0001752724-22-212584.txt : 20220922
0001752724-22-212584.hdr.sgml : 20220922
20220922115931
ACCESSION NUMBER: 0001752724-22-212584
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20220731
FILED AS OF DATE: 20220922
DATE AS OF CHANGE: 20220922
PERIOD START: 20221031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Janus Detroit Street Trust
CENTRAL INDEX KEY: 0001500604
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23112
FILM NUMBER: 221258573
BUSINESS ADDRESS:
STREET 1: 151 DETROIT STREET
CITY: DENVER
STATE: CO
ZIP: 80206
BUSINESS PHONE: 303-333-3863
MAIL ADDRESS:
STREET 1: 151 DETROIT STREET
CITY: DENVER
STATE: CO
ZIP: 80206
FORMER COMPANY:
FORMER CONFORMED NAME: Janus ETF Trust
DATE OF NAME CHANGE: 20100902
0001500604
S000063007
Janus Henderson Mortgage-Backed Securities ETF
C000204446
Janus Henderson Mortgage-Backed Securities ETF
JMBS
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001500604
XXXXXXXX
S000063007
C000204446
Janus Detroit Street Trust
811-23112
0001500604
5493003MM7OCK5UJW595
151 Detroit Street
Denver
80206
303-333-3863
Janus Henderson Mortgage-Backed Securities ETF
S000063007
549300V6TVE4ZJCDWY16
2022-10-31
2022-07-31
N
1885445882.13
1059947580.98
825498301.15
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
701753881.55999994
0.00000000
0.00000000
26711573.46999999
USD
N
TPI Re-Remic Trust
N/A
TPI RE-REMIC Trust, Series 2022-FRR1, Class AK35
872659AE7
3230000.00000000
PA
USD
3037339.22000000
0.367940093367
Long
ABS-MBS
CORP
US
Y
2
2046-08-25
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140XGZ85
25666979.54000000
PA
USD
25740191.52000000
3.118139853727
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 15 Year
3132CWBH6
483363.64000000
PA
USD
479111.58000000
0.058039075226
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3132A5AL9
2888613.92000000
PA
USD
2846377.62000000
0.344807205058
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3131YAV98
391622.18000000
PA
USD
405760.14000000
0.049153358575
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-53, Class FK
31392EHN3
33372.56000000
PA
USD
33373.11000000
0.004042783607
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Floating
2.65899960
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
31334YHQ3
2686067.04000000
PA
USD
2604783.86000000
0.315540789892
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF Mortgage Trust, Series 2019-KF70, Class C
30298UAJ0
1249211.21000000
PA
USD
1204372.02000000
0.145896365664
Long
ABS-MBS
USGSE
US
Y
2
2029-09-25
Floating
7.78671000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179WLQ9
32925509.18000000
PA
USD
32195498.29000000
3.900128957885
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
3.00000000
N
N
N
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2021-RPL2, Class A2
69357QAB2
2000000.00000000
PA
USD
1816903.00000000
0.220097727332
Long
ABS-MBS
CORP
US
Y
2
2051-10-25
Variable
2.23700040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MJ6S9
4113781.06000000
PA
USD
3974848.14000000
0.481508942473
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140JMBK7
1261622.45000000
PA
USD
1281970.50000000
0.155296564295
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140E9H66
18280.74000000
PA
USD
17879.11000000
0.002165856668
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.00000000
N
N
N
N
N
N
Chase Mortgage Finance Corp.
N/A
Chase Mortgage Finance Corp., Series 2021-CL1, Class M3
46591HBZ2
2542864.53000000
PA
USD
2388385.26000000
0.289326490033
Long
ABS-MBS
CORP
US
Y
2
2050-02-25
Floating
3.06421920
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, Single Family, 30 Year
01F042681
110798439.00000000
PA
USD
112691984.32000000
13.65138900504
Long
ABS-MBS
USGSE
US
N
2
2052-08-25
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140LYR96
25853103.35000000
PA
USD
24256251.00000000
2.938376852648
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-163, Class LO
38380KNA9
4839263.28000000
PA
USD
4020968.06000000
0.487095861299
Long
ABS-MBS
USGA
US
N
2
2041-05-16
None
0.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140XCX37
3970329.46000000
PA
USD
3833371.32000000
0.464370588608
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MJ7G4
4026010.13000000
PA
USD
4010825.07000000
0.485867150109
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3028, Class FM
31396AFB5
22169.61000000
PA
USD
22213.75000000
0.002690950419
Long
ABS-MBS
USGSE
US
N
2
2035-09-15
Floating
2.24913960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-109, Class BS
31398NTM6
41248.22000000
PA
USD
108977.29000000
0.013201394823
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Floating
36.15545880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140HBFX1
1748753.57000000
PA
USD
1810142.08000000
0.219278716561
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
31329L6U1
0.01000000
PA
USD
0.01000000
0.000000001211
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140FPAS8
348154.17000000
PA
USD
356737.73000000
0.043214835149
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140XFWY3
32680119.42000000
PA
USD
30620158.16000000
3.709293903735
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140QPHY6
4620564.87000000
PA
USD
4574207.99000000
0.554114767241
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
TPI Re-Remic Trust
N/A
TPI RE-REMIC Trust, Series 2022-FRR1, Class AK34
872659AC1
2382000.00000000
PA
USD
2250598.64000000
0.272635163132
Long
ABS-MBS
CORP
US
Y
2
2046-07-25
None
0.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3131Y2M21
133461.39000000
PA
USD
137421.53000000
0.016647100279
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2007-89, Class GF
31396XPM0
28093.71000000
PA
USD
28131.95000000
0.003407874972
Long
ABS-MBS
USGSE
US
N
2
2037-09-25
Floating
2.77899840
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, Single Family, 15 Year
01F040487
1501500.00000000
PA
USD
1526094.57000000
0.184869498565
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, Single Family, 30 Year
21H022689
21077414.00000000
PA
USD
19942289.87000000
2.415788117579
Long
ABS-MBS
USGA
US
N
2
2052-08-15
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133B7F86
1118215.64000000
PA
USD
1113608.61000000
0.134901381195
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140X7JB6
11027312.31000000
PA
USD
11067882.34000000
1.340751679874
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140EVBD8
392131.68000000
PA
USD
381040.66000000
0.046158866646
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138W4EF4
196882.12000000
PA
USD
197470.22000000
0.023921335722
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MRZU4
4683883.14000000
PA
USD
4723892.35000000
0.572247373909
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2019-R01, Class 2M2
20754FAK8
123971.44000000
PA
USD
123777.87000000
0.014994321590
Long
ABS-MBS
CORP
US
Y
2
2031-07-25
Floating
4.70900160
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3131Y6WK1
640.65000000
PA
USD
631.28000000
0.000076472598
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
31334XYL7
369526.28000000
PA
USD
368989.91000000
0.044699051407
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, Single Family, 30 Year
01F032690
-17986775.00000000
PA
USD
-17749259.64000000
-2.15012673136
Short
ABS-MBS
USGSE
US
N
2
2052-09-25
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MSCJ2
2373517.00000000
PA
USD
2425086.05000000
0.293772385312
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133B4H73
1475859.25000000
PA
USD
1426557.29000000
0.172811656669
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, Single Family, 30 Year
21H040681
18017249.00000000
PA
USD
18204087.87000000
2.205224146995
Long
ABS-MBS
USGA
US
N
2
2052-08-15
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31417C6S9
265689.92000000
PA
USD
261841.03000000
0.031719148256
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140XHVN4
12057973.00000000
PA
USD
12045031.78000000
1.459122540073
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140X6EV9
28722896.88000000
PA
USD
28302594.73000000
3.428546696046
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140QNTX0
14743959.69000000
PA
USD
14207730.43000000
1.721109590438
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133BAFM8
3048260.34000000
PA
USD
3036764.77000000
0.367870505096
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-37, Class FW
38375KNR9
30939.88000000
PA
USD
30779.10000000
0.003728547951
Long
ABS-MBS
USGA
US
N
2
2037-06-20
Floating
2.43642960
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3132DNQJ5
45000000.00000000
PA
USD
47411287.65000000
5.743353751782
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-95, Class FB
31398NEX8
17260.69000000
PA
USD
17362.05000000
0.002103220560
Long
ABS-MBS
USGSE
US
N
2
2040-09-25
Floating
2.65899960
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133A2HT0
330766.56000000
PA
USD
320853.26000000
0.038867828020
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 15 Year
3131XDFC4
60745.95000000
PA
USD
61021.77000000
0.007392113335
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
3.00000000
N
N
N
N
N
N
Lendingpoint Asset Securitization Trust
N/A
Lendingpoint Asset Securitization Trust, Series 2022-A, Class A
52605AAA5
1575597.71000000
PA
USD
1543404.07000000
0.186966353274
Long
ABS-O
CORP
US
Y
2
2029-06-15
Fixed
1.68000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133AR3P8
996111.11000000
PA
USD
897245.82000000
0.108691419322
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300671OK77JNRLK28
Sequoia Mortgage Trust, Series 2013-5, Class A1
81745AAA5
892868.66000000
PA
USD
812288.82000000
0.098399817282
Long
ABS-MBS
CORP
US
Y
2
2043-05-25
Variable
2.49999840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140X6FJ5
427413.39000000
PA
USD
429737.69000000
0.052057973880
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140LWV61
2412819.13000000
PA
USD
2410229.57000000
0.291972686878
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-48, Class AF
38374LHM6
26962.37000000
PA
USD
26724.25000000
0.003237347667
Long
ABS-MBS
USGA
US
N
2
2035-06-20
Floating
2.32643160
N
N
N
N
N
N
New Residential Investment Corp.
