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Pool3138EPHU156522PAUSD580180.031LongABS-MBSUSGSEUSN22045-03-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138EPX3316388PAUSD168840.009LongABS-MBSUSGSEUSN22042-11-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138EQFX528938PAUSD298000.016LongABS-MBSUSGSEUSN22045-06-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3138WGR971245572PAUSD11807460.629LongABS-MBSUSGSEUSN22046-03-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140FXFH027512PAUSD258690.014LongABS-MBSUSGSEUSN22057-02-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140J73V555862PAUSD575530.031LongABS-MBSUSGSEUSN22046-02-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140J9NN71845941PAUSD17635630.939LongABS-MBSUSGSEUSN22047-02-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140JXJ582348PAUSD22070.001LongABS-MBSUSGSEUSN22049-09-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140K0HB7234705PAUSD2260100.12LongABS-MBSUSGSEUSN22034-11-01Fixed2.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140K3A366868PAUSD62440.003LongABS-MBSUSGSEUSN22050-01-01Fixed2.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140KQQE49323PAUSD84430.004LongABS-MBSUSGSEUSN22050-10-01Fixed2.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31417EMM07389PAUSD70680.004LongABS-MBSUSGSEUSN22043-01-01Fixed3NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae II Pool36179TXV2297647PAUSD2986970.159LongABS-MBSUSGAUSN22048-05-20Fixed4NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae II Pool36179TZ57693213PAUSD6950090.37LongABS-MBSUSGAUSN22048-06-20Fixed4NNNNNNResimacN/ARESIMAC Bastille Trust Series 2018-1NC76118VAA8138259PAUSD1377740.073LongABS-MBSCORPAUY22059-12-05Floating1.68171NNNNNNRMAC Securities PLC213800C48M2JTBGZT736RMAC Securities No 1 PLCBCC0QYR40165440PA1908980.102LongABS-MBSCORPGBN22044-06-12Floating1.02105NNNNNNRMAC Securities PLC213800C48M2JTBGZT736RMAC Securities No 1 2006-NS3X PLCBCC0T09P4582804PA6676600.356LongABS-MBSCORPGBN22044-06-12Floating1.02105NNNNNNRMAC Securities PLC213800C48M2JTBGZT736RMAC Securities No 1 2006-NS4X PLCBCC0UJFM1577314PA6687930.356LongABS-MBSCORPGBN22044-06-12Floating1.04105NNNNNNMortgage Funding PLC213800AHT9AB4TA6OJ88Mortgage Funding 2008-1 PLCBCC1318Y0141926PA1725060.092LongABS-MBSCORPGBN22046-03-13Floating2.6904NNNNNNJP Morgan Mortgage TrustN/AJP Morgan Mortgage Trust 2019-1 A1546650HAR9138942PAUSD1363570.073LongABS-OCORPUSY22049-05-25Variable4NNNNNNJP Morgan Mortgage TrustN/AJP Morgan Mortgage Trust 2019-LTV246651AAQ527401PAUSD272020.014LongABS-OCORPUSY22049-12-25Variable3.5NNNNNNN/AN/ASell USD / Buy SGDN/A1NCUSD-3426-0.002N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB271906390USD2643000SGD2022-08-04-3426NNNN/AN/ASell USD / Buy HUFN/A1NCUSD-956-0.001N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R9725620USD9373525HUF2022-08-04-956NNNN/AN/ASell USD / Buy ILSN/A1NCUSD-19252-0.01N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97765832USD2600000ILS2022-08-04-19252NNNN/AN/ASell USD / Buy PLNN/A1NCUSD26060.001N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97787496USD3555545PLN2022-08-042606NNNN/AN/ASell JPY / Buy USDN/A1NCUSD975440.052N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97319404944JPY2456933USD2022-08-0497544NNNN/AN/ASell DKK / Buy USDN/A1NCUSD1470N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97206000DKK29246USD2022-08-04147NNNN/AN/ASell USD / Buy AUDN/A1NCUSD-91191-0.049N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ0783080999USD4331348AUD2022-08-04-91191NNNN/AN/ASell USD / Buy SEKN/A1NCUSD-25582-0.014N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97882836USD8754000SEK2022-08-04-25582NNNN/AN/ASell USD / Buy EURN/A1NCUSD-12010-0.006N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R972210790USD2093729EUR2022-08-04-12009NNNN/AN/ASell USD / Buy