# EDGAR Filing Document

**Accession Number:** 0000277751
**File Stem:** 0001741773-23-000789
**Filing Date:** 2023-3
**Character Count:** 115988
**Document Hash:** 8a7edb45bb764fd00c358cf93ae3fc78
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001741773-23-000789.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001741773-23-000789

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20230630

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-01879
- **FILM NUMBER:** 23691547

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

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

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

## Series and Classes Contracts Data

### Janus Henderson Global Bond Fund (Series ID: S000030901)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000095874 | Class I      | JGBIX           |
| C000095875 | Class S      | JGBSX           |
| C000095876 | Class T      | JHBTX           |
| C000095877 | Class A      | JGBAX           |
| C000095878 | Class C      | JGBCX           |
| C000095879 | Class D      | JGBDX           |
| C000114892 | Class N      | JGLNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

  - **Telephone number:** 3033333863

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

- **a. Name of Series:** Janus Henderson Global Bond Fund

- **b. EDGAR series identifier (if any):** S000030901

- **c. LEI of Series:** 549300JVFLA561A67H59

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $164085702.00

**Total Liabilities:** $15871709.00

**Net Assets:** $148213993.00

**Cash Not Reported:** $739643.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -203.73553 | **1-Year:** -5533.31931 | **5-Year:** -46746.85611 | **10-Year:** -30907.39992 | **30-Year:** -12539.64719

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

- **3-Month:** 0 | **1-Year:** 0 | **5-Year:** -2156.51053 | **10-Year:** -1270.14605 | **30-Year:** 0

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000095877 | -0.22%               | 5.85%                | -0.68%               |
| Class ID C000095878 | -0.41%               | 5.78%                | -0.61%               |
| Class ID C000095879 | -0.33%               | 5.86%                | -0.53%               |
| Class ID C000095874 | -0.33%               | 5.87%                | -0.52%               |
| Class ID C000114892 | -0.31%               | 5.89%                | -0.65%               |
| Class ID C000095875 | -0.36%               | 5.83%                | -0.56%               |
| Class ID C000095876 | -0.20%               | 5.86%                | -0.67%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2293032.00             | $2171602.00                                |
| Month 2  | $-7890246.00             | $16610281.00                               |
| Month 3  | $-1655497.00             | $554408.00                                 |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays Global Aggregate xUSD (Statistics Universe)

