For Institutional Investors in the US

Sustainable & Impact Core Bond ETF Holdings

Full Portfolio Holdings

(As of November 29, 2022)

Ticker Cusip Underlying Security Strike Price Quantity (Shares/ Par/ Units/ Contracts) Notional Value Market Value Weight %
United States Treasury Note/Bond|.375|09/15/2024, 0.38%, 09/15/24 UST1 91282CCX7 - - 2,129,000 - $1,978,403 5.59
United States Treasury Note/Bond|3|07/31/2024, 3.00%, 07/31/24 UST1 91282CFA4 - - 1,697,000 - $1,670,127 4.72
Ginnie Mae II Pool|4.5|12/20/2022, 4.50%, 12/20/22 G2SF 21H0426C8 - - 1,500,000 - $1,458,627 4.12
United States Treasury Note/Bond|4.125|11/15/2032, 4.12%, 11/15/32 UST1 91282CFV8 - - 1,188,000 - $1,226,227 3.47
BX Commercial Mortgage Trust 2021-VOLT|4.57529|09/15/2036, 4.58%, 09/15/36 BX 05609VAA3 - - 1,000,000 - $961,834 2.72
Tesla Auto Lease Trust 2021-B|.36|09/22/2025, 0.36%, 09/22/25 TESLA 88161KAB1 - - 989,182 - $961,322 2.72
Freddie Mac Pool|5.5|11/01/2052, 5.50%, 11/01/52 FR 3132DPCD8 - - 782,835 - $800,860 2.27
United States Treasury Note/Bond|3.875|11/30/2027, 3.88%, 11/30/27 UST1 91282CFZ9 - - 685,000 - $683,288 1.94
GoodLeap Sustainable Home Solutions Trust 2021-3|2.1|05/20/2048, 2.10%, 05/20/48 GOOD 382371AA0 - - 846,225 - $604,356 1.71
Fannie Mae or Freddie Mac|4|12/13/2022, 4.00%, 12/13/22 FNCL 01F0406C6 - - 575,863 - $540,579 1.53
Fannie Mae Pool|2.5|03/01/2052, 2.50%, 03/01/52 FN 3140QNLZ3 - - 599,365 - $513,241 1.46
Fannie Mae or Freddie Mac|3|12/15/2022, 3.00%, 12/15/22 FNCI 01F0304C9 - - 547,502 - $511,480 1.45
Fannie Mae Pool|3|07/01/2045, 3.00%, 07/01/45 FN 3138ETLU8 - - 560,715 - $509,779 1.45
Fannie Mae Pool|3|05/01/2058, 3.00%, 05/01/58 FN 3140FXJG8 - - 570,785 - $509,387 1.44
Connecticut Avenue Securities Trust 2019-R02|8.16614|08/25/2031, 8.17%, 08/25/31 CAS 20753KAF9 - - 500,000 - $498,142 1.40
United States Treasury Note/Bond|3.375|08/15/2042, 3.38%, 08/15/42 UST1 912810TK4 - - 539,600 - $495,404 1.40
United States Treasury Note/Bond|3.875|11/30/2029, 3.88%, 11/30/29 UST1 91282CFY2 - - 493,000 - $493,488 1.39
JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH|4.635|06/15/2038, 4.63%, 06/15/38 JPMCC 46654EAA9 - - 500,000 - $483,501 1.36
Connecticut Avenue Securities Trust 2022-R02|4.7208|01/25/2042, 4.72%, 01/25/42 CAS 20754BAA9 - - 489,520 - $479,781 1.35
Fannie Mae or Freddie Mac|3.5|12/13/2022, 3.50%, 12/13/22 FNCL 01F0326C3 - - 517,083 - $469,880 1.33
CF Hippolyta Issuer LLC|1.98|03/15/2061, 1.98%, 03/15/61 SORT 12530MAG0 - - 556,638 - $460,576 1.30
United States Treasury Note/Bond|4.125|10/31/2027, 4.12%, 10/31/27 UST1 91282CFU0 - - 455,400 - $460,017 1.30
Fannie Mae Pool|3|02/01/2043, 3.00%, 02/01/43 FN 31418AQR2 - - 500,964 - $455,617 1.28
Fannie Mae Pool|3|12/01/2051, 3.00%, 12/01/51 FN 3140XJLW1 - - 496,135 - $440,310 1.24
Fannie Mae or Freddie Mac|3.5|12/15/2022, 3.50%, 12/15/22 FNCI 01F0324C5 - - 455,414 - $435,076 1.23
Goldman Sachs Group Inc|3.102|02/24/2033, 3.10%, 02/24/33 GS 38141GZM9 - - 522,000 - $434,313 1.22
