 1,000,000 Equity Shareholders' Equity, 1,000th, 110,000 (1MM) | 1,000,000 | 180,000 |
| 8. 2023/04/01 1,000,000 Equity Shareholders' Equity, 1,000th, 110,000 (1MM) | 1,000,000 | 180,000 |

1

# Janus Henderson Sustainable & Impact Core Bond ETF

Schedule of Investments (unaudited)

January 31, 2023

# Janus Henderson Sustainable & Impact Core Bond ETF

Schedule of Investments (unaudited)

January 31, 2023[{"box_2d": [25, 71, 450, 130], "label": "table", "caption": "

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<table

# Janus Henderson Sustainable & Impact Core Bond ETF

Schedule of Investments (unaudited)

January 31, 2023

| VARIABLE + £ (000)% - 0.0125% - 0.0150% (1/31/23) |  | Shares | Total |
| --- | --- | --- | --- |
| Mortgage-Related Securities (continued) |  | Principal Amount |  |
| Debt | 1,000,000 | 1,000,000 |  |
| Debt | 1,000,000 | 1,000,000 |  |
| Debt | 1,000,000 | 1,000,000 |  |
| Debt | 1,000,000 | 1,000,000 |  |
| Debt | 1,000,000 | 1,000,000 |  |
| Debt | 1,000,000 | 1,000,000 |  |
| Debt | 1,000,000 |  |  |
| Debt | 1,000,000 |  |  |
| Debt | 1,000,000 |  |  |
| Debt | 1,000,000 |  |  |
| Debt | 1,000,000 |  |  |
| Debt | 1,000,000 |  |  |
| Debt | 1,000,000 |  |  |

# Janus Henderson Sustainable & Impact Core Bond ETF

Schedule of Investments (continued)

January 31, 2023

| ASSETS | Change | Value |
| --- | --- | --- |
| Janus Henderson Sustainable & Impact Core Bond ETF (1448) | 1,000,000 |  |
| Janus Henderson Sustainable & Impact Core Bond ETF (1448) | 1,000,000 |  |
| Janus Henderson Sustainable & Impact Core Bond ETF (1448) | 1,000,000 | 520,000 |
| Janus Henderson Sustainable & Impact Core Bond ETF (1448) | 1,000,000 |  |
| Janus Henderson Sustainable & Impact Core Bond ETF (1448) | 1,000,000 |  |
| Janus Henderson Sustainable & Impact Core Bond ETF (1448) | 1,000,000 | 388,275 |
| Janus Henderson Sustainable & Impact Core Bond ETF (1448) | 1,000,000 |  |
| Janus Henderson Sustainable & Impact Core Bond ETF (1448) | 1,000,000 | 188,000 |
| Janus Henderson Sustainable & Impact Core Bond ETF (1448) | 1,000,000 | 90,000 |

2

# Janus Henderson Sustainable & Impact Core Bond ETF

Schedule of Investments (unaudited)

January 31, 2023

| 2023 | 2022 | 2021 |
| --- | --- | --- |
| 2022 | 2021 | 2020 |
| 2021 | 2020 | 2019 |
| 2020 | 2019 | 2018 |
| 2019 | 2018 | 2017 |
| 2018 | 2017 | 2016 |
| 2017 | 2016 | 2015 |
| 2016 | 2015 | 2014 |
| 2015 | 2014 | 2013 |
| 2014 | 2013 | 2012 |
| 2013 | 2012 | 2011 |
| 2012 | 2011 | 2010 |
| 2011 | 2010 | 2009 |
| 2010 | 2009 | 2008 |
| 2009 | 2008 | 2007 |
| 2008 | 2007 | 2006 |
| 2007 | 2006 | 2005 |
| 2006 | 2005 | 2004 |
| 2005 | 2004 | 2003 |
| 2004 | 2003 | 2002 |
| 2003 | 2002 | 2001 |
| 2002 | 2001 | 2000 |

1

# Janus Henderson Sustainable & Impact Core Bond ETF

Schedule of Investments (unaudited)

January 31, 2023

| Total Schedule of Investments (Unaudited) | 2,449,808 | 1,866,000 |
| --- | --- | --- |
| Proposed Schedule of Investments During the Period Ended January 31, 2023 | 2,449,808 | 1,866,000 |
| Proposed Schedule of Investments During the Period Ended January 31, 2023 | 2,449,808 | 1,866,000 |
| Proposed Schedule of Investments During the Period Ended January 31, 2023 | 2,449,808 | 1,866,000 |
| Proposed Schedule of Investments During the Period Ended January 31, 2023 | 2,449,808 | 1,866,000 |

1

# Janus Henderson Sustainable & Impact Core Bond ETF

Notes to Schedule of Investments and Other Information (continued)

