# EDGAR Filing Document

**Accession Number:** 0001500604
**File Stem:** 0001752724-23-067666
**Filing Date:** 2023-3
**Character Count:** 74344
**Document Hash:** df9eccb1ae00568e272cbe2c982dd2ec
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-067666.hdr.sgml**: 20230327

**ACCESSION NUMBER**: 0001752724-23-067666

**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:** 23763794

**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 AAA CLO ETF (Series ID: S000069705)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000222294 | Janus Henderson AAA CLO ETF | JAAA            |

## Nport-Ex

# **Janus Henderson AAA CLOETF**

# **Schedule of Investments (unaudited)**

**January 31, 2023**

|  | Shares Principal Amount | Total |
| --- | --- | --- |
| Collaboration Loss Obligations - 98.9% |  |  |
| AB 90L CLO 2 Lst 2022-24 A, ICE LIBOR USD 3 Month + 1.200%, 5.8824%, 4.5234% (UAA) | $23,755,858 | $26,387,373 |
| AGL Core CLO 4 Lst 2026-44 A2P, ICE LIBOR USD 3 Month + 1.0780%, 5.8777%, 4.0003% (UAA) | 5,506,000 | 5,433,000 |
| Alleged CLO 1/4 Lst 2018-24 A, ICE LIBOR USD 3 Month + 1.200%, 5.8824%, 3.9438% (UAA) | 34,317,000 | 34,516,487 |

# **Janus Henderson AAA CLOETF**

# **Schedule of Investments (unaudited)**

**January 31, 2023**

| Alloys CLO 10118 2023 LA 43 ICE LIBOR USD 3 Month + 1,000N, 6,000N, | Shares | Value |
| --- | --- | --- |
| Consolidated Loan Disbursements (continued) |  |  |
| 2023 CLO 10118 2023 LA 43 ICE LIBOR USD 3 Month + 1,000N, | 11,000,000 |  |
| 2023 CLO 10118 2023 LA 43 ICE LIBOR USD 3 Month + 1,000N, | 11,000,000 |  |
| 2023 CLO 10118 2023 LA 43 ICE LIBOR USD 3 Month + 1,000N, | 11,000,000 |  |
| 2023 CLO 10118 2023 LA 43 ICE LIBOR USD 3 Month + 1,000N, | 11,000,000 |  |
| 2023 CLO 10118 2023 LA 43 ICE LIBOR USD 3 Month + 1,000N, | 11,000,000 |  |
| 2023 CLO 10118 2023 LA 43 ICE LIBOR USD 3 Month + 1,000N, | 11,000,000 |  |

1

# Janus Henderson AAA CLOETF

Schedule of Investments (unaudited)

January 31, 2023

| DESCRIPTION | Current Principal Account | Other |
| --- | --- | --- |
| 1. GENERAL ASSET MANAGEMENT | 1,000,000 |  |
| 2. GENERAL ASSET MANAGEMENT | 1,000,000 |  |
| 3. GENERAL ASSET MANAGEMENT | 1,000,000 |  |
| 4. GENERAL ASSET MANAGEMENT | 1,000,000 |  |
| 5. GENERAL ASSET MANAGEMENT | 1,000,000 |  |
| 6. GENERAL ASSET MANAGEMENT | 1,000,000 |  |
| 7. GENERAL ASSET MANAGEMENT | 1,000,000 |  |
| 8. GENERAL ASSET MANAGEMENT | 1,000,000 |  |
| 9. GENERAL ASSET MANAGEMENT | 1,000,000 |  |
| 10. GENERAL ASSET MANAGEMENT | 1,000,000 |  |

# Janus Henderson AAA CLOETF

Schedule of Investments (unaudited)

January 31, 2023

| 1. DAILY - 31 NOV - 31 DEC | 1. 1st Quarter | 1st Quarter | 1st Quarter |
| --- | --- | --- | --- |
|  | Principal Amount |  | Total |
| 1. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 2. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 3. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 4. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 5. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 6. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 7. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 8. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 9. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 10. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 11. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 12. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 13. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 14. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 15. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 16. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 17. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 18. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 19. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |
| 20. DAILY - 31 NOV - 31 DEC | 1,000,000 |  |  |

# Janus Henderson AAA CLOETF

Schedule of Investments (unaudited)

January 31, 2023

| DESCRIPTION OF INVESTMENTS | AMOUNT | TOTAL |
| --- | --- | --- |
| LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES | 1,000,000 | 1,000,000 |
| LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES | 1,000,000 | 1,000,000 |
| LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES | 1,000,000 | 1,000,000 |
| LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES AND EQUITY OF LIABILITIES | 1,000,000 | 1,000,000 |

# Janus Henderson AAA CLOETF

Schedule of Investments (unaudited)

January 31, 2023

| Cashflow of the Bank of New York, NY, 2023 | 23,000,000 | 21,754,000 |
| --- | --- | --- |
| Cashflow of the Bank of New York, NY, 2023 | 23,000,000 | 21,754,000 |
| Cashflow of the Bank of New York, NY, 2023 | 23,000,000 | 21,754,000 |
| Cashflow of the Bank of New York, NY, 2023 | 23,000,000 | 21,754,000 |

# **Janus Henderson AAA CLOETF**

# **Notes to Schedule of Investments and Other Information (revised)**

January 31, 2023

| 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% | 10% |

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[{"box_2d": [25, 314, 453, 324], "label": "text", "---"}][{"box_2d": [25, 314, 453, 324], "label": "text", "---"}][{"box_2d": [25, 314, 453, 324], "label": "text", "---"}]