Connecticut Avenue Securities Trust 2022-R01|4.5208|12/25/2041, 4.52%, 12/25/41 CAS 20754LAA7 - - 433,380 - $425,702 1.20
Aligned Data Centers Issuer LLC|1.937|08/15/2046, 1.94%, 08/15/46 ADC 01627AAA6 - - 500,000 - $419,832 1.18
Fannie Mae or Freddie Mac|2.5|12/15/2022, 2.50%, 12/15/22 FNCI 01F0224C6 - - 420,646 - $385,984 1.09
Mosaic Solar Loan Trust 2021-3|1.44|06/20/2052, 1.44%, 06/20/52 MSAIC 61946TAA3 - - 418,598 - $332,901 0.94
Mosaic Solar Loan Trust 2021-3|1.92|06/20/2052, 1.92%, 06/20/52 MSAIC 61946TAB1 - - 418,598 - $324,332 0.91
Fannie Mae or Freddie Mac|2|12/15/2022, 2.00%, 12/15/22 FNCI 01F0204C0 - - 356,690 - $318,260 0.90
Ginnie Mae II Pool|3|08/20/2051, 3.00%, 08/20/51 G2 36179WLQ9 - - 350,887 - $316,729 0.89
Fannie Mae Pool|5.5|10/01/2052, 5.50%, 10/01/52 FN 3140QQL37 - - 297,088 - $303,929 0.86
Freddie Mac Gold Pool|3.5|01/01/2047, 3.50%, 01/01/47 FG 3132H7F41 - - 321,949 - $303,013 0.85
Freddie Mac Pool|3.5|02/01/2044, 3.50%, 02/01/44 FR 3132ADJC3 - - 295,897 - $278,029 0.78
American Express Co|5.85|11/05/2027, 5.85%, 11/05/27 AXP 025816DB2 - - 259,000 - $268,372 0.76
Fannie Mae Pool|5.5|11/01/2052, 5.50%, 11/01/52 FN 3140XJTC7 - - 251,753 - $257,550 0.73
United States Treasury Note/Bond|3|08/15/2052, 3.00%, 08/15/52 UST1 912810TJ7 - - 292,000 - $251,112 0.71
RPM International Inc|2.95|01/15/2032, 2.95%, 01/15/32 RPM 749685AY9 - - 314,000 - $250,995 0.71
JPMorgan Chase Bank NA - CACLN|.86|02/26/2029, 0.86%, 02/26/29 CACLN 46591HCE8 - - 261,823 - $244,610 0.69
Freddie Mac Stacr Remic Trust 2019-Hqa4|6.96614|11/25/2049, 6.97%, 11/25/49 STACR 35565CBD7 - - 250,000 - $238,481 0.67
BX Commercial Mortgage Trust 2021-VOLT|5.52529|09/15/2036, 5.53%, 09/15/36 BX 05609VAL9 - - 250,000 - $230,809 0.65
HCA Inc|3.5|09/01/2030, 3.50%, 09/01/30 HCA 404119CA5 - - 264,000 - $229,599 0.65
Fannie Mae Pool|3|09/01/2046, 3.00%, 09/01/46 FN 3140JAPW2 - - 250,813 - $228,109 0.64
Freddie Mac Pool|4.5|08/01/2052, 4.50%, 08/01/52 FR 3133KPUC0 - - 233,965 - $227,155 0.64
CALI Mortgage Trust 2019-101C|3.957|03/10/2039, 3.96%, 03/10/39 CALI 129890AA7 - - 250,000 - $217,651 0.61
American Express Co|4.05|05/03/2029, 4.05%, 05/03/29 AXP 025816CW7 - - 225,000 - $214,041 0.60
Ginnie Mae II Pool|3.5|12/20/2022, 3.50%, 12/20/22 G2SF 21H0326C9 - - 230,577 - $212,242 0.60
Aqua Finance Trust 2021-A|1.54|07/17/2046, 1.54%, 07/17/46 AQFIT 03842VAA5 - - 229,345 - $208,279 0.59
Freddie Mac STACR REMIC Trust 2022-DNA2|4.8208|02/25/2042, 4.82%, 02/25/42 STACR 35564KRE1 - - 209,370 - $205,584 0.58
Bank of America Corp|2.972|02/04/2033, 2.97%, 02/04/33 BAC 06051GKK4 - - 250,000 - $205,218 0.58
Freddie Mac Pool|3.5|07/01/2052, 3.50%, 07/01/52 FR 3132DNQD8 - - 222,693 - $204,902 0.58
BNP Paribas SA|3.132|01/20/2033, 3.13%, 01/20/33 BNP 09659W2U7 - - 250,000 - $200,325 0.56
JP Morgan Mortgage Trust 2020-8|3.89682|03/25/2051, 3.90%, 03/25/51 JPMMT 46652TBM1 - - 213,996 - $196,234 0.55
PACEWell 5 Trust|2.628|10/10/2059, 2.63%, 10/10/59 CPACE 69410PAA1 - - 246,429 - $195,776 0.55