January 31, 2023

| Balance at December 31, 2023 | 2023 | 2022 |
| --- | --- | --- |
| Balance at December 31, 2022 | 2022 | 2021 |
| Balance at December 31, 2021 | 2021 | 2020 |
| Balance at December 31, 2020 | 2020 | 2019 |
| Balance at December 31, 2019 | 2019 | 2018 |
| Balance at December 31, 2018 | 2018 | 2017 |
| Balance at December 31, 2017 | 2016 | 2015 |
| Balance at December 31, 2016 | 2015 | 2014 |
| Balance at December 31, 2015 | 2014 | 2013 |
| Balance at December 31, 2014 | 2013 | 2012 |
| Balance at December 31, 2013 | 2012 | 2011 |
| Balance at December 31, 2012 | 2011 | 2010 |
| Balance at December 31, 2011 | 2010 | 2009 |
| Balance at December 31, 2010 | 2009 | 2008 |
| Balance at December 31, 2009 | 2008 | 2007 |
| Balance at December 31, 2008 | 2007 | 2006 |
| Balance at December 31, 2007 | 2006 | 2005 |
| Balance at December 31, 2006 | 2005 | 2004 |
| Balance at December 31, 2005 | 2004 | 2003 |
| Balance at December 31, 2004 | 2003 | 2002 |
| Balance at December 31, 2003 | 2002 | 2001 |
| Balance at December 31, 2002 | 2001 | 2000 |
| Balance at December 31, 2001 | 2000 | 1999 |

9

# Janus Henderson Sustainable & Impact Core Bond ETF

Notes to Schedule of Investments and Other Information (cancelled)

January 31, 2023

| Janus Henderson Cash Liability Fund (JCC) - $ | 17,515.8 | 101.8 | 207.8 | 1,000,000 |
| --- | --- | --- | --- | --- |
| Janus Henderson's 2023 Annual Report of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) | Market Value | 19,211.1 | 1,000,000 | 1,000,000 |
| Janus Henderson's 2023 Annual Report of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) | 17,515.8 | 101.8 | 207.8 | 1,000,000 |
| Janus Henderson's 2023 Annual Report of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) of the Financial Statements and Financial Statements (CFOA) | 17,515.8 | 101.8 | 207.8 | 1,000,000 |

---

18

## Investment Valuation

Investments in the United States are based on the results of the 2016 Annual Report on the Consolidated Financial Statements. The report is based on the results of the 2016 Annual Report on the Consolidated Financial Statements. The report is based on the results of the 2016 Annual Report on the Consolidated Financial Statements. The report is based on the results of the 2016 Annual Report on the Consolidated Financial Statements.

is a type of information when specific mortgage posts are assigned. 10 10001 10001 10001 10001 10001 10001 10001 10001 10001 10001 10001 10001 10001 10001 10001 10001 10001 10001 10001 10

The following table provides the information in a specific format: (1) The information is provided by the United States Department of Labor, which is not to be used in the case of the United States Department of Labor. The information is provided by the United States Department of Labor, which is not to be used in the case of the United States Department of Labor.

Liabilities company which is under common ownership or control

Leasehold the investment business in the market and the market is a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that is not a company that

In other European markets, brand names and logo brands indicate national and trade markets are limited to the competitive/alternative. In other countries, the market is limited to the competitive/alternative. In other countries, the market is limited to the competitive/alternative. In other countries, the market is limited to the competitive/alternative. In other countries, the market is limited to the competitive/alternative. In other countries, the market is limited to the competitive/alternative. In other countries, the market is limited to the competitive/alternative. In other countries, the market is limited to the competitive/alternative. In other countries, the market is limited to the competitive/alternative. In other countries, the market is limited to

for measuring fair value and expected values and 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 Sustainable & Impact Bond ETF

- **b. EDGAR series identifier (if any):** S000073435

- **c. LEI of Series:** 549300A51BG9IW17MM56

**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:** $53413073.65

**Total Liabilities:** $16791077.85

**Net Assets:** $36621995.80

**Delayed Delivery Securities:** $7514709.98

**Cash Not Reported:** $278950.17

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -53.10558815 | **1-Year:** -1734.77262365 | **5-Year:** -9681.75778685 | **10-Year:** -3879.27667395 | **30-Year:** -1006.89243923

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

- **3-Month:** -26.56075479 | **1-Year:** 34.32734696 | **5-Year:** -140.03037939 | **10-Year:** -312.32584252 | **30-Year:** -24.52507507

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000230328 | 3.46%                | -0.40%               | 3.48%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-284077.18              | $1184756.05                                |
| Month 2  | $-111125.89              | $-91072.83                                 |
| Month 3  | $-100870.91              | $1056980.50                                |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays U.S. Aggregate Unhedged in USD