549300WNTHGEO5LP2G31
New Residential Investment Corp., Series D
64828T706
40000.00000000
NS
USD
887600.00000000
0.107522934785
Long
EP
CORP
US
N
1
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140X3A73
46857.34000000
PA
USD
46171.68000000
0.005593188978
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
31417GLX2
1248126.47000000
PA
USD
1229862.64000000
0.148984272685
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2016-C02, Class 1M2
30711XCB8
0.01000000
PA
USD
0.01000000
0.000000001211
Long
ABS-MBS
CORP
US
N
2
2028-09-25
Floating
8.25900120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140EU6G9
50610.56000000
PA
USD
50885.78000000
0.006164250117
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-61, Class FA
38375LLN8
15501.48000000
PA
USD
15575.39000000
0.001886786438
Long
ABS-MBS
USGA
US
N
2
2037-10-20
Floating
2.62643040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MNP67
4490349.08000000
PA
USD
4473065.05000000
0.541862417374
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
TPI Re-Remic Trust
N/A
TPI RE-REMIC Trust, Series 2022-FRR1, Class AK33
872659AA5
2892000.00000000
PA
USD
2732464.84000000
0.331007930142
Long
ABS-MBS
CORP
US
Y
2
2046-07-25
None
0.00000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, Single Family, 30 Year
01F052698
40000000.00000000
PA
USD
41260000.00000000
4.998193205548
Long
ABS-MBS
USGSE
US
N
2
2052-09-25
Fixed
5.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
31418BW93
553520.85000000
PA
USD
556530.92000000
0.067417573025
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, Single Family, 15 Year
01F032484
49447329.00000000
PA
USD
49813239.23000000
6.034323651618
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Fixed
3.50000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3721, Class FB
3137GAD20
71272.29000000
PA
USD
71245.33000000
0.008630584690
Long
ABS-MBS
USGSE
US
N
2
2040-09-15
Floating
2.49914160
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3132ACNG1
465906.99000000
PA
USD
476689.86000000
0.057745710601
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140HAMH0
132690.03000000
PA
USD
128783.73000000
0.015600726230
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3131Y4LZ5
68904.30000000
PA
USD
67088.00000000
0.008126970086
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140J7UG8
170923.73000000
PA
USD
172342.46000000
0.020877385181
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-40, Class FG
38375KZS4
49555.10000000
PA
USD
49401.06000000
0.005984392691
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
2.44643040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 15 Year
3138WHP55
16587.40000000
PA
USD
16441.43000000
0.001991697617
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, Single Family, 15 Year
01F030488
62427503.00000000
PA
USD
61987701.24000000
7.509125234254
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Fixed
3.00000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2019-R03, Class 1M2
20753MAF5
2591369.83000000
PA
USD
2588778.49000000
0.313601916126
Long
ABS-MBS
CORP
US
Y
2
2031-09-25
Floating
4.40899920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140JYSB3
127626.69000000
PA
USD
123869.45000000
0.015005415496
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2010-123, Class FL
31398N2W3
17952.40000000
PA
USD
17918.73000000
0.002170656193
Long
ABS-MBS
USGSE
US
N
2
2040-11-25
Floating
2.68899840
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179TZ57
1072269.40000000
PA
USD
1091458.73000000
0.132218167921
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140QPX69
23734540.00000000
PA
USD
24231949.26000000
2.935432965306
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617J6Q80
203645.05000000
PA
USD
209565.72000000
0.025386571929
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3132ADY69
162182.57000000
PA
USD
165442.62000000
0.020041545787
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140QPHL4
8714342.60000000
PA
USD
8397407.01000000
1.017253094076
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133BEVU4
5053790.51000000
PA
USD
5048365.57000000
0.611553720094
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MNNA0
1290459.76000000
PA
USD
1285062.88000000
0.155671171970
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2015-C04, Class 1M2
30711XBF0
1044529.86000000
PA
USD
1092697.71000000
0.132368256661
Long
ABS-MBS
CORP
US
N
2
2028-04-25
Floating
7.95899880
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 15 Year
3132A8GL7
113941.75000000
PA
USD
114216.68000000
0.013836089043
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140XFUB5
12990111.68000000
PA
USD
12533706.96000000
1.518320139791
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133A0KK9
5535325.28000000
PA
USD
5372401.50000000
0.650807093426
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Chase Mortgage Finance Corp.
N/A
Chase Mortgage Finance Corp., Series 2021-CL1, Class M2
46591HBY5
2144506.30000000
PA
USD
2017832.03000000
0.244438059677
Long
ABS-MBS
CORP
US
Y
2
2050-02-25
Floating
2.86422120
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3132DNFY4
13783720.92000000
PA
USD
13773204.77000000
1.668471606884
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140F9WP6
94686.20000000
PA
USD
92579.69000000
0.011215006726
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
20850000.00000000
PA
USD
108120.13000000
0.013097559358
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
Markit CDX North American Investment Grade Index Series 38-V1
2I65BY
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
0.00000000
USD
318519.96000000
USD
20850000.00000000
USD
108120.13000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140QPHP5
23939888.48000000
PA
USD
24000738.65000000
2.907424354061
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3131XVQW8
17263.25000000
PA
USD
16879.77000000
0.002044797666
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-6, Class FG
38376TSC7
10148.31000000
PA
USD
10227.27000000
0.001238920781
Long
ABS-MBS
USGA
US
N
2
2040-01-16
Floating
2.75600160
N
N
N
N
N
N
Lendbuzz Securitization Trust
N/A
Lendbuzz Securitization Trust, Series 2022-1A, Class A
52607KAA1
2278042.82000000
PA
USD
2248685.14000000
0.272403363746
Long
ABS-O
CORP
US
Y
2
2027-05-17
Fixed
4.22000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2021-R02, Class 2M2
20754KAB7
2386000.00000000
PA
USD
2201202.22000000
0.266651332526
Long
ABS-MBS
CORP
US
Y
2
2041-11-25
Floating
3.51421920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140X45D4
358625.54000000
PA
USD
353377.77000000
0.042807813112
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3131Y6P45
67595.59000000
PA
USD
68256.45000000
0.008268514896
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2003-87, Class FG
31393E4W6
33353.46000000
PA
USD
33411.23000000
0.004047401424
Long
ABS-MBS
USGSE
US
N
2
2033-09-25
Floating
2.75900040
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3131Y2YX0
83662.24000000
PA
USD
86598.07000000
0.010490399541
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140J9D24
1006785.40000000
PA
USD
992200.72000000
0.120194156501
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
3.00000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2022-R06, Class 1M1
20754NAB1
1885456.04000000
PA
USD
1895455.44000000
0.229613487678
Long
ABS-MBS
CORP
US
Y
2
2042-05-25
Floating
4.26422160
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
31334WZG9
1337928.74000000
PA
USD
1308208.73000000
0.158475036008
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140QNPK2
5928801.81000000
PA
USD
5925200.89000000
0.717772632814
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.50000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1
20754LAA7
1636425.15000000
PA
USD
1593523.16000000
0.193037727367
Long
ABS-MBS
CORP
US
Y
2
2041-12-25
Floating
2.51421840
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133B6F54
965159.99000000
PA
USD
903752.15000000
0.109479589326
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2014-C02, Class 1M2
30711XAF1
1903865.41000000
PA
USD
1913384.74000000
0.231785424310
Long
ABS-MBS
CORP
US
N
2
2024-05-25
Floating
4.85899920
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 2 Year Note
N/A
-1402.00000000
NC
USD
-429231.61000000
-0.05199666787
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
U.S. Treasury 2 Year Notes
2022-09-30
-295066235.08000000
USD
-429231.61000000
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2410, Class FX
31339NJN7
26785.93000000
PA
USD
26757.69000000
0.003241398554
Long
ABS-MBS
USGSE
US
N
2
2032-02-15
Floating
2.34914040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MHTA7
5547405.33000000
PA
USD
5361093.50000000
0.649437254144