Fannie Mae Pool|2.5|03/01/2052, 2.50%, 03/01/52 FN 3140QNLY6 - - 220,934 - $189,270 0.53
Sunrun Demeter Issuer 2021-2 LLC|2.27|01/30/2057, 2.27%, 01/30/57 SUNRN 86772HAA5 - - 237,871 - $186,094 0.52
Bank of America Corp|5.2|12/01/2199, 5.20%, 12/01/99 BAC 060505ED2 - - 185,000 - $185,528 0.52
Lithia Motors Inc|4.375|01/15/2031, 4.38%, 01/15/31 LAD 536797AF0 - - 217,000 - $185,029 0.52
Ginnie Mae II Pool|4|12/20/2022, 4.00%, 12/20/22 G2SF 21H0406C2 - - 193,300 - $183,044 0.52
Fannie Mae Pool|4|03/01/2051, 4.00%, 03/01/51 FN 3140XBJE1 - - 190,317 - $182,097 0.51
Morgan Stanley|2.943|01/21/2033, 2.94%, 01/21/33 MS 61747YEL5 - - 214,000 - $176,335 0.50
Upstart Securitization Trust 2021-4|.84|09/20/2031, 0.84%, 09/20/31 UPST 91682NAA1 - - 180,810 - $174,469 0.49
Natwest Group PLC|3.032|11/28/2035, 3.03%, 11/28/35 NWG 639057AB4 - - 239,000 - $173,657 0.49
Lloyds Banking Group PLC|1.627|05/11/2027, 1.63%, 05/11/27 LLOYDS 53944YAP8 - - 201,000 - $172,545 0.49
Freddie Mac STACR REMIC Trust 2022-HQA1|5.6208|03/25/2042, 5.62%, 03/25/42 STACR 35564KTA7 - - 174,038 - $171,828 0.48
SREIT Trust 2021-MFP|4.60609|11/15/2038, 4.61%, 11/15/38 SREIT 78472UAA6 - - 179,000 - $171,310 0.48
GoodLeap Sustainable Home Solutions Trust 2021-5|2.31|10/20/2048, 2.31%, 10/20/48 GOOD 38237HAA5 - - 217,929 - $159,921 0.45
Boston Properties LP|4.5|12/01/2028, 4.50%, 12/01/28 BXP 10112RBA1 - - 168,000 - $159,622 0.45
Ginnie Mae II Pool|2.5|12/20/2022, 2.50%, 12/20/22 G2SF 21H0226C0 - - 183,400 - $159,572 0.45
JPMorgan Chase & Co|2.963|01/25/2033, 2.96%, 01/25/33 JPM 46647PCU8 - - 192,000 - $159,255 0.45
Fannie Mae Pool|3|09/01/2057, 3.00%, 09/01/57 FN 3140FXG30 - - 178,204 - $159,035 0.45
Hasbro Inc|3.9|11/19/2029, 3.90%, 11/19/29 HAS 418056AZ0 - - 178,000 - $158,547 0.45
FREED ABS Trust 2021-3FP|1.01|11/20/2028, 1.01%, 11/20/28 FREED 30322MAB5 - - 158,096 - $156,123 0.44
Fannie Mae Connecticut Avenue Securities|10.01614|09/25/2028, 10.02%, 09/25/28 CAS 30711XCB8 - - 145,289 - $150,028 0.42
Connecticut Avenue Securities Trust 2022-R03|5.6208|03/25/2042, 5.62%, 03/25/42 CAS 20753XAA2 - - 150,254 - $148,308 0.42
JPMorgan Chase & Co|2.956|05/13/2031, 2.96%, 05/13/31 JPM 46647PBP0 - - 171,000 - $142,152 0.40
Morgan Stanley|3.95|04/23/2027, 3.95%, 04/23/27 MS 61761JZN2 - - 145,000 - $139,124 0.39
Fannie Mae Pool|5.5|09/01/2052, 5.50%, 09/01/52 FN 3140QQEC5 - - 133,744 - $135,542 0.38
Bank of America Corp|2.299|07/21/2032, 2.30%, 07/21/32 BAC 06051GKA6 - - 164,000 - $128,528 0.36
Fannie Mae Pool|3.5|07/01/2052, 3.50%, 07/01/52 FN 3140XHVN4 - - 138,167 - $127,125 0.36
Southern California Edison Co|5.95|11/01/2032, 5.95%, 11/01/32 EIX 842400HT3 - - 120,000 - $125,544 0.35
Boston Properties LP|2.55|04/01/2032, 2.55%, 04/01/32 BXP 10112RBE3 - - 163,000 - $124,840 0.35
LL ABS Trust 2022-1|3.76|11/15/2029, 3.76%, 11/15/29 LLEND 50203YAA3 - - 127,701 - $124,648 0.35
Connecticut Avenue Securities Trust 2022-R04|5.5208|03/25/2042, 5.52%, 03/25/42 CAS 20753YCH3 - - 125,622 - $124,184 0.35