- **Index Identifier:** LEHM.MC.LEHM003121UUSD

### Schedule of Portfolio Investments

| Name                                 | Title                                                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                  | Royal Bank of Canada                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |     60450 | PA      | $60450.00     | 0.04%             | 2023-01-03      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Janus Capital Group Inc              | Janus Henderson Cash Liquidity Fund                       | CUSIP: N/A<br>LEI: 8T2ZO87FU1KVPZIG9I59       | Long             | EC               | PF                | US        |  15723056 | NS      | $15726201.00  | 10.61%            |  |  |  | No            |                  2 | On Loan: No      |
| Janus Henderson Cash Collateral Fund | Janus Henderson Cash Collateral Fund                      | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | PF                | US        |    241800 | NS      | $241800.00    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC              | AEP TRANSMISSION CO LLC                                   | CUSIP: 00115AAM1<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    192000 | PA      | $146438.00    | 0.10%             | 2050-04-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                             | AT&T Inc                                                  | CUSIP: 00206RKB7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    574000 | PA      | $398219.00    | 0.27%             | 2060-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AGILENT TECHNOLOGIES INC             | Agilent Technologies Inc                                  | CUSIP: 00846UAM3<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $890050.00    | 0.60%             | 2030-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| AGREE LP                             | Agree LP                                                  | CUSIP: 008513AA1<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |    176000 | PA      | $142874.00    | 0.10%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                       | Amazon.com Inc                                            | CUSIP: 023135BU9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    606000 | PA      | $365014.00    | 0.25%             | 2060-06-03      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP                          | AMEREN CORP                                               | CUSIP: 023608AJ1<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |    195000 | PA      | $172460.00    | 0.12%             | 2031-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                  | American Express Co                                       | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    467000 | PA      | $444699.00    | 0.30%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                            | Amgen Inc                                                 | CUSIP: 031162DD9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    771000 | PA      | $682722.00    | 0.46%             | 2029-02-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                  | Anthem Inc                                                | CUSIP: 036752AN3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    462000 | PA      | $382187.00    | 0.26%             | 2030-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| APPLE INC                            | Apple Inc                                                 | CUSIP: 037833DW7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    584000 | PA      | $386377.00    | 0.26%             | 2050-05-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| APPLE INC                            | Apple Inc                                                 | CUSIP: 037833EE6<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1109000 | PA      | $783731.00    | 0.53%             | 2041-02-08      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG             | Berkshire Hathaway Energy Co                              | CUSIP: 084659AV3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    171000 | PA      | $155794.00    | 0.10%             | 2030-07-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                         | Centene Corp                                              | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    657000 | PA      | $554541.00    | 0.37%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                     | Crown Castle International Corp                           | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    470000 | PA      | $377049.00    | 0.25%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| DENTSPLY SIRONA INC                  | Dentsply Sirona Inc                                       | CUSIP: 24906PAA7<br>LEI: 9NHEHR1SOZCYXDO8HO28 | Long             | DBT              | CORP              | US        |    794000 | PA      | $659149.00    | 0.45%             | 2030-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE              | Walt Disney Co                                            | CUSIP: 254687FX9<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    441000 | PA      | $376422.00    | 0.25%             | 2031-01-13      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| DOLLAR GENERAL CORP                  | Dollar General Corp                                       | CUSIP: 256677AG0<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |    211000 | PA      | $189825.00    | 0.13%             | 2030-04-03      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                          | Equinix Inc                                               | CUSIP: 29444UBH8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    892000 | PA      | $709621.00    | 0.48%             | 2030-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                  | Global Payments Inc                                       | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    613000 | PA      | $502272.00    | 0.34%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| HCA INC                              | HCA Inc                                                   | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    728000 | PA      | $627883.00    | 0.42%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HEALTH CARE SERVICE CORP             | Health Care Service Corp                                  | CUSIP: 42218SAF5<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |    572000 | PA      | $459752.00    | 0.31%             | 2030-06-01      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                       | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    666000 | PA      | $622015.00    | 0.42%             | 2031-03-24      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                 | Kraft Heinz Foods Co                                      | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    361000 | PA      | $313363.00    | 0.21%             | 2049-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MARS INC                             | Mars Inc                                                  | CUSIP: 571676AG0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    290000 | PA      | $233389.00    | 0.16%             | 2054-04-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| MCCORMICK & CO                       | McCormick & Co Inc/MD                                     | CUSIP: 579780AQ0<br>LEI: 549300JQQA6MQ4OJP259 | Long             | DBT              | CORP              | US        |    194000 | PA      | $161793.00    | 0.11%             | 2030-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                       | Morgan Stanley                                            | CUSIP: 61747YEM3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1126786.00   | 0.76%             | 2026-02-18      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                          | Oracle Corp                                               | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    449000 | PA      | $382818.00    | 0.26%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                           | PacifiCorp                                                | CUSIP: 695114CX4<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    222000 | PA      | $159421.00    | 0.11%             | 2051-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                  | PayPal Holdings Inc                                       | CUSIP: 70450YAH6<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    301000 | PA      | $247272.00    | 0.17%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                    | Sysco Corp                                                | CUSIP: 871829BL0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    136000 | PA      | $140754.00    | 0.10%             | 2030-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    870300 | PA      | $767394.00    | 0.52%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    812000 | PA      | $716273.00    | 0.48%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    901900 | PA      | $742729.00    | 0.50%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1504100 | PA      | $977841.00    | 0.66%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1647000 | PA      | $1145308.00   | 0.77%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2082000 | PA      | $1918693.00   | 1.29%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                      | United States Treasury Note/Bond                          | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4673300 | PA      | $4673483.00   | 3.15%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS               | Verizon Communications Inc                                | CUSIP: 92343VFF6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    289000 | PA      | $268536.00    | 0.18%             | 2027-03-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| VMWARE INC                           | VMware Inc                                                | CUSIP: 928563AE5<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    696000 | PA      | $673667.00    | 0.46%             | 2027-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                | Wells Fargo & Co                                          | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    756000 | PA      | $667237.00    | 0.45%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                           | Zoetis Inc                                                | CUSIP: 98978VAN3<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    399000 | PA      | $379004.00    | 0.26%             | 2028-08-20      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                | Australia Government Bond                                 | CUSIP: ZP5624975<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   1280000 | PA      | $683312.00    | 0.46%             | 2032-05-21      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                | Australia Government Bond                                 | CUSIP: BK4676346<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    789000 | PA      | $311238.00    | 0.21%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                      | Kingdom of Belgium Government Bond                        | CUSIP: JV6072112<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |   3992096 | PA      | $4036849.00   | 2.72%             | 2026-06-22      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| BELGIUM KINGDOM                      | Kingdom of Belgium Government Bond                        | CUSIP: JK9434768<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |   1008352 | PA      | $837533.00    | 0.56%             | 2066-06-22      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF             | Province of British Columbia Canada                       | CUSIP: 11070TAF5<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |   5500000 | PA      | $3948844.00   | 2.66%             | 2025-06-18      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                  | Canadian Government Bond                                  | CUSIP: 135087J39<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   2178000 | PA      | $1514481.00   | 1.02%             | 2029-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                  | Canadian Government Bond                                  | CUSIP: 135087N26<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   1703000 | PA      | $1082810.00   | 0.73%             | 2031-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                | China Government Bond                                     | CUSIP: ZS6668488<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |  22910000 | PA      | $3407233.00   | 2.30%             | 2029-05-23      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                | China Government Bond                                     | CUSIP: AZ6421871<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   7640000 | PA      | $1213572.00   | 0.82%             | 2049-07-22      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                | China Government Bond                                     | CUSIP: BJ4697907<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |  33330000 | PA      | $4729645.00   | 3.19%             | 2030-05-21      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK               | China Development Bank                                    | CUSIP: BK4343145<br>LEI: 300300C1020111000029 | Long             | DBT              | NUSS              | CN        |   6540000 | PA      | $958937.00    | 0.65%             | 2025-07-14      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                | China Government Bond                                     | CUSIP: BR9625111<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |  35610000 | PA      | $5134159.00   | 3.46%             | 2023-10-21      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND             | Federal Republic of Germany Bond                          | CUSIP: AZ4612356<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    632741 | PA      | $576621.00    | 0.39%             | 2029-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND             | Federal Republic of Germany Bond                          | CUSIP: BT2450315<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    882805 | PA      | $755736.00    | 0.51%             | 2032-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND             | Federal Republic of Germany Bond                          | CUSIP: BX3343023<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |   3140103 | PA      | $3132978.00   | 2.11%             | 2032-08-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBLIG DEL ESTADO             | Spain Government Bond                                     | CUSIP: BJ0516218<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   1272000 | PA      | $1168568.00   | 0.79%             | 2030-10-31      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| EUROPEAN UNION                       | European Union                                            | CUSIP: BM0350801<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |   2492000 | PA      | $2114893.00   | 1.43%             | 2030-10-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                       | European Union                                            | CUSIP: BM0350843<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |   1043000 | PA      | $642672.00    | 0.43%             | 2040-10-04      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                       | European Union                                            | CUSIP: BQ0597931<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |   1773681 | PA      | $1468363.00   | 0.99%             | 2031-07-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                     | French Republic Government Bond OAT                       | CUSIP: EI1823166<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    190489 | PA      | $236984.00    | 0.16%             | 2060-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                     | French Republic Government Bond OAT                       | CUSIP: BJ7899484<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   2836621 | PA      | $2423144.00   | 1.64%             | 2030-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                     | French Republic Government Bond OAT                       | CUSIP: BT2718364<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   2183038 | PA      | $1768076.00   | 1.19%             | 2032-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                          | BNP Paribas SA                                            | CUSIP: BU6284451<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $410865.00    | 0.28%             | 2029-02-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                  | United Kingdom Gilt                                       | CUSIP: EC2565959<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    110000 | PA      | $139102.00    | 0.09%             | 2032-06-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                  | United Kingdom Gilt                                       | CUSIP: QZ5541813<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   1448656 | PA      | $1067713.00   | 0.72%             | 2047-07-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                  | United Kingdom Gilt                                       | CUSIP: AM7816755<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    637985 | PA      | $694663.00    | 0.47%             | 2027-07-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                  | United Kingdom Gilt                                       | CUSIP: AR6412506<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   