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Mortgage Trust
N/A
JPMorgan Mortgage Trust, Series 2015-4, Class AM
46644VBP0
644228.68000000
PA
USD
607069.83000000
0.073539803674
Long
ABS-MBS
CORP
US
Y
2
2045-06-25
Variable
2.99999880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 15 Year
3140J5EJ4
17292.07000000
PA
USD
17139.90000000
0.002076309542
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
2.50000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2018-R07, Class 1M2
20753QAE9
221085.77000000
PA
USD
220443.94000000
0.026704348112
Long
ABS-MBS
CORP
US
Y
2
2031-04-25
Floating
4.65900120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-13, Class FB
38375PNL1
62012.91000000
PA
USD
62200.80000000
0.007534939794
Long
ABS-MBS
USGA
US
N
2
2038-02-20
Floating
2.62643040
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133B4H81
1122720.40000000
PA
USD
1085900.47000000
0.131544846123
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140LRJY5
977047.25000000
PA
USD
880071.75000000
0.106610970461
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2012-75, Class FP
38378EZ55
22583.19000000
PA
USD
22522.00000000
0.002728291502
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Floating
2.42642880
N
N
N
N
N
N
FREED ABS Trust
N/A
FREED ABS Trust, Series 2020-3FP, Class C
35634LAC7
3423626.07000000
PA
USD
3434661.75000000
0.416071328701
Long
ABS-O
CORP
US
Y
2
2027-09-20
Fixed
6.96000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MGJK8
1103881.74000000
PA
USD
1033622.31000000
0.125211924550
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2006-20, Class GF
31395BU43
91726.86000000
PA
USD
91300.50000000
0.011060046988
Long
ABS-MBS
USGSE
US
N
2
2036-04-25
Floating
2.60899920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 15 Year
3140K3SF0
69834.57000000
PA
USD
69590.79000000
0.008430155447
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140QNLY6
6301882.58000000
PA
USD
5907387.94000000
0.715614790699
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MJ7F6
4470337.33000000
PA
USD
4451641.75000000
0.539267221240
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2002-16, Class VF
31392CWW0
23726.26000000
PA
USD
23807.45000000
0.002884009569
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Floating
2.80900080
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
31339USH4
4014023.85000000
PA
USD
3895877.24000000
0.471942490320
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Ultra Bond
N/A
29.00000000
NC
USD
299027.70000000
0.036223902530
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury Ultra Bonds
2022-09-21
4591062.50000000
USD
299027.70000000
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
31329L6W7
64258.87000000
PA
USD
64887.11000000
0.007860356576
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC STACR Trust
N/A
FHLMC STACR Trust, Series 2019-DNA4, Class M2
35565AAH3
3114690.06000000
PA
USD
3105985.65000000
0.376255850033
Long
ABS-MBS
CORP
US
Y
2
2049-10-25
Floating
4.20900120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2015-C03, Class 1M2
30711XBB9
2430932.03000000
PA
USD
2430932.03000000
0.294480561209
Long
ABS-MBS
CORP
US
N
2
2025-07-25
Floating
7.25900040
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
31334YAT4
103521.34000000
PA
USD
100474.35000000
0.012171357573
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2551, Class FD
31393JAZ1
24418.33000000
PA
USD
24419.04000000
0.002958096941
Long
ABS-MBS
USGSE
US
N
2
2033-01-15
Floating
2.39914080
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140Q7DN4
161760.32000000
PA
USD
163102.99000000
0.019758125458
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3132ACH52
24917.69000000
PA
USD
24364.18000000
0.002951451258
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179WJS8
19873854.66000000
PA
USD
19438737.28000000
2.354788283987
Long
ABS-MBS
USGA
US
N
2
2051-07-20
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138WJP93
79384.10000000
PA
USD
77969.91000000
0.009445193271
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418APM4
364716.24000000
PA
USD
359432.82000000
0.043541315530
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust, Series 2021-1, Class A
91681NAA2
1233740.27000000
PA
USD
1221788.74000000
0.148006208892
Long
ABS-O
CORP
US
Y
2
2031-03-20
Fixed
0.87000000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
8350000.00000000
PA
USD
-305624.77000000
-0.03702306468
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
Markit CDX North American High Yield Index Series 38-V2
2I65BR
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
159449.47000000
USD
0.00000000
USD
8350000.00000000
USD
-305624.77000000
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust, Series 2019-CH3, Class A19
81748GBN0
133413.37000000
PA
USD
131652.38000000
0.015948231488
Long
ABS-MBS
CORP
US
Y
2
2049-09-25
Variable
3.99999960
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-125, Class VF
38377JYJ6
724.93000000
PA
USD
723.01000000
0.000087584674
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Floating
2.47642920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2018-C06, Class 1M2
30711X3H5
2802826.03000000
PA
USD
2800385.89000000
0.339235815034
Long
ABS-MBS
CORP
US
N
2
2031-03-25
Floating
4.25900160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3738, Class FD
3137GAYQ4
32925.64000000
PA
USD
33013.55000000
0.003999226885
Long
ABS-MBS
USGSE
US
N
2
2040-08-15
Floating
2.29914000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-59, Class FP
38374HYS3
35224.13000000
PA
USD
35132.36000000
0.004255897310
Long
ABS-MBS
USGA
US
N
2
2034-08-16
Floating
2.45599920
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1
20753XAA2
3904088.68000000
PA
USD
3868904.95000000
0.468675095346
Long
ABS-MBS
CORP
US
Y
2
2042-03-25
Floating
3.61422000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, Other
36179UQT2
166396.74000000
PA
USD
168238.90000000
0.020380284219
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.00000000
N
N
N
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2021-10, Class A1
69360HAA9
11812224.79000000
PA
USD
11199570.76000000
1.356704277210
Long
ABS-MBS
CORP
US
Y
2
2026-10-25
Variable
2.48699880
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
FHLMC Gold Pools, Other
3132AED78
1132315.26000000
PA
USD
1115917.69000000
0.135181100729
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
3.00000000
N
N
N
N
N
N
Janus Henderson Cash Liquidity Fund LLC
N/A
Janus Henderson Cash Liquidity Fund LLC
N/A
70444821.25600000
NS
USD
70451865.74000000
8.534465260782
Long
STIV
RF
US
N
1
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 15 Year
3131XCKS5
14406.32000000
PA
USD
14279.59000000
0.001729814583
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140F0GY4
1506110.10000000
PA
USD
1472603.31000000
0.178389623327
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
31346YLW1
3695409.87000000
PA
USD
3586641.17000000
0.434481956535
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Multifamily Connecticut Avenue Securities Trust
5493002KQF9IH3CTQZ40
Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10
62548QAD3
2500000.00000000
PA
USD
2311309.00000000
0.279989552586
Long
ABS-MBS
CORP
US
Y
2
2050-03-25
Floating
6.00900120
N
N
N
N
N
N
Sunnova Helios II Issuer LLC
N/A
Sunnova Helios II Issuer LLC, Series 2021-B, Class B
86744TAB2
2009734.86000000
PA
USD
1748812.93000000
0.211849367535
Long
ABS-O
CORP
US
Y
2
2048-07-20
Fixed
2.01000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, Single Family, 30 Year
01F050692
-30000000.00000000
PA
USD
-30739200.00000000
-3.72371450761
Short
ABS-MBS
USGSE
US
N
2
2052-09-25
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 1999-27, Class FE
3837H2WA3
21000.54000000
PA
USD
21017.53000000
0.002546041581
Long
ABS-MBS
USGA
US
N
2
2029-08-16
Floating
2.55600000
N
N
N
N
N
N
FHLMC Multifamily Structured Credit Risk
N/A
FHLMC, Multifamily Structured Pass-Through Certificates, Series 2021-MN1, Class M1
35563FAA9
1480759.76000000
PA
USD
1376124.09000000
0.166702231619
Long
ABS-MBS
USGSE
US
Y
2
2051-01-25
Floating
3.51421920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-2, Class QF
3136AB4P5
49272.43000000
PA
USD
49223.81000000
0.005962920811
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Floating
2.75900040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2014-C04, Class 1M2
30711XAP9
607280.93000000
PA
USD
625318.63000000
0.075750444201
Long
ABS-MBS
CORP
US
N
2
2024-11-25
Floating
7.15899960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140LQQJ2
1164129.87000000
PA
USD
1089538.46000000
0.131985548423
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133B42W4
4256208.51000000
PA
USD
4218864.11000000
0.511068781622
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133ARXP5