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[{"box_2d": [25, 314, 453, 324],

## Investment Valuation

Investment Valuation 2018-04 ALICE LIEMUNG 2018-04 VALUATION 2018-04 VALUATION 2018-04 VALUATION 2018-04 VALUATION 2018-04 VALUATION 2018-04 VALUATION 2018-04 VALUATION 2018-04 VALUATION 2018-04 VALUATION 2018-04 VALUATION 2018-04 VALUATION

THE CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

The CABLE TRUST BANK (C) 1-1-1, 2014-04-05, JCT 1-0-01 (C) 1 March 1
$1,000,000.00

Your College/University of Alabama (area 82.007.206.128) 2,858,864,240
(1) 2.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000.000

a security trading halt, and (iv) pricing of a non-valued security, and restricted or restricted market. Special orders to considerations may apply with respect to 'odd-lot' fixed-income transactions which, due to their small loan may receive additional prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot business. The value of the securities of other mutual funds held by a Fund, if any, will be calculated using the folio of the securities of other mutual funds held by a Fund. If any, will be calculated using the folio of the securities of other mutual funds held by a Fund. If any, will be calculated using the folio of the securities of other mutual funds held by a Fund. If any, will be calculated using the folio of the securities of other mutual funds held by a Fund. If any, will be calculated using the folio of the securities of other mutual funds held by a Fund. If any, will be calculated using the folio of

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

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

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Janus Detroit Street Trust

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

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

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

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

  - **Street Address 1:** 151 Detroit Street

  - **City:** Denver

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

  - **Telephone number:** 303-333-3863

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

- **a. Name of Series:** Janus Henderson AAA CLO ETF

- **b. EDGAR series identifier (if any):** S000069705

- **c. LEI of Series:** 549300N7UZ9PO4OVKA94

**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:** $2096185037.48

**Total Liabilities:** $49905388.20

**Net Assets:** $2046279649.28

**Cash Not Reported:** $2852302.20

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -675.38802503 | **1-Year:** -273072.35047284 | **5-Year:** -215695.43791717 | **10-Year:** -412.35837947 | **30-Year:** 0.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000222294 | 1.28%                | 0.77%                | 1.18%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1997.13                 | $14195377.43                               |
| Month 2  | $3298.19                 | $5182531.46                                |
| Month 3  | $-1302.90                | $13908829.44                               |

