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Pool3140XHLR6234256PAUSD2206250.132LongABS-MBSUSGSEUSN22049-11-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140XHZL48987PAUSD84640.005LongABS-MBSUSGSEUSN22051-03-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140XHZN018585PAUSD174590.01LongABS-MBSUSGSEUSN22051-03-01Fixed4NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool3140XJAP8230640PAUSD2229030.133LongABS-MBSUSGSEUSN22050-10-01Fixed4.5NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31417EMM07154PAUSD63890.004LongABS-MBSUSGSEUSN22043-01-01Fixed3NNNNNNFannie MaeB1V7KEBTPIMZEU4LTD58Fannie Mae Pool31418DCZ314609PAUSD137250.008LongABS-MBSUSGSEUSN22049-06-01Fixed4NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae II Pool36179TXV2279732PAUSD2637410.157LongABS-MBSUSGAUSN22048-05-20Fixed4NNNNNNGovernment National Mortgage A549300M8ZYFG0OCMTT87Ginnie Mae II Pool36179TZ57651003PAUSD6137880.366LongABS-MBSUSGAUSN22048-06-20Fixed4NNNNNNResimacN/ARESIMAC Bastille Trust Series 2018-1NC76118VAA896781PAUSD966790.058LongABS-MBSCORPAUY22059-12-05Floating3.22629NNNNNNRMAC Securities PLC213800C48M2JTBGZT736RMAC Securities No 1 PLCBCC0QYR40160456PA1708900.102LongABS-MBSCORPGBN22044-06-12Floating1.60998NNNNNNRMAC Securities PLC213800C48M2JTBGZT736RMAC Securities No 1 2006-NS3X PLCBCC0T09P4560522PA5960830.356LongABS-MBSCORPGBN22044-06-12Floating1.61NNNNNNRMAC Securities PLC213800C48M2JTBGZT736RMAC Securities No 1 2006-NS4X PLCBCC0UJFM1557486PA5940630.354LongABS-MBSCORPGBN22044-06-12Floating1.62998NNNNNNMortgage Funding PLC213800AHT9AB4TA6OJ88Mortgage Funding 2008-1 PLCBCC1318Y046370PA517100.031LongABS-MBSCORPGBN22046-03-13Floating3.8249NNNNNNJP Morgan Mortgage TrustN/AJP Morgan Mortgage Trust 2019-1 A1546650HAR9123406PAUSD1138510.068LongABS-OCORPUSY22049-05-25Variable4NNNNNNJP Morgan Mortgage TrustN/AJP Morgan Mortgage Trust 2019-LTV246651AAQ519527PAUSD192690.011LongABS-OCORPUSY22049-12-25Variable3.5NNNNNNN/AN/ASell USD / Buy SEKN/A1NCUSD-58834-0.035N/ADFEUSN2BNP ParibasR0MUWSFPU8MPRO8K5P83849007USD8754000SEK2022-10-26-58834NNNN/AN/ASell USD / Buy AUDN/A1NCUSD-130875-0.078N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R971694472USD2444314AUD2022-10-26-130875NNNN/AN/ASell DKK / Buy USDN/A1NCUSD9750.001N/ADFEUSN2BNP ParibasR0MUWSFPU8MPRO8K5P83206000DKK28183USD2022-10-26975NNNN/AN/ASell JPY / Buy USDN/A1NCUSD12930.001N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R973132816JPY22993USD2022-10-261293NNNN/AN/ASell USD / Buy MXNN/A1NCUSD90800.005N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ078290472USD6059146MXN2022-10-269080NNNN/AN/ASell USD / Buy NOKN/A1NCUSD-68729-0.041N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97711359USD6992178NOK2022-10-26-68729NNNN/AN/ASell GBP / Buy USDN/A1NCUSD4771810.285N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R975320630GBP6419496USD2022-10-26477181NNNN/AN/ASell USD / Buy PLNN/A1NCUSD-24826-0.015N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ078739915USD3555545PLN2022-10-26-24826NNNN/AN/ASell USD / Buy ILSN/A1NCUSD-31808-0.019N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ078764404USD2600000ILS2022-10-26-31808NNNN/AN/ASell USD / Buy NZDN/A1NCUSD-1210N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R971239USD2000NZD2022-10-26-121NNNN/AN/ASell USD / Buy