1062680.66000000
PA
USD
957208.25000000
0.115955205318
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140XHL21
13828542.70000000
PA
USD
13895439.11000000
1.683278946866
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Agency Credit Risk Debt Notes, Series 2022-HQA2, Class M1A
35564KB24
2628000.00000000
PA
USD
2634801.21000000
0.319177060247
Long
ABS-MBS
CORP
US
Y
2
2042-07-25
Floating
4.17390120
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, Single Family, 30 Year
21H032688
28311337.00000000
PA
USD
28180283.82000000
3.413730080454
Long
ABS-MBS
USGA
US
N
2
2052-08-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3131Y8MN2
32723.04000000
PA
USD
33969.56000000
0.004115036936
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
PRET LLC
N/A
PRET LLC, Series 2021-RN4, Class A1
69359QAA2
4085079.76000000
PA
USD
3828919.52000000
0.463831302216
Long
ABS-O
CORP
US
Y
2
2051-10-25
Variable
2.48709960
N
N
N
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust, Series 2021-ESH, Class D
30227FAJ9
2981649.35000000
PA
USD
2893880.18000000
0.350561615447
Long
ABS-MBS
CORP
US
Y
2
2038-07-15
Floating
4.25000160
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
31339UQD5
4151747.23000000
PA
USD
4029546.94000000
0.488135097841
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-59, Class FA
38375LPU8
37320.41000000
PA
USD
37499.20000000
0.004542613830
Long
ABS-MBS
USGA
US
N
2
2037-10-20
Floating
2.62643040
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
-636.00000000
NC
USD
-1795793.35000000
-0.21754052643
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
U.S. Treasury 10 Year Notes
2022-09-21
-77045437.50000000
USD
-1795793.35000000
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3843, Class FE
3137A9HT6
236343.02000000
PA
USD
235794.86000000
0.028563942490
Long
ABS-MBS
USGSE
US
N
2
2041-04-15
Floating
2.54913840
N
N
N
N
N
N
FHLMC STACR Trust
N/A
FHLMC STACR Trust, Series 2020-DNA3, Class B1
35565WBD3
1963643.71000000
PA
USD
2022553.02000000
0.245009955463
Long
ABS-MBS
CORP
US
Y
2
2050-06-25
Floating
7.35900120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MNNB8
1385894.23000000
PA
USD
1380667.00000000
0.167252554981
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, Single Family, 30 Year
01F030686
-123608802.00000000
PA
USD
-119033174.98000000
-14.4195542031
Short
ABS-MBS
USGSE
US
N
2
2052-08-25
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXJG8
0.01000000
PA
USD
0.01000000
0.000000001211
Long
ABS-MBS
USGSE
US
N
2
2058-05-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3132ACSS0
2631851.67000000
PA
USD
2573389.16000000
0.311737668801
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MJ6R1
4684860.92000000
PA
USD
4529545.27000000
0.548704372097
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140QPQ67
3431771.13000000
PA
USD
3440493.97000000
0.416777837726
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3140FXFH0
1830717.68000000
PA
USD
1775885.01000000
0.215128850965
Long
ABS-MBS
USGSE
US
N
2
2057-02-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133B9MB7
3356903.22000000
PA
USD
3344243.70000000
0.405118180781
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140XGFX2
18574222.20000000
PA
USD
17392017.35000000
2.106850774346
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418ATD0
106582.50000000
PA
USD
105022.88000000
0.012722361736
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
31346YMN0
5791380.13000000
PA
USD
5620919.77000000
0.680912336484
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, Single Family, 30 Year
01F050684
-16000000.00000000
PA
USD
-16432640.00000000
-1.99063280652
Short
ABS-MBS
USGSE
US
N
2
2052-08-25
Fixed
5.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617J6W91
10411.02000000
PA
USD
10881.44000000
0.001318166249
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
5.00000000
N
N
N
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2021-9, Class A1
69360XAA4
6127385.60000000
PA
USD
5749666.59000000
0.696508591476
Long
ABS-MBS
CORP
US
Y
2
2026-10-25
Variable
2.36300040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MJWN1
1912194.19000000
PA
USD
1791660.79000000
0.217039912438
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, Other
36179UMA7
216446.08000000
PA
USD
218842.34000000
0.026510331964
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140LQC81
6585497.01000000
PA
USD
6173191.03000000
0.747813898756
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MHU56
1659816.52000000
PA
USD
1652977.03000000
0.200239906938
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 15 Year
3132CWDV3
1010343.69000000
PA
USD
987888.40000000
0.119671766571
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3138WTUT1
1689562.57000000
PA
USD
1664839.20000000
0.201676877793
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2015-C02, Class 1M2
30711XAX2
6445834.43000000
PA
USD
6445834.43000000
0.780841634806
Long
ABS-MBS
CORP
US
N
2
2025-05-25
Floating
6.25899960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140X6NZ0
482298.81000000
PA
USD
484921.58000000
0.058742892544
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2017-C07, Class 2M2
30711XWX8
5202632.64000000
PA
USD
5257055.72000000
0.636834226391
Long
ABS-MBS
CORP
US
N
2
2030-05-25
Floating
4.75899840
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31418ALK2
208923.70000000
PA
USD
205897.15000000
0.024942165200
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2020-98, Class AI
3136BDLE6
25873447.63000000
PA
USD
4306578.44000000
0.521694403731
Long
ABS-MBS
USGSE
US
N
2
2061-01-25
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140QPKP1
14828386.08000000
PA
USD
14678351.28000000
1.778120107521
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MN3M6
45988849.00000000
PA
USD
47591749.40000000
5.765214699254
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140KQQE4
702823.65000000
PA
USD
659113.52000000
0.079844321797
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133B42A2
2981752.84000000
PA
USD
2793849.43000000
0.338443995112
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3132ACLS7
580911.54000000
PA
USD
585940.51000000
0.070980219969
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
31417EMM0
221780.41000000
PA
USD
218567.61000000
0.026477051460
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140XFMH1
6735999.21000000
PA
USD
6317139.49000000
0.765251664503
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138W7HB3
451630.55000000
PA
USD
445021.84000000
0.053909479811
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 15 Year
3138WJDM7
18944.55000000
PA
USD
18777.84000000
0.002274727879
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M1
20754BAA9
11879081.31000000
PA
USD
11657228.30000000
1.412144432491
Long
ABS-MBS
CORP
US
Y
2
2042-01-25
Floating
2.71422000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140XBGG9
14301065.54000000
PA
USD
13466468.08000000
1.631313845375
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
31417GJ56
235072.61000000
PA
USD
231632.79000000
0.028059753687
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, Single Family, 30 Year
01F032682
-12319088.00000000
PA
USD
-12191376.01000000
-1.47685052688
Short
ABS-MBS
USGSE
US
N
2
2052-08-25
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
31334YMG9
126418.53000000
PA
USD
122697.60000000
0.014863458813
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 3380, Class FM
31397KTJ0
71992.00000000
PA
USD
72437.66000000
0.008775022298
Long
ABS-MBS
USGSE
US
N
2
2037-10-15
Floating
2.58914160
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2426, Class FL
31339W7G5
38394.75000000
PA
USD
38687.63000000
0.004686578996
Long
ABS-MBS
USGSE
US
N
2
2032-03-15
Floating
2.64913920
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133A3FP8
416360.35000000
PA
USD
413662.44000000
0.050110634924
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Ultra Bond
N/A
106.00000000
NC
USD
882107.20000000
0.106857542743
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury 10 Year Ultra Bonds
2022-09-21
13912500.00000000
USD
882107.20000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2008-16, Class FC
383742FU2
30656.32000000
PA
USD
30725.33000000
0.003722034310
Long
ABS-MBS
USGA
US
N
2
2038-02-20
Floating
2.62643040
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3132DNP49
5140106.00000000
PA
USD
5192676.23000000
0.629035362370
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.00000000
N
N
N
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2021-RPL2, Class A3
69357QAC0
2600000.00000000
PA
USD
2367921.40000000
0.286847519455
Long
ABS-MBS
CORP
US
Y
2
2051-10-25
Variable
2.48500080
N
N
N
N
N
N
Pawneee Equipment Receivables LLC
N/A
Pawneee Equipment Receivables LLC, Series 2022-1, Class A1
