For Financial Professionals in the US

Mortgage-Backed Securities ETF Holdings

Full Portfolio Holdings

(As of 01/15/2021)

Ticker Cusip Underlying Security Strike Price Quantity (Shares/ Par/ Units/ Contracts) Notional Value Market Value Weight %
UMBS TBA 30yr 3.5% February Delivery, 3.50%, 02/11/21 FNCL 01F032625 - - 84,217,576 $89,322,845 $89,322,845 13.84
UMBS TBA 30yr 4% February Delivery, 4.00%, 02/11/21 FNCL 01F040628 - - 80,059,762 $85,723,190 $85,723,190 13.29
UMBS TBA 30yr 2% February Delivery, 2.00%, 02/11/21 FNCL 01F020620 - - 72,872,018 $75,045,062 $75,045,062 11.63
GNMA II TBA 30yr 3% February Delivery, 3.00%, 02/18/21 G2SF 21H030625 - - 51,945,087 $54,487,280 $54,487,280 8.44
UMBS TBA 30yr 2.5% February Delivery, 2.50%, 02/11/21 FNCL 01F022626 - - 51,417,183 $54,050,257 $54,050,257 8.37
GNMA II TBA 30yr 3.5% February Delivery, 3.50%, 02/18/21 G2SF 21H032621 - - 42,854,100 $45,405,633 $45,405,633 7.03
GNMA II TBA 30yr 2.5% February Delivery, 2.50%, 02/18/21 G2SF 21H022622 - - 32,831,270 $34,573,954 $34,573,954 5.35
UMBS TBA 30yr 1.5% February Delivery, 1.50%, 02/11/21 FNCL 01F012627 - - 30,229,788 $30,252,763 $30,252,763 4.68
UMBS TBA 15yr 2% February Delivery, 2.00%, 02/16/21 FNCI 01F020422 - - 27,654,328 $28,846,783 $28,846,783 4.47
FNMA 30yr Pool#FM3857 3.500% 01-Jul-2048, 3.50%, 07/01/48 FN 3140X7JB6 - - 23,036,115 $26,053,369 $26,053,369 4.04
UMBS TBA 15yr 2.5% February Delivery, 2.50%, 02/16/21 FNCI 01F022428 - - 20,904,589 $21,916,371 $21,916,371 3.40
FHLMC 30yr Pool#ZS4703 3.000% 01-Feb-2047, 3.00%, 02/01/47 FR 3132A5GL3 - - 14,836,449 $16,562,033 $16,562,033 2.57
GNMA II TBA 30yr 4% February Delivery, 4.00%, 02/18/21 G2SF 21H040624 - - 15,452,200 $16,515,157 $16,515,157 2.56
UMBS TBA 15yr 3% February Delivery, 3.00%, 02/16/21 FNCI 01F030421 - - 15,195,555 $15,976,455 $15,976,455 2.48
Fannie Mae Pool|2.5|01/01/2051, 2.50%, 01/01/51 FN 3140X9FB6 - - 12,809,550 $13,485,341 $13,485,341 2.09
FNMA 30yr Pool#FM2915 3.000% 01-Nov-2048, 3.00%, 11/01/48 FN 3140X6GZ8 - - 10,620,508 $11,861,785 $11,861,785 1.84
FHLMC 30yr Pool#QA4865 3.000% 01-Nov-2049, 3.00%, 11/01/49 FR 31346YMN0 - - 10,886,214 $11,849,119 $11,849,119 1.84
FHLMC 30yr Pool#QA5698 3.000% 01-Dec-2049, 3.00%, 12/01/49 FR 3133A0KK9 - - 10,512,929 $11,293,549 $11,293,549 1.75
UMBS TBA 15yr 1.5% February Delivery, 1.50%, 02/16/21 FNCI 01F012429 - - 10,913,741 $11,176,216 $11,176,216 1.73
FHLMC REMIC 2020-HQA5 2.69134% 25-NOV-2050, 2.68%, 11/25/50 STACR 35565TAH2 - - 10,962,000 $11,063,712 $11,063,712 1.72
Fannie Mae REMIC Trust 2020-61 NI 3.5% 25-SEP-2050, 3.50%, 09/25/50 FNR 3136BBF98 - - 79,128,210 $10,485,576 $10,485,576 1.63
Connecticut Avenue Securities Trust 2019-R06 2.248% 25-SEP-2039, 2.25%, 09/25/39 CAS 20754JAB0 - - 10,068,041 $10,093,536 $10,093,536 1.57