- **Index Identifier:** LEHM.MC.LEHM000001UUSD

### 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        |     41000 | PA      | $39433.61     | 0.11%             | 2046-08-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    523000 | PA      | $462773.28    | 1.26%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, Single Family, 30 Year                                                | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193300 | PA      | $187832.90    | 0.51%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, Single Family, 30 Year                                                | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    346154 | PA      | $319633.37    | 0.87%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2350 | PA      | $2324.49      | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MJ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32741 | PA      | $29978.89     | 0.08%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hasbro, Inc.                                        | Hasbro, Inc.                                                                   | CUSIP: 418056AZ0<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    178000 | PA      | $162706.49    | 0.44%             | 2029-11-19      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                       | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F030629<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1971468 | PA      | $-1789972.68  | -4.89%            | 2053-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, Single Family, 30 Year                                                | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1489266.00   | 4.07%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | FHLMC Gold Pools, Other                                                        | CUSIP: 3131Y6VU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1044 | PA      | $977.20       | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hasbro, Inc.                                        | Hasbro, Inc.                                                                   | CUSIP: 418056AU1<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    128000 | PA      | $114188.03    | 0.31%             | 2044-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                             | JPMorgan Mortgage Trust, Series 2020-8, Class A11                              | CUSIP: 46652TBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212906 | PA      | $198606.28    | 0.54%             | 2051-03-25      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77813 | PA      | $76114.76     | 0.21%             | 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        |     37211 | PA      | $36782.78     | 0.10%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                        | VMware, Inc.                                                                   | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     46000 | PA      | $44598.35     | 0.12%             | 2030-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                     | AES Corp. (The)                                                                | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     80000 | PA      | $66140.51     | 0.18%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| LL ABS Trust                                        | LL ABS Trust, Series 2022-1A, Class A                                          | CUSIP: 50203YAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109640 | PA      | $107285.78    | 0.29%             | 2029-11-15      | Fixed         | 3.76%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | FNMA, Other                                                                    | CUSIP: 31418ARE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122157 | PA      | $114389.32    | 0.31%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140HPR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6914 | PA      | $6824.04      | 0.02%             | 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        |     33232 | PA      | $31394.90     | 0.09%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                            | Angel Oak Mortgage Trust, Series 2020-2, Class A2                              | CUSIP: 03464XAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24479 | PA      | $23105.37     | 0.06%             | 2065-01-26      | Variable      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                 | U.S. Treasury 10 Year Notes                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -10 | NC      | $2782.98      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                             | FHLMC STACR REMIC Trust, Series 2019-HQA4, Class B1                            | CUSIP: 35565CBD7<br>LEI: 5493005LAQ76UDHPEE03 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $246547.13    | 0.67%             | 2049-11-25      | Floating      | 7.46%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                          | FHLMC Gold Pools, Other                                                        | CUSIP: 31329L6U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55385 | PA      | $53432.30     | 0.15%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XJLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490091 | PA      | $450247.97    | 1.23%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | FNMA, Other                                                                    | CUSIP: 3140JAPW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246719 | PA      | $231114.81    | 0.63%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35377 | PA      | $36351.51     | 0.10%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| S&P Global, Inc.                                    | S&P Global, Inc.                                                               | CUSIP: 78409VBD5<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     60000 | PA      | $50621.37     | 0.14%             | 2052-03-01      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140QPYX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26881 | PA      | $25492.16     | 0.07%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                      | Morgan Stanley                                                                 | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     45000 | PA      | $45501.50     | 0.12%             | 2029-02-01      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| RPM International, Inc.                             | RPM International, Inc.                                                        | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |    314000 | PA      | $258645.99    | 0.71%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, Single Family, 30 Year                                                | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183400 | PA      | $163651.85    | 0.45%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Xylem, Inc.                                         | Xylem, Inc.                                                                    | CUSIP: 98419MAK6<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43634.00     | 0.12%             | 2046-11-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Illumina, Inc.                                      | Illumina, Inc.                                                                 | CUSIP: 452327AM1<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |     87000 | PA      | $72113.17     | 0.20%             | 2031-03-23      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                 | Connecticut Avenue Securities Trust, Series 2019-R02, Class 1B1                | CUSIP: 20753KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $501265.22    | 1.37%             | 2031-08-25      | Floating      | 8.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36016 | PA      | $35330.02     | 0.10%             | 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        |     30000 | PA      | $29028.82     | 0.08%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                 | CDI                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   2000000 | PA      | $-158275.96   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3132DNSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6771 | PA      | $6622.90      | 0.02%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                       | Equinix, Inc.                                                                  | CUSIP: 29444UBL9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    122000 | PA      | $103923.76    | 0.28%             | 2028-03-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140QQZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32012 | PA      | $31855.38     | 0.09%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     25000 | PA      | $18998.05     | 0.05%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                   | Xcel Energy, Inc.                                                              | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     74000 | PA      | $73269.34     | 0.20%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                       | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    464717 | PA      | $436135.51    | 1.19%             | 2053-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1697000 | PA      | $1660541.01   | 4.53%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45299 | PA      | $45414.98     | 0.12%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4422 | PA      | $4177.09      | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3435 | PA      | $3369.85      | 0.01%             | 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        |     21556 | PA      | $20830.45     | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                | JPMorgan Chase & Co., Series HH                                                | CUSIP: 48128BAG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    114000 | PA      | $107160.00    | 0.29%             | 2025-02-01      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140QQD69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727929 | PA      | $734133.38    | 2.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp.                                 | Regal Rexnord Corp.                                                            | CUSIP: 758750AE3<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |     33000 | PA      | $33648.88     | 0.09%             | 2030-02-15      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2133 | PA      | $2110.42      | 0.01%             | 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        |      9950 | PA      | $9458.17      | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1496700 | PA      | $1574575.17   | 4.30%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                            | UnitedHealth Group, Inc.                                                       | CUSIP: 91324PEG3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     88000 | PA      | $86532.93     | 0.24%             | 2027-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MSCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27307 | PA      | $27025.94     | 0.07%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133B4H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11985 | PA      | $10981.00     | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    520000 | PA      | $520000.00    | 1.42%             | 2024-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XHVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137145 | PA      | $130101.18    | 0.36%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp.                                 | Regal Rexnord Corp.                                                            | CUSIP: 758750AF0<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |     22000 | PA      | $22557.16     | 0.06%             | 2033-04-15      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corp.                              | Truist Financial Corp.                                                         | CUSIP: 89788MAL6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     36000 | PA      | $36203.45     | 0.10%             | 2029-01-26      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                        | Oracle Corp.                                                                   | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     64000 | PA      | $49744.15     | 0.14%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                        | Marriott International, Inc., Series GG                                        | CUSIP: 571903BF9<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     85000 | PA      | $75102.19     | 0.21%             | 2032-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oasis Securitization Funding LLC                    | Oasis Securitization Funding LLC, Series 2021-2A, Class A                      | CUSIP: 67422CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103388 | PA      | $101077.06    | 0.28%             | 2033-10-15      | Fixed         | 2.14%                 | Yes           |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                            | UnitedHealth Group, Inc.                                                       | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     88000 | PA      | $86745.51     | 0.24%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)            | PNC Financial Services Group, Inc. (The)                                       | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    127000 | PA      | $137259.82    | 0.37%             | 2033-10-28      | Variable      | 6.04%                 | 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        |     56394 | PA      | $55916.66     | 0.15%             | 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        |     20230 | PA      | $20196.46     | 0.06%             | 2029-04-20      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                                         | SREIT Trust, Series 2021-MFP, Class A                                          | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179000 | PA      | $174522.34    | 0.48%             | 2038-11-15      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Rithm Capital Corp.                                 | Rithm Capital Corp., Series D                                                  | CUSIP: 64828T706<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EP               | CORP              | US        |      3000 | NS      | $63480.00     | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Sunrun Demeter Issuer LLC                           | Sunrun Demeter Issuer LLC, Series 2021-2A, Class A                             | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234732 | PA      | $192989.21    | 0.53%             | 2057-01-30      | Fixed         | 2.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | FNMA, Other                                                                    | CUSIP: 3140FXG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174933 | PA      | $161222.55    | 0.44%             | 2057-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MNP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18304 | PA      | $17289.86     | 0.05%             | 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        |     36000 | PA      | $34834.58     | 0.10%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Humana, Inc.                                        | Humana, Inc.                                                                   | CUSIP: 444859BK7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     51000 | PA      | $46008.15     | 0.13%             | 2029-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                      | Southern California Edison Co.                                                 | CUSIP: 842400HT3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    120000 | PA      | $130621.24    | 0.36%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187029 | PA      | $182946.77    | 0.50%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2721 | PA      | $2726.79      | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                             | Mosaic Solar Loan Trust, Series 2021-3A, Class B                               | CUSIP: 61946TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400665 | PA      | $317411.27    | 0.87%             | 2052-06-20      | Fixed         | 1.92%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140QQVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70051 | PA      | $70263.37     | 0.19%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140QPX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103524 | PA      | $102457.77    | 0.28%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREED ABS Trust                                     | FREED ABS Trust, Series 2021-3FP, Class B                                      | CUSIP: 30322MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103261 | PA      | $102424.50    | 0.28%             | 2028-11-20      | Fixed         | 1.01%                 | Yes           |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    714000 | PA      | $737874.38    | 2.01%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.               | Alexandria Real Estate Equities, Inc.                                          | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    146000 | PA      | $116407.78    | 0.32%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                       | UMBS, Single Family, 15 Year                                                   | CUSIP: 01F020422<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    356690 | PA      | $324500.15    | 0.89%             | 2038-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                      | Morgan Stanley                                                                 | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    214000 | PA      | $182760.59    | 0.50%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5409 | PA      | $5108.49      | 0.01%             | 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        |      1765 | PA      | $1730.99      | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | FNMA, Other                                                                    | CUSIP: 3140FXEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43174 | PA      | $41487.50     | 0.11%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140QQL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291690 | PA      | $301334.46    | 0.82%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3132DNFY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17493 | PA      | $16605.81     | 0.05%             | 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        |     26397 | PA      | $25820.71     | 0.07%             | 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        |      4098 | PA      | $4053.96      | 0.01%             | 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        |     72848 | PA      | $71777.55     | 0.20%             | 2050-10-01      | Fixed         | 4.00%                 | 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        |     71558 | PA      | $69046.40     | 0.19%             | 2027-05-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CCX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2129000 | PA      | $1996602.81   | 5.45%             | 2024-09-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7461 | PA      | $7476.52      | 0.02%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                      | Morgan Stanley                                                                 | CUSIP: 61761JZN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    145000 | PA      | $140164.10    | 0.38%             | 2027-04-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Sun Communities Operating LP                        | Sun Communities Operating LP                                                   | CUSIP: 866677AJ6<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    107000 | PA      | $108887.38    | 0.30%             | 2033-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1715100 | PA      | $1734528.86   | 4.74%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Broadcom Corp.                                      | Broadcom Corp.                                                                 | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     86000 | PA      | $82864.76     | 0.23%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140QNPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65729 | PA      | $62414.12     | 0.17%             | 2052-03-01      | Fixed         | 3.50%                 | 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        |    412825 | PA      | $408026.04    | 1.11%             | 2041-12-25      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3132DNQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220061 | PA      | $208761.43    | 0.57%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                             | CF Hippolyta Issuer LLC, Series 2021-1A, Class B1                              | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    549422 | PA      | $455037.51    | 1.24%             | 2061-03-15      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                            | Ajax Mortgage Loan Trust, Series 2020-D, Class A                               | CUSIP: 00970CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75979 | PA      | $72764.64     | 0.20%             | 2060-06-25      | Variable      | 2.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133KPUD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98333 | PA      | $97420.52     | 0.27%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                            | Lloyds Banking Group plc                                                       | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    201000 | PA      | $178622.78    | 0.49%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MHTA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45459 | PA      | $41637.08     | 0.11%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, Single Family, 30 Year                                                | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230577 | PA      | $218207.93    | 0.60%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133KPUC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229916 | PA      | $227549.40    | 0.62%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XDEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13730 | PA      | $13468.25     | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XGZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27268 | PA      | $26666.77     | 0.07%             | 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        |     66385 | PA      | $65517.32     | 0.18%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133B4H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9068 | PA      | $8338.32      | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                               | Bank of America Corp., Series U                                                | CUSIP: 060505ED2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    185000 | PA      | $183182.27    | 0.50%             | 2023-06-01      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Solutions Trust           | GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class A            | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    833912 | PA      | $666163.99    | 1.82%             | 2048-05-20      | Fixed         | 2.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1012 | PA      | $1000.58      | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XHZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3630 | PA      | $3551.02      | 0.01%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Jersey Mike's Funding                               | Jersey Mike's Funding, Series 2019-1A, Class A2                                | CUSIP: 476681AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124062 | PA      | $118506.78    | 0.32%             | 2050-02-15      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                        | BX Commercial Mortgage Trust, Series 2021-VOLT, Class D                        | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $239668.16    | 0.65%             | 2036-09-15      | Floating      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140QNLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219237 | PA      | $194072.14    | 0.53%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XHLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116189 | PA      | $110965.21    | 0.30%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18830 | PA      | $17783.09     | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                       | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    575863 | PA      | $555820.09    | 1.52%             | 2053-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                | Boston Properties LP                                                           | CUSIP: 10112RBE3<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    163000 | PA      | $128662.32    | 0.35%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    114000 | PA      | $114347.34    | 0.31%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36940 | PA      | $37035.16     | 0.10%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| S&P Global, Inc.                                    | S&P Global, Inc.                                                               | CUSIP: 78409VBB9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     82000 | PA      | $74322.32     | 0.20%             | 2029-03-01      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3132DPCD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    778272 | PA      | $803999.96    | 2.20%             | 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        |     45453 | PA      | $44587.01     | 0.12%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LLC                     | Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2                      | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $442522.16    | 1.21%             | 2046-08-15      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, Single Family, 30 Year                                                | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81222 | PA      | $75021.48     | 0.20%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                        | BX Commercial Mortgage Trust, Series 2021-VOLT, Class A                        | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $975447.12    | 2.66%             | 2036-09-15      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                               | Bank of America Corp.                                                          | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     80000 | PA      | $66147.75     | 0.18%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                      | Carvana Auto Receivables Trust, Series 2021-P4, Class A2                       | CUSIP: 14687KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19240 | PA      | $19016.46     | 0.05%             | 2025-04-10      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| Sun Communities Operating LP                        | Sun Communities Operating LP                                                   | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |     94000 | PA      | $77388.50     | 0.21%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1201 | PA      | $1186.27      | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | 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        |    145124 | PA      | $145590.54    | 0.40%             | 2042-03-25      | Floating      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                               | Bank of America Corp.                                                          | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    250000 | PA      | $213194.51    | 0.58%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                  | Tricolor Auto Securitization Trust, Series 2022-1A, Class A                    | CUSIP: 89616BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93983 | PA      | $93209.60     | 0.25%             | 2025-02-18      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2816 | PA      | $2754.48      | 0.01%             | 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        |    832715 | NS      | $832881.55    | 2.27%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2166 | PA      | $2170.91      | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Bonds                                                            | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    135000 | PA      | $109212.89    | 0.30%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                      | Southern California Edison Co.                                                 | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     52000 | PA      | $54736.23     | 0.15%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                       | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1305338 | PA      | $-1326001.50  | -3.62%            | 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        |     21551 | PA      | $21140.86     | 0.06%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140N7ZL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51949 | PA      | $52862.14     | 0.14%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                      | JBS USA LUX SA                                                                 | CUSIP: 46590XAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    113000 | PA      | $89589.25     | 0.24%             | 2032-05-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57273 | PA      | $54604.25     | 0.15%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                           | HCA, Inc.                                                                      | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     80000 | PA      | $76041.92     | 0.21%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | FHLMC Gold Pools, Other                                                        | CUSIP: 3132ADJC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    503967 | PA      | $486084.82    | 1.33%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | FNMA, Other                                                                    | CUSIP: 31418CGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13380 | PA      | $12432.66     | 0.03%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                 | New Residential Mortgage Loan Trust, Series 2018-4A, Class A1M                 | CUSIP: 64828FCS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116521 | PA      | $113897.01    | 0.31%             | 2048-01-25      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | FNMA, Other                                                                    | CUSIP: 31418AUD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48157 | PA      | $47634.06     | 0.13%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                | JPMorgan Chase & Co.                                                           | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    171000 | PA      | $148351.34    | 0.41%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                           | HCA, Inc.                                                                      | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    264000 | PA      | $236630.56    | 0.65%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MNNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11312 | PA      | $10687.14     | 0.03%             | 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        |        16 | NC      | $63998.64     | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| GoodLeap Sustainable Home Solutions Trust           | GoodLeap Sustainable Home Solutions Trust, Series 2021-5CS, Class A            | CUSIP: 38237HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    214686 | PA      | $175063.24    | 0.48%             | 2048-10-20      | Fixed         | 2.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | FNMA, Other                                                                    | CUSIP: 3140FXJG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560387 | PA      | $516466.00    | 1.41%             | 2058-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18542 | PA      | $18188.52     | 0.05%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                             | Mosaic Solar Loan Trust, Series 2021-3A, Class A                               | CUSIP: 61946TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400665 | PA      | $330674.14    | 0.90%             | 2052-06-20      | Fixed         | 1.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MJ6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38330 | PA      | $35219.25     | 0.10%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22744 | PA      | $22310.39     | 0.06%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5505 | PA      | $5246.54      | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | U.S. Treasury 2 Year Notes                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        20 | NC      | $13731.00     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| NatWest Group plc                                   | NatWest Group plc                                                              | CUSIP: 639057AB4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    239000 | PA      | $190048.02    | 0.52%             | 2035-11-28      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                            | Ajax Mortgage Loan Trust, Series 2020-C, Class A                               | CUSIP: 00969HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18036 | PA      | $17485.23     | 0.05%             | 2060-09-27      | Variable      | 2.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140Q9ED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15396 | PA      | $15435.69     | 0.04%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                 | GS Mortgage-Backed Securities Trust, Series 2020-NQM1, Class A3                | CUSIP: 36259WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31279 | PA      | $28836.25     | 0.08%             | 2060-09-27      | Variable      | 2.