For Institutional Investors in the US

Sustainable & Impact Core Bond ETF Holdings

Full Portfolio Holdings

(As of October 20, 2021)

Ticker Cusip Underlying Security Strike Price Quantity (Shares/ Par/ Units/ Contracts) Notional Value Market Value Weight %
United States Treasury Notes 0.375% 15-SEP-2024, 0.38%, 09/15/24 UST1 91282CCX7 - - 3,404,000 $3,375,750 $3,375,750 6.84
United States Treasury Notes 0.125% 31-AUG-2023, 0.12%, 08/31/23 UST1 91282CCU3 - - 2,264,800 $2,254,760 $2,254,760 4.56
UMBS TBA 30yr 2% November Delivery, 2.00%, 11/10/21 FNCL 01F0206B0 - - 2,145,590 $2,136,909 $2,136,909 4.33
United States Treasury Notes 0.875% 30-SEP-2026, 0.88%, 09/30/26 UST1 91282CCZ2 - - 1,603,000 $1,582,394 $1,582,394 3.20
Tesla Auto Lease Trust 2021-B A2 0.36% 20-SEP-2025, 0.36%, 09/22/25 TESLA 88161KAB1 - - 1,500,000 $1,495,534 $1,495,534 3.03
UMBS TBA 30yr 2.5% November Delivery, 2.50%, 11/10/21 FNCL 01F0226B6 - - 1,298,110 $1,329,161 $1,329,161 2.69
BX Commercial Mortgage Trust 2021-VOLT A 0.787% 15-SEP-2038, 0.79%, 09/15/36 BX 05609VAA3 - - 1,000,000 $999,781 $999,781 2.02
GoodLeap Sustainable Home Solutions Trust, Series 2021-3 A 2.1% 20-MAY-2048, 2.10%, 05/20/48 GOOD 382371AA0 - - 988,011 $974,240 $974,240 1.97
Sunnova Helios VI Solar Loan Backed Notes, Series 2021-B B 2.01% 20-JUL-2048, 2.01%, 07/20/48 SNVA 86744TAB2 - - 984,944 $972,258 $972,258 1.97
United States Treasury Notes 1.25% 15-AUG-2031, 1.25%, 08/15/31 UST1 91282CCS8 - - 1,003,000 $969,237 $969,237 1.96
Lamb Weston Holdings Inc|4.125|01/31/2030, 4.12%, 01/31/30 LW 513272AD6 - - 961,000 $961,279 $961,279 1.95
FNMA 40yr Pool#BF0262 3.000% 01-May-2058, 3.00%, 05/01/58 FN 3140FXJG8 - - 752,692 $833,002 $833,002 1.69
FNMA 30yr Pool#FM8797 3.000% 01-Sep-2051, 3.00%, 09/01/51 FN 3140XCX37 - - 748,852 $794,043 $794,043 1.61
FNMA 30yr Pool#AL8438 3.000% 01-Jul-2045, 3.00%, 07/01/45 FN 3138ETLU8 - - 698,549 $779,555 $779,555 1.58
FNMA 30yr Pool#MA1363 3.000% 01-Feb-2043, 3.00%, 02/01/43 FN 31418AQR2 - - 646,404 $711,372 $711,372 1.44
Cedar Funding VII CLO A1 1.13425% 20-JAN-2031, 1.13%, 01/20/31 CEDF 15032FAA4 - - 600,000 $600,861 $600,861 1.22
United States Treasury Notes 0.625% 15-APR-2023, 0.62%, 04/15/23 TII 9128284H0 - - 503,200 $582,474 $582,474 1.18
Bayview Financing Trust 2021-2F|1.6|01/10/2032, 1.60%, 01/10/32 BVRT 07335MAA0 - - 543,394 $543,557 $543,557 1.10
Connecticut Avenue Securities Trust 2021-R01|1.6|10/25/2041, 1.60%, 10/25/41 CAS 20754RAB2 - - 537,000 $537,000 $537,000 1.09
Connecticut Avenue Securities Trust 2019-R02 4.236% 25-AUG-2031, 4.24%, 08/25/31 CAS 20753KAF9 - - 500,000 $512,964 $512,964 1.04