70410DAA6
4000000.00000000
PA
USD
3997991.48000000
0.484312502452
Long
ABS-O
CORP
US
Y
2
2023-08-15
Fixed
3.80900000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2013-130, Class FN
3136AHG53
151302.18000000
PA
USD
150756.31000000
0.018262461568
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Floating
2.60899920
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133B7FX1
1900362.80000000
PA
USD
1837693.34000000
0.222616247355
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140XHCF2
5773758.04000000
PA
USD
5791123.60000000
0.701530650266
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MUUU2
2001371.71000000
PA
USD
2018467.21000000
0.244515004717
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.00000000
N
N
N
N
N
N
Eagle RE Ltd.
254900SAV74IHXQ8XY35
Eagle RE Ltd., Series 2020-1, Class M1A
26982LAA8
414509.31000000
PA
USD
412118.34000000
0.049923584267
Long
ABS-MBS
CORP
BM
Y
2
2030-01-25
Floating
3.15900000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
3617GDT77
314382.24000000
PA
USD
321430.08000000
0.038937703391
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
4.50000000
N
N
N
N
N
N
Pagaya AI Debt Trust
N/A
Pagaya AI Debt Trust, Series 2022-1, Class A
69546MAA5
1870006.92000000
PA
USD
1783257.73000000
0.216021974547
Long
ABS-O
CORP
US
Y
2
2029-10-15
Fixed
2.03000000
N
N
N
N
N
N
Point Securitization Trust
N/A
Point Securitization Trust, Series 2021-1, Class A1
73090AAA3
2260866.45000000
PA
USD
2148108.45000000
0.260219608811
Long
ABS-O
CORP
US
Y
2
2052-02-25
Variable
3.22819920
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust, Series 2021-NR1, Class A1
12565YAA5
1679660.69000000
PA
USD
1599872.94000000
0.193806933069
Long
ABS-MBS
CORP
US
Y
2
2055-07-25
Variable
2.56899960
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2005-83, Class KT
31394FUL7
27278.81000000
PA
USD
27097.61000000
0.003282576107
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Floating
2.55899880
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
31329MVA5
60012.75000000
PA
USD
59135.26000000
0.007163583488
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140JXJ58
247103.61000000
PA
USD
240004.75000000
0.029073924157
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MSF75
1313187.89000000
PA
USD
1324405.00000000
0.160437035201
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Structured Agency Credit Risk Debt Notes
N/A
FHLMC Structured Agency Credit Risk Debt Notes, Series 2022-DNA2, Class M1A
35564KRE1
2484386.53000000
PA
USD
2446167.80000000
0.296326206437
Long
ABS-MBS
CORP
US
Y
2
2042-02-25
Floating
2.81422080
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, Single Family, 15 Year
01F022485
20449526.00000000
PA
USD
19912582.80000000
2.412189434219
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-100, Class FG
3136A8QW3
11485.64000000
PA
USD
11424.57000000
0.001383960449
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Floating
2.65899960
N
N
N
N
N
N
Affirm Asset Securitization Trust
N/A
Affirm Asset Securitization Trust, Series 2021-A, Class C
00833MAC8
2150000.00000000
PA
USD
2050480.11000000
0.248393013909
Long
ABS-O
CORP
US
Y
2
2025-08-15
Fixed
1.66000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140QNLZ3
16999503.68000000
PA
USD
15927955.61000000
1.929495867866
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, Single Family, 30 Year
21H030682
2920876.00000000
PA
USD
2843899.23000000
0.344506975488
Long
ABS-MBS
USGA
US
N
2
2052-08-15
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179TSJ5
1417384.81000000
PA
USD
1463948.14000000
0.177341145095
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133BGBH0
4502735.01000000
PA
USD
4541194.00000000
0.550115487054
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.00000000
N
N
N
N
N
N
Mello Warehouse Securitization Trust
N/A
Mello Warehouse Securitization Trust, Series 2021-1, Class F
58550LAF2
3489000.00000000
PA
USD
3309005.63000000
0.400849477871
Long
ABS-MBS
CORP
US
Y
2
2055-02-25
Floating
5.00900040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140QNSU7
23742225.58000000
PA
USD
22883343.21000000
2.772064240243
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
31339SSN6
4730640.36000000
PA
USD
4591401.25000000
0.556197540758
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3138WGR97
2072920.01000000
PA
USD
2026803.26000000
0.245524825087
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140QCEU6
539495.38000000
PA
USD
527642.72000000
0.063918086719
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2007-18, Class FD
38375JC86
11262.09000000
PA
USD
11188.86000000
0.001355406786
Long
ABS-MBS
USGA
US
N
2
2037-04-20
Floating
2.42642880
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, Single Family, 15 Year
01F020489
40833003.00000000
PA
USD
38856236.49000000
4.707003810409
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Fixed
2.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, REMIC, Series 2469, Class FE
31392RC58
22520.36000000
PA
USD
22647.52000000
0.002743496863
Long
ABS-MBS
USGSE
US
N
2
2032-07-15
Floating
2.49914160
N
N
N
N
N
N
NRZ Excess Spread-Collateralized Notes
N/A
NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A
62955MAB2
5254452.07000000
PA
USD
4676148.65000000
0.566463752073
Long
ABS-O
CORP
US
Y
2
2026-07-25
Fixed
3.10400000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3138WJTF5
407980.29000000
PA
USD
398903.85000000
0.048322794782
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA II, 30 Year
36179TXV2
321343.22000000
PA
USD
327093.98000000
0.039623822307
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2010-133, Class FD
38377MHV1
50067.71000000
PA
USD
50075.88000000
0.006066139679
Long
ABS-MBS
USGA
US
N
2
2040-10-16
Floating
2.58599880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Other
3138ETLU8
0.01000000
PA
USD
0.01000000
0.000000001211
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
3.00000000
N
N
N
N
N
N
NRZ Excess Spread-Collateralized Notes
N/A
NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A
433674AA6
1861983.88000000
PA
USD
1726850.96000000
0.209188917481
Long
ABS-O
CORP
US
Y
2
2025-12-25
Fixed
3.84400000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133BAFN6
936364.46000000
PA
USD
932449.08000000
0.112955905384
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140K8U25
3121240.61000000
PA
USD
3030248.36000000
0.367081114010
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2005-65, Class FA
38374LL25
32690.36000000
PA
USD
32303.64000000
0.003913229131
Long
ABS-MBS
USGA
US
N
2
2035-08-20
Floating
2.27643120
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140XF5Z0
14626137.22000000
PA
USD
14113013.13000000
1.709635635874
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, REMIC, Series 2012-126, Class SY
3136A9ZR2
473554.30000000
PA
USD
356115.15000000
0.043139416459
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Floating
1.74099960
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133KNAK9
11677399.85000000
PA
USD
11568705.56000000
1.401420880440
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3131YDFA7
485208.51000000
PA
USD
493012.70000000
0.059723042350
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 30 Year
3133APYB9
0.01000000
PA
USD
0.01000000
0.000000001211
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Pool
S6XOOCT0IEG5ABCC6L87
UMBS, 15 Year
3131XC5X1
101367.05000000
PA
USD
101827.32000000
0.012335254943
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
3.00000000
N
N
N
N
N
N
Connecticut Avenue Securities Trust
N/A
Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M1
20753YCH3
1571478.24000000
PA
USD
1554929.69000000
0.188362554814
Long
ABS-MBS
CORP
US
Y
2
2042-03-25
Floating
3.51421920
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, Single Family, 30 Year
01F040685
82638293.00000000
PA
USD
83048178.93000000
10.06036945373
Long
ABS-MBS
USGSE
US
N
2
2052-08-25
Fixed
4.00000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 15 Year
3140K1TP1
76547.95000000
PA
USD
76280.74000000
0.009240568986
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA or FHLMC
N/A
UMBS, Single Family, 30 Year
01F022683
44336481.00000000
PA
USD
41298323.64000000
5.002835691177
Long
ABS-MBS
USGSE
US
N
2
2052-08-25
Fixed
2.50000000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS, 30 Year
3140MGJG7
383780.96000000
PA
USD
359678.27000000
0.043571049086
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2004-69, Class CF
38374JAT3
46379.68000000
PA
USD
46326.67000000
0.005611964305
Long
ABS-MBS
USGA
US
N
2
2034-07-20
Floating
2.52642960
N
N
N
N
N
N
2022-08-30
Janus Detroit Street Trust
Jesper Nergaard
Jesper Nergaard
VP, CFO, Treasurer, and Principal Accounting Officer
XXXX
NPORT-EX
2
JH_Mor_Back_Sec_ETF.htm