New Residential Mortgage Loan Trust 2018-4|4.91614|01/25/2048, 4.92%, 01/25/48 NRZT 64828FCS9 - - 122,237 - $118,938 0.34
Oasis Securitization Funding LLC|2.143|10/15/2033, 2.14%, 10/15/33 OASIS 67422CAA0 - - 121,240 - $117,947 0.33
Coca-Cola Femsa SAB de CV|1.85|09/01/2032, 1.85%, 09/01/32 KOF 191241AJ7 - - 150,000 - $116,291 0.33
Trimble Inc|4.9|06/15/2028, 4.90%, 06/15/28 TRMB 896239AC4 - - 117,000 - $115,243 0.33
Tricolor Auto Securitization Trust 2022-1|3.3|02/18/2025, 3.30%, 02/18/25 TAST 89616BAA2 - - 116,276 - $115,070 0.32
Affirm Asset Securitization Trust 2020-Z1|3.46|10/15/2024, 3.46%, 10/15/24 AFFRM 00832PAA6 - - 115,776 - $114,728 0.32
Citigroup Inc|3.057|01/25/2033, 3.06%, 01/25/33 C 17327CAQ6 - - 139,000 - $114,587 0.32
Jersey Mike's Funding|4.433|02/15/2050, 4.43%, 02/15/50 JMIKE 476681AA9 - - 124,062 - $114,127 0.32
Fannie Mae Pool|3|03/01/2043, 3.00%, 03/01/43 FN 31418ARE0 - - 123,568 - $112,343 0.32
Fannie Mae Pool|2.5|03/01/2052, 2.50%, 03/01/52 FN 3140XGFX2 - - 129,503 - $110,775 0.31
Alexandria Real Estate Equities Inc|2|05/18/2032, 2.00%, 05/18/32 ARE 015271AW9 - - 146,000 - $110,464 0.31
Fannie Mae Pool|3.5|12/01/2049, 3.50%, 12/01/49 FN 3140XHLE5 - - 118,749 - $110,287 0.31
Hasbro Inc|5.1|05/15/2044, 5.10%, 05/15/44 HAS 418056AU1 - - 128,000 - $107,068 0.30
AES Corp|1.375|01/15/2026, 1.38%, 01/15/26 AES 00130HCE3 - - 120,000 - $106,770 0.30
United States Treasury Note/Bond|2.375|02/15/2042, 2.38%, 02/15/42 UST1 912810TF5 - - 135,000 - $105,162 0.30
Fannie Mae Pool|4.5|08/01/2052, 4.50%, 08/01/52 FN 3140QPX69 - - 105,831 - $102,749 0.29
JPMorgan Chase & Co|4.6|08/01/2199, 4.60%, 08/01/99 JPM 48128BAG6 - - 114,000 - $102,045 0.29
Equinix Inc|1.55|03/15/2028, 1.55%, 03/15/28 EQIX 29444UBL9 - - 122,000 - $101,089 0.29
Freddie Mac Pool|4.5|08/01/2052, 4.50%, 08/01/52 FR 3133KPUD8 - - 99,135 - $96,219 0.27
Fannie Mae Pool|3|06/01/2057, 3.00%, 06/01/57 FN 3140FXF72 - - 101,099 - $90,224 0.25
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc|3|05/15/2032, 3.00%, 05/15/32 JBSSBZ 46590XAD8 - - 113,000 - $86,972 0.25
Equinix Inc|2.5|05/15/2031, 2.50%, 05/15/31 EQIX 29444UBS4 - - 108,000 - $86,509 0.24
UnitedHealth Group Inc|3.7|05/15/2027, 3.70%, 05/15/27 UNH 91324PEG3 - - 88,000 - $85,103 0.24
CSL Finance PLC|4.25|04/27/2032, 4.25%, 04/27/32 CSLAU 12661PAC3 - - 89,000 - $84,411 0.24
UnitedHealth Group Inc|4.2|05/15/2032, 4.20%, 05/15/32 UNH 91324PEJ7 - - 88,000 - $84,237 0.24
Lendingpoint 2022-A Asset Securitization Trust|1.68|06/15/2029, 1.68%, 06/15/29 LDPT 52605AAA5 - - 85,104 - $84,122 0.24
Broadcom Corp / Broadcom Cayman Finance Ltd|3.875|01/15/2027, 3.88%, 01/15/27 AVGO 11134LAH2 - - 86,000 - $82,235 0.23
MKT 2020-525M Mortgage Trust|2.694|02/12/2040, 2.69%, 02/12/40 MKT 55316PAA5 - - 100,000 - $78,600 0.22
Fannie Mae Pool|4|09/01/2050, 4.00%, 09/01/50 FN 3140X7ST7 - - 79,312 - $75,887 0.21
FREED ABS Trust 2022-2CP|3.03|05/18/2029, 3.03%, 05/18/29 FREED 35633LAA2 - - 75,948 - $75,332 0.21