Structured Agency Credit Risk (STACR) Debt Notes, Series 2021-DNA5 B1 3.1% 25-JAN-2034, 3.10%, 01/25/34 STACR 35564KJA8 - - 500,000 $508,143 $508,143 1.03
FREED ABS Trust 2021-3FP A 0.62% 18-NOV-2028, 0.62%, 11/20/28 FREED 30322MAA7 - - 500,000 $500,071 $500,071 1.01
Aligned Data Centers Issuer, Series 2021-1 A2_2021_1 1.937% 15-AUG-2046, 1.94%, 08/15/46 ADC 01627AAA6 - - 500,000 $498,389 $498,389 1.01
Taco Bell Funding Series 2021-1 A2I 1.946% 25-AUG-2051, 1.95%, 08/25/51 BELL 87342RAG9 - - 500,000 $497,979 $497,979 1.01
Mosaic Solar Loan Trust 2021-3|1.92|06/20/2052, 1.92%, 06/20/52 MSAIC 61946TAB1 - - 500,000 $490,930 $490,930 0.99
GNMA II TBA 30yr 3.5% November Delivery, 3.50%, 11/18/21 G2SF 21H0326B1 - - 465,030 $488,249 $488,249 0.99
Mosaic Solar Loan Trust 2021-3|1.44|06/20/2052, 1.44%, 06/20/52 MSAIC 61946TAA3 - - 500,000 $486,889 $486,889 0.99
Regatta XII Funding BR 1.716% 15-OCT-2032, 0.00%, 10/15/32 REG12 75888HAN1 - - 485,000 $485,000 $485,000 0.98
Chase Auto Credit Linked Notes, Series 2021-3 C 0.86% 25-FEB-2029, 0.86%, 02/26/29 CACLN 46591HCE8 - - 483,252 $483,647 $483,647 0.98
GNMA II TBA 30yr 2.5% November Delivery, 2.50%, 11/18/21 G2SF 21H0226B2 - - 468,830 $481,034 $481,034 0.97
Royalty Pharma Plc 2.15% 02-SEP-2031, 2.15%, 09/02/31 RPRX 78081BAN3 - - 499,000 $475,545 $475,545 0.96
GNMA II TBA 30yr 2% November Delivery, 2.00%, 11/18/21 G2SF 21H0206B6 - - 462,010 $466,048 $466,048 0.94
FHLMC 30yr Pool#U99186 3.500% 01-Jan-2047, 3.50%, 01/01/47 FG 3132H7F41 - - 424,734 $461,912 $461,912 0.93
FHLMC 30yr Pool#ZT1159 3.500% 01-Feb-2044, 3.50%, 02/01/44 FR 3132ADJC3 - - 389,776 $440,456 $440,456 0.89
Upstart Securitization Trust 2021-4 A 0.84% 20-SEP-2031, 0.84%, 09/20/31 UPST 91682NAA1 - - 433,000 $431,941 $431,941 0.87
PRPM 2021-9 LLC|2.363|10/25/2026, 2.36%, 10/25/26 PRPM 69360XAA4 - - 417,000 $417,024 $417,024 0.84
Voya CLO 2017-4 A2 1.37613% 15-OCT-2030, 1.38%, 10/15/30 VOYA 92916QAB8 - - 411,000 $410,121 $410,121 0.83
UMBS TBA 30yr 3.5% November Delivery, 3.50%, 11/10/21 FNCL 01F0326B5 - - 386,400 $409,089 $409,089 0.83
Affirm Asset Securitization Trust 2020-Z1 A 3.46% 15-OCT-2024, 3.46%, 10/15/24 AFFRM 00832PAA6 - - 384,586 $388,774 $388,774 0.79
UMBS TBA 15yr 2% November Delivery, 2.00%, 11/16/21 FNCI 01F0204B2 - - 374,910 $384,519 $384,519 0.78
Bank of America Corp Depositary Shs Repr 1/25th 5 1/5 % Non-Cum Perp Pfd Shs Series U, 5.20%, 12/01/99 BAC 060505ED2 - - 361,000 $379,130 $379,130 0.77
DB Master Finance, Series 2019-1 A2III 4.352% 20-MAY-2049, 4.35%, 05/20/49 DNKN 233046AL5 - - 329,280 $357,913 $357,913 0.72