Connecticut Avenue Securities Trust 2019-R03 2.298% 25-SEP-2031, 2.30%, 09/25/31 CAS 20753MAF5 - - 10,023,359 $10,017,474 $10,017,474 1.55
Spruce Hill Mortgage Loan Trust 2020-SH2 A1 3.407% 28-JUN-2055, 3.41%, 06/25/55 SHMLT 85214RAA1 - - 8,680,567 $8,822,005 $8,822,005 1.37
FHLMC 30yr Pool#QA3225 3.000% 01-Oct-2049, 3.00%, 10/01/49 FR 31339SSN6 - - 7,224,350 $8,439,018 $8,439,018 1.31
FHLMC 30yr Pool#QA4120 3.000% 01-Nov-2049, 3.00%, 11/01/49 FR 31339USH4 - - 7,451,817 $7,869,735 $7,869,735 1.22
FHLMC 30yr Pool#QA4841 3.000% 01-Nov-2049, 3.00%, 11/01/49 FR 31346YLW1 - - 6,451,809 $7,296,047 $7,296,047 1.13
FHLMC 30yr Pool#QA4052 3.000% 01-Oct-2049, 3.00%, 10/01/49 FR 31339UQD5 - - 6,156,347 $7,097,208 $7,097,208 1.10
Ginnie Mae REMIC Trust 2017-163 LO 0.0% 20-MAY-2041, 0.00%, 05/16/41 GNR 38380KNA9 - - 7,477,912 $6,951,564 $6,951,564 1.08
Structured Agency Credit Risk (STACR) Debt Notes, Series 2020-DNA6 M2 2.07734% 25-DEC-2050, 2.08%, 12/25/50 STACR 35566CAH8 - - 6,916,000 $6,936,730 $6,936,730 1.08
Fannie Mae REMIC Trust 2020-98 AI 3.5% 25-JAN-2061, 3.50%, 01/25/61 FNR 3136BDLE6 - - 36,301,531 $6,814,209 $6,814,209 1.06
Quicken Loans LLC 3.625% 01-MAR-2029, 3.62%, 03/01/29 QUICKN 74841CAA9 - - 6,671,000 $6,760,299 $6,760,299 1.05
FNMA 30yr Pool#BP1500 3.000% 01-May-2050, 3.00%, 05/01/50 FN 3140K8U25 - - 5,940,593 $6,596,167 $6,596,167 1.02
UMBS TBA 15yr 3.5% February Delivery, 3.50%, 02/16/21 FNCI 01F032427 - - 6,061,089 $6,439,907 $6,439,907 1.00
Starwood Mortgage Residential Trust 2020-2 A1 2.718% 25-APR-2060, 2.72%, 04/25/60 STAR 85573DAA7 - - 6,134,936 $6,242,199 $6,242,199 0.97
FHLMC 30yr Pool#ZS4716 3.000% 01-Apr-2047, 3.00%, 04/01/47 FR 3132A5GZ2 - - 5,594,881 $6,050,424 $6,050,424 0.94
FHLMC 30yr Pool#ZS4511 3.000% 01-Mar-2043, 3.00%, 03/01/43 FR 3132A5AL9 - - 4,604,525 $5,142,936 $5,142,936 0.80
MGIC Investment Corporation 5.25% 15-AUG-2028, 5.25%, 08/15/28 MTG 552848AG8 - - 4,500,000 $4,911,750 $4,911,750 0.76
UMBS TBA 30yr 4.5% February Delivery, 4.50%, 02/11/21 FNCL 01F042624 - - 4,203,000 $4,560,633 $4,560,633 0.71
PRPM 2020-2 A1 3.671% 25-AUG-2025, 3.67%, 08/25/25 PRPM 693590AA9 - - 4,431,048 $4,457,384 $4,457,384 0.69
FNMA 30yr Pool#AS6811 3.000% 01-Mar-2046, 3.00%, 03/01/46 FN 3138WGR97 - - 3,905,293 $4,432,895 $4,432,895 0.69
VCAT 2020-NPL1 A1 3.671% 25-AUG-2050, 3.67%, 08/25/50 VCAT 91822XAA0 - - 4,238,361 $4,317,535 $4,317,535 0.67
FHLMC 30yr Pool#ZT0529 3.000% 01-Oct-2046, 3.00%, 10/01/46 FR 3132ACSS0 - - 3,861,511 $4,312,908 $4,312,908 0.67
FHLMC 30yr Pool#QA2039 3.000% 01-Aug-2049, 3.00%, 08/01/49 FR 31334YHQ3 - - 3,894,651 $4,277,816 $4,277,816 0.66
BVRT LLC|1.89525|07/10/2032, 1.90%, 07/10/32 BVRT 512368AA9 - - 4,223,000 $4,228,780 $4,228,780 0.66