Lendbuzz Securitization Trust 2022-1|4.22|05/17/2027, 4.22%, 05/17/27 LBZZ 52607KAA1 - - 77,779 - $74,424 0.21
Ginnie Mae II Pool|3|07/20/2051, 3.00%, 07/20/51 G2 36179WJS8 - - 82,401 - $74,402 0.21
HCA Inc|4.125|06/15/2029, 4.12%, 06/15/29 HCA 404119BX6 - - 80,000 - $74,269 0.21
Sun Communities Operating LP|2.7|07/15/2031, 2.70%, 07/15/31 SUI 866677AE7 - - 94,000 - $73,405 0.21
S&P Global Inc|2.7|03/01/2029, 2.70%, 03/01/29 SPGI 78409VBB9 - - 82,000 - $72,960 0.21
Ajax Mortgage Loan Trust 2020-D|2.25|06/25/2060, 2.25%, 06/25/60 AJAXM 00970CAA7 - - 78,862 - $72,626 0.20
Xcel Energy Inc|4.6|06/01/2032, 4.60%, 06/01/32 XEL 98388MAD9 - - 74,000 - $72,574 0.20
Pagaya AI Debt Trust 2022-1|2.03|10/15/2029, 2.03%, 10/15/29 PAID 69546MAA5 - - 75,458 - $71,934 0.20
Marriott International Inc/MD|3.5|10/15/2032, 3.50%, 10/15/32 MAR 571903BF9 - - 85,000 - $71,242 0.20
Fannie Mae Pool|4|10/01/2050, 4.00%, 10/01/50 FN 3140XGXG9 - - 74,055 - $71,002 0.20
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc|4.375|02/02/2052, 4.38%, 02/02/52 JBSSBZ 46590XAE6 - - 96,000 - $70,084 0.20
Fannie Mae Pool|4.5|11/01/2052, 4.50%, 11/01/52 FN 3140QQVP7 - - 70,912 - $69,585 0.20
Freddie Mac Pool|4.5|09/01/2050, 4.50%, 09/01/50 FR 3132DNHU0 - - 70,497 - $69,500 0.20
Micron Technology Inc|5.327|02/06/2029, 5.33%, 02/06/29 MU 595112BN2 - - 70,000 - $68,924 0.19
Illumina Inc|2.55|03/23/2031, 2.55%, 03/23/31 ILMN 452327AM1 - - 87,000 - $68,694 0.19
Fannie Mae Pool|4|03/01/2050, 4.00%, 03/01/50 FN 3140XFC25 - - 67,686 - $64,981 0.18
AES Corp|2.45|01/15/2031, 2.45%, 01/15/31 AES 00130HCG8 - - 80,000 - $63,525 0.18
Bank of America Corp|2.572|10/20/2032, 2.57%, 10/20/32 BAC 06051GKD0 - - 80,000 - $63,480 0.18
Fannie Mae Pool|3.5|03/01/2052, 3.50%, 03/01/52 FN 3140QNPK2 - - 66,871 - $61,589 0.17
Rithm Capital Corp, 7.00%, 11/15/71 RITM 64828T706 - - 3,000 - $56,400 0.16
FactSet Research Systems Inc|2.9|03/01/2027, 2.90%, 03/01/27 FDS 303075AA3 - - 60,000 - $54,750 0.15
AbbVie Inc|3.2|11/21/2029, 3.20%, 11/21/29 ABBV 00287YBX6 - - 59,000 - $53,560 0.15
Southern California Edison Co|5.85|11/01/2027, 5.85%, 11/01/27 EIX 842400HS5 - - 52,000 - $53,410 0.15
Fannie Mae Pool|3.5|06/01/2052, 3.50%, 06/01/52 FN 3140XHL21 - - 57,667 - $53,384 0.15
Freddie Mac Pool|3.5|07/01/2042, 3.50%, 07/01/42 FR 31329L6U1 - - 56,634 - $53,251 0.15
Fannie Mae Pool|5|11/01/2052, 5.00%, 11/01/52 FN 3140N7ZL7 - - 52,108 - $52,143 0.15
ACM Auto Trust 2022-1|3.23|04/20/2029, 3.23%, 04/20/29 ACMAT 00091QAA0 - - 49,781 - $49,512 0.14
Freddie Mac Pool|4.5|08/01/2052, 4.50%, 08/01/52 FR 3133BGQW1 - - 50,668 - $49,193 0.14
United States Treasury Note/Bond|4|11/15/2042, 4.00%, 11/15/42 UST1 912810TM0 - - 48,700 - $48,629 0.14
S&P Global Inc|3.7|03/01/2052, 3.70%, 03/01/52 SPGI 78409VBD5 - - 60,000 - $48,490 0.14
Fannie Mae Pool|4|06/01/2043, 4.00%, 06/01/43 FN 31418AUD8 - - 49,413 - $47,778 0.13
Oracle Corp|3.95|03/25/2051, 3.95%, 03/25/51 ORCL 68389XCA1 - - 64,000 - $47,076 0.13