FNMA 30yr Pool#BM5836 3.000% 01-Sep-2046, 3.00%, 09/01/46 FN 3140JAPW2 - - 315,120 $348,735 $348,735 0.71
Aqua Finance Trust 2021-A|1.54|07/17/2046, 1.54%, 07/17/46 AQFIT 03842VAA5 - - 349,000 $347,476 $347,476 0.70
Recette CLO ARR 1.21425% 20-APR-2034, 1.27%, 04/20/34 RCTTE 75620TAW8 - - 340,000 $340,369 $340,369 0.69
FNMA Connecticut Avenue Securities Series 2019-R01 2.536% 25-JUL-2031, 2.54%, 07/25/31 CAS 20754FAK8 - - 325,803 $327,736 $327,736 0.66
Connecticut Avenue Securities, Series 2016-C02 1M2 6.086% 25-SEP-2028, 6.09%, 09/25/28 CAS 30711XCB8 - - 312,587 $327,437 $327,437 0.66
UMBS TBA 15yr 2.5% November Delivery, 2.50%, 11/16/21 FNCI 01F0224B8 - - 308,060 $320,339 $320,339 0.65
JP Morgan Mortgage Trust 2020-8 A11 0.95% 25-MAR-2051, 0.95%, 03/25/51 JPMMT 46652TBM1 - - 315,654 $316,853 $316,853 0.64
Fhlmc Stacr 2017-Dna3 0.836% 25-MAR-2030, 0.84%, 03/25/30 STACR 3137G0QP7 - - 304,400 $304,628 $304,628 0.62
Pilgrim's Pride Corporation 4.25% 15-APR-2031, 4.25%, 04/15/31 PPC 72147KAF5 - - 280,000 $295,948 $295,948 0.60
HCA, Inc. 3.5% 01-SEP-2030, 3.50%, 09/01/30 HCA 404119CA5 - - 279,000 $295,004 $295,004 0.60
Government of the United States of America 0.125% 15-JAN-2031, 0.12%, 01/15/31 TII 91282CBF7 - - 248,400 $288,464 $288,464 0.58
CALI Mortgage Trust 2019-101C A 3.957% 10-MAR-2039, 3.96%, 03/10/39 CALI 129890AA7 - - 250,000 $279,688 $279,688 0.57
HCA, Inc. 5.25% 15-JUN-2049, 5.25%, 06/15/49 HCA 404119BZ1 - - 211,000 $270,724 $270,724 0.55
FHLMC 2019-HQA4 3.036% 25-NOV-2049, 3.04%, 11/25/49 STACR 35565CBD7 - - 250,000 $251,834 $251,834 0.51
CIFC Funding 2014-V DR2 3.53388% 17-OCT-2031, 3.52%, 10/17/31 CIFC 12550ABB1 - - 250,000 $251,275 $251,275 0.51
Lloyds Banking Group plc 1.627% 11-MAY-2027, 1.63%, 05/11/27 LLOYDS 53944YAP8 - - 251,000 $251,222 $251,222 0.51
CIFC Funding 2021-I A1N 1.23525% 25-APR-2033, 1.24%, 04/25/33 CIFC 12563EAA1 - - 250,000 $250,746 $250,746 0.51
Grace Trust 2020-GRCE A 2.347% 10-DEC-2040, 2.35%, 12/10/40 GRACE 38406JAA6 - - 250,000 $250,570 $250,570 0.51
NatWest Group Plc 3.032% 28-NOV-2035, 3.03%, 11/28/35 NWG 639057AB4 - - 250,000 $250,334 $250,334 0.51
Benefit Street Partners CLO XXII B 1.68425% 20-JAN-2032, 1.68%, 01/20/32 BSP 08186UAE2 - - 250,000 $250,081 $250,081 0.51
PRPM 2021-RPL2 LLC|2.485|10/25/2051, 2.48%, 10/25/51 PRPM 69357QAC0 - - 250,000 $250,016 $250,016 0.51
BX Commercial Mortgage Trust 2021-VOLT D 1.737% 15-SEP-2038, 1.74%, 09/15/36 BX 05609VAL9 - - 250,000 $250,012 $250,012 0.51
PRPM 2021-RPL2 LLC|2.237|10/25/2051, 2.24%, 10/25/51 PRPM 69357QAB2 - - 250,000 $250,009 $250,009 0.51