**Designated Index Information**

- **Index Name:** J.P. Morgan CLO AAA Index 100%

- **Index Identifier:** IXJAAA10BM

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CIFC Funding Ltd.                          | CIFC Funding Ltd., Series 2018-3A, Class A                            | CUSIP: 12551YAA1<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | US        |  26500000 | PA      | $26291842.50  | 1.28%             | 2031-07-18      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                     | Palmer Square CLO Ltd., Series 2020-3A, Class A1AR                    | CUSIP: 69701RAL1<br>LEI: 549300IUW4WDDDVSMS20 | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $9915350.00   | 0.48%             | 2031-11-15      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd.                          | CIFC Funding Ltd., Series 2019-6A, Class C                            | CUSIP: 12555XAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1485748.50   | 0.07%             | 2033-01-16      | Floating      | 7.49%                 | Yes           |                  2 | On Loan: No      |
| Dryden 41 Senior Loan Fund                 | Dryden 41 Senior Loan Fund, Series 2015-41A, Class AR                 | CUSIP: 26244KAN6<br>LEI: 5493000CMI5L15ZSNM78 | Long             | ABS-CBDO         | CORP              | US        |  52305000 | PA      | $51706683.11  | 2.53%             | 2031-04-15      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| CARLYLE US CLO Ltd.                        | CARLYLE US CLO Ltd., Series 2019-1A, Class A1AR                       | CUSIP: 14316BAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20100000 | PA      | $19835745.30  | 0.97%             | 2031-04-20      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 34 Ltd.        | Octagon Investment Partners 34 Ltd., Series 2017-1A, Class A2         | CUSIP: 675922AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1956024.00   | 0.10%             | 2030-01-20      | Floating      | 6.06%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 49 Ltd.        | Octagon Investment Partners 49 Ltd., Series 2020-5A, Class A1         | CUSIP: 67578FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  35000000 | PA      | $34747300.00  | 1.70%             | 2033-01-15      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| AB BSL CLO 2 Ltd.                          | AB BSL CLO 2 Ltd., Series 2021-2A, Class A                            | CUSIP: 00037LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20755000 | PA      | $20397370.60  | 1.00%             | 2034-04-15      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Shackleton CLO Ltd.                        | Shackleton CLO Ltd., Series 2017-11A, Class AR                        | CUSIP: 81883EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  54500000 | PA      | $53977072.50  | 2.64%             | 2030-08-15      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Magnetite XV Ltd.                          | Magnetite XV Ltd., Series 2015-15A, Class CR                          | CUSIP: 55953MAU6<br>LEI: 549300B3V0K3DX0M2K31 | Long             | ABS-CBDO         | CORP              | US        |   2700000 | PA      | $2606320.80   | 0.13%             | 2031-07-25      | Floating      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Northwoods Capital XII-B Ltd.              | Northwoods Capital XII-B Ltd., Series 2018-12BA, Class A2             | CUSIP: 66858CAL1<br>LEI: 549300R06FSYRU75ZW78 | Long             | ABS-CBDO         | CORP              | US        |  25890000 | PA      | $25636148.55  | 1.25%             | 2031-06-15      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Magnetite XXVI Ltd.                        | Magnetite XXVI Ltd., Series 2020-26A, Class A1R                       | CUSIP: 55954YAJ4<br>LEI: 549300F7COUCG1RROP29 | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $5927238.00   | 0.29%             | 2034-07-25      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| AMMC CLO XII Ltd.                          | AMMC CLO XII Ltd., Series 2013-12A, Class AR2                         | CUSIP: 00176CAW1<br>LEI: 549300YZO1X7UK2OVY35 | Long             | ABS-CBDO         | CORP              | US        |  37500000 | PA      | $37125750.00  | 1.81%             | 2030-11-10      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO XIX Ltd.                   | Sound Point CLO XIX Ltd., Series 2018-1A, Class A                     | CUSIP: 83610JAA4<br>LEI: 5493001QI7ZD0IPL4A34 | Long             | ABS-CBDO         | CORP              | US        |  19431000 | PA      | $19058779.76  | 0.93%             | 2031-04-15      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Hayfin US XIV Ltd.                         | Hayfin US XIV Ltd., Series 2021-14A, Class A1                         | CUSIP: 42088AAA2<br>LEI: 5493000YWK38UXBNS724 | Long             | ABS-CBDO         | CORP              | US        |  16800000 | PA      | $16583767.20  | 0.81%             | 2034-07-20      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners XV Ltd.        | Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR       | CUSIP: 67590EBG8<br>LEI: 549300VYCI9AZ4NZBX86 | Long             | ABS-CBDO         | CORP              | US        |  23237788 | PA      | $23074937.99  | 1.13%             | 2030-07-19      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Battalion CLO VIII Ltd.                    | Battalion CLO VIII Ltd., Series 2015-8A, Class A1R2                   | CUSIP: 07132ACC5<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | US        |  14697439 | PA      | $14544938.39  | 0.71%             | 2030-07-18      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Magnetite Xxix Ltd.                        | Magnetite Xxix Ltd., Series 2021-29A, Class A                         | CUSIP: 55955KAA2<br>LEI: 549300XSCWZTP19VRZ67 | Long             | ABS-CBDO         | CORP              | US        |  18306000 | PA      | $18098959.14  | 0.88%             | 2034-01-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Galaxy XX CLO Ltd.                         | Galaxy XX CLO Ltd., Series 2015-20A, Class AR                         | CUSIP: 36320MAL2<br>LEI: 549300S1CAKZT00VQL17 | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $3957956.00   | 0.19%             | 2031-04-20      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO XXIX                            | Apidos CLO XXIX, Series 2018-29A, Class A1B                           | CUSIP: 03767MAE8<br>LEI: 549300AVJUID3QNR9M59 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1960256.00   | 0.10%             | 2030-07-25      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| CBAM Ltd.                                  | CBAM Ltd., Series 2019-11RA, Class A2                                 | CUSIP: 12510TAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13889000 | PA      | $13409871.17  | 0.66%             | 2035-01-20      | Floating      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| OHA Credit Funding 3 Ltd.                  | OHA Credit Funding 3 Ltd., Series 2019-3A, Class AR                   | CUSIP: 67112RAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  60000000 | PA      | $59315700.00  | 2.90%             | 2035-07-02      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 29 Ltd.        | Octagon Investment Partners 29 Ltd., Series 2016-1A, Class AR         | CUSIP: 67591JAL6<br>LEI: 5493003U22XL00FIHD56 | Long             | ABS-CBDO         | CORP              | US        |  27775000 | PA      | $27441227.83  | 1.34%             | 2033-01-24      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 33 Ltd. | Neuberger Berman Loan Advisers CLO 33 Ltd., Series 2019-33A, Class AR | CUSIP: 64132TAJ2<br>LEI: 549300RVE5T2OYI2H743 | Long             | ABS-CBDO         | CORP              | US        |  23000000 | PA      | $22754383.00  | 1.11%             | 2033-10-16      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Dryden 85 CLO Ltd.                         | Dryden 85 CLO Ltd., Series 2020-85A, Class AR                         | CUSIP: 26246BAL8<br>LEI: 549300XS2BVK8BZTXN05 | Long             | ABS-CBDO         | CORP              | US        |  30000000 | PA      | $29536980.00  | 1.44%             | 2035-10-15      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Anchorage Capital CLO Ltd.                 | Anchorage Capital CLO Ltd., Series 2014-4RA, Class A                  | CUSIP: 03328LAA0<br>LEI: 549300MP4QPQUMB6AD63 | Long             | ABS-CBDO         | CORP              | US        |  15484425 | PA      | $15379099.71  | 0.75%             | 2031-01-28      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XXX Ltd.              | Madison Park Funding XXX Ltd., Series 2018-30A, Class A               | CUSIP: 55821TAA5<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | US        |  26458748 | PA      | $26203844.52  | 1.28%             | 2029-04-15      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Tikehau US CLO I Ltd.                      | Tikehau US CLO I Ltd., Series 2021-1A, Class A2                       | CUSIP: 88675SAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8000000 | PA      | $7721152.00   | 0.38%             | 2035-01-18      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Signal Peak CLO 5 Ltd.                     | Signal Peak CLO 5 Ltd., Series 2018-5A, Class A                       | CUSIP: 56844YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15750000 | PA      | $15644081.25  | 0.76%             | 2031-04-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Magnetite XIV-R Ltd.                       | Magnetite XIV-R Ltd., Series 2015-14RA, Class A1                      | CUSIP: 55954LAC7<br>LEI: 549300XD71H6EU9N2I97 | Long             | ABS-CBDO         | CORP              | US        |  17250000 | PA      | $17102081.25  | 0.84%             | 2031-10-18      | Floating      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd.                              | Voya CLO Ltd., Series 2018-1A, Class A1                               | CUSIP: 92917AAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9066000 | PA      | $8958141.80   | 0.44%             | 2031-04-19      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Steele Creek CLO Ltd.                      | Steele Creek CLO Ltd., Series 2017-1A, Class A                        | CUSIP: 85816VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9962979 | PA      | $9835163.94   | 0.48%             | 2030-10-15      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| BlueMountain CLO XXXII Ltd.                | BlueMountain CLO XXXII Ltd., Series 2021-32A, Class A                 | CUSIP: 09631EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11800000 | PA      | $11605441.60  | 0.57%             | 2034-10-15      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                     | Palmer Square CLO Ltd., Series 2021-4A, Class A                       | CUSIP: 69702EAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  25000000 | PA      | $24686725.00  | 1.21%             | 2034-10-15      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| KKR CLO 23 Ltd.                            | KKR CLO 23 Ltd., Series 23, Class A1                                  | CUSIP: 48252YAA7<br>LEI: 549300ULSPVDFXMNXZ65 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $991273.00    | 0.05%             | 2031-10-20      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Wind River CLO Ltd.                        | Wind River CLO Ltd., Series 2014-1A, Class ARR                        | CUSIP: 88432CBB1<br>LEI: 549300AMLFWC1VCUN251 | Long             | ABS-CBDO         | CORP              | US        |  10954918 | PA      | $10732576.59  | 0.52%             | 2031-07-18      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Sounds Point CLO IV-R Ltd.                 | Sounds Point CLO IV-R Ltd., Series 2013-3RA, Class A                  | CUSIP: 83609YAC0<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $4906945.00   | 0.24%             | 2031-04-18      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| OHA Credit Funding 8 Ltd.                  | OHA Credit Funding 8 Ltd., Series 2021-8A, Class A                    | CUSIP: 67707GAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13000000 | PA      | $12888356.00  | 0.63%             | 2034-01-18      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Generate CLO 2 Ltd.                        | Generate CLO 2 Ltd., Series 2A, Class AR                              | CUSIP: 98625TAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1983760.00   | 0.10%             | 2031-01-22      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Jay Park CLO Ltd.                          | Jay Park CLO Ltd., Series 2016-1A, Class A2R                          | CUSIP: 47206VAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22000000 | PA      | $21757252.00  | 1.06%             | 2027-10-20      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd.                          | CIFC Funding Ltd., Series 2017-1A, Class AR                           | CUSIP: 12551AAL9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | US        |   8365497 | PA      | $8311514.82   | 0.41%             | 2029-04-23      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners XVII Ltd.      | Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2     | CUSIP: 67590GBG3<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | US        |   5900000 | PA      | $5851183.40   | 0.29%             | 2031-01-25      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XX Ltd.               | Madison Park Funding XX Ltd., Series 2016-20A, Class A2R              | CUSIP: 55819TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4750000 | PA      | $4659564.75   | 0.23%             | 2030-07-27      | Floating      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                        | Carlyle US CLO Ltd., Series 2016-4A, Class BR                         | CUSIP: 143109AQ9<br>LEI: 54930054F35TGSKQ6V76 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $964806.00    | 0.05%             | 2027-10-20      | Floating      | 6.91%                 | Yes           |                  2 | On Loan: No      |