Marriott International Inc/MD|4|04/15/2028, 4.00%, 04/15/28 MAR 571903AY9 - - 50,000 - $46,479 0.13
Fannie Mae Pool|4.5|10/01/2050, 4.50%, 10/01/50 FN 3140XJAP8 - - 46,064 - $45,412 0.13
Humana Inc|3.125|08/15/2029, 3.12%, 08/15/29 HUM 444859BK7 - - 51,000 - $45,173 0.13
Fannie Mae Pool|4|11/01/2049, 4.00%, 11/01/49 FN 3140XHLR6 - - 46,215 - $44,298 0.12
VMware Inc|4.7|05/15/2030, 4.70%, 05/15/30 VMW 928563AF2 - - 46,000 - $42,873 0.12
Xylem Inc/NY|4.375|11/01/2046, 4.38%, 11/01/46 XYL 98419MAK6 - - 50,000 - $42,326 0.12
Fannie Mae Pool|3.5|08/01/2056, 3.50%, 08/01/56 FN 3140FXEC2 - - 43,654 - $40,747 0.11
Fannie Mae Pool|3|03/01/2052, 3.00%, 03/01/52 FN 3140MHTA7 - - 45,892 - $40,732 0.11
TPI RE-REMIC Trust 2022-FRR1|0|08/25/2046, 0.00%, 08/25/46 TPI 872659AE7 - - 41,000 - $38,915 0.11
Fannie Mae Pool|4.5|01/01/2050, 4.50%, 01/01/50 FN 3140XBJZ4 - - 37,622 - $37,090 0.10
Freddie Mac Pool|4|06/01/2050, 4.00%, 06/01/50 FR 3132DNGU1 - - 37,887 - $36,420 0.10
Freddie Mac Pool|5.5|09/01/2052, 5.50%, 09/01/52 FR 3133BMRH0 - - 35,473 - $36,186 0.10
Fannie Mae Pool|4|03/01/2050, 4.00%, 03/01/50 FN 3140X8S24 - - 36,723 - $35,200 0.10
Fannie Mae Pool|3|04/01/2052, 3.00%, 04/01/52 FN 3140MJ6R1 - - 38,700 - $34,386 0.10
TPI RE-REMIC Trust 2022-FRR1|0|07/25/2046, 0.00%, 07/25/46 TPI 872659AA5 - - 36,000 - $34,382 0.10
Fannie Mae Pool|3.5|04/01/2052, 3.50%, 04/01/52 FN 3140MJ7G4 - - 34,099 - $31,267 0.09
Fannie Mae Pool|3|04/01/2052, 3.00%, 04/01/52 FN 3140MJ6S9 - - 34,184 - $30,329 0.09
GS Mortgage-Backed Securities Trust 2020-NQM1|2.352|09/27/2060, 2.35%, 09/27/60 GSMBS 36259WAC5 - - 32,703 - $29,379 0.08
Ginnie Mae II Pool|3|12/20/2022, 3.00%, 12/20/22 G2SF 21H0306C3 - - 32,516 - $29,107 0.08
TPI RE-REMIC Trust 2022-FRR1|0|07/25/2046, 0.00%, 07/25/46 TPI 872659AC1 - - 30,000 - $28,651 0.08
Fannie Mae Pool|3.5|05/01/2052, 3.50%, 05/01/52 FN 3140MAYY4 - - 30,452 - $28,028 0.08
Fannie Mae Pool|4.5|07/01/2052, 4.50%, 07/01/52 FN 3140MSCJ2 - - 27,373 - $26,576 0.07
Fannie Mae Pool|4|04/01/2052, 4.00%, 04/01/52 FN 3140XGZE2 - - 27,556 - $26,220 0.07
Fannie Mae Pool|4|10/01/2051, 4.00%, 10/01/51 FN 3140XJKP7 - - 26,851 - $25,691 0.07
Carvana Auto Receivables Trust 2021-P4|.82|04/10/2025, 0.82%, 04/10/25 CRVNA 14687KAB2 - - 25,924 - $25,533 0.07
Fannie Mae Pool|3.5|08/01/2052, 3.50%, 08/01/52 FN 3140QPYX9 - - 26,971 - $24,807 0.07
Angel Oak Mortgage Trust 2020-2|3.86|01/26/2065, 3.86%, 01/26/65 AOMT 03464XAB6 - - 25,130 - $23,487 0.07
Freddie Mac Pool|4|12/01/2048, 4.00%, 12/01/48 FR 3133USG21 - - 24,010 - $23,014 0.06
Freddie Mac Pool|4|08/01/2052, 4.00%, 08/01/52 FR 3132DNP49 - - 23,723 - $22,373 0.06
Lendingpoint 2021-B Asset Securitization Trust|1.11|02/15/2029, 1.11%, 02/15/29 LDPT 52607HAA8 - - 22,416 - $22,122 0.06
Freddie Mac Pool|4|03/01/2050, 4.00%, 03/01/50 FR 3132DNWL3 - - 23,037 - $22,082 0.06
Fannie Mae Pool|3.5|04/01/2052, 3.50%, 04/01/52 FN 3140XHCF2 - - 23,889 - $22,044 0.06
Fannie Mae Pool|4|11/01/2048, 4.00%, 11/01/48 FN 31418C4F8 - - 21,946 - $21,035 0.06