Neuberger Berman Loan Advisers CLO 33 Ltd|0|10/16/2033, 0.00%, 10/16/33 NEUB 64132TAL7 - - 250,000 $250,000 $250,000 0.51
FREED ABS Trust 2021-3FP B 1.01% 18-NOV-2028, 1.01%, 11/20/28 FREED 30322MAB5 - - 250,000 $249,555 $249,555 0.51
Sunrun Demeter Issuer 2021-2|2.27|01/30/2057, 2.27%, 01/30/57 SUNRN 86772HAA5 - - 250,000 $248,391 $248,391 0.50
Boston Properties LP 4.5% 01-DEC-2028, 4.50%, 12/01/28 BXP 10112RBA1 - - 214,000 $247,511 $247,511 0.50
Lithia Motors, Inc. 4.375% 15-JAN-2031, 4.38%, 01/15/31 LAD 536797AF0 - - 230,000 $246,771 $246,771 0.50
Hasbro, Inc. 5.1% 15-MAY-2044, 5.10%, 05/15/44 HAS 418056AU1 - - 202,000 $246,154 $246,154 0.50
FNMA 40yr Pool#BF0217 3.000% 01-Sep-2057, 3.00%, 09/01/57 FN 3140FXG30 - - 219,272 $239,182 $239,182 0.48
Morgan Stanley 2.484% 16-SEP-2036, 2.48%, 09/16/36 MS 61747YEF8 - - 245,000 $237,891 $237,891 0.48
JPMorgan Chase & Co. 2.956% 13-MAY-2031, 2.96%, 05/13/31 JPM 46647PBP0 - - 214,000 $222,929 $222,929 0.45
Morgan Stanley 3.95% 23-APR-2027, 3.95%, 04/23/27 MS 61761JZN2 - - 184,000 $206,126 $206,126 0.42
General Motors Financial Co., Inc. 2.7% 20-AUG-2027, 2.70%, 08/20/27 GM 37045XDA1 - - 198,000 $204,132 $204,132 0.41
Owens Corning 3.95% 15-AUG-2029, 3.95%, 08/15/29 OC 690742AJ0 - - 181,000 $202,336 $202,336 0.41
AerCap Ireland Capital DAC 3.875% 23-JAN-2028, 3.88%, 01/23/28 AER 00774MAE5 - - 188,000 $201,902 $201,902 0.41
Boston Properties LP 2.55% 01-APR-2032, 2.55%, 04/01/32 BXP 10112RBE3 - - 204,000 $201,787 $201,787 0.41
Bank of America Corporation 2.299% 21-JUL-2032, 2.30%, 07/21/32 BAC 06051GKA6 - - 205,000 $200,860 $200,860 0.41
Broadcom Inc. 3.469% 15-APR-2034, 3.47%, 04/15/34 AVGO 11135FBL4 - - 195,000 $198,811 $198,811 0.40
UMBS TBA 15yr 1.5% November Delivery, 1.50%, 11/16/21 FNCI 01F0124B9 - - 196,890 $197,876 $197,876 0.40
Duquesne Light Holdings, Inc. 2.775% 07-JAN-2032, 2.77%, 01/07/32 DQE 266233AJ4 - - 196,000 $194,939 $194,939 0.39
Cheniere Corpus Christi Holdings LLC 3.7% 15-NOV-2029, 3.70%, 11/15/29 CHCOCH 16412XAJ4 - - 169,000 $184,188 $184,188 0.37
New Residential Mortgage Loan Trust 2018-4 A1M 0.986% 25-JAN-2048, 0.99%, 01/25/48 NRZT 64828FCS9 - - 182,317 $182,937 $182,937 0.37
Sysco Corporation 2.4% 15-FEB-2030, 2.40%, 02/15/30 SYY 871829BK2 - - 175,000 $176,895 $176,895 0.36
Healthpeak Properties, Inc. 1.35% 01-FEB-2027, 1.35%, 02/01/27 PEAK 42250PAC7 - - 179,000 $176,461 $176,461 0.36
Coca-Cola FEMSA SAB de CV 1.85% 01-SEP-2032, 1.85%, 09/01/32 KOF 191241AJ7 - - 187,000 $175,612 $175,612 0.36
Alexandria Real Estate Equities, Inc. 2.0% 18-MAY-2032, 2.00%, 05/18/32 ARE 015271AW9 - - 181,000 $174,706 $174,706 0.35