NZDN/A1NCUSD-350N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ0781283USD2000NZD2022-08-04-35NNNN/AN/ASell USD / Buy CHFN/A1NCUSD571570.03N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R971747565USD1718996CHF2022-08-0457157NNNN/AN/ASell USD / Buy NOKN/A1NCUSD-9489-0.005N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97271050USD2573408NOK2022-08-04-9489NNNN/AN/ASell GBP / Buy USDN/A1NCUSD823890.044N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE974951795GBP6112808USD2022-08-0482389NNNN/AN/ASell CAD / Buy USDN/A1NCUSD27000.001N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA766186869CAD4809814USD2022-08-042700NNNN/AN/ASell USD / Buy MXNN/A1NCUSD47910.003N/ADFEUSN2Credit Suisse InternationalE58DKGMJYYYJLN8C3868294736USD6059146MXN2022-08-044791NNNN/AN/ASell USD / Buy KRWN/A1NCUSD-48222-0.026N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE972542534USD3232375000KRW2022-08-04-48222NNNN/AN/ASell KRW / Buy USDN/A1NCUSD416090.022N/ADFEUSN2Credit Suisse InternationalE58DKGMJYYYJLN8C38682654610000KRW2090080USD2022-08-0441609NNNN/AN/ASell CNY / Buy USDN/A1NCUSD-22462-0.012N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R9742643649CNY6347954USD2022-08-04-22462NNNN/AN/ASell JPY / Buy USDN/A1NCUSD395890.021N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ07890757610JPY710000USD2022-08-0439589NNNN/AN/ASell AUD / Buy USDN/A1NCUSD-3176-0.002N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK2824319642031AUD440000USD2022-08-04-3176NNNN/AN/ASell EUR / Buy USDN/A1NCUSD-10470-0.006N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ0781200249EUR1250000USD2022-08-04-10470NNNN/AN/ASell CAD / Buy USDN/A1NCUSD-2528-0.001N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97222048CAD170000USD2022-08-04-2528NNNN/AN/ASell GBP / Buy USDN/A1NCUSD2880N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ078205047GBP250000USD2022-08-04288NNNN/AN/ASell AUD / Buy USDN/A1NCUSD30830.002N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE971170326AUD810926USD2022-08-043083NNNN/AN/ASell USD / Buy GBPN/A1NCUSD-6584-0.004N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R971324504USD1082192GBP2022-08-04-6584NNNN/AN/ASell CAD / Buy USDN/A1NCUSD-6580-0.004N/ADFEUSN2BNP ParibasR0MUWSFPU8MPRO8K5P831507756CAD1164927USD2022-08-04-6580NNNN/AN/ASell USD / Buy CHFN/A1NCUSD259080.014N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK2824319540000USD539027CHF2022-08-0425908NNNN/AN/ASell USD / Buy EURN/A1NCUSD79670.004N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA761400000USD1340699EUR2022-08-047967NNNN/AN/ASell USD / Buy GBPN/A1NCUSD-1726-0.001N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97390000USD318825GBP2022-08-04-1726NNNN/AN/ASell EUR / Buy USDN/A1NCUSD190120.01N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB27699873EUR754000USD2022-08-0419012NNNN/AN/ASell AUD / Buy USDN/A1NCUSD108380.006N/ADFEUSN2UBS AG254900R882POXXVAK772573922AUD407000USD2022-08-0410838NNNN/AN/ASell JPY / Buy USDN/A1NCUSD276050.015N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE9751361048JPY407000USD2022-08-0427605NNNN/AN/ASell JPY / Buy USDN/A1NCUSD403990.022N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB27527319930JPY3935620USD2022-08-0440400NNNN/AN/ASell USD / Buy JPYN/A1NCUSD-94889-0.051N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK28243199150911USD1225969344JPY2022-08-04-94889NNNN/AN/ASell USD / Buy JPYN/A1NCUSD-85409-0.045N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R973885000USD514374000JPY2022-08-04-85409NNNN/AN/ASell KRW / Buy USDN/A1NCUSD50200.003N/ADFEUSN2Barclays Capital, Inc.AC28XWWI3WIBK28243192511424650KRW1943000USD2022-08-045020NNNN/AN/ASell USD / Buy KRWN/A1NCUSD-5845-0.003N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ0781943000USD2510356000KRW2022-08-04-5845NNNN/AN/ASell JPY / Buy USDN/A1NCUSD355380.019N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97521125353JPY3885000USD2022-08-0435538NNNN/AN/ASell