Freddie Mac Pool|3.5|06/01/2043, 3.50%, 06/01/43 FR 3131XNAH6 - - 22,375 - $21,024 0.06
Fannie Mae Pool|4|06/01/2052, 4.00%, 06/01/52 FN 3140MRZU4 - - 21,615 - $20,379 0.06
Freddie Mac Pool|4|07/01/2052, 4.00%, 07/01/52 FR 3133BGBH0 - - 20,778 - $19,590 0.06
Ajax Mortgage Loan Trust 2020-C|2.25|09/27/2060, 2.25%, 09/27/60 AJAXM 00969HAA9 - - 19,545 - $18,960 0.05
United States Treasury Note/Bond|2|11/15/2041, 2.00%, 11/15/41 UST1 912810TC2 - - 25,000 - $18,084 0.05
Fannie Mae Pool|4|07/01/2048, 4.00%, 07/01/48 FN 31418CYM0 - - 18,848 - $18,066 0.05
Fannie Mae Pool|3.5|05/01/2052, 3.50%, 05/01/52 FN 3140MNP67 - - 19,021 - $17,439 0.05
Fannie Mae Pool|3.5|04/01/2052, 3.50%, 04/01/52 FN 3140MJ7F6 - - 18,972 - $17,406 0.05
Freddie Mac Pool|3.5|06/01/2052, 3.50%, 06/01/52 FR 3132DNFY4 - - 17,602 - $16,206 0.05
Freddie Mac Pool|3|03/01/2052, 3.00%, 03/01/52 FR 3133B7FX1 - - 17,383 - $15,452 0.04
Fannie Mae Pool|4|10/01/2047, 4.00%, 10/01/47 FN 31418CQB3 - - 15,330 - $14,698 0.04
Fannie Mae Pool|4|03/01/2050, 4.00%, 03/01/50 FN 3140XDEL6 - - 13,961 - $13,381 0.04
Fannie Mae Pool|3|01/01/2047, 3.00%, 01/01/47 FN 31418CGC2 - - 13,442 - $12,095 0.03
Freddie Mac Pool|3|02/01/2052, 3.00%, 02/01/52 FR 3133B4H73 - - 12,180 - $10,815 0.03
Fannie Mae Pool|3.5|04/01/2052, 3.50%, 04/01/52 FN 3140MNNB8 - - 11,471 - $10,518 0.03
Fannie Mae Pool|3.5|08/01/2052, 3.50%, 08/01/52 FN 3140QPYS0 - - 9,989 - $9,205 0.03
Fannie Mae Pool|4|07/01/2052, 4.00%, 07/01/52 FN 3140MUUU2 - - 9,239 - $8,711 0.02
Freddie Mac Pool|3|02/01/2052, 3.00%, 02/01/52 FR 3133B4H81 - - 9,303 - $8,273 0.02
Fannie Mae Pool|3|02/01/2043, 3.00%, 02/01/43 FN 31417FPB8 - - 8,875 - $8,069 0.02
Fannie Mae Pool|4|10/01/2048, 4.00%, 10/01/48 FN 3140HPR58 - - 7,142 - $6,857 0.02
Freddie Mac Pool|4|10/01/2050, 4.00%, 10/01/50 FR 3132DNSB0 - - 6,806 - $6,512 0.02
Fannie Mae Pool|4.5|05/01/2052, 4.50%, 05/01/52 FN 3140MRLZ8 - - 6,516 - $6,320 0.02
Fannie Mae Pool|3.5|04/01/2052, 3.50%, 04/01/52 FN 3140MHU56 - - 6,868 - $6,301 0.02
Fannie Mae Pool|4.5|06/01/2045, 4.50%, 06/01/45 FN 3138EQFX5 - - 5,588 - $5,568 0.02
Fannie Mae Pool|4|06/01/2052, 4.00%, 06/01/52 FN 3140MSF75 - - 5,791 - $5,460 0.02
Fannie Mae Pool|4.5|04/01/2052, 4.50%, 04/01/52 FN 3140MMPS1 - - 5,337 - $5,177 0.01
Fannie Mae Pool|3.5|07/01/2052, 3.50%, 07/01/52 FN 3140QPY35 - - 5,530 - $5,118 0.01
Fannie Mae Pool|3.5|04/01/2052, 3.50%, 04/01/52 FN 3140MNNA0 - - 5,572 - $5,112 0.01
Freddie Mac Pool|3.5|04/01/2052, 3.50%, 04/01/52 FR 3133B7F86 - - 4,521 - $4,148 0.01
Fannie Mae Pool|4.5|04/01/2052, 4.50%, 04/01/52 FN 3140MLUD0 - - 4,108 - $3,984 0.01
Fannie Mae Pool|4|11/01/2049, 4.00%, 11/01/49 FN 3140X6ZM6 - - 4,114 - $3,944 0.01
COLT 2020-2 Mortgage Loan Trust|1.853|03/25/2065, 1.85%, 03/25/65 COLT 19688JAA5 - - 3,948 - $3,848 0.01
Freddie Mac Pool|3.5|04/01/2052, 3.50%, 04/01/52 FR 3133BAFN6 - - 4,042 - $3,708 0.01
Fannie Mae Pool|4|03/01/2051, 4.00%, 03/01/51 FN 3140XHZN0 - - 3,670 - $3,511 0.01