Trimble Inc. 4.9% 15-JUN-2028, 4.90%, 06/15/28 TRMB 896239AC4 - - 149,000 $173,179 $173,179 0.35
FNMA 30yr Pool#MA1384 3.000% 01-Mar-2043, 3.00%, 03/01/43 FN 31418ARE0 - - 156,615 $171,302 $171,302 0.35
Air Lease Corporation 3.125% 01-DEC-2030, 3.12%, 12/01/30 AL 00914AAK8 - - 155,000 $158,531 $158,531 0.32
NXP BV 2.5% 11-MAY-2031, 2.50%, 05/11/31 NXPI 62954HAG3 - - 157,000 $157,212 $157,212 0.32
Dominion Energy, Inc. 2.25% 15-AUG-2031, 2.25%, 08/15/31 D 25746UDL0 - - 159,000 $156,720 $156,720 0.32
UWM Mortgage Trust 2021-INV2 (United Wholesale Mortgage) A9 1.05% 25-SEP-2051, 1.05%, 09/25/51 UWM 90354TAJ8 - - 155,000 $155,118 $155,118 0.31
Rexford Industrial Realty LP 2.15% 01-SEP-2031, 2.15%, 09/01/31 REXR 76169XAB0 - - 163,000 $154,900 $154,900 0.31
Equinix, Inc. 1.55% 15-MAR-2028, 1.55%, 03/15/28 EQIX 29444UBL9 - - 153,000 $148,779 $148,779 0.30
NextEra Energy Capital Holdings, Inc. 1.9% 15-JUN-2028, 1.90%, 06/15/28 NEE 65339KBW9 - - 149,000 $148,716 $148,716 0.30
Xylem Inc. 1.95% 30-JAN-2028, 1.95%, 01/30/28 XYL 98419MAM2 - - 148,000 $148,104 $148,104 0.30
AES Corporation 1.375% 15-JAN-2026, 1.38%, 01/15/26 AES 00130HCE3 - - 150,000 $148,035 $148,035 0.30
Charles Schwab Corp Depositary Shs Repr 1/100th Fix/Fltg Non-Cum Red Perp Pfd Rg Shs Ser H, 4.00%, 03/01/99 SCHW 808513BJ3 - - 144,000 $147,500 $147,500 0.30
AES Corporation 2.45% 15-JAN-2031, 2.45%, 01/15/31 AES 00130HCG8 - - 148,000 $144,602 $144,602 0.29
GNMA II TBA 30yr 3% November Delivery, 3.00%, 11/18/21 G2SF 21H0306B5 - - 132,600 $137,606 $137,606 0.28
FNMA 40yr Pool#BF0189 3.000% 01-Jun-2057, 3.00%, 06/01/57 FN 3140FXF72 - - 126,281 $137,026 $137,026 0.28
Equinix, Inc. 2.5% 15-MAY-2031, 2.50%, 05/15/31 EQIX 29444UBS4 - - 134,000 $134,777 $134,777 0.27
Xylem Inc. 2.25% 30-JAN-2031, 2.25%, 01/30/31 XYL 98419MAL4 - - 134,000 $133,368 $133,368 0.27
Jersey Mike's Funding, Series 2019-1 2019_A2 4.433% 15-FEB-2050, 4.43%, 02/15/50 JMIKE 476681AA9 - - 125,000 $133,353 $133,353 0.27
JPMorgan Chase & Co Depositary Shs Repr 1/10 Fix/Fltg Non-Cum Red Perp Pfd Shs Ser -HH-, 4.60%, 08/01/99 JPM 48128BAG6 - - 120,000 $124,405 $124,405 0.25
Micron Technology, Inc. 2.703% 15-APR-2032, 2.70%, 04/15/32 MU 595112BS1 - - 124,000 $123,430 $123,430 0.25
UMBS TBA 30yr 4% November Delivery, 4.00%, 11/10/21 FNCL 01F0406B8 - - 114,800 $123,175 $123,175 0.25
LendingPoint 2021-B Asset Securitization Trust A 1.11% 15-FEB-2029, 1.11%, 02/15/29 LDPT 52607HAA8 - - 119,000 $118,983 $118,983 0.24
Sun Communities Operating LP 2.7% 15-JUL-2031, 2.70%, 07/15/31 SUI 866677AE7 - - 118,000 $118,777 $118,777 0.24