GNMA II 30yr Pool#MA5021 4.500% 20-Feb-2048, 4.50%, 02/20/48 G2 36179TSJ5 - - 3,665,763 $4,185,486 $4,185,486 0.65
FNMA 30yr Pool#BJ9181 5.000% 01-May-2048, 5.00%, 05/01/48 FN 3140HBFX1 - - 3,187,798 $3,867,327 $3,867,327 0.60
Connecticut Avenue Securities Trust 2020-R01 2.198% 25-JAN-2040, 2.20%, 01/25/40 CAS 20754CAB5 - - 3,456,891 $3,459,042 $3,459,042 0.54
Mello Warehouse Securitization Trust 2019-2 C 1.298% 25-NOV-2052, 1.30%, 11/25/52 MWST 585504AC7 - - 3,378,378 $3,449,016 $3,449,016 0.53
NRZ Excess Spread-Collateralized Notes Series 2020-PLS1|3.844|12/25/2025, 3.84%, 12/25/25 NZES 433674AA6 - - 3,198,000 $3,206,870 $3,206,870 0.50
GNMA II 30yr Pool#MA5264 4.000% 20-Jun-2048, 4.00%, 06/20/48 G2 36179TZ57 - - 2,794,156 $3,199,497 $3,199,497 0.50
Fnma Connecticut Avenue Securities Series 2017-C04 2.998% 25-NOV-2029, 3.00%, 11/25/29 CAS 30711XLX0 - - 3,135,666 $3,172,049 $3,172,049 0.49
FNMA Connecticut Avenue Securities Series 2019-R02 2.448% 25-AUG-2031, 2.45%, 08/25/31 CAS 20753KAB8 - - 3,103,928 $3,111,908 $3,111,908 0.48
Fnma Connecticut Avenue Securities Series 2018-C05 2.498% 25-JAN-2031, 2.50%, 01/25/31 CAS 30711XY24 - - 3,050,615 $3,068,844 $3,068,844 0.48
Connecticut Avenue Securities Trust 2019-R04 2.248% 25-JUN-2039, 2.25%, 06/25/39 CAS 20753TAB9 - - 2,998,207 $3,000,094 $3,000,094 0.47
FNMA 30yr Pool#BN4541 4.000% 01-Feb-2049, 4.00%, 02/01/49 FN 3140JMBK7 - - 2,691,990 $2,973,640 $2,973,640 0.46
COLT 2020-1R Mortgage Loan Trust A2 1.512% 25-SEP-2065, 1.51%, 09/25/65 COLT 12597VAB1 - - 2,953,249 $2,930,742 $2,930,742 0.45
Freddie Mac Multifamily Structured Credit Risk|2.08567|01/25/2051, 2.09%, 01/25/51 MSCR 35563FAA9 - - 2,750,000 $2,750,000 $2,750,000 0.43
FNMA 40yr Pool#BF0167 3.000% 01-Feb-2057, 3.00%, 02/01/57 FN 3140FXFH0 - - 2,380,975 $2,629,889 $2,629,889 0.41
Angel Oak Mortgage Trust, Series 2020-5 A2 1.579% 25-MAY-2065, 1.58%, 05/25/65 AOMT 03464WAB8 - - 2,617,572 $2,624,060 $2,624,060 0.41
FNMA 30yr Pool#BC4714 3.000% 01-Oct-2046, 3.00%, 10/01/46 FN 3140F0GY4 - - 2,323,817 $2,570,176 $2,570,176 0.40
PRPM 2019-4 A1 3.351% 25-NOV-2024, 3.35%, 11/25/24 PRPM 69359NAA9 - - 2,495,029 $2,535,627 $2,535,627 0.39
BVRT LLC|2.39525|07/10/2032, 2.40%, 07/10/32 BVRT 512368AB7 - - 2,526,000 $2,527,176 $2,527,176 0.39
PRPM 2019-3 A1 3.351% 25-JUL-2024, 3.35%, 07/25/24 PRPM 69359MAA1 - - 2,333,820 $2,346,395 $2,346,395 0.36
PRPM 2020-3 A1 2.857% 25-SEP-2025, 2.86%, 09/25/25 PRPM 693585AA9 - - 2,238,207 $2,253,141 $2,253,141 0.35
FHLMC 30yr Pool#QA0743 3.000% 01-Apr-2047, 3.00%, 04/01/47 FR 31334WZG9 - - 2,081,914 $2,223,770 $2,223,770 0.34
Freddie Mac Gold MACS, Series 268 S5 5.84137% 15-AUG-2042, 5.87%, 08/15/42 FHS 31325TPQ6 - - 12,432,174 $2,199,058 $2,199,058 0.34
FNMA 20yr Pool#FM1036 3.000% 01-May-2043, 3.00%, 05/01/43 FN 3140X4EJ1 - - 1,958,640 $2,174,264 $2,174,264 0.34