3393666 | PA      | $3683752.00   | 2.48%             | 2028-10-22      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES             | Italy Buoni Poliennali Del Tesoro                         | CUSIP: JK3942121<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    592000 | PA      | $632089.00    | 0.43%             | 2023-03-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES             | Italy Buoni Poliennali Del Tesoro                         | CUSIP: AN8683541<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    734000 | PA      | $646134.00    | 0.44%             | 2048-03-01      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES             | Italy Buoni Poliennali Del Tesoro                         | CUSIP: BI0195932<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   2888000 | PA      | $2970913.00   | 2.00%             | 2025-07-01      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| JAPAN (10 YEAR ISSUE)                | Japan Government Ten Year Bond                            | CUSIP: EK9515322<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 513850000 | PA      | $3948837.00   | 2.66%             | 2025-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| JAPAN (10 YEAR ISSUE)                | Japan Government Ten Year Bond                            | CUSIP: AZ4598605<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 735850000 | PA      | $5512208.00   | 3.72%             | 2029-06-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN (10 YEAR ISSUE)                | Japan Government Ten Year Bond                            | CUSIP: BQ3480895<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 448900000 | PA      | $3305344.00   | 2.23%             | 2031-06-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN (10 YEAR ISSUE)                | Japan Government Ten Year Bond                            | CUSIP: BZ5035648<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 634900000 | PA      | $4736590.00   | 3.20%             | 2032-09-20      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                | Japan Government Thirty Year Bond                         | CUSIP: QZ4675638<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  84850000 | PA      | $526255.00    | 0.35%             | 2046-09-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                | Japan Government Thirty Year Bond                         | CUSIP: AT4765182<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 197100000 | PA      | $1252506.00   | 0.84%             | 2048-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| JAPAN (40 YEAR ISSUE)                | Japan Government Forty Year Bond                          | CUSIP: AS8432229<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  25000000 | PA      | $148773.00    | 0.10%             | 2058-03-20      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT              | Mexican Bonos                                             | CUSIP: AM7523740<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  11750000 | PA      | $537704.00    | 0.36%             | 2047-11-07      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA             | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | CUSIP: 00774MAX3<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |    656000 | PA      | $512835.00    | 0.35%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING                | Alibaba Group Holding Ltd                                 | CUSIP: 01609WAX0<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |    334000 | PA      | $265922.00    | 0.18%             | 2031-02-09      | Fixed         | 2.12%                 | No            |                  2 | On Loan: —       |
| ALPEK SA DE CV                       | ALPEKA 3.25 02/25/31 144A                                 | CUSIP: 020564AE0<br>LEI: 549300PWKJTP62D4IQ66 | Long             | DBT              | CORP              | MX        |    342000 | PA      | $284972.00    | 0.19%             | 2031-02-25      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                      | BAE Systems PLC                                           | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $176483.00    | 0.12%             | 2030-04-15      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| CREDIT AGRICOLE LONDON               | Credit Agricole SA/London                                 | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    372000 | PA      | $339087.00    | 0.23%             | 2026-06-16      | Variable      | 1.91%                 | Yes           |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                    | HSBC Holdings PLC                                         | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1100000 | PA      | $1000996.00   | 0.68%             | 2026-06-04      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| SA GLOBAL SUKUK LTD                  | SA Global Sukuk Ltd                                       | CUSIP: 78397PAD3<br>LEI: 5493007DFAVKU7UOGR47 | Long             | DBT              | CORP              | KY        |    310000 | PA      | $264607.00    | 0.18%             | 2031-06-17      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| PROSUS NV                            | Prosus NV                                                 | CUSIP: BQ4156015<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    350000 | PA      | $269878.00    | 0.18%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| LENOVO GROUP LTD                     | Lenovo Group Ltd                                          | CUSIP: BM1585132<br>LEI: 254900VUZRGD5U73RE46 | Long             | DBT              | CORP              | HK        |    541000 | PA      | $429014.00    | 0.29%             | 2030-11-02      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                         | SK Hynix Inc                                              | CUSIP: BN3611652<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |    463000 | PA      | $339455.00    | 0.23%             | 2031-01-19      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| STICHTING AK RABOBANK                | Stichting AK Rabobank Certificaten                        | CUSIP: EK0456492<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    311375 | PA      | $319533.00    | 0.22%             | 2099-12-31      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK PLC                     | Santander UK PLC                                          | CUSIP: EK5347571<br>LEI: PTCQB104N23FMNK2RZ28 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $444867.00    | 0.30%             | 2029-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ENERGIAS DE PORTUGAL SA              | IE2 Holdco SAU                                            | CUSIP: LW1558128<br>LEI: 529900CLC3WDMGI9VH80 | Long             | DBT              | CORP              | PT        |    400000 | PA      | $415057.00    | 0.28%             | 2026-06-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FISERV INC                           | Fiserv Inc                                                | CUSIP: 337738AY4<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    446000 | PA      | $394818.00    | 0.27%             | 2030-07-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                       | CUSIP: AX4522592<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    600000 | PA      | $583942.00    | 0.39%             | 2027-03-11      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                          | Netflix Inc                                               | CUSIP: AV1834432<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    839000 | PA      | $878745.00    | 0.59%             | 2029-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SIGNIFY NV                           | Signify NV                                                | CUSIP: BJ2188685<br>LEI: 549300072P3J1X8NZO35 | Long             | DBT              | CORP              | NL        |    467000 | PA      | $470085.00    | 0.32%             | 2027-05-11      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | BANK OF AMERICA CORP                                      | CUSIP: BH2918473<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    414000 | PA      | $427615.00    | 0.29%             | 2029-03-31      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                | CPI Property Group SA                                     | CUSIP: BJ3266431<br>LEI: 222100CO2ZOTEPGJO223 | Long             | DBT              | CORP              | LU        |    215000 | PA      | $180281.00    | 0.12%             | 2026-05-12      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                    | Royal Bank of Scotland Group PLC                          | CUSIP: BJ3265284<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    222000 | PA      | $246699.00    | 0.17%             | 2030-08-14      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| AVIVA PLC                            | Aviva PLC                                                 | CUSIP: BJ7363341<br>LEI: YF0Y5B0IB8SM0ZFG9G81 | Long             | DBT              | CORP              | GB        |    150000 | PA      | $138717.00    | 0.09%             | 2055-06-03      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                | Takeda Pharmaceutical Co Ltd                              | CUSIP: BK2909236<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    251000 | PA      | $190561.00    | 0.13%             | 2040-07-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                    | Natwest Group PLC                                         | CUSIP: BM3452604<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $202671.00    | 0.14%             | 2099-12-31      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG             | NYLIFE 0.75 12/14/28 GMTN                                 | CUSIP: BN3913728<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    452000 | PA      | $433248.00    | 0.29%             | 2028-12-14      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC              | Goldman Sachs Group Inc                                   | CUSIP: BN6710287<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    544000 | PA      | $476961.00    | 0.32%             | 2028-01-26      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                | Cellnex Finance Co SA                                     | CUSIP: BN9906395<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |    700000 | PA      | $599044.00    | 0.40%             | 2029-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SAGE GROUP PLC (THE)                 | Sage Group PLC/The                                        | CUSIP: BO1550975<br>LEI: 2138005RN5XYLTF8G138 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $450173.00    | 0.30%             | 2031-02-25      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                        | UBS AG/London                                             | CUSIP: BO7978816<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    500000 | PA      | $473339.00    | 0.32%             | 2026-03-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                         | ING Groep NV                                              | CUSIP: BU3958644<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $194263.00    | 0.13%             | 2027-02-16      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Rentokil Initial Finance BV          | RTOLN 3.875 06/27/27 EMTN                                 | CUSIP: BX1120100<br>LEI: 2549005WL1W9GJ5TM121 | Long             | DBT              | CORP              | NL        |    447000 | PA      | $473385.00    | 0.32%             | 2027-06-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                          | PepsiCo Inc                                               | CUSIP: BX8895563<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    370000 | PA      | $410781.00    | 0.28%             | 2029-07-22      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495954 | PA      | $441232.00    | 0.30%             | 2037-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18453 | PA      | $15608.00     | 0.01%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40603 | PA      | $35603.00     | 0.02%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3552196 | PA      | $3224509.00   | 2.18%             | 2052-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4289873 | PA      | $4021224.00   | 2.71%             | 2052-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5963038 | PA      | $5739746.00   | 3.87%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1623320 | PA      | $1599105.00   | 1.08%             | 2052-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       983 | PA      | $931.00       | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3131XDAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1433 | PA      | $1357.00      | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3131XDCW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208242 | PA      | $195211.00    | 0.13%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3131Y16T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14508 | PA      | $14204.00     | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3131Y4LZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       251 | PA      | $224.00       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6301 | PA      | $6163.00      | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3132A86Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220205 | PA      | $204867.00    | 0.14%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190765 | PA      | $180733.00    | 0.12%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3132ADHW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23694 | PA      | $23435.00     | 0.02%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3132DNGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183413 | PA      | $176294.00    | 0.12%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3132DNHN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37251 | PA      | $31995.00     | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336918 | PA      | $329870.00    | 0.22%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3132DNP49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119245 | PA      | $111926.00    | 0.08%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3132DNQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1112641 | PA      | $1022154.00   | 0.69%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3132DNSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33610 | PA      | $31969.00     | 0.02%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9425 | PA      | $9219.00      | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3074550 | PA      | $2756107.00   | 1.86%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3133A0G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3927 | PA      | $3487.00      | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4965 | PA      | $4783.00      | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3133BGBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104635 | PA      | $98168.00     | 0.07%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3133BGQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    255686 | PA      | $246477.00    | 0.17%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171391 | PA      | $173773.00    | 0.12%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3133G7BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210028 | PA      | $193312.00    | 0.13%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     55867 | PA      | $54645.00     | 0.04%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      9589 | PA      | $9379.00      | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     48954 | PA      | $47883.00     | 0.03%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     33285 | PA      | $32557.00     | 0.02%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3133KPUC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1176583 | PA      | $1134207.00   | 0.77%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3133KPUD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500635 | PA      | $483507.00    | 0.33%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116144 | PA      | $110712.00    | 0.07%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                          | CUSIP: 31346YPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44326 | PA      | $39357.00     | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3138ENRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34597 | PA      | $34515.00     | 0.02%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3138EPHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52959 | PA      | $52834.00     | 0.04%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15147 | PA      | $14993.00     | 0.01%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3138EQFX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26777 | PA      | $26484.00     | 0.02%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3138WGR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1136622 | PA      | $1020148.00   | 0.69%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25898 | PA      | $23068.00     | 0.02%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140HPR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34851 | PA      | $33443.00     | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140J73V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52302 | PA      | $51769.00     | 0.04%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1738678 | PA      | $1574539.00   | 1.06%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2259 | PA      | $2039.00      | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140K0HB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206585 | PA      | $190146.00    | 0.13%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140MAYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153552 | PA      | $141112.00    | 0.10%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5901 | PA      | $5680.00      | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11546 | PA      | $11123.00     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20129 | PA      | $19393.00     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26156 | PA      | $25198.00     | 0.02%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9165 | PA      | $8829.00      | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10478 | PA      | $10095.00     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31934 | PA      | $30766.00     | 0.02%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140MRZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108909 | PA      | $102177.00    | 0.07%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140MSCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136826 | PA      | $131896.00    | 0.09%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140MSF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29180 | PA      | $27376.00     | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140MUUU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46552 | PA      | $43674.00     | 0.03%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140N7ZL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229743 | PA      | $229282.00    | 0.15%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140Q9ED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67007 | PA      | $65605.00     | 0.04%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6308 | PA      | $6170.00      | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8649 | PA      | $8460.00      | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140QPX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527753 | PA      | $508738.00    | 0.34%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28049 | PA      | $25871.00     | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140QPYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50684 | PA      | $46661.00     | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140QPYX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136874 | PA      | $125699.00    | 0.09%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    647384 | PA      | $651725.00    | 0.44%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140QQL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1411944 | PA      | $1437697.00   | 0.97%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140QQZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139244 | PA      | $134712.00    | 0.09%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140X6ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20043 | PA      | $19201.00     | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351082 | PA      | $333942.00    | 0.23%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177980 | PA      | $169656.00    | 0.11%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1729487 | PA      | $1645054.00   | 1.11%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179628 | PA      | $175871.00    | 0.12%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140XDEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67915 | PA      | $64739.00     | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140XFC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328085 | PA      | $314835.00    | 0.21%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361048 | PA      | $345882.00    | 0.23%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140XGZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138732 | PA      | $131680.00    | 0.09%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140XHCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127430 | PA      | $117473.00    | 0.08%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308132 | PA      | $284300.00    | 0.19%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140XHLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572612 | PA      | $529452.00    | 0.36%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140XHLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226946 | PA      | $216331.00    | 0.15%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8803 | PA      | $8391.00      | 0.01%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140XHZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18060 | PA      | $17178.00     | 0.01%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222327 | PA      | $217677.00    | 0.15%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 3140XJLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86415 | PA      | $76723.00     | 0.05%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6903 | PA      | $6252.00      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14063 | PA      | $13376.00     | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                           | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12114 | PA      | $11849.00     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                        | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    268488 | PA      | $257178.00    | 0.17%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                        | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    626467 | PA      | $600075.00    | 0.41%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Resimac                              | RESIMAC Bastille Trust Series 2018-1NC                    | CUSIP: 76118VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     55304 | PA      | $55241.00     | 0.04%             | 2059-12-05      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| RMAC Securities PLC                  | RMAC Securities No 1 PLC                                  | CUSIP: BCC0QYR40<br>LEI: 213800C48M2JTBGZT736 | Long             | ABS-MBS          | CORP              | GB        |    155364 | PA      | $177942.00    | 0.12%             | 2044-06-12      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| RMAC Securities PLC                  | RMAC Securities No 1 2006-NS3X PLC                        | CUSIP: BCC0T09P4<br>LEI: 213800C48M2JTBGZT736 | Long             | ABS-MBS          | CORP              | GB        |    542123 | PA      | $623571.00    | 0.42%             | 2044-06-12      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| RMAC Securities PLC                  | RMAC Securities No 1 2006-NS4X PLC                        | CUSIP: BCC0UJFM1<br>LEI: 213800C48M2JTBGZT736 | Long             | ABS-MBS          | CORP              | GB        |    529913 | PA      | $600787.00    | 0.41%             | 2044-06-12      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust             | JP Morgan Mortgage Trust 2019-1 A15                       | CUSIP: 46650HAR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    113257 | PA      | $101651.00    | 0.07%             | 2049-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust             | JP Morgan Mortgage Trust 2019-LTV2                        | CUSIP: 46651AAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14380 | PA      | $14192.00     | 0.01%             | 2049-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy AUD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $123224.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell CAD / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-98050.00    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell KRW / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-203977.00   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy PLN                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $33966.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-16031.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell DKK / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-2367.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy SEK                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $51045.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy ILS                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $377.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy MXN                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $13744.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy NOK                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $11134.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy NZD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $133.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy CHF                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $63006.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy JPY                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $613752.00    | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy HUF                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $3495.