Broadcom Inc. 3.75% 15-FEB-2051, 3.75%, 02/15/51 AVGO 11135FBG5 - - 116,000 $116,961 $116,961 0.24
Ajax Mortgage Loan Trust 2020-D A 2.25% 25-JUN-2060, 2.25%, 06/25/60 AJAXM 00970CAA7 - - 114,000 $114,613 $114,613 0.23
Xylem Inc. 4.375% 01-NOV-2046, 4.38%, 11/01/46 XYL 98419MAK6 - - 94,000 $113,007 $113,007 0.23
VMware, Inc. 2.2% 15-AUG-2031, 2.20%, 08/15/31 VMW 928563AL9 - - 113,000 $109,714 $109,714 0.22
GXO Logistics, Inc. 1.65% 15-JUL-2026, 1.65%, 07/15/26 GXO 36262GAA9 - - 110,000 $108,549 $108,549 0.22
Illumina, Inc. 2.55% 23-MAR-2031, 2.55%, 03/23/31 ILMN 452327AM1 - - 108,000 $107,908 $107,908 0.22
Micron Technology, Inc. 5.327% 06-FEB-2029, 5.33%, 02/06/29 MU 595112BN2 - - 90,000 $106,786 $106,786 0.22
MKT 2020-525M Mortgage Trust A 2.694% 12-FEB-2040, 2.69%, 02/12/40 MKT 55316PAA5 - - 100,000 $103,068 $103,068 0.21
New Residential Investment Corp. Cum Conv Red Perp Pfd Registered Shs Series D, 7.00%, 11/15/69 NRZ 64828T706 - - 4,000 $102,048 $102,048 0.21
Broadcom Corporation 3.875% 15-JAN-2027, 3.88%, 01/15/27 AVGO 11134LAH2 - - 91,000 $100,199 $100,199 0.20
Bank of America Corporation 2.572% 20-OCT-2032, 2.57%, 10/20/32 BAC 06051GKD0 - - 100,000 $99,567 $99,567 0.20
Sabine Pass Liquefaction LLC 4.5% 15-MAY-2030, 4.50%, 05/15/30 SPLLLC 785592AX4 - - 83,000 $95,947 $95,947 0.19
Abbott Laboratories 6.15% 30-NOV-2037, 6.15%, 11/30/37 ABT 002819AC4 - - 65,000 $95,710 $95,710 0.19
Digital Realty Trust, L.P. 4.45% 15-JUL-2028, 4.45%, 07/15/28 DLR 25389JAT3 - - 83,000 $95,422 $95,422 0.19
Sabine Pass Liquefaction LLC 5.625% 01-MAR-2025, 5.62%, 03/01/25 SPLLLC 785592AM8 - - 84,000 $95,335 $95,335 0.19
HCA, Inc. 4.125% 15-JUN-2029, 4.12%, 06/15/29 HCA 404119BX6 - - 85,000 $95,164 $95,164 0.19
Marriott International, Inc. 3.5% 15-OCT-2032, 3.50%, 10/15/32 MAR 571903BF9 - - 90,000 $94,533 $94,533 0.19
Crown Castle International Corp 2.5% 15-JUL-2031, 2.50%, 07/15/31 CCI 22822VAY7 - - 95,000 $94,215 $94,215 0.19
Aptiv PLC 4.35% 15-MAR-2029, 4.35%, 03/15/29 APTV 03835VAG1 - - 83,000 $93,772 $93,772 0.19
CVS Health Corporation 3.75% 01-APR-2030, 3.75%, 04/01/30 CVS 126650DJ6 - - 85,000 $93,435 $93,435 0.19
UMBS TBA 30yr 1.5% November Delivery, 1.50%, 11/10/21 FNCL 01F0126B7 - - 94,000 $90,582 $90,582 0.18
BVRT LLC|1.83475|07/10/2032, 1.83%, 07/10/32 BVRT 512368AA9 - - 84,636 $84,781 $84,781 0.17
FNMA 30yr Pool#MA1479 4.000% 01-Jun-2043, 4.00%, 06/01/43 FN 31418AUD8 - - 71,753 $81,353 $81,353 0.16
AbbVie Inc. 3.2% 21-NOV-2029, 3.20%, 11/21/29 ABBV 00287YBX6 - - 75,000 $81,030 $81,030 0.16
FHLMC 30yr Pool#ZA3583 3.500% 01-Jul-2042, 3.50%, 07/01/42 FR 31329L6U1 - - 67,113 $75,271 $75,271 0.15