USD / Buy EURN/A1NCUSD-1813-0.001N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97168982USD159182EUR2022-08-04-1812NNNN/AN/ASell USD / Buy EURN/A1NCUSD-8990N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R9783258USD78424EUR2022-08-04-899NNNN/AN/ASell USD / Buy CHFN/A1NCUSD22570.001N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R971050000USD1002274CHF2022-08-042257NNNN/AN/ASell EUR / Buy USDN/A1NCUSD109860.006N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R971208385EUR1280000USD2022-08-0410986NNNN/AN/ASell USD / Buy AUDN/A1NCUSD-1532-0.001N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97264000USD380238AUD2022-08-04-1532NNNN/AN/ASell JPY / Buy USDN/A1NCUSD-3611-0.002N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97181486706JPY1337000USD2022-08-04-3611NNNN/AN/ASell CAD / Buy USDN/A1NCUSD9090N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ078580564CAD452000USD2022-08-04909NNNN/AN/ASell USD / Buy NOKN/A1NCUSD-2875-0.002N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97452000USD4418771NOK2022-08-04-2875NNNN/AN/ASell GBP / Buy USDN/A1NCUSD2670N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97127331GBP155333USD2022-08-04267NNNN/AN/ASell USD / Buy AUDN/A1NCUSD-2200N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R9782367USD119007AUD2022-08-04-220NNNN/AN/ASell USD / Buy GBPN/A1NCUSD-3530N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97205217USD168222GBP2022-08-04-353NNNN/AN/ASell USD / Buy EURN/A1NCUSD-5348-0.003N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R971074948USD1018497EUR2022-08-04-5348NNNN/AN/AEURO-SCHATZ FUT Sep22N/A-158NC-6750N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30ShortN/AN/A2022-09-12-18001216EUR-675NNNN/AN/AEuro-BTP Future Sep22N/A10NC354090.019N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30LongN/AN/A2022-09-121264281EUR35409NNNN/AN/AEURO-BOBL FUTURE Sep22N/A-62NC482320.026N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30ShortN/AN/A2022-09-12-8310579EUR48232NNNN/AN/AUS 10yr Ultra Fut Sep22N/A-26NCUSD-2402-0.001N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30ShortN/AN/A2022-09-30-3309348USD-2402NNNN/AN/AUS ULTRA BOND CBT Sep22N/A13NCUSD-72719-0.039N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30LongN/AN/A2022-09-302079188USD-72719NNNN/AN/AMARKIT ITRX EUR XOVERN/A14700000OUNotional-478719-0.255N/ADCRUSN2Citigroup Global Markets IncG7D5LKZKIBRMES6BO437ITRX EUR XOVERITRX XOVERYMARKIT ITRX EUR XOVER2027-06-201032166.06USD0USD14700000EUR-1510886NNNN/AN/AP:GBP/WMBA-SONIA/1D /R:GBP 1.14500N/A69700000OUNotional-1411798-0.752N/ADIRUSN2Citigroup Global Markets IncG7D5LKZKIBRMES6BO437N/AN/AY2023-10-240USD0USD69700000GBP-1411798NNNN/AN/AP:GBP 1.00500 /R:GBP/WMBA-SONIA/1DN/A72400000OUNotional9522770.507N/ADIRUSN2Citigroup Global Markets IncG7D5LKZKIBRMES6BO437N/AN/AY2027-10-220USD0USD72400000GBP952277NNNN/AN/AP:CHF/SARON/1D /R:CHF -0.61500N/A47698627OUNotional-914991-0.487N/ADIRUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76N/AN/AY2023-12-160USD0USD47698627CHF-914991NNNN/AN/AP:JPY/TONA/1D /R:JPY 0.06375N/A8688400000OUNotional-541229-0.288N/ADIRUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76N/AN/AY2028-01-250USD0USD8688400000JPY-541229NNNN/AN/AP:JPY 0.18775 /R:JPY/TONA/1DN/A4367400000OUNotional10021780.534N/ADIRUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76N/AN/AY2033-01-250USD0USD4367400000JPY1002178NNNN/AN/AP:USD 2.85500 /R:USD/SOFR/1DN/A12800000OUNotionalUSD-61918-0.033N/ADIRUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76N/AN/AY2027-06-14750USD0USD12800000USD-62668NNNN/AN/AP:SEK/STIBOR/3M /R:SEK 2.70600N/A134300000OUNotional76340.004N/ADIRUSN2Citigroup Global Markets IncG7D5LKZKIBRMES6BO437N/AN/AY2027-06-14750USD0USD134300000SEK6884NNN2022-08-14JANUS INVESTMENT FUNDJESPER NERGAARDJESPER NERGAARDVP, CFO, TREASURER, AND PRINCIPAL ACCOUNTING OFFICER