7.31 PART F
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
Shares/
Principal
Amounts
Value
Asset-Backed
Securities
-
3.7%
Affirm
Asset
Securitization
Trust,
1.6600%,
8/15/25
(144A)
$
2,150,000
$
2,050,480
FREED
ABS
Trust,
6.9600%,
9/20/27
(144A)
3,423,626
3,434,662
Lendbuzz
Securitization
Trust,
4.2200%,
5/17/27
(144A)
2,278,043
2,248,685
Lendingpoint
Asset
Securitization
Trust,
1.6800%,
6/15/29
(144A)
1,575,598
1,543,404
NRZ
Excess
Spread-Collateralized
Notes,
3.8440%,
12/25/25
(144A)
1,861,984
1,726,851
NRZ
Excess
Spread-Collateralized
Notes,
3.1040%,
7/25/26
(144A)
5,254,452
4,676,149
Pagaya
AI
Debt
Trust,
2.0300%,
10/15/29
(144A)
1,870,007
1,783,258
Pawneee
Equipment
Receivables
LLC,
3.8090%,
8/15/23
(144A)
4,000,000
3,997,991
Point
Securitization
Trust,
3.2282%,
2/25/52
(144A)
‡
2,260,866
2,148,108
PRET
LLC,
2.4871%,
10/25/51
(144A)
‡
4,085,080
3,828,919
Sunnova
Helios
II
Issuer
LLC,
2.0100%,
7/20/48
(144A)
2,009,735
1,748,813
Upstart
Securitization
Trust,
0.8700%,
3/20/31
(144A)
1,233,740
1,221,789
Total
Asset-Backed
Securities
(cost
$31,965,792)
30,409,109
Mortgage-Backed
Securities
-
161.4%
Chase
Mortgage
Finance
Corp.
SOFR30A
+
1.3500%,
2.8642%, 2/25/50
(144A)
‡
2,144,506
2,017,832
SOFR30A
+
1.5500%,
3.0642%, 2/25/50
(144A)
‡
2,542,865
2,388,385
CIM
Trust
,
2.5690
%
,
7/25/55
(144A)
Ç
1,679,661
1,599,873
Connecticut
Avenue
Securities
Trust
ICE
LIBOR
USD
1
Month
+
2.4000%,
4.6590%, 4/25/31
(144A)
‡
221,086
220,444
ICE
LIBOR
USD
1
Month
+
2.4500%,
4.7090%, 7/25/31
(144A)
‡
123,971
123,778
ICE
LIBOR
USD
1
Month
+
2.1500%,
4.4090%, 9/25/31
(144A)
‡
2,591,370
2,588,778
SOFR30A
+
1.0000%,
2.5142%, 12/25/41
(144A)
‡
1,636,425
1,593,523
SOFR30A
+
1.2000%,
2.7142%, 1/25/42
(144A)
‡
11,879,081
11,657,228
SOFR30A
+
2.0000%,
3.5142%, 3/25/42
(144A)
‡
1,571,478
1,554,930
SOFR30A
+
2.1000%,
3.6142%, 3/25/42
(144A)
‡
3,904,089
3,868,905
SOFR30A
+
2.7500%,
4.2642%, 5/25/42
(144A)
‡
1,885,456
1,895,455
Eagle
RE
Ltd.
,
ICE
LIBOR
USD
1
Month
+
0.9000%
,
3.1590
%
,
1/25/30
(144A)
‡
414,509
412,118
Extended
Stay
America
Trust
,
ICE
LIBOR
USD
1
Month
+
2.2500%
,
4.2500
%
,
7/15/38
(144A)
‡
2,981,649
2,893,880
FHLMC
ICE
LIBOR
USD
1
Month
+
0.3500%,
2.3491%, 2/15/32
‡
26,786
26,758
ICE
LIBOR
USD
1
Month
+
0.6500%,
2.6491%, 3/15/32
‡
38,395
38,688
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.4991%, 7/15/32
‡
22,520
22,647
ICE
LIBOR
USD
1
Month
+
0.4000%,
2.3991%, 1/15/33
‡
24,418
24,419
ICE
LIBOR
USD
1
Month
+
0.2500%,
2.2491%, 9/15/35
‡
22,170
22,214
ICE
LIBOR
USD
1
Month
+
0.5900%,
2.5891%, 10/15/37
‡
71,992
72,438
ICE
LIBOR
USD
1
Month
+
0.3000%,
2.2991%, 8/15/40
‡
32,926
33,014
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.4991%, 9/15/40
‡
71,272
71,245
ICE
LIBOR
USD
1
Month
+
0.5500%,
2.5491%, 4/15/41
‡
236,343
235,795
3.5000%, 8/1/42
67,596
68,257
3.5000%, 8/1/42
64,259
64,887
3.0000%, 3/1/43
641
631
3.0000%, 6/1/43
68,904
67,088
3.0000%, 11/1/43
1,132,315
1,115,918
FHLMC
Multifamily
Structured
Credit
Risk
,
SOFR30A
+
2.0000%
,
3.5142
%
,
1/25/51
(144A)
‡
1,480,760
1,376,124
FHLMC
STACR
REMIC
Trust
SOFR30A
+
1.3000%,
2.8142%, 2/25/42
(144A)
‡
2,484,387
2,446,168
ICE
LIBOR
USD
1
Month
+
5.1000%,
7.3590%, 6/25/50
(144A)
‡
1,963,644
2,022,553
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FHLMC
STACR
Trust
,
ICE
LIBOR
USD
1
Month
+
1.9500%
,
4.2090
%
,
10/25/49
(144A)
‡
$
3,114,690
$
3,105,986
FHLMC
Structured
Agency
Credit
Risk
Debt
Notes
,
SOFR30A
+
2.6500%
,
4.1739
%
,
7/25/42
(144A)
‡
2,628,000
2,634,801
FHLMC
UMBS
3.0000%, 5/1/31
113,942
114,217
2.5000%, 12/1/31
14,406
14,280
3.0000%, 9/1/32
101,367
101,827
3.0000%, 1/1/33
60,746
61,022
2.5000%, 12/1/33
483,364
479,112
2.5000%, 11/1/34
1,010,344
987,888
3.0000%, 3/1/43
2,888,614
2,846,378
3.0000%, 4/1/43
60,013
59,135
3.5000%, 12/1/44
580,912
585,940
3.0000%, 10/1/46
2,631,852
2,573,389
3.0000%, 12/1/46
17,263
16,880
4.0000%, 3/1/47
162,183
165,443
3.0000%, 4/1/47
1,337,929
1,308,209
4.0000%, 11/1/47
465,907
476,690
3.0000%, 12/1/47
24,918
24,364
4.5000%, 8/1/48
133,461
137,422
5.0000%, 9/1/48
83,662
86,598
4.5000%, 12/1/48
391,622
405,760
4.5000%, 12/1/48
32,723
33,970
4.0000%, 5/1/49
485,209
493,013
3.0000%, 8/1/49
126,419
122,698
3.0000%, 8/1/49
2,686,067
2,604,784
3.0000%, 8/1/49
103,521
100,474
3.5000%, 8/1/49
369,526
368,990
3.0000%, 10/1/49
4,151,747
4,029,547
3.0000%, 10/1/49
4,730,640
4,591,401
3.0000%, 11/1/49
5,791,380
5,620,920
3.0000%, 11/1/49
4,014,024
3,895,877
3.0000%, 11/1/49
3,695,410
3,586,641
3.0000%, 12/1/49
5,535,325
5,372,401
3.0000%, 3/1/50
330,767
320,853
3.5000%, 3/1/50
416,360
413,662
2.0000%, 9/1/51
996,111
897,246
2.0000%, 9/1/51
1,062,681
957,208
2.5000%, 2/1/52
2,981,753
2,793,849
3.0000%, 2/1/52
1,475,859
1,426,557
3.0000%, 2/1/52
1,122,720
1,085,901
3.5000%, 2/1/52
4,256,209
4,218,864
2.5000%, 3/1/52
965,160
903,752
3.0000%, 3/1/52
1,900,363
1,837,693
3.5000%, 4/1/52
936,364
932,449
3.5000%, 4/1/52
3,356,903
3,344,244
3.5000%, 4/1/52
3,048,260
3,036,765
3.5000%, 4/1/52
1,118,216
1,113,608
3.5000%, 5/1/52
11,677,400
11,568,706
3.5000%, 6/1/52
13,783,721
13,773,205
3.5000%, 7/1/52
5,053,791
5,048,366
4.0000%, 7/1/52
4,502,735
4,541,194
4.0000%, 8/1/52
5,140,106
5,192,676
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FHLMC
UMBS
-
(continued)
5.0000%, 8/1/52
$
45,000,000
$
47,411,288
FNMA
ICE
LIBOR
USD
1
Month
+
2.6000%,
4.8590%, 5/25/24
‡
1,903,865
1,913,385
ICE
LIBOR
USD
1
Month
+
4.9000%,
7.1590%, 11/25/24
‡
607,281
625,319
ICE
LIBOR
USD
1
Month
+
4.0000%,
6.2590%, 5/25/25
‡
6,445,834
6,445,834
ICE
LIBOR
USD
1
Month
+
5.0000%,
7.2590%, 7/25/25
‡
2,430,932
2,430,932
ICE
LIBOR
USD
1
Month
+
5.7000%,
7.9590%, 4/25/28
‡
1,044,530
1,092,698
ICE
LIBOR
USD
1
Month
+
2.5000%,
4.7590%, 5/25/30
‡
5,202,633
5,257,056
ICE
LIBOR
USD
1
Month
+
2.0000%,
4.2590%, 3/25/31
‡
2,802,826
2,800,386
ICE
LIBOR
USD
1
Month
+
0.4000%,
2.6590%, 4/25/32
‡
33,373
33,373
ICE
LIBOR
USD
1
Month
+
0.5500%,
2.8090%, 4/25/32
‡
23,726
23,807
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.7590%, 9/25/33
‡
33,353
33,411
ICE
LIBOR
USD
1
Month
+
0.3000%,
2.5590%, 10/25/35
‡
27,279
27,098
ICE
LIBOR
USD
1
Month
+
0.3500%,
2.6090%, 4/25/36
‡
91,727
91,300
ICE
LIBOR
USD
1
Month
+
0.5200%,
2.7790%, 9/25/37
‡
28,094
28,132
3.0000%, 4/1/38
235,073
231,633
ICE
LIBOR
USD
1
Month
+
0.4000%,
2.6590%, 9/25/40
‡
17,261
17,362
ICE
LIBOR
USD
1
Month
+
55.0000%,
36.1555%, 10/25/40
‡
41,248
108,977
ICE
LIBOR
USD
1
Month
+
0.4300%,
2.6890%, 11/25/40
‡
17,952
17,919
SOFR30A
+
2.0000%,
3.5142%, 11/25/41
(144A)
‡
2,386,000
2,201,202
3.0000%, 9/1/42
265,690
261,841
ICE
LIBOR
USD
1
Month
+
0.4000%,
2.6590%, 9/25/42
‡
11,486
11,425
3.0000%, 10/1/42
208,924
205,897
ICE
LIBOR
USD
1
Month
+
0.3500%,
2.6090%, 10/25/42
‡
151,302
150,756
ICE
LIBOR
USD
1
Month
+
4.0000%,
1.7410%, 11/25/42
‡
473,554
356,115
3.0000%, 1/1/43
364,716
359,433
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.7590%, 2/25/43
‡
49,272
49,224
3.0000%, 3/1/43
451,631
445,022
3.0000%, 5/1/43
106,583
105,023
3.0000%, 8/1/43
196,882
197,470
3.0000%, 6/1/46
392,132
381,041
3.0000%, 11/1/46
79,384
77,970
3.0000%, 2/1/57
1,830,718
1,775,885
3.5000%, 1/25/61
(a)
25,873,448
4,306,578
FNMA
UMBS
2.5000%, 8/1/31
16,587
16,441
2.5000%, 10/1/31
18,945
18,778
2.5000%, 2/1/32
17,292
17,140
3.0000%, 11/1/34
69,835
69,591
3.0000%, 12/1/34
76,548
76,281
3.0000%, 1/1/43
221,780
218,568
3.0000%, 5/1/43
1,689,563
1,664,839
3.0000%, 5/1/43
1,248,126
1,229,863
3.0000%, 10/1/44
1,006,785
992,201
3.5000%, 12/1/45
553,521
556,531
3.0000%, 1/1/46
18,281
17,879
3.5000%, 1/1/46
50,611
50,886
3.0000%, 3/1/46
2,072,920
2,026,803
3.0000%, 9/1/46
46,857
46,172
3.0000%, 10/1/46
1,506,110
1,472,603
3.0000%, 1/1/47
358,626
353,378
3.0000%, 1/1/47
94,686
92,579
3.0000%, 1/1/47
407,980
398,904
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FNMA
UMBS
-
(continued)
3.5000%, 3/1/47
$
482,299
$
484,922
4.0000%, 5/1/47
348,154
356,738
3.5000%, 7/1/47
427,413
429,738
3.5000%, 8/1/47
161,760
163,103
3.5000%, 12/1/47
170,924
172,342
3.0000%, 2/1/48
539,495
527,643
3.0000%, 4/1/48
28,722,897
28,302,595
5.0000%, 5/1/48
1,748,754
1,810,142
3.5000%, 7/1/48
11,027,312
11,067,882
4.0000%, 2/1/49
1,261,622
1,281,970
3.0000%, 8/1/49
132,690
128,784
3.0000%, 8/1/49
127,627
123,869
3.0000%, 9/1/49
247,104
240,005
3.0000%, 5/1/50
3,121,241
3,030,248
2.5000%, 10/1/50
702,824
659,113
2.5000%, 6/1/51
14,301,066
13,466,468
2.0000%, 9/1/51
977,047
880,072
3.0000%, 9/1/51
3,970,329
3,833,371
2.5000%, 12/1/51
25,853,103
24,256,251
2.5000%, 1/1/52
6,735,999
6,317,139
2.5000%, 2/1/52
6,585,497
6,173,191
2.5000%, 2/1/52
32,680,119
30,620,158
3.0000%, 2/1/52
12,990,112
12,533,707
2.5000%, 3/1/52
1,164,130
1,089,539
2.5000%, 3/1/52
16,999,504
15,927,956
2.5000%, 3/1/52
6,301,883
5,907,388
2.5000%, 3/1/52
383,781
359,678
2.5000%, 3/1/52