Marriott International, Inc. 4.0% 15-APR-2028, 4.00%, 04/15/28 MAR 571903AY9 - - 63,000 $68,821 $68,821 0.14
VMware, Inc. 4.7% 15-MAY-2030, 4.70%, 05/15/30 VMW 928563AF2 - - 58,000 $68,750 $68,750 0.14
HCA, Inc. 5.25% 15-JUN-2026, 5.25%, 06/15/26 HCA 404119BT5 - - 59,000 $68,233 $68,233 0.14
Humana Inc. 3.125% 15-AUG-2029, 3.12%, 08/15/29 HUM 444859BK7 - - 64,000 $68,068 $68,068 0.14
Otis Worldwide Corp. 2.565% 15-FEB-2030, 2.56%, 02/15/30 OTIS 68902VAK3 - - 66,000 $67,253 $67,253 0.14
GS Mortgage-Backed Securities Trust 2020-NQM1 A3 2.352% 25-SEP-2060, 2.35%, 09/27/60 GSMBS 36259WAC5 - - 66,122 $66,688 $66,688 0.13
FNMA 40yr Pool#BF0130 3.500% 01-Aug-2056, 3.50%, 08/01/56 FN 3140FXEC2 - - 54,188 $60,662 $60,662 0.12
Angel Oak Mortgage Trust, Series 2020-2 A2 3.86% 25-JAN-2065, 3.86%, 01/26/65 AOMT 03464XAB6 - - 51,330 $52,554 $52,554 0.11
Domino's Pizza Master Issuer Series 2021-1 2021-A2I 2.662% 25-APR-2051, 2.66%, 04/25/51 DPABS 25755TAN0 - - 49,875 $51,243 $51,243 0.10
Ajax Mortgage Loan Trust 2020-C A 2.25% 25-SEP-2060, 2.25%, 09/27/60 AJAXM 00969HAA9 - - 44,176 $44,372 $44,372 0.09
COLT 2020-2 A1 1.853% 25-MAR-2065, 1.85%, 03/25/65 COLT 19688JAA5 - - 35,730 $35,954 $35,954 0.07
FHLMC 30yr Pool#ZL6308 3.500% 01-Jun-2043, 3.50%, 06/01/43 FR 3131XNAH6 - - 29,982 $33,842 $33,842 0.07
FNMA 30yr Pool#MA2894 3.000% 01-Jan-2047, 3.00%, 01/01/47 FN 31418CGC2 - - 25,624 $29,614 $29,614 0.06
FNMA 30yr Pool#AB8517 3.000% 01-Feb-2043, 3.00%, 02/01/43 FN 31417FPB8 - - 13,318 $14,279 $14,279 0.03
Angel Oak Mortgage Trust I, Series 2018-3 A1 3.649% 25-SEP-2048, 3.65%, 09/25/48 AOMT 03464NAA0 - - 13,930 $13,958 $13,958 0.03
FNMA 30yr Pool#AL7381 4.500% 01-Jun-2045, 4.50%, 06/01/45 FN 3138EQFX5 - - 7,556 $8,702 $8,702 0.02
FHLMC 30yr Pool#ZN0627 3.000% 01-Feb-2043, 3.00%, 02/01/43 FR 3131Y6VU0 - - 1,548 $1,660 $1,660 0.00
FHLMC 30yr Pool#ZL5324 3.500% 01-Mar-2043, 3.50%, 03/01/43 FR 3131XL4H7 - - 280.00 $316 $316 0.00
CBOT 10 Year US Treasury Note DEC 21 TYZ1 - FUTURES_USD - 28.00 $3,657,938 $0 0.00
CBOT 5 Year US Treasury Note DEC 21 FVZ1 - FUTURES_USD - -20.00 $-2,439,219 $0 0.00
CME Ultra Long Term US Treasury Bond Future DEC 21 WNZ1 - FUTURES_USD - 25.00 $4,757,031 $0 0.00
CBOT 2 Year US Treasury Note Future DEC 21 TUZ1 - FUTURES_USD - 15.00 $3,293,320 $0 0.00
Ultra 10-Year US Treasury Note Futures DEC 21 UXYZ1 - FUTURES_USD - -8.00 $-1,152,000 $0 0.00
SEGREGATED CASH SEGCASH - - $0.00 190,000 $190,000 $190,000 0.38
US DOLLARS, 0.00%, 04/16/20 USD - - - -1,815,570 $-1,815,570 $-1,815,570 -3.68
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.