| Allegro CLO VIII Ltd.                      | Allegro CLO VIII Ltd., Series 2018-2A, Class A                        | CUSIP: 01750LAA1<br>LEI: 635400EGZEWLZ9KRXG08 | Long             | ABS-CBDO         | CORP              | US        |  16317000 | PA      | $16111487.39  | 0.79%             | 2031-07-15      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 35 Ltd.        | Octagon Investment Partners 35 Ltd., Series 2018-1A, Class A1A        | CUSIP: 67591TAA8<br>LEI: 549300EBYXJ9QVMC7X31 | Long             | ABS-CBDO         | CORP              | US        |  19863000 | PA      | $19746920.63  | 0.97%             | 2031-01-20      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XXVI Ltd.             | Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR             | CUSIP: 55819YAA8<br>LEI: 549300FNRP3W5DX0O430 | Long             | ABS-CBDO         | CORP              | US        |  24615357 | PA      | $24492551.03  | 1.20%             | 2030-07-29      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| JMP Credit Advisors CLO IV Ltd.            | JMP Credit Advisors CLO IV Ltd., Series 2017-1A, Class AR             | CUSIP: 46647YAL1<br>LEI: 54930013XSXE4PJVBQ28 | Long             | ABS-CBDO         | CORP              | US        |  11555514 | PA      | $11482575.51  | 0.56%             | 2029-07-17      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Steele Creek CLO Ltd.                      | Steele Creek CLO Ltd., Series 2014-1RA, Class A                       | CUSIP: 85816WAC8<br>LEI: 549300ZMV389HVGL0K94 | Long             | ABS-CBDO         | CORP              | US        |  10216547 | PA      | $10097636.67  | 0.49%             | 2031-04-21      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Deer Creek CLO Ltd.                        | Deer Creek CLO Ltd., Series 2017-1A, Class A                          | CUSIP: 24380LAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2807692 | PA      | $2785079.14   | 0.14%             | 2030-10-20      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Apex Credit CLO Ltd.                       | Apex Credit CLO Ltd., Series 2021-1A, Class AN                        | CUSIP: 03754CAA3<br>LEI: 549300PKXRJW5V5VW357 | Long             | ABS-CBDO         | CORP              | US        |   1476000 | PA      | $1443631.32   | 0.07%             | 2034-07-18      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Logan CLO II Ltd.                          | Logan CLO II Ltd., Series 2021-2A, Class A                            | CUSIP: 540544AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  24196521 | PA      | $23888547.68  | 1.17%             | 2035-01-20      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| CBAM Ltd.                                  | CBAM Ltd., Series 2019-10A, Class A1R                                 | CUSIP: 12482NAN1<br>LEI: 254900IPFC9SXD6VQ444 | Long             | ABS-CBDO         | CORP              | US        |  29000000 | PA      | $28629061.00  | 1.40%             | 2032-04-20      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 48 Ltd.        | Octagon Investment Partners 48 Ltd., Series 2020-3A, Class AR         | CUSIP: 67577UAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  25268000 | PA      | $24945681.39  | 1.22%             | 2034-10-20      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| CBAM Ltd.                                  | CBAM Ltd., Series 2019-11RA, Class A1                                 | CUSIP: 12510TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16897000 | PA      | $16631683.31  | 0.81%             | 2035-01-20      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Rad CLO 10 Ltd.                            | Rad CLO 10 Ltd., Series 2021-10A, Class A                             | CUSIP: 48662LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $4950560.00   | 0.24%             | 2034-04-23      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.            | Palmer Square Loan Funding Ltd., Series 2022-4A, Class B              | CUSIP: 69702YAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9750000 | PA      | $9750000.00   | 0.48%             | 2031-07-24      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Steele Creek CLO Ltd.                      | Steele Creek CLO Ltd., Series 2018-2A, Class A                        | CUSIP: 85816LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13000000 | PA      | $12799839.00  | 0.63%             | 2031-08-18      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Shackleton CLO Ltd.                        | Shackleton CLO Ltd., Series 2019-14A, Class A1R                       | CUSIP: 81880XAL6<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | US        |   3825000 | PA      | $3759512.18   | 0.18%             | 2034-07-20      | Floating      | 6.01%                 | Yes           |                  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        |  53367169 | NS      | $53377842.28  | 2.61%             |  |  |  | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd.            | Highbridge Loan Management Ltd., Series 7A-2015, Class A2R            | CUSIP: 40437RAC3<br>LEI: 254900IU43NDZ7HEB142 | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2976303.00   | 0.15%             | 2027-03-15      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| BlueMountain Fuji US CLO II Ltd.           | BlueMountain Fuji US CLO II Ltd., Series 2017-2A, Class A1AR          | CUSIP: 09629EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $14874855.00  | 0.73%             | 2030-10-20      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd.                              | Voya CLO Ltd., Series 2014-1A, Class AAR2                             | CUSIP: 92915PAH8<br>LEI: 549300ITL5IR423IJ183 | Long             | ABS-CBDO         | CORP              | US        |  19278784 | PA      | $19087904.32  | 0.93%             | 2031-04-18      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd.                    | Canyon Capital CLO Ltd., Series 2014-1A, Class A1BR                   | CUSIP: 13875LAY4<br>LEI: 549300W778MFSPI8C872 | Long             | ABS-CBDO         | CORP              | US        |   3010000 | PA      | $2931773.11   | 0.14%             | 2031-01-30      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                     | Palmer Square CLO Ltd., Series 2018-2A, Class A1A                     | CUSIP: 69688MAA3<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | US        |  59000000 | PA      | $58608889.00  | 2.86%             | 2031-07-16      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 42 Ltd. | Neuberger Berman Loan Advisers CLO 42 Ltd., Series 2021-42A, Class A  | CUSIP: 64133WAA3<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $5921346.00   | 0.29%             | 2035-07-16      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Dryden 64 CLO Ltd.                         | Dryden 64 CLO Ltd., Series 2018-64A, Class A                          | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  53589000 | PA      | $52996948.73  | 2.59%             | 2031-04-18      | Floating      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| Magnetite XVI Ltd.                         | Magnetite XVI Ltd., Series 2015-16A, Class AR                         | CUSIP: 55953RAL5<br>LEI: 549300Z3WHVYABE20I45 | Long             | ABS-CBDO         | CORP              | US        |  16002784 | PA      | $15906271.38  | 0.78%             | 2028-01-18      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                        | Carlyle US CLO Ltd., Series 2021-7A, Class A1                         | CUSIP: 14316WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22000000 | PA      | $21754832.00  | 1.06%             | 2035-10-15      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| OHA Credit Partners XIV Ltd.               | OHA Credit Partners XIV Ltd., Series 2017-14A, Class C                | CUSIP: 67706XAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $961393.00    | 0.05%             | 2030-01-21      | Floating      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Magnetite XXV Ltd.                         | Magnetite XXV Ltd., Series 2020-25A, Class A                          | CUSIP: 55955GAA1<br>LEI: 549300WFCL37N4TDUR08 | Long             | ABS-CBDO         | CORP              | US        |  12595000 | PA      | $12517855.63  | 0.61%             | 2032-01-25      | Floating      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO VI-R Ltd.                  | Sound Point CLO VI-R Ltd., Series 2014-2RA, Class A                   | CUSIP: 83613WAA2<br>LEI: 5493001FKRL3V2YW2890 | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $3928220.00   | 0.19%             | 2031-10-20      | Floating      | 6.06%                 | Yes           |                  2 | On Loan: No      |
| Galaxy XXI CLO Ltd.                        | Galaxy XXI CLO Ltd., Series 2015-21A, Class AR                        | CUSIP: 36320WAL0<br>LEI: 549300BW4412X0TZDD77 | Long             | ABS-CBDO         | CORP              | US        |  20390000 | PA      | $20222536.93  | 0.99%             | 2031-04-20      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd.                              | Voya CLO Ltd., Series 2019-1A, Class AR                               | CUSIP: 92917NAJ7<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $988218.00    | 0.05%             | 2031-04-15      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| BlueMountain Fuji US CLO III Ltd.          | BlueMountain Fuji US CLO III Ltd., Series 2017-3A, Class A2           | CUSIP: 09628FAC3<br>LEI: 549300EY8WEC9D18YD37 | Long             | ABS-CBDO         | CORP              | US        |   3500000 | PA      | $3420238.50   | 0.17%             | 2030-01-15      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO VIII Ltd.      | Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR     | CUSIP: 08180XAN2<br>LEI: 549300D98ZLKNSI8CN63 | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2973936.00   | 0.15%             | 2031-01-20      | Floating      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 43 Ltd. | Neuberger Berman Loan Advisers CLO 43 Ltd., Series 2021-43A, Class A  | CUSIP: 64134AAA0<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | US        |  15060000 | PA      | $14849310.60  | 0.73%             | 2035-07-17      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd.                          | CIFC Funding Ltd., Series 2021-7A, Class A1                           | CUSIP: 12567HAC6<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | US        |  34576000 | PA      | $34124852.35  | 1.67%             | 2035-01-23      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO XVI Ltd.                   | Sound Point CLO XVI Ltd., Series 2017-2A, Class AR                    | CUSIP: 83610KAJ2<br>LEI: 549300ZK5CJ7PM7YBH85 | Long             | ABS-CBDO         | CORP              | US        |  18648420 | PA      | $18399649.63  | 0.90%             | 2030-07-25      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| THL Credit Wind River CLO Ltd.             | THL Credit Wind River CLO Ltd., Series 2014-2A, Class AR              | CUSIP: 88390AAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  38798600 | PA      | $38417132.16  | 1.88%             | 2031-01-15      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Allegro CLO XII Ltd.                       | Allegro CLO XII Ltd., Series 2020-1A, Class A1                        | CUSIP: 01750TAC0<br>LEI: 254900E0ZQX4DLP7HF87 | Long             | ABS-CBDO         | CORP              | US        |  33125000 | PA      | $32866293.75  | 1.61%             | 2032-01-21      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Wind River CLO Ltd.                        | Wind River CLO Ltd., Series 2021-2A, Class C                          | CUSIP: 97315VAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1836926.00   | 0.09%             | 2034-07-20      | Floating      | 6.76%                 | Yes           |                  2 | On Loan: No      |
| LCM XXIII Ltd.                             | LCM XXIII Ltd., Series 23A, Class A1R                                 | CUSIP: 52111PAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22385083 | PA      | $22201704.62  | 1.08%             | 2029-10-20      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Regatta XI Funding Ltd.                    | Regatta XI Funding Ltd., Series 2018-1A, Class A                      | CUSIP: 75887XAA5<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $14835045.00  | 0.72%             | 2031-07-17      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd.                              | Voya CLO Ltd., Series 2014-2A, Class A1RR                             | CUSIP: 92912VAY1<br>LEI: 549300L8S87K3SMP0R77 | Long             | ABS-CBDO         | CORP              | US        |  21310019 | PA      | $21090100.05  | 1.03%             | 2030-04-17      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Signal Peak CLO 8 Ltd.                     | Signal Peak CLO 8 Ltd., Series 2020-8A, Class C                       | CUSIP: 56845NAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1919456.00   | 0.09%             | 2033-04-20      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| Magnetite XVII Ltd.                        | Magnetite XVII Ltd., Series 2016-17A, Class AR                        | CUSIP: 55954EAQ2<br>LEI: 5493003SVWF9GG13MZ22 | Long             | ABS-CBDO         | CORP              | US        |  25400000 | PA      | $25218491.60  | 1.23%             | 2031-07-20      | Floating      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Dryden 75 CLO Ltd.                         | Dryden 75 CLO Ltd., Series 2019-75A, Class AR2                        | CUSIP: 26252JAS7<br>LEI: 254900JFO9XUH2EREJ70 | Long             | ABS-CBDO         | CORP              | US        |  27500000 | PA      | $26962100.00  | 1.32%             | 2034-04-15      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| KKR CLO 24 Ltd.                            | KKR CLO 24 Ltd., Series 24, Class A1R                                 | CUSIP: 48252RAL8<br>LEI: 549300LGO0WGOG6NE245 | Long             | ABS-CBDO         | CORP              | US        |   7110000 | PA      | $7029230.40   | 0.34%             | 2032-04-20      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| KKR CLO Ltd.                               | KKR CLO Ltd., Series 22A, Class A                                     | CUSIP: 48252WAA1<br>LEI: 549300GKHET0CQ690V42 | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2965851.00   | 0.14%             | 2031-07-20      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| MP CLO III Ltd.                            | MP CLO III Ltd., Series 2013-1A, Class AR                             | CUSIP: 553205AC9<br>LEI: 549300FWSFBNCWDD1P18 | Long             | ABS-CBDO         | CORP              | US        |  17714274 | PA      | $17459365.77  | 0.85%             | 2030-10-20      | Floating      | 6.06%                 | Yes           |                  2 | On Loan: No      |
| MidOcean Credit CLO VIII                   | MidOcean Credit CLO VIII, Series 2018-8A, Class A2                    | CUSIP: 59801MAC2<br>LEI: 549300T32RO3I7BJ4V26 | Long             | ABS-CBDO         | CORP              | US        |   8037000 | PA      | $7757690.14   | 0.38%             | 2031-02-20      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners XIV Ltd.       | Octagon Investment Partners XIV Ltd., Series 2012-1A, Class ABRR      | CUSIP: 67590ABR2<br>LEI: 549300QEN35HTPJ3BX33 | Long             | ABS-CBDO         | CORP              | US        |  20000000 | PA      | $19590000.00  | 0.96%             | 2029-07-15      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 50 Ltd.        | Octagon Investment Partners 50 Ltd., Series 2020-4A, Class AR         | CUSIP: 67592MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $9841220.00   | 0.48%             | 2035-01-15      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XVIII Ltd.            | Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR           | CUSIP: 55819BAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  49809720 | PA      | $49294338.33  | 2.41%             | 2030-10-21      | Floating      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| Venture XVIII CLO Ltd.                     | Venture XVIII CLO Ltd., Series 2014-18A, Class AR                     | CUSIP: 92329FAP2<br>LEI: 549300MWRVTJN0X3KI79 | Long             | ABS-CBDO         | CORP              | US        |  22769001 | PA      | $22569657.97  | 1.10%             | 2029-10-15      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| Greywolf CLO VII Ltd.                      | Greywolf CLO VII Ltd., Series 2018-2A, Class A1                       | CUSIP: 39809AAA6<br>LEI: 5493005EEKUYF0Q6Z361 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1990540.00   | 0.10%             | 2031-10-20      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| LCM XVIII LP                               | LCM XVIII LP, Series 19A, Class AR                                    | CUSIP: 50188QAJ0<br>LEI: 549300PYL1KC7BYM8G75 | Long             | ABS-CBDO         | CORP              | US        |   3033855 | PA      | $3031149.25   | 0.15%             | 2027-07-15      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| LCM XXIV Ltd.                              | LCM XXIV Ltd., Series 24A, Class AR                                   | CUSIP: 50188YAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  36889396 | PA      | $36527584.43  | 1.79%             | 2030-03-20      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Pikes Peak CLO 1                           | Pikes Peak CLO 1, Series 2018-1A, Class A                             | CUSIP: 721327AA2<br>LEI: 549300IOF5UIE4PES702 | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1485418.50   | 0.07%             | 2031-07-24      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Dryden 53 CLO Ltd.                         | Dryden 53 CLO Ltd., Series 2017-53A, Class A                          | CUSIP: 26243EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  32552000 | PA      | $32294057.95  | 1.58%             | 2031-01-15      | Floating      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| TICP CLO XII Ltd.                          | TICP CLO XII Ltd., Series 2018-12A, Class AR                          | CUSIP: 87250FAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8580000 | PA      | $8492097.90   | 0.42%             | 2034-07-15      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| CBAM Ltd.                                  | CBAM Ltd., Series 2018-8A, Class A1                                   | CUSIP: 12478CAA9<br>LEI: 254900YSCN4KH02DQ033 | Long             | ABS-CBDO         | CORP              | US        |  10793369 | PA      | $10721614.90  | 0.52%             | 2029-10-20      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| KKR CLO 25 Ltd.                            | KKR CLO 25 Ltd., Series 25, Class CR                                  | CUSIP: 48252UAL1<br>LEI: 549300MJB0YZ0QTQNZ45 | Long             | ABS-CBDO         | CORP              | US        |   1300000 | PA      | $1244783.80   | 0.06%             | 2034-07-15      | Floating      | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                        | Carlyle US CLO Ltd., Series 2017-5A, Class A1B                        | CUSIP: 14316AAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4527000 | PA      | $4410194.35   | 0.22%             | 2030-01-20      | Floating      | 6.06%                 | Yes           |                  2 | On Loan: No      |