18,574,222
17,392,017
2.5000%, 3/1/52
1,912,194
1,791,661
2.5000%, 3/1/52
1,103,882
1,033,622
3.0000%, 3/1/52
5,547,405
5,361,094
3.0000%, 3/1/52
23,742,226
22,883,343
3.0000%, 3/1/52
14,626,137
14,113,013
3.5000%, 3/1/52
5,928,802
5,925,201
3.0000%, 4/1/52
4,684,861
4,529,545
3.0000%, 4/1/52
4,113,781
3,974,848
3.0000%, 4/1/52
14,743,960
14,207,731
3.5000%, 4/1/52
5,773,758
5,791,123
3.5000%, 4/1/52
1,659,817
1,652,977
3.5000%, 4/1/52
4,470,337
4,451,642
3.5000%, 4/1/52
4,026,010
4,010,825
3.5000%, 4/1/52
1,290,460
1,285,063
3.5000%, 4/1/52
1,385,894
1,380,667
3.0000%, 5/1/52
8,714,343
8,397,407
3.5000%, 5/1/52
25,666,980
25,740,192
3.5000%, 5/1/52
4,490,349
4,473,065
3.5000%, 6/1/52
23,939,888
24,000,739
3.5000%, 6/1/52
13,828,543
13,895,439
3.5000%, 6/1/52
2,412,819
2,410,230
3.5000%, 6/1/52
4,620,565
4,574,208
3.5000%, 6/1/52
14,828,386
14,678,351
4.0000%, 6/1/52
4,683,883
4,723,892
4.0000%, 6/1/52
1,313,188
1,324,405
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
FNMA
UMBS
-
(continued)
3.5000%, 7/1/52
$
12,057,973
$
12,045,032
3.5000%, 7/1/52
3,431,771
3,440,494
4.0000%, 7/1/52
2,001,372
2,018,467
4.5000%, 7/1/52
2,373,517
2,425,086
5.0000%, 7/1/52
45,988,849
47,591,749
4.5000%, 8/1/52
23,734,540
24,231,949
FNMA/FHLMC
UMBS,
15
Year,
Single
Family
2.0000%,
TBA, 15
Year
Maturity
(b)
40,833,003
38,856,236
2.5000%,
TBA, 15
Year
Maturity
(b)
20,449,526
19,912,583
3.0000%,
TBA, 15
Year
Maturity
(b)
62,427,503
61,987,701
3.5000%,
TBA, 15
Year
Maturity
(b)
49,447,329
49,813,239
4.0000%,
TBA, 15
Year
Maturity
(b)
1,501,500
1,526,095
FNMA/FHLMC
UMBS,
30
Year,
Single
Family
2.5000%,
TBA, 30
Year
Maturity
(b)
44,336,481
41,298,324
4.0000%,
TBA, 30
Year
Maturity
(b)
82,638,293
83,048,179
4.5000%,
TBA, 30
Year
Maturity
(b)
110,798,439
112,691,984
5.5000%,
TBA, 30
Year
Maturity
(b)
40,000,000
41,260,000
FREMF
Mortgage
Trust
,
ICE
LIBOR
USD
1
Month
+
6.0000%
,
7.7867
%
,
9/25/29
(144A)
‡
1,249,211
1,204,372
GNMA
ICE
LIBOR
USD
1
Month
+
0.4000%,
2.5560%, 8/16/29
‡
21,001
21,018
ICE
LIBOR
USD
1
Month
+
0.4000%,
2.5264%, 7/20/34
‡
46,380
46,327
ICE
LIBOR
USD
1
Month
+
0.3000%,
2.4560%, 8/16/34
‡
35,224
35,132
ICE
LIBOR
USD
1
Month
+
0.2000%,
2.3264%, 6/20/35
‡
26,962
26,724
ICE
LIBOR
USD
1
Month
+
0.1500%,
2.2764%, 8/20/35
‡
32,690
32,304
ICE
LIBOR
USD
1
Month
+
0.3000%,
2.4264%, 4/20/37
‡
11,262
11,189
ICE
LIBOR
USD
1
Month
+
0.3100%,
2.4364%, 6/20/37
‡
30,940
30,779
ICE
LIBOR
USD
1
Month
+
0.3200%,
2.4464%, 7/20/37
‡
49,555
49,401
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.6264%, 10/20/37
‡
37,320
37,499
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.6264%, 10/20/37
‡
15,501
15,576
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.6264%, 2/20/38
‡
30,656
30,725
ICE
LIBOR
USD
1
Month
+
0.5000%,
2.6264%, 2/20/38
‡
62,013
62,201
ICE
LIBOR
USD
1
Month
+
0.6000%,
2.7560%, 1/16/40
‡
10,148
10,227
ICE
LIBOR
USD
1
Month
+
0.3500%,
2.4764%, 6/20/40
‡
725
723
ICE
LIBOR
USD
1
Month
+
0.4300%,
2.5860%, 10/16/40
‡
50,068
50,076
0.0000%, 5/16/41
¤
4,839,263
4,020,968
ICE
LIBOR
USD
1
Month
+
0.3000%,
2.4264%, 7/20/41
‡
22,583
22,522
4.5000%, 2/20/48
1,417,385
1,463,948
4.0000%, 5/20/48
321,343
327,094
4.0000%, 6/20/48
1,072,269
1,091,459
4.5000%, 7/20/48
314,382
321,430
4.5000%, 11/20/48
203,645
209,566
5.0000%, 1/20/49
10,411
10,881
4.0000%, 2/20/49
216,446
218,842
4.0000%, 4/20/49
166,397
168,239
3.0000%, 7/20/51
19,873,855
19,438,737
3.0000%, 8/20/51
32,925,509
32,195,498
2.5000%,
TBA, 30
Year
Maturity
(b)
21,077,414
19,942,290
3.0000%,
TBA, 30
Year
Maturity
(b)
2,920,876
2,843,899
3.5000%,
TBA, 30
Year
Maturity
(b)
28,311,337
28,180,284
4.0000%,
TBA, 30
Year
Maturity
(b)
18,017,249
18,204,088
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
Shares/
Principal
Amounts
Value
Mortgage-Backed
Securities
-
(continued)
JPMorgan
Mortgage
Trust
,
3.0000
%
,
6/25/45
(144A)
‡
$
644,229
$
607,070
Mello
Warehouse
Securitization
Trust
,
ICE
LIBOR
USD
1
Month
+
2.7500%
,
5.0090
%
,
2/25/55
(144A)
‡
3,489,000
3,309,006
Multifamily
Connecticut
Avenue
Securities
Trust
,
ICE
LIBOR
USD
1
Month
+
3.7500%
,
6.0090
%
,
3/25/50
(144A)
‡
2,500,000
2,311,309
PRPM
LLC
2.3630%, 10/25/26
(144A)
Ç
6,127,386
5,749,667
2.4870%, 10/25/26
(144A)
Ç
11,812,225
11,199,571
2.2370%, 10/25/51
(144A)
‡
2,000,000
1,816,903
2.4850%, 10/25/51
(144A)
‡
2,600,000
2,367,921
Sequoia
Mortgage
Trust
2.5000%, 5/25/43
(144A)
‡
892,869
812,289
4.0000%, 9/25/49
(144A)
‡
133,413
131,652
TPI
RE-REMIC
Trust
0.0000%, 7/25/46
(144A)
¤
5,274,000
4,983,063
0.0000%, 8/25/46
(144A)
¤
3,230,000
3,037,339
Total
Mortgage-Backed
Securities
(cost
$1,336,560,477)
1,332,674,295
Preferred
Stock
-
0.1%
Mortgage
Real
Estate
Investment
Trusts
(REITs)
-
0.1%
New
Residential
Investment
Corp.,
7.0000%, 11/15/26
(cost
$991,600)
40,000
887,600
Investment
Companies
-
7.8%
Money
Market
Funds
-
7.8%
Janus
Henderson
Cash
Liquidity
Fund
LLC,
1.9375%
£,∞
(cost
$64,061,650)
64,061,650
64,068,056
Total
Investments
(total
cost
$1,433,579,519
)
-
173.0%
1,428,039,060
Liabilities,
net
of
Cash,
Receivables
and
Other
Assets
-
(73.0%)
(602,552,969)
Net
Assets
-
100.0%
$825,486,091
Summary
of
Investments
by
Country
-
(Long
Positions)
(unaudited)
Country
Value
%
of
Investment
Securities
United
States
$
1,427,626,942
100.0
%
Bermuda
412,118
0.0
Total
$
1,428,039,060
100.0
%
Schedule
of
TBA
sales
commitments
-
(%
of
Net
Assets)
Principal
Amounts
Value
Securities
Sold
Short
-
(23.8)%
Mortgage-Backed
Securities
-
(23.8)%
FNMA/FHLMC
UMBS,
30
Year,
Single
Family,
3.0000%,
TBA,
30
Year
Maturity
(b)
$
(123,608,802)
$
(119,033,175)
FNMA/FHLMC
UMBS,
30
Year,
Single
Family,
3.5000%,
TBA,
30
Year
Maturity
(b)
(30,305,863)
(29,940,636)
FNMA/FHLMC
UMBS,
30
Year,
Single
Family,
5.0000%,
TBA,
30
Year
Maturity
(b)
(46,000,000)
(47,171,840)
Total
Securities
Sold
Short
(proceeds
$191,357,364)
$
(196,145,651)
Summary
of
Investments
by
Country
-
(Short
Positions)
(unaudited)
Country
Value
%
of
Investment
Securities
United
States
$
(196,145,651)
100.0%
$–
–
%
Janus
Henderson
Mortgage-Backed
Securities
ETF
Schedule
of
Investments
(unaudited)
July
31,
2022
Schedule
of
Affiliated
Investments
-
(%
of
Net
Assets)
Dividend
Income
Realized
Gain/(Loss)
Change
in
Unrealized
Appreciatio
n/
(Depreciation)
Value
at
7/31/22
Investment
Company
-
7.8%
Money
Market
Funds
-
7.8%
Janus
Henderson
Cash
Liquidity
Fund
LLC,
1.9375%
∞
$
379,010
$
10,678
$
896
$
64,068,056
Investments
Purchased
with
Cash
Collateral
from
Securities
Lending
-
N/A
Investment
Companies
-
N/A
Janus
Henderson
Cash
Collateral
Fund
LLC,
1.8180%
∞
267
Δ
–
–
–
Total
Affiliated
Investments
-
7.8%
$
379,277
$
10,678
$
896
$
64,068,056
Market
Value
at
10/31/21
Purchases
Sales
Market
Value
at
7/31/22
Investment
Company
-
7.8%
Money
Market
Funds
-
7.8%
Janus
Henderson
Cash
Liquidity
Fund
LLC,
1.9375%
∞
$
484,064,930
$
1,010,986,159
$
(1,430,994,607)
$
64,068,056
Investments
Purchased
with
Cash
Collateral
from
Securities
Lending
-
N/A
Investment
Companies
-
N/A
Janus
Henderson
Cash
Collateral
Fund
LLC,
1.8180%
∞
22,880
150,640
(173,520)
–
Total
Affiliated
Investments
-
7.8%
$
484,087,810
$
1,011,136,799
$
(1,431,168,127)
$
64,068,056
Schedule
of
Futures
Contracts
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
and
Unrealized
Appreciation
(Depreciation)
Futures
Long:
U.S.
Treasury
10
Year
Ultra
Bond
106
9/21/22
$
13,912,500
$
882,107
U.S.
Treasury
Ultra
Bond
29
9/21/22
4,591,063
299,028
Total
-
Futures
Long
1,181,135
Futures
Short:
U.S.
Treasury
10
Year
Note
636
9/21/22
(77,045,438)
(1,795,793)
U.S.
Treasury
2
Year
Note
1,402
9/30/22
(295,066,235)
(429,232)
Total
-
Futures
Short
(2,225,025)
Total
$(1,043,890)
Schedule
of
Centrally
Cleared
Credit
Default
Swaps
-
Buy
Protection
Referenced
Asset
Maturity
Date
Notional
Amount
Value
Premiums
Paid/
(Received)
Unrealized
Appreciation
(Depreciation)
CDX.NA.HY.38-V2,
Fixed
Rate
of
5.00%
Paid
Quarterly
6/20/27
$
8,350,000
$
(146,175)
$
(159,450)
$
(305,625)
CDX.NA.IG.38-V1,
Fixed
Rate
of
1.00%
Paid
Quarterly
6/20/27
20,850,000
(210,400)
318,520
108,120
Total
(356,575)
159,070
$(197,505)
Average
ending
Monthly
Value
of
Derivative
Instruments
During
the
Period
Ended
July
31,
2022
Futures
contracts:
Average
notional
amount
of
contracts
-
long
$32,875,804
Average
notional
amount
of
contracts
-
short
85,064,339
Credit
default
swaps:
Average
notional
amount
-
buy
protection
56,211,111
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Schedule
of
Investments
and
Other
Information
(unaudited)
July
31,
2022
FHLMC
Federal
Home
Loan
Mortgage
Corp.
FNMA
Federal
National
Mortgage
Association
GNMA
Government
National
Mortgage
Association
ICE
Intercontinental
Exchange
LIBOR
LIBOR
(London
Interbank
Offered
Rate)
is
a
short-term
interest
rate
that
banks
offer
one
another
and
generally
represents
current
cash
rates.