HUFN/A1NCUSD-1339-0.001N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA7622922USD9373525HUF2022-10-26-1339NNNN/AN/ASell USD / Buy CHFN/A1NCUSD-90036-0.054N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R973402470USD3260297CHF2022-10-26-90036NNNN/AN/ASell EUR / Buy USDN/A1NCUSD95920.006N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97255441EUR260327USD2022-10-269592NNNN/AN/ASell USD / Buy SGDN/A1NCUSD-55104-0.033N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R971661176USD2305596SGD2022-10-26-55104NNNN/AN/ASell CAD / Buy USDN/A1NCUSD4450140.265N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R978497237CAD6596745USD2022-10-26445014NNNN/AN/ASell USD / Buy KRWN/A1NCUSD-13177-0.008N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76160403USD210394350KRW2022-10-26-13177NNNN/AN/ASell USD / Buy IDRN/A1NCUSD-72295-0.043N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA764947732USD74451000000IDR2022-10-26-72295NNNN/AN/ASell CNY / Buy USDN/A1NCUSD3427990.204N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R9742643649CNY6318982USD2022-10-26342799NNNN/AN/ASell USD / Buy EURN/A1NCUSD-81195-0.048N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R972110082USD2066961EUR2022-10-26-81195NNNN/AN/ASell USD / Buy GBPN/A1NCUSD-37941-0.023N/ADFEUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76495999USD410136GBP2022-10-26-37941NNNN/AN/ASell EUR / Buy USDN/A1NCUSD743210.044N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R971891952EUR1931421USD2022-10-2674321NNNN/AN/ASell USD / Buy EURN/A1NCUSD-26720-0.016N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97601440USD585505EUR2022-10-26-26720NNNN/AN/ASell USD / Buy GBPN/A1NCUSD-20052-0.012N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97235771USD193151GBP2022-10-26-20052NNNN/AN/ASell USD / Buy GBPN/A1NCUSD-22027-0.013N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97289304USD239314GBP2022-10-26-22027NNNN/AN/ASell USD / Buy EURN/A1NCUSD-20828-0.012N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ078471225USD458849EUR2022-10-26-20828NNNN/AN/ASell USD / Buy GBPN/A1NCUSD-41907-0.025N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97546217USD451548GBP2022-10-26-41908NNNN/AN/ASell USD / Buy GBPN/A1NCUSD-56754-0.034N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97740030USD611791GBP2022-10-26-56754NNNN/AN/ASell CHF / Buy USDN/A1NCUSD172330.01N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ078516507CHF542000USD2022-10-2617233NNNN/AN/ASell EUR / Buy USDN/A1NCUSD130110.008N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97462509EUR467000USD2022-10-2613010NNNN/AN/ASell USD / Buy GBPN/A1NCUSD-45354-0.027N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97801000USD676590GBP2022-10-26-45354NNNN/AN/ASell GBP / Buy USDN/A1NCUSD306680.018N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97611791GBP713943USD2022-10-2630668NNNN/AN/ASell GBP / Buy USDN/A1NCUSD277440.017N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R97575959GBP671000USD2022-10-2627744NNNN/AN/ASell USD / Buy JPYN/A1NCUSD-165849-0.099N/ADFEUSN2HSBC Securities (USA), Inc.CYYGQCGNHMHPSMRL3R973819050USD527410773JPY2022-10-26-165849NNNN/AN/ASell CHF / Buy USDN/A1NCUSD159620.01N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ0781910486CHF1957000USD2022-10-2615962NNNN/AN/ASell USD / Buy GBPN/A1NCUSD-9544-0.006N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97313409USD272074GBP2022-10-26-9545NNNN/AN/ASell