| Octagon Loan Funding Ltd.                  | Octagon Loan Funding Ltd., Series 2014-1A, Class ARR                  | CUSIP: 67590RAY1<br>LEI: 549300HJJWTCMWFILG24 | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $5950686.00   | 0.29%             | 2031-11-18      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Regatta Funding LP                         | Regatta Funding LP, Series 2013-2A, Class A1R3                        | CUSIP: 75885WBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11383630 | PA      | $11302202.55  | 0.55%             | 2029-01-15      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd.                               | OCP CLO Ltd., Series 2014-5A, Class A1R                               | CUSIP: 67102SAL8<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | US        |   2250000 | PA      | $2233743.75   | 0.11%             | 2031-04-26      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                    | Rockford Tower CLO Ltd., Series 2017-3A, Class A                      | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | US        |  25470000 | PA      | $25255619.01  | 1.23%             | 2030-10-20      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Marble Point CLO XI Ltd.                   | Marble Point CLO XI Ltd., Series 2017-2A, Class A                     | CUSIP: 56607FAA3<br>LEI: 549300DBVCVH5X7MO467 | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2955930.00   | 0.14%             | 2030-12-18      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| AGL Core CLO 4 Ltd.                        | AGL Core CLO 4 Ltd., Series 2020-4A, Class A1R                        | CUSIP: 001199AG3<br>LEI: 549300HS2AZ4GZPCZ864 | Long             | ABS-CBDO         | CORP              | US        |   5500000 | PA      | $5431904.50   | 0.27%             | 2033-04-20      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock CLO Ltd.                         | Ballyrock CLO Ltd., Series 2019-1A, Class A1R                         | CUSIP: 05875JAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19000000 | PA      | $18709851.00  | 0.91%             | 2032-07-15      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Atrium XIV LLC                             | Atrium XIV LLC, Series 14A, Class A2A                                 | CUSIP: 04965LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1973386.00   | 0.10%             | 2030-08-23      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Eaton Vance CLO Ltd.                       | Eaton Vance CLO Ltd., Series 2020-1A, Class AR                        | CUSIP: 278300AJ7<br>LEI: 5493004NKU3QU5G6QW39 | Long             | ABS-CBDO         | CORP              | US        |  25000000 | PA      | $24731325.00  | 1.21%             | 2034-10-15      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Oaktree CLO Ltd.                           | Oaktree CLO Ltd., Series 2019-2A, Class A1AR                          | CUSIP: 67401UAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2972079.00   | 0.15%             | 2031-04-15      | Floating      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XXII Ltd.                     | Symphony CLO XXII Ltd., Series 2020-22A, Class A1A                    | CUSIP: 87167GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2650000 | PA      | $2637979.60   | 0.13%             | 2033-04-18      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd.                          | CIFC Funding Ltd., Series 2013-2A, Class A3LR                         | CUSIP: 12549BAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6205000 | PA      | $5922163.69   | 0.29%             | 2030-10-18      | Floating      | 6.74%                 | Yes           |                  2 | On Loan: No      |
| OHA Credit Funding 5 Ltd.                  | OHA Credit Funding 5 Ltd., Series 2020-5A, Class A2A                  | CUSIP: 67113GAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1350000 | PA      | $1323608.85   | 0.06%             | 2033-04-18      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO XVII                       | Sound Point CLO XVII, Series 2017-3A, Class A1R                       | CUSIP: 83611GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  50000000 | PA      | $49192700.00  | 2.40%             | 2030-10-20      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.            | Palmer Square Loan Funding Ltd., Series 2021-1A, Class A1             | CUSIP: 69701YAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12330218 | PA      | $12249121.90  | 0.60%             | 2029-04-20      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO XX                              | Apidos CLO XX, Series 2015-20A, Class A1RA                            | CUSIP: 03765LAP7<br>LEI: 5493008YDOADR1DMZM86 | Long             | ABS-CBDO         | CORP              | US        |  21330000 | PA      | $21148119.09  | 1.03%             | 2031-07-16      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| CARLYLE US CLO Ltd.                        | CARLYLE US CLO Ltd., Series 2021-1A, Class A1                         | CUSIP: 14316MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19150000 | PA      | $18886266.20  | 0.92%             | 2034-04-15      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 40 Ltd. | Neuberger Berman Loan Advisers CLO 40 Ltd., Series 2021-40A, Class A  | CUSIP: 64134JAA1<br>LEI: 549300Y2YE54ON4DJE28 | Long             | ABS-CBDO         | CORP              | US        |   4500000 | PA      | $4449726.00   | 0.22%             | 2033-04-16      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Anchorage Capital CLO 9 Ltd.               | Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class AR2               | CUSIP: 03328WAS7<br>LEI: 5493009A4SIPWYPZDB35 | Long             | ABS-CBDO         | CORP              | US        |  32500000 | PA      | $32127062.50  | 1.57%             | 2032-07-15      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| CBAM Ltd.                                  | CBAM Ltd., Series 2018-5A, Class A                                    | CUSIP: 12481QAC9<br>LEI: 25490038OT2B8HTRW786 | Long             | ABS-CBDO         | CORP              | US        |  25900000 | PA      | $25576198.20  | 1.25%             | 2031-04-17      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Venture 32 CLO Ltd.                        | Venture 32 CLO Ltd., Series 2018-32A, Class A1                        | CUSIP: 92325QAA5<br>LEI: 549300UP09C89Q3HWD39 | Long             | ABS-CBDO         | CORP              | US        |   3766000 | PA      | $3705167.80   | 0.18%             | 2031-07-18      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd.                          | CIFC Funding Ltd., Series 2017-3A, Class A1                           | CUSIP: 12548JAC6<br>LEI: 254900S2BZHNDNVF2L25 | Long             | ABS-CBDO         | CORP              | US        |   9577497 | PA      | $9525289.87   | 0.47%             | 2030-07-20      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd.                          | CIFC Funding Ltd., Series 2014-4RA, Class A1AR                        | CUSIP: 12552FAQ6<br>LEI: 5493006JGTCIL6LCS728 | Long             | ABS-CBDO         | CORP              | US        |  42500000 | PA      | $41980650.00  | 2.05%             | 2035-01-17      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Logan CLO I Ltd.                           | Logan CLO I Ltd., Series 2021-1A, Class A                             | CUSIP: 540543AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11000000 | PA      | $10882003.00  | 0.53%             | 2034-07-20      | Floating      | 5.97%                 | Yes           |                  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