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy SGD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $102346.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell GBP / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-329485.00   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy IDR                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $5762.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell CNY / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-275354.00   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell CAD / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-4822.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy PLN                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $46930.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy GBP                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $22821.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell JPY / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-83382.00    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy KRW                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $433355.00    | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell IDR / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-30831.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell JPY / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-634463.00   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy GBP                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $47149.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell GBP / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-46911.00    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell JPY / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-825430.00   | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy EUR                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $153094.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy EUR                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $20203.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy JPY                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $721252.00    | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy GBP                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $12913.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell CNY / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $115893.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell JPY / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-82080.00    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell GBP / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-8281.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-77225.00    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell GBP / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-4781.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell SEK / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $163.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-14758.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell NZD / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-7113.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell CAD / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $7499.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell SGD / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-3616.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy JPY                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $98414.00     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy EUR                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $71252.00     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell CNY / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-16502.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy GBP                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $6871.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-10475.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell JPY / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-18046.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell ILS / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $14303.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell GBP / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-470.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell KRW / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-7780.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy CAD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $7796.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-17553.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell JPY / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-15653.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell GBP / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1046.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell CNY / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-6261.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy GBP                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1380.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy JPY                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $5359.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy CAD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-4591.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy EUR                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $20006.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy GBP                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1484.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell JPY / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-9278.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-6208.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell GBP / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $3167.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy EUR                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $20975.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy AUD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-241.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-11994.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy EUR                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $1190.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy EUR                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $2297.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-47894.00    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy EUR                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $55241.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy EUR                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $2298.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell JPY / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-5500.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell CAD / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-661.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-3448.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell SGD / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $-1948.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell CHF / Buy USD                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $12.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy GBP                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |         1 | NC      | $661.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | US 5YR NOTE (CBT) Mar23                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       126 | NC      | $-194581.00   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | LONG GILT FUTURE  Mar23                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        21 | NC      | $-139801.00   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | Euro-BTP Future   Mar23                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        11 | NC      | $-90672.00    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 10yr Ultra Fut Mar23                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        15 | NC      | $-17813.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US ULTRA BOND CBT Mar23                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        13 | NC      | $-44673.00    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | AUST 10Y BOND FUT Mar23                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        38 | NC      | $-173981.00   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | Swap/21/10/2032/P:SEK/STIBOR/3M /R:SEK 3.20450            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  33100000 | OU      | $20409.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** JANUS INVESTMENT FUND

**Signature:** JESPER NERGAARD

**Name of Signer:** JESPER NERGAARD

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