LLC
Limited
Liability
Company
SOFR30A
Secured
Overnight
Financing
Rate
30
Day
Average
TBA
(To
Be
Announced)
Securities
are
purchased/sold
on
a
forward
commitment
basis
with
an
approximate
principal
amount
and
no
defined
maturity
date.
The
actual
principal
and
maturity
date
will
be
determined
upon
settlement
when
specific
mortgage
pools
are
assigned.
UMBS
Uniform
Mortgage-Backed
Securities
∞
Rate
shown
is
the
7-day
yield
as
of
July
31,
2022.
£
The
Fund
may
invest
in
certain
securities
that
are
considered
affiliated
companies.
As
defined
by
the
Investment
Company
Act
of
1940,
as
amended,
an
affiliated
company
is
one
in
which
the
Fund
owns
5%
or
more
of
the
outstanding
voting
securities,
or
a
company
which
is
under
common
ownership
or
control.
Δ
Net
of
income
paid
to
the
securities
lending
agent
and
rebates
paid
to
the
borrowing
counterparties.
Ç
Step
bond.
The
coupon
rate
will
increase
or
decrease
periodically
based
upon
a
predetermined
schedule.
The
rate
shown
reflects
the
current
rate.
‡
The
interest
rate
on
floating
rate
notes
is
based
on
an
index
or
market
interest
rates
and
is
subject
to
change.
Rate
in
the
security
description
is
as
of
July
31,
2022
¤
Zero
coupon
bond.
144A
Securities
sold
under
Rule
144A
of
the
Securities
Act
of
1933,
as
amended,
are
subject
to
legal
and/or
contractual
restrictions
on
resale
and
may
not
be
publicly
sold
without
registration
under
the
1993
Act.
Unless
otherwise
noted,
these
securities
have
been
determined
to
be
liquid
in
accordance
with
the
requirements
of
Rule
22e-4,
under
the
1940
Act.
The
total
value
of
144A
securities
as
of
the
period
ended
July
31,
2022
is
$114,541,234
which
represents
13.9%
of
net
assets.
(a)
IO
–
Interest
Only
(b)
Settlement
is
on
a
delayed
delivery
or
when-issued
basis
with
final
maturity
TBA
in
the
future.
Janus
Henderson
Mortgage-Backed
Securities
ETF
Notes
to
Schedule
of
Investments
and
Other
Information
(unaudited)
July
31,
2022
The
following
is
a
summary
of
the
inputs
that
were
used
to
value
the
Fund's
investments
in
securities
and
other
financial
instruments
as
of
July
31,
2022
.
See
Notes
to
Financial
Statements
for
more
information.
Valuation
Inputs
Summary
Level
1
-
Quoted
Prices
Level
2
-
Other
Significant
Observable
Inputs
Level
3
-
Significant
Unobservable
Inputs
Assets
Investments
in
Securities:
Asset-Backed
Securities
$
—
$
30,409,109
$
—
Mortgage-Backed
Securities
—
1,332,674,295
—
Preferred
Stock
887,600
—
—
Investment
Companies
64,068,056
—
—
Total
Investments
in
Securities
$
64,955,656
$
1,363,083,404
$
—
Other
Financial
Instruments
(a)
:
Centrally
Cleared
Swaps
$
—
$
108,120
$
—
Futures
Contracts
1,181,135
—
—
Total
Other
Financial
Instruments
$
1,181,135
$
108,120
$
—
Total
Assets
$
66,136,791
$
1,363,191,524
$
—
Liabilities
TBA
sales
commitments:
Mortgage-Backed
Securities
$
—
$
196,145,651
$
—
Other
Financial
Instruments
(a)
:
Centrally
Cleared
Swaps
$
—
$
305,625
$
—
Futures
Contracts
2,225,025
—
—
Total
Liabilities
$
2,225,025
$
196,451,276
$
—
(a)
Other
financial
instruments
include
futures
and
swap
contracts.
Futures
contracts
and
swap
contracts
are
reported
at
their
unrealized
appreciation/
(depreciation)
at
measurement
date,
which
represents
the
change
in
the
contract’s
value
from
trade
date.
Investment
Valuation
Securities
held
by
the
Fund
are
valued
in
accordance
with
policies
and
procedures
established
by
and
under
the
supervision
of
the
Trustees
(the
“Valuation
Procedures”).
Equity
securities,
including
shares
of
exchange-traded
funds,
traded
on
a
domestic
securities
exchange
are
generally
valued
at
the
closing
prices
on
the
primary
market
or
exchange
on
which
they
trade.
If
such
price
is
lacking
for
the
trading
period
immediately
preceding
the
time
of
determination,
such
securities
are
generally
valued
at
their
current
bid
price.
Equity
securities
that
are
traded
on
a
foreign
exchange
are
generally
valued
at
the
closing
prices
on
such
markets.
In
the
event
that
there
is
no
current
trading
volume
on
a
particular
security
in
such
foreign
exchange,
the
bid
price
from
the
primary
exchange
is
generally
used
to
value
the
security.
Securities
that
are
traded
on
the
over-the-counter
(“OTC”)
markets
are
generally
valued
at
their
closing
or
latest
bid
prices
as
available.
Foreign
securities
and
currencies
are
converted
to
U.S.
dollars
using
the
applicable
exchange
rate
in
effect
at
the
close
of
the
London
Stock
Exchange.
The
Fund
will
determine
the
market
value
of
individual
securities
held
by
it
by
using
prices
provided
by
one
or
more
approved
professional
pricing
services
or,
as
needed,
by
obtaining
market
quotations
from
independent
broker-dealers.
Most
debt
securities
are
valued
in
accordance
with
the
evaluated
bid
price
supplied
by
the
pricing
service
that
is
intended
to
reflect
market
value.
The
evaluated
bid
price
supplied
by
the
pricing
service
is
an
evaluation
that
may
consider
factors
such
as
security
prices,
yields,
maturities
and
ratings.
Certain
short-
term
securities
maturing
within
60
days
or
less
may
be
evaluated
and
valued
on
an
amortized
cost
basis
provided
that
the
amortized
cost
determined
approximates
market
value.
Securities
for
which
market
quotations
or
evaluated
prices
are
not
readily
available,
or
are
deemed
unreliable,
are
valued
at
fair
value
determined
in
good
faith
under
the
Valuation
Procedures.
Circumstances
in
which
fair
value
pricing
may
be
utilized
include,
but
are
not
limited
to:
(i)
a
significant
event
that
may
affect
the
securities
of
a
single
issuer,
such
as
a
merger,
bankruptcy,
or
significant
issuer-
specific
development;
(ii)
an
event
that
may
affect
an
entire
market,
such
as
a
natural
disaster
or
significant
governmental
action;
(iii)
a
nonsignificant
event
such
as
a
market
closing
early
or
not
opening,
or
a
security
trading
halt;
and
(iv)
pricing
of
a
nonvalued
security
and
a
restricted
or
nonpublic
security.
Special
valuation
considerations
may
apply
with
respect
to
“odd-
lot”
fixed-income
transactions
which,
due
to
their
small
size,
may
receive
evaluated
prices
by
pricing
services
which
reflect
a
large
block
trade
and
not
what
actually
could
be
obtained
for
the
odd-lot
position.
Valuation
Inputs
Summary
FASB
ASC
820,
Fair
Value
Measurements
and
Disclosures
(“ASC
820”),
defines
fair
value,
establishes
a
framework
for
measuring
fair
value,
and
expands
disclosure
requirements
regarding
fair
value
measurements.
This
standard
emphasizes
that
fair
value
is
a
market-based
measurement
that
should
be
determined
based
on
the
assumptions
that
market
participants
would
use
in
pricing
an
asset
or
liability
and
establishes
a
hierarchy
that
prioritizes
inputs
to
valuation
techniques
used
to
measure
fair
value.
These
inputs
are
summarized
into
three
broad
levels:
Level
1
–
Unadjusted
quoted
prices
in
active
markets
the
Fund
has
the
ability
to
access
for
identical
assets
or
liabilities.
Level
2
–
Observable
inputs
other
than
unadjusted
quoted
prices
included
in
Level
1
that
are
observable
for
the
asset
or
liability
either
directly
or
indirectly.
These
inputs
may
include
quoted
prices
for
the
identical
instrument
on
an
inactive
market,
prices
for
similar
instruments,
interest
rates,
prepayment
speeds,
credit
risk,
yield
curves,
default
rates
and
similar
data.
Assets
or
liabilities
categorized
as
Level
2
in
the
hierarchy
generally
include:
debt
securities
fair
valued
in
accordance
with
the
evaluated
bid
or
ask
prices
supplied
by
a
pricing
service;
securities
traded
on
OTC
markets
and
listed
securities
for
which
no
sales
are
reported
that
are
fair
valued
at
the
latest
bid
price
(or
yield
equivalent
thereof)
obtained
from
one
or
more
dealers
transacting
in
a
market
for
such
securities
or
by
a
pricing
service
approved
by
the
Fund’s
Trustees;
and
certain
short-term
debt
securities
with
maturities
of
60
days
or
less
that
are
fair
valued
at
amortized
cost.
Other
securities
that
may
be
categorized
as
Level
2
in
the
hierarchy
include,
but
are
not
limited
to,
preferred
stocks,
bank
loans,
swaps,
investments
in
unregistered
investment
companies,
options,
and
forward
contracts.
Level
3
–
Unobservable
inputs
for
the
asset
or
liability
to
the
extent
that
relevant
observable
inputs
are
not
available,
representing
the
Fund’s
own
assumptions
about
the
assumptions
that
a
market
participant
would
use
in
valuing
the
asset
or
liability,
and
that
would
be
based
on
the
best
information
available.
The
inputs
or
methodology
used
for
fair
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities.
The
summary
of
inputs
used
as
of
July
31,
2022 to
fair
value
the
Fund’s
investments
in
securities
and
other
financial
instruments
is
included
in
the
“Valuation
Inputs
Summary”
in
the
Notes
to
Schedule
of
Investments
and
Other
Information.
For
additional
information
on
the
Fund,
please
refer
to
the
Fund's
most
recent
semiannual
or
annual
shareholder
report.