USD / Buy EURN/A1NCUSD-5533-0.003N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97462000USD465033EUR2022-10-26-5533NNNN/AN/ASell EUR / Buy USDN/A1NCUSD353230.021N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB271603209EUR1609000USD2022-10-2635323NNNN/AN/ASell GBP / Buy USDN/A1NCUSD278670.017N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ078754029GBP870000USD2022-10-2627867NNNN/AN/ASell NOK / Buy USDN/A1NCUSD416440.025N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ0785531195NOK550000USD2022-10-2641644NNNN/AN/ASell KRW / Buy USDN/A1NCUSD466710.028N/ADFEUSN2JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE972451294400KRW1762000USD2022-10-2646671NNNN/AN/ASell USD / Buy JPYN/A1NCUSD-11307-0.007N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ0781762000USD252746672JPY2022-10-26-11307NNNN/AN/ASell GBP / Buy USDN/A1NCUSD-58336-0.035N/ADFEUSN2Morgan Stanley & Co9R7GPTSO7KV3UQJZQ0781550000GBP1672773USD2022-10-26-58336NNNN/AN/ASell JPY / Buy USDN/A1NCUSD800N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB2780257877JPY556000USD2022-10-2680NNNN/AN/ASell USD / Buy GBPN/A1NCUSD246980.015N/ADFEUSN2Bank of America, National AssociationB4TYDEB6GKMZO031MB271706410USD1550000GBP2022-10-2624698NNNN/AN/AEURO-SCHATZ FUT Dec22N/A-297NC2727870.163N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30ShortN/AN/A2022-12-12-32255426EUR272787NNNN/AN/AEuro-BTP Future Dec22N/A10NC-47614-0.028N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30LongN/AN/A2022-12-121174615EUR-47614NNNN/AN/AEURO-BOBL FUTURE Dec22N/A107NC-306549-0.183N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30LongN/AN/A2022-12-1213186582EUR-306549NNNN/AN/AUS 10yr Ultra Fut Dec22N/A-26NCUSD686560.041N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30ShortN/AN/A2022-12-30-3149250USD68656NNNN/AN/AUS ULTRA BOND CBT Dec22N/A13NCUSD-140664-0.084N/ADIRUSN1Goldman Sachs & Co. LLCFOR8UP27PHTHYVLBNG30LongN/AN/A2022-12-301921664USD-140664NNNN/AN/AP:JPY/TONA/1D /R:JPY 0.06375N/A7517245695OUNotional-549017-0.327N/ADIRUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76N/AN/AY2028-01-250USD0USD7517245695JPY-549017NNNN/AN/AP:JPY 0.18775 /R:JPY/TONA/1DN/A3647905674OUNotional8489950.506N/ADIRUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76N/AN/AY2033-01-250USD0USD3647905674JPY848995NNNN/AN/AP:USD 2.85500 /R:USD/SOFR/1DN/A12800000OUNotionalUSD5341330.319N/ADIRUSN2Citibank, National AssociationE57ODZWZ7FF32TWEFA76N/AN/AY2027-06-14750USD0USD12800000USD533383NNNN/AN/AP:SEK/STIBOR/3M /R:SEK 2.70600N/A134300000OUNotional-306336-0.183N/ADIRUSN2Citigroup Global Markets IncG7D5LKZKIBRMES6BO437N/AN/AY2027-06-14750USD0USD134300000SEK-307086NNNN/AN/AP:EUR 1.29250 /R:EUR/EURIBOR/6MN/A7800000OUNotional5409820.323N/ADIRUSN2Citigroup Global Markets IncG7D5LKZKIBRMES6BO437N/AN/AY2027-08-04406.25USD0USD7800000EUR540576NNNN/AN/AP:EUR 1.49500 /R:EUR/EURIBOR/6MN/A1700000OUNotional3029560.181N/ADIRUSN2Citigroup Global Markets IncG7D5LKZKIBRMES6BO437N/AN/AY2052-08-04439.660000000149USD0USD1700000EUR302517NNNN/AN/AP:EUR/EURIBOR/6M /R:EUR 1.58940N/A8200000OUNotional-981521-0.585N/ADIRUSN2Citigroup Global Markets IncG7D5LKZKIBRMES6BO437N/AN/AY2032-08-04389.240000000224USD0USD8200000EUR-981910NNN2022-11-14JANUS INVESTMENT FUNDJESPER NERGAARDJESPER NERGAARDVP, CFO, TREASURER, AND PRINCIPAL ACCOUNTING OFFICERXXXX