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | FNMA, Other                                                                    | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99542 | PA      | $91740.07     | 0.25%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust             | Lendingpoint Asset Securitization Trust, Series 2021-B, Class A                | CUSIP: 52607HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13762 | PA      | $13694.58     | 0.04%             | 2029-02-15      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                       | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F042624<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2082156 | PA      | $-2056199.84  | -5.61%            | 2053-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XGFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128397 | PA      | $113523.91    | 0.31%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FactSet Research Systems, Inc.                      | FactSet Research Systems, Inc.                                                 | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |     60000 | PA      | $56031.39     | 0.15%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust                                 | CALI Mortgage Trust, Series 2019-101C, Class A                                 | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $222392.87    | 0.61%             | 2039-03-10      | Fixed         | 3.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6836 | PA      | $6456.55      | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | FNMA, Other                                                                    | CUSIP: 3138EQFX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5485 | PA      | $5567.68      | 0.02%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15068 | PA      | $14785.91     | 0.04%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Micron Technology, Inc.                             | Micron Technology, Inc.                                                        | CUSIP: 595112BN2<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70370.00     | 0.19%             | 2029-02-06      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                             | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M1A                           | CUSIP: 35564KTA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167498 | PA      | $167336.86    | 0.46%             | 2042-03-25      | Floating      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                 | U.S. Treasury Long Bonds                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        15 | NC      | $35256.18     | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Coca-Cola Femsa SAB de CV                           | Coca-Cola Femsa SAB de CV                                                      | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |    150000 | PA      | $119051.25    | 0.33%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                              | Tesla Auto Lease Trust, Series 2021-B, Class A2                                | CUSIP: 88161KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    828958 | PA      | $813253.66    | 2.22%             | 2025-09-22      | Fixed         | 0.36%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2203 | PA      | $2208.17      | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MKT Mortgage Trust                                  | MKT Mortgage Trust, Series 2020-525M, Class A                                  | CUSIP: 55316PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $80568.55     | 0.22%             | 2040-02-12      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                 | U.S. Treasury 10 Year Ultra Bonds                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -16 | NC      | $-14339.50    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| FREED ABS Trust                                     | FREED ABS Trust, Series 2022-2CP, Class A                                      | CUSIP: 35633LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51388 | PA      | $51129.62     | 0.14%             | 2029-05-18      | Fixed         | 3.03%                 | Yes           |                  2 | On Loan: No      |
| AbbVie, Inc.                                        | AbbVie, Inc.                                                                   | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     59000 | PA      | $54860.24     | 0.15%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6501 | PA      | $6430.71      | 0.02%             | 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        |    455414 | PA      | $444353.82    | 1.21%             | 2038-02-25      | Fixed         | 3.50%                 | 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        |    464244 | PA      | $459248.81    | 1.25%             | 2042-01-25      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                       | UMBS, Single Family, 15 Year                                                   | CUSIP: 01F022428<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    420646 | PA      | $393678.38    | 1.07%             | 2038-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                        | Marriott International, Inc., Series X                                         | CUSIP: 571903AY9<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48022.99     | 0.13%             | 2028-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                | GNMA II, Single Family, 30 Year                                                | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32516 | PA      | $29886.07     | 0.08%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                       | Equinix, Inc.                                                                  | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    108000 | PA      | $90251.47     | 0.25%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                        | Upstart Securitization Trust, Series 2021-4, Class A                           | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149760 | PA      | $146257.94    | 0.40%             | 2031-09-20      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                  | Aqua Finance Trust, Series 2021-A, Class A                                     | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    219041 | PA      | $201545.20    | 0.55%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23499 | PA      | $23051.53     | 0.06%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                            | COLT Mortgage Loan Trust, Series 2020-2, Class A1                              | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3561 | PA      | $3503.29      | 0.01%             | 2065-03-25      | Variable      | 1.85%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                | JPMorgan Chase & Co.                                                           | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    192000 | PA      | $164585.82    | 0.45%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 31418DB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37840 | PA      | $35960.71     | 0.10%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XJTC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247920 | PA      | $256117.58    | 0.70%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3131XL4H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       218 | PA      | $210.19       | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3132DNP49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23573 | PA      | $22793.82     | 0.06%             | 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        |      1362 | PA      | $1364.72      | 0.00%             | 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        |      4080 | PA      | $4020.04      | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133B7FX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17161 | PA      | $15774.63     | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                               | Bank of America Corp.                                                          | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    164000 | PA      | $133498.51    | 0.36%             | 2032-07-21      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XHCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23573 | PA      | $22436.55     | 0.06%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140XC3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14691 | PA      | $13961.62     | 0.04%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MUUU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9216 | PA      | $8905.19      | 0.02%             | 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        |   1810094 | PA      | $1822022.52   | 4.98%             | 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        |     68911 | PA      | $69087.36     | 0.19%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                | American Express Co.                                                           | CUSIP: 025816DB2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    259000 | PA      | $273942.14    | 0.75%             | 2027-11-05      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Trimble, Inc.                                       | Trimble, Inc.                                                                  | CUSIP: 896239AC4<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |    117000 | PA      | $115433.76    | 0.32%             | 2028-06-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | FNMA, Other                                                                    | CUSIP: 31417FPB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8818 | PA      | $8257.44      | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA-CACLN                        | JPMorgan Chase Bank NA-CACLN, Series 2021-3, Class C                           | CUSIP: 46591HCE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237260 | PA      | $224870.58    | 0.61%             | 2029-02-26      | Fixed         | 0.86%                 | Yes           |                  2 | On Loan: No      |
| CSL Finance plc                                     | CSL Finance plc                                                                | CUSIP: 12661PAC3<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |     89000 | PA      | $86858.11     | 0.24%             | 2032-04-27      | Fixed         | 4.25%                 | Yes           |                  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        |     66940 | PA      | $64718.77     | 0.18%             | 2029-10-15      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1987 | PA      | $1990.84      | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                               | FHLMC Gold Pools, Other                                                        | CUSIP: 3132H7F41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318592 | PA      | $307650.67    | 0.84%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                      | Morgan Stanley                                                                 | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     26000 | PA      | $26570.04     | 0.07%             | 2038-01-19      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| PACEWell 5 Trust                                    | PACEWell 5 Trust, Series 2021-1, Class A                                       | CUSIP: 69410PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246429 | PA      | $204142.85    | 0.56%             | 2059-10-10      | Fixed         | 2.63%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                   | Affirm Asset Securitization Trust, Series 2020-Z1, Class A                     | CUSIP: 00832PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89108 | PA      | $88349.47     | 0.24%             | 2024-10-15      | Fixed         | 3.46%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12840 | PA      | $12867.45     | 0.04%             | 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        |      5777 | PA      | $5582.32      | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3131XNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22020 | PA      | $21238.24     | 0.06%             | 2043-06-01      | Fixed         | 3.50%                 | 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        |    201169 | PA      | $199493.75    | 0.54%             | 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        |    547502 | PA      | $524941.63    | 1.43%             | 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        |     50234 | PA      | $49716.66     | 0.14%             | 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        |    131876 | PA      | $134630.07    | 0.37%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140QNLZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    594864 | PA      | $526333.31    | 1.44%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133BGBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20709 | PA      | $20011.67     | 0.05%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11038 | PA      | $11061.07     | 0.03%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust I LLC                      | Angel Oak Mortgage Trust I LLC, Series 2018-3, Class A1                        | CUSIP: 03464NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       304 | PA      | $303.97       | 0.00%             | 2048-09-25      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2021-NYAH, Class A | CUSIP: 46654EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $489170.85    | 1.34%             | 2038-06-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)            | PNC Financial Services Group, Inc. (The)                                       | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    103000 | PA      | $103895.78    | 0.28%             | 2034-01-24      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5324 | PA      | $5266.23      | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | FNMA, Other                                                                    | CUSIP: 31418AQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481435 | PA      | $450984.99    | 1.23%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1865 | PA      | $1845.31      | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                | Boston Properties LP                                                           | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    168000 | PA      | $161394.84    | 0.44%             | 2028-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                              | Truist Financial Corp.                                                         | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     34000 | PA      | $34455.59     | 0.09%             | 2034-01-26      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | FNMA, Other                                                                    | CUSIP: 3138ETLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    551480 | PA      | $516413.82    | 1.41%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SK Hynix, Inc.                                      | SK Hynix, Inc.                                                                 | CUSIP: 78392BAE7<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |    200000 | PA      | $203038.69    | 0.55%             | 2028-01-17      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3946 | PA      | $3727.06      | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                          | UMBS, 30 Year                                                                  | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1444 | PA      | $1446.82      | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                     | Citigroup, Inc.                                                                | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    139000 | PA      | $119071.99    | 0.33%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    460100 | PA      | $468367.42    | 1.28%             | 2029-11-30      | Fixed         | 3.88%                 | 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        |    121475 | PA      | $121719.85    | 0.33%             | 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        |      1945 | PA      | $1907.99      | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                | American Express Co.                                                           | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    225000 | PA      | $219758.14    | 0.60%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| United States of America                            | U.S. Treasury Notes                                                            | CUSIP: 91282CGH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    709000 | PA      | $705842.74    | 1.93%             | 2028-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                | UMBS, 30 Year                                                                  | CUSIP: 3140MAYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30162 | PA      | $28622.00     | 0.08%             | 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