Connecticut Avenue Securities, Series 2015-C03 2M2 5.148% 25-JUL-2025, 5.15%, 07/25/25 CAS 30711XBD5 - - 2,077,222 $2,119,803 $2,119,803 0.33
FNMA Connecticut Avenue Securities Series 2018-C06 2.148% 25-MAR-2031, 2.15%, 03/25/31 CAS 30711X3H5 - - 2,122,454 $2,110,626 $2,110,626 0.33
FNMA 30yr Pool#AB9341 3.000% 01-May-2043, 3.00%, 05/01/43 FN 31417GLX2 - - 1,757,254 $1,967,940 $1,967,940 0.31
Sequoia Mortgage Trust 2013-5 A1 2.5% 25-MAY-2043, 2.50%, 05/25/43 SEMT 81745AAA5 - - 1,896,199 $1,945,881 $1,945,881 0.30
FHLMC 30yr Pool#ZT1926 3.000% 01-Nov-2043, 3.00%, 11/01/43 FR 3132AED78 - - 1,702,230 $1,883,932 $1,883,932 0.29
Connecticut Avenue Securities, Series 2016-C03 2M2 6.048% 25-OCT-2028, 6.05%, 10/25/28 CAS 30711XCT9 - - 1,723,475 $1,819,328 $1,819,328 0.28
FHLMC 15yr Pool#SB0116 2.500% 01-Nov-2034, 2.50%, 11/01/34 FR 3132CWDV3 - - 1,646,905 $1,800,130 $1,800,130 0.28
FHLMC 30yr Pool#ZM1474 3.000% 01-Aug-2046, 3.00%, 08/01/46 FR 3131XUT72 - - 1,538,580 $1,787,719 $1,787,719 0.28
FNMA 30yr Pool#BM4620 3.000% 01-Oct-2044, 3.00%, 10/01/44 FN 3140J9D24 - - 1,601,551 $1,772,454 $1,772,454 0.27
UMBS TBA 15yr 4% February Delivery, 4.00%, 02/16/21 FNCI 01F040420 - - 1,501,500 $1,595,449 $1,595,449 0.25
Connecticut Avenue Securities, Series 2015-C04 1M2 5.848% 25-APR-2028, 5.85%, 04/25/28 CAS 30711XBF0 - - 1,385,060 $1,452,722 $1,452,722 0.23
FHLMC 30yr Pool#QA8274 3.500% 01-Mar-2050, 3.50%, 03/01/50 FR 3133A3FP8 - - 1,115,280 $1,409,706 $1,409,706 0.22
JP Morgan Mortgage Trust 2015-4 AM 3.0% 25-JUN-2045, 3.00%, 06/25/45 JPMMT 46644VBP0 - - 1,328,021 $1,356,569 $1,356,569 0.21
Connecticut Avenue Securities, Series 2014-C04 1M2 5.048% 25-NOV-2024, 5.05%, 11/25/24 CAS 30711XAP9 - - 1,217,066 $1,250,821 $1,250,821 0.19
Eagle Re 2020-1 Ltd. FRN 25-JAN-2030, 1.05%, 01/25/30 EMIR 26982LAA8 - - 1,200,000 $1,197,428 $1,197,428 0.19
FNMA 30yr Pool#MA2471 3.500% 01-Dec-2045, 3.50%, 12/01/45 FN 31418BW93 - - 1,094,006 $1,181,535 $1,181,535 0.18
Structured Agency Credit Risk (STACR) Debt Notes, Series 2020-HQA4 M2 3.298% 25-SEP-2050, 3.30%, 09/25/50 STACR 35565RAH6 - - 1,148,000 $1,163,397 $1,163,397 0.18
FHLMC 30yr Pool#ZT0337 3.500% 01-Dec-2044, 3.50%, 12/01/44 FR 3132ACLS7 - - 1,001,332 $1,126,295 $1,126,295 0.17
Structured Agency Credit Risk (STACR) Debt Notes, Series 2019-DNA4 M2 2.098% 25-OCT-2049, 2.10%, 10/25/49 STACR 35565AAH3 - - 1,091,728 $1,090,837 $1,090,837 0.17
FNMA 30yr Pool#AL8438 3.000% 01-Jul-2045, 3.00%, 07/01/45 FN 3138ETLU8 - - 953,503 $1,069,321 $1,069,321 0.17
FNMA 30yr Pool#BQ4952 2.500% 01-Oct-2050, 2.50%, 10/01/50 FN 3140KQQE4 - - 958,481 $1,015,653 $1,015,653 0.16
FNMA 30yr Pool#FM3107 3.500% 01-Mar-2047, 3.50%, 03/01/47 FN 3140X6NZ0 - - 934,767 $1,009,556 $1,009,556 0.16
FNMA 40yr Pool#BF0262 3.000% 01-May-2058, 3.00%, 05/01/58 FN 3140FXJG8 - - 902,176 $1,002,377 $1,002,377 0.16
FNMA 30yr Pool#MA1363 3.000% 01-Feb-2043, 3.00%, 02/01/43 FN 31418AQR2 - - 909,832 $986,403 $986,403 0.15
Fannie Mae REMIC Trust 2012-126 SY 3.852% 25-NOV-2042, 3.85%, 11/25/42 FNR 3136A9ZR2 - - 1,012,141 $964,255 $964,255 0.15
GNMA II 30yr Pool#MA5192 4.000% 20-May-2048, 4.00%, 05/20/48 G2 36179TXV2 - - 835,698 $959,247 $959,247 0.15
FNMA 30yr Pool#AS8649 3.000% 01-Jan-2047, 3.00%, 01/01/47 FN 3138WJTF5 - - 854,339 $956,607 $956,607 0.15
Sequoia Mortgage Trust 2019-CH3 A19 4.0% 25-OCT-2049, 4.00%, 09/25/49 SEMT 81748GBN0 - - 917,312 $944,626 $944,626 0.15
FNMA 30yr Pool#BC0935 3.000% 01-Jun-2046, 3.00%, 06/01/46 FN 3140EVBD8 - - 825,402 $919,695 $919,695 0.14
FHLMC 15yr Pool#SB0040 2.500% 01-Dec-2033, 2.50%, 12/01/33 FR 3132CWBH6 - - 824,506 $898,177 $898,177 0.14
FNMA 30yr Pool#FM2868 3.500% 01-Jul-2047, 3.50%, 07/01/47 FN 3140X6FJ5 - - 787,886 $892,736 $892,736 0.14
FNMA 30yr Pool#BM5138 3.500% 01-Nov-2048, 3.50%, 11/01/48 FN 3140J9V81 - - 770,831 $877,970 $877,970 0.14
FHLMC 30yr Pool#ZN6461 4.000% 01-May-2049, 4.00%, 05/01/49 FR 3131YDFA7 - - 742,190 $871,496 $871,496 0.14
FHLMC 30yr Pool#ZT0391 4.000% 01-Nov-2047, 4.00%, 11/01/47 FR 3132ACNG1 - - 727,570 $848,853 $848,853 0.13
FNMA 30yr Pool#CA4646 3.000% 01-Feb-2048, 3.00%, 02/01/48 FN 3140QCEU6 - - 755,940 $835,405 $835,405 0.13
FHLMC 30yr Pool#ZN4240 4.500% 01-Dec-2048, 4.50%, 12/01/48 FR 3131YAV98 - - 746,751 $822,983 $822,983 0.13
FHLMC 30yr Pool#QA1615 3.500% 01-Aug-2049, 3.50%, 08/01/49 FR 31334XYL7 - - 739,745 $822,689 $822,689 0.13
Ginnie Mae REMIC Trust 2016-057 ST 5.9035% 20-APR-2046, 5.90%, 04/20/46 GNR 38379WRN4 - - 3,699,508 $780,905 $780,905 0.12
FHLMC 30yr Pool#U99186 3.500% 01-Jan-2047, 3.50%, 01/01/47 FG 3132H7F41 - - 626,029 $716,065 $716,065 0.11
FNMA 30yr Pool#AR9225 3.000% 01-Mar-2043, 3.00%, 03/01/43 FN 3138W7HB3 - - 645,860 $711,321 $711,321 0.11
GNMA II 30yr Pool#MA5753 4.000% 20-Feb-2049, 4.00%, 02/20/49 G2 36179UMA7 - - 621,870 $699,837 $699,837 0.11
GNMA II 30yr Pool#MA5866 4.000% 20-Apr-2049, 4.00%, 04/20/49 G2 36179UQT2 - - 607,697 $681,052 $681,052 0.11
FHLMC 30yr Pool#QA7442 3.000% 01-Mar-2050, 3.00%, 03/01/50 FR 3133A2HT0 - - 620,310 $660,332 $660,332 0.10
FNMA 30yr Pool#FM1743 3.000% 01-Jan-2047, 3.00%, 01/01/47 FN 3140X45D4 - - 590,029 $659,091 $659,091 0.10
FNMA 30yr Pool#MA1327 3.000% 01-Jan-2043, 3.00%, 01/01/43 FN 31418APM4 - - 566,156 $631,644 $631,644 0.10
FNMA 30yr Pool#BE3616 4.000% 01-May-2047, 4.00%, 05/01/47 FN 3140FPAS8 - - 539,651 $626,179 $626,179 0.10
FHLMC 30yr Pool#ZT1159 3.500% 01-Feb-2044, 3.50%, 02/01/44 FR 3132ADJC3 - - 521,268 $589,117 $589,117 0.09
Chase Home Lending Mortgage Trust 2019-ATR2 A11 1.048% 25-AUG-2049, 1.05%, 07/25/49 CHASE 16159GAL3 - - 563,888 $565,399 $565,399 0.09
GNMA II 30yr Pool#MA5756 5.500% 20-Feb-2049, 5.50%, 02/20/49 G2 36179UMD1 - - 504,096 $552,056 $552,056 0.09
FHLMC 30yr Pool#ZM7926 5.000% 01-Sep-2048, 5.00%, 09/01/48 FR 3131Y2YX0 - - 471,957 $528,489 $528,489 0.08
GNMA II 30yr Pool#BK5879 4.500% 20-Nov-2048, 4.50%, 11/20/48 G2 3617J6Q80 - - 467,818 $528,225 $528,225 0.08
FNMA 30yr Pool#AB6280 3.000% 01-Sep-2042, 3.00%, 09/01/42 FN 31417C6S9 - - 451,200 $525,596 $525,596 0.08
Fhlmc Stacr 2017-Dna3 0.898% 25-MAR-2030, 0.90%, 03/25/30 STACR 3137G0QP7 - - 476,523 $476,773 $476,773 0.07
FNMA 30yr Pool#BM5836 3.000% 01-Sep-2046, 3.00%, 09/01/46 FN 3140JAPW2 - - 418,552 $462,002 $462,002 0.07
FNMA 30yr Pool#BM4963 3.000% 01-May-2048, 3.00%, 05/01/48 FN 3140J9QR5 - - 366,928 $407,724 $407,724 0.06
FNMA 30yr Pool#BO2983 3.000% 01-Sep-2049, 3.00%, 09/01/49 FN 3140JXJ58 - - 352,395 $394,515 $394,515 0.06
Ginnie Mae REMIC Trust 2015-148 SL 5.5335% 20-OCT-2045, 5.53%, 10/20/45 GNR 38379QJ55 - - 1,940,189 $378,309 $378,309 0.06
FNMA 30yr Pool#MA1229 3.000% 01-Oct-2042, 3.00%, 10/01/42 FN 31418ALK2 - - 343,877 $375,549 $375,549 0.06
FNMA 20yr Pool#AB9283 3.000% 01-Apr-2038, 3.00%, 04/01/38 FN 31417GJ56 - - 338,027 $369,324 $369,324 0.06
Freddie Mac Multiclass Certificates, Series 3843 FE 0.70863% 15-APR-2041, 0.68%, 04/15/41 FHR 3137A9HT6 - - 352,973 $357,165 $357,165 0.06
GNMA II 30yr Pool#BF6874 4.500% 20-Jul-2048, 4.50%, 07/20/48 G2 3617GDT77 - - 323,950 $356,339 $356,339 0.06
GNMA II 30yr Pool#BK6072 5.000% 20-Jan-2049, 5.00%, 01/20/49 G2 3617J6W91 - - 322,697 $356,291 $356,291 0.06
FNMA 30yr Pool#AB7563 3.000% 01-Jan-2043, 3.00%, 01/01/43 FN 31417EMM0 - - 309,502 $349,410 $349,410 0.05
Connecticut Avenue Securities, Series 2016-C02 1M2 6.148% 25-SEP-2028, 6.15%, 09/25/28 CAS 30711XCB8 - - 326,361 $343,963 $343,963 0.05
FHLMC 30yr Pool#ZT1633 4.000% 01-Mar-2047, 4.00%, 03/01/47 FR 3132ADY69 - - 283,870 $318,679 $318,679 0.05
FHLMC 30yr Pool#ZM9344 3.000% 01-Jun-2043, 3.00%, 06/01/43 FR 3131Y4LZ5 - - 253,447 $294,138 $294,138 0.05
FNMA 40yr Pool#BF0217 3.000% 01-Sep-2057, 3.00%, 09/01/57 FN 3140FXG30 - - 248,933 $275,974 $275,974 0.04
FNMA 30yr Pool#BM3282 3.500% 01-Dec-2047, 3.50%, 12/01/47 FN 3140J7UG8 - - 237,956 $269,768 $269,768 0.04
FNMA 30yr Pool#CA0108 3.500% 01-Aug-2047, 3.50%, 08/01/47 FN 3140Q7DN4 - - 229,793 $260,582 $260,582 0.04
FHLMC 30yr Pool#ZM7577 4.500% 01-Aug-2048, 4.50%, 08/01/48 FR 3131Y2M21 - - 213,980 $258,832 $258,832 0.04
FNMA 20yr Pool#AR6433 3.000% 01-Aug-2043, 3.00%, 08/01/43 FN 3138W4EF4 - - 217,420 $238,990 $238,990 0.04
FNMA 30yr Pool#BO4113 3.000% 01-Aug-2049, 3.00%, 08/01/49 FN 3140JYSB3 - - 216,665 $235,414 $235,414 0.04
New Residential Mortgage Loan Trust 2018-4 A1M 1.048% 25-JAN-2048, 1.05%, 01/25/48 NRZT 64828FCS9 - - 237,234 $235,107 $235,107 0.04
FNMA 30yr Pool#MA1384 3.000% 01-Mar-2043, 3.00%, 03/01/43 FN 31418ARE0 - - 210,429 $234,327 $234,327 0.04
Fannie Mae REMIC Trust 2013-130 FN 0.498% 25-OCT-2042, 0.50%, 10/25/42 FNR 3136AHG53 - - 228,744 $229,593 $229,593 0.04
FNMA 30yr Pool#BJ8459 3.000% 01-Aug-2049, 3.00%, 08/01/49 FN 3140HAMH0 - - 205,595 $223,224 $223,224 0.03
FNMA 30yr Pool#MA1447 3.000% 01-May-2043, 3.00%, 05/01/43 FN 31418ATD0 - - 176,565 $196,116 $196,116 0.03
FHLMC 15yr Pool#ZS7403 3.000% 01-May-2031, 3.00%, 05/01/31 FR 3132A8GL7 - - 178,859 $196,044 $196,044 0.03
FHLMC 15yr Pool#ZK8962 3.000% 01-Sep-2032, 3.00%, 09/01/32 FR 3131XC5X1 - - 175,597 $192,206 $192,206 0.03
FNMA 30yr Pool#BD2441 3.500% 01-Jan-2047, 3.50%, 01/01/47 FN 3140F9WB7 - - 165,003 $184,762 $184,762 0.03
Fannie Mae REMIC Trust 2010-109 BS 53.416% 25-OCT-2040, 53.42%, 10/25/40 FNR 31398NTM6 - - 41,248 $184,609 $184,609 0.03
FHLMC 30yr Pool#QA1818 3.000% 01-Aug-2049, 3.00%, 08/01/49 FR 31334YAT4 - - 165,006 $184,423 $184,423 0.03
FHLMC 30yr Pool#QA2159 3.000% 01-Aug-2049, 3.00%, 08/01/49 FR 31334YMG9 - - 164,783 $178,872 $178,872 0.03
FNMA 30yr Pool#BM4735 3.500% 01-Apr-2048, 3.50%, 04/01/48 FN 3140J9HM6 - - 146,100 $168,386 $168,386 0.03
FNMA 40yr Pool#BF0189 3.000% 01-Jun-2057, 3.00%, 06/01/57 FN 3140FXF72 - - 141,256 $157,755 $157,755 0.02
FNMA 30yr Pool#BD2453 3.000% 01-Jan-2047, 3.00%, 01/01/47 FN 3140F9WP6 - - 125,491 $140,004 $140,004 0.02
Fannie Mae REMIC Trust 2006-20 GF 0.498% 25-APR-2036, 0.50%, 04/25/36 FNR 31395BU43 - - 137,114 $137,576 $137,576 0.02
FNMA 15yr Pool#BO5957 3.000% 01-Dec-2034, 3.00%, 12/01/34 FN 3140K1TP1 - - 126,004 $136,933 $136,933 0.02
FHLMC 30yr Pool#ZN0443 3.500% 01-Aug-2042, 3.50%, 08/01/42 FR 3131Y6P45 - - 120,910 $135,413 $135,413 0.02
FNMA 15yr Pool#BO7717 3.000% 01-Nov-2034, 3.00%, 11/01/34 FN 3140K3SF0 - - 118,911 $129,812 $129,812 0.02
FNMA 30yr Pool#BC0870 3.500% 01-Jan-2046, 3.50%, 01/01/46 FN 3140EU6G9 - - 98,614 $114,674 $114,674 0.02
FHLMC 30yr Pool#ZA3585 3.500% 01-Aug-2042, 3.50%, 08/01/42 FR 31329L6W7 - - 97,792 $112,614 $112,614 0.02
Freddie Mac Multiclass Certificates, Series 3721 FB 0.65863% 15-SEP-2040, 0.63%, 09/15/40 FHR 3137GAD20 - - 104,746 $105,602 $105,602 0.02
FNMA 30yr Pool#MA1479 4.000% 01-Jun-2043, 4.00%, 06/01/43 FN 31418AUD8 - - 93,386 $105,240 $105,240 0.02
FHLMC 30yr Pool#ZA3583 3.500% 01-Jul-2042, 3.50%, 07/01/42 FR 31329L6U1 - - 89,360 $103,988 $103,988 0.02
Deephaven Residential Mortgage Trust, Series 2018-3 A3 3.963% 25-AUG-2058, 3.96%, 08/25/58 DRMT 24381KAC8 - - 101,312 $101,836 $101,836 0.02
FHLMC 15yr Pool#ZK9163 3.000% 01-Jan-2033, 3.00%, 01/01/33 FR 3131XDFC4 - - 90,705 $99,666 $99,666 0.02
FHLMC 30yr Pool#ZA4209 3.000% 01-Apr-2043, 3.00%, 04/01/43 FR 31329MVA5 - - 89,139 $99,492 $99,492 0.02
Deephaven Residential Mortgage Trust, Series 2018-3 A1 3.789% 25-AUG-2058, 3.79%, 08/25/58 DRMT 24381KAA2 - - 96,099 $98,569 $98,569 0.02
Freddie Mac Multiclass Certificates, Series 3380 FM 0.74863% 15-OCT-2037, 0.72%, 10/15/37 FHR 31397KTJ0 - - 94,770 $96,137 $96,137 0.01
FNMA 30yr Pool#AS8547 3.000% 01-Nov-2046, 3.00%, 11/01/46 FN 3138WJP93 - - 87,394 $95,555 $95,555 0.01
Ginnie Mae REMIC Trust 2008-013 FB 0.6465% 20-FEB-2038, 0.65%, 02/20/38 GNR 38375PNL1 - - 90,678 $91,808 $91,808 0.01
Deephaven Residential Mortgage Trust, Series 2017-3 A2 2.711% 25-OCT-2047, 2.71%, 10/25/47 DRMT 24381FAB1 - - 85,912 $86,216 $86,216 0.01
FNMA 30yr Pool#FM0029 3.000% 01-Sep-2046, 3.00%, 09/01/46 FN 3140X3A73 - - 73,504 $82,312 $82,312 0.01
COLT 2020-2 A1 1.853% 25-MAR-2065, 1.85%, 03/25/65 COLT 19688JAA5 - - 78,902 $80,035 $80,035 0.01
Ginnie Mae REMIC Trust 2010-133 FD 0.57088% 20-OCT-2040, 0.58%, 10/16/40 GNR 38377MHV1 - - 75,606 $76,185 $76,185 0.01
Fannie Mae REMIC Trust 2013-2 QF 0.648% 25-FEB-2043, 0.65%, 02/25/43 FNR 3136AB4P5 - - 72,981 $73,616 $73,616 0.01
Deephaven Residential Mortgage Trust, Series 2018-1 A1 2.976% 25-DEC-2057, 2.98%, 12/25/57 DRMT 24380PAA2 - - 72,729 $73,011 $73,011 0.01
FNMA 40yr Pool#BF0130 3.500% 01-Aug-2056, 3.50%, 08/01/56 FN 3140FXEC2 - - 63,285 $71,449 $71,449 0.01
Ginnie Mae REMIC Trust 2007-040 FG 0.4665% 20-JUL-2037, 0.47%, 07/20/37 GNR 38375KZS4 - - 70,606 $70,906 $70,906 0.01
Freddie Mac Multiclass Certificates, Series 3738 FD 0.45863% 15-AUG-2040, 0.43%, 08/15/40 FHR 3137GAYQ4 - - 70,355 $70,484 $70,484 0.01
Ginnie Mae REMIC Trust 2004-069 CF 0.5465% 20-JUL-2034, 0.55%, 07/20/34 GNR 38374JAT3 - - 68,523 $68,998 $68,998 0.01
FHLMC 30yr Pool#ZN2165 4.500% 01-Dec-2048, 4.50%, 12/01/48 FR 3131Y8MN2 - - 56,468 $65,343 $65,343 0.01
Deephaven Residential Mortgage Trust, Series 2018-2 A3 3.684% 25-APR-2058, 3.68%, 04/25/58 DRMT 24381HAC5 - - 55,381 $55,648 $55,648 0.01
Freddie Mac Multiclass Certificates, Series 2426 FL 0.80863% 15-MAR-2032, 0.78%, 03/15/32 FHR 31339W7G5 - - 54,832 $55,588 $55,588 0.01
Ginnie Mae REMIC Trust 2007-059 FA 0.6465% 20-OCT-2037, 0.65%, 10/20/37 GNR 38375LPU8 - - 54,008 $54,710 $54,710 0.01
Fannie Mae REMIC Trust 2012-94 KF 0.498% 25-MAY-2038, 0.50%, 05/25/38 FNR 3136A8XS4 - - 50,336 $50,339 $50,339 0.01
Fannie Mae REMIC Trust 2003-87 FG 0.648% 25-SEP-2033, 0.65%, 09/25/33 FNR 31393E4W6 - - 49,319 $49,696 $49,696 0.01
Ginnie Mae REMIC Trust 2004-059 FP 0.44088% 20-AUG-2034, 0.45%, 08/16/34 GNR 38374HYS3 - - 49,008 $49,173 $49,173 0.01
Fannie Mae REMIC Trust 2002-53 FK 0.548% 25-APR-2032, 0.55%, 04/25/32 FNR 31392EHN3 - - 48,307 $48,576 $48,576 0.01
FHLMC 30yr Pool#ZL6308 3.500% 01-Jun-2043, 3.50%, 06/01/43 FR 3131XNAH6 - - 42,319 $47,817 $47,817 0.01
Ginnie Mae REMIC Trust 2007-037 FW 