Fannie Mae Pool|4|12/01/2048, 4.00%, 12/01/48 FN 3140JLKM5 - - 3,484 - $3,339 0.01
Fannie Mae Pool|4|06/01/2049, 4.00%, 06/01/49 FN 31418DCZ3 - - 2,859 - $2,735 0.01
Fannie Mae Pool|4.5|04/01/2052, 4.50%, 04/01/52 FN 3140ML4S6 - - 2,356 - $2,285 0.01
Fannie Mae Pool|4.5|04/01/2052, 4.50%, 04/01/52 FN 3140MRCT2 - - 2,138 - $2,074 0.01
Freddie Mac STACR REMIC Trust 2020-HQA4|7.16614|09/25/2050, 7.17%, 09/25/50 STACR 35565RAH6 - - 1,966 - $1,968 0.01
Freddie Mac Pool|4|11/01/2048, 4.00%, 11/01/48 FR 3132ADPD4 - - 1,982 - $1,900 0.01
Fannie Mae Pool|4.5|04/01/2052, 4.50%, 04/01/52 FN 3140MRCJ4 - - 1,870 - $1,814 0.01
Fannie Mae Pool|4|03/01/2051, 4.00%, 03/01/51 FN 3140XHZL4 - - 1,790 - $1,716 0.00
Fannie Mae Pool|4.5|04/01/2052, 4.50%, 04/01/52 FN 3140ML4R8 - - 1,204 - $1,168 0.00
Freddie Mac Pool|4.5|03/01/2052, 4.50%, 03/01/52 FR 3133B9K78 - - 1,014 - $984 0.00
Freddie Mac Pool|3|02/01/2043, 3.00%, 02/01/43 FR 3131Y6VU0 - - 1,051 - $956 0.00
Angel Oak Mortgage Trust I LLC 2018-3|3.649|09/25/2048, 3.65%, 09/25/48 AOMT 03464NAA0 - - 572.00 - $570 0.00
Freddie Mac Pool|3.5|03/01/2043, 3.50%, 03/01/43 FR 3131XL4H7 - - 219.00 - $206 0.00
Fannie Mae or Freddie Mac|5|12/13/2022, 5.00%, 12/13/22 FNCL 01F0506C5 - - -52,108 - $-51,519 -0.15
Fannie Mae or Freddie Mac|5.5|12/13/2022, 5.50%, 12/13/22 FNCL 01F0526C1 - - -1,031,864 - $-1,037,457 -2.93
Fannie Mae or Freddie Mac|4.5|12/13/2022, 4.50%, 12/13/22 FNCL 01F0426C2 - - -1,186,531 - $-1,146,017 -3.23
Fannie Mae or Freddie Mac|3|12/13/2022, 3.00%, 12/13/22 FNCL 01F0306C7 - - -2,371,468 - $-2,080,980 -5.87
Buy Protection CDX-NAHYS39V1-05Y, 5.00%, 12/20/27 2I65BRZH6 - 2I65BRZH6 - -2,000,000 - $-2,000,000 -5.64
Buy Protection CDX-NAHYS39V1-05Y, 5.00%, 12/20/27 2I65BRZH6 - 2I65BRZH6 - 2,000,000 - $2,000,000 5.64
CBOT 2 Year US Treasury Note Future MAR 23 TUH3 - FUTURES_USD - 20.00 - $0 0.00
Ultra 10-Year US Treasury Note Futures MAR 23 UXYH3 - FUTURES_USD - -17.00 - $0 0.00
CBOT US Long Bond Future MAR 23 USH3 - FUTURES_USD - 15.00 - $0 0.00
CBOT 5 Year US Treasury Note MAR 23 FVH3 - FUTURES_USD - 8.00 - $0 0.00
CME Ultra Long Term US Treasury Bond Future MAR 23 WNH3 - FUTURES_USD - 19.00 - $0 0.00
CBOT 10 Year US Treasury Note MAR 23 TYH3 - FUTURES_USD - 5.00 - $0 0.00
CBOT 10 Year US Treasury Note DEC 22 TYZ2 - FUTURES_USD - 1.00 - $0 0.00
CBOT 10 Year US Treasury Note DEC 22 TYZ2 - FUTURES_USD - -1.00 - $0 0.00
ALMSUM ALMSUM - - $0.00 4,208,677 - $4,208,677 11.87
US DOLLAR USD - - - -2,452,147 - $-2,452,147 -6.92
SEGREGATED CASH SEGCASH - - $0.00 412,753 - $412,753 1.16
Janus Henderson publishes this listing of identities and quantities of each position held by the fund on each business day, before commencement of trading. Securities are reported at market value.
The portfolio data and its presentation here is based on the investment book of record and may differ from the accounting book of record and complete schedules of investments in regulatory filings due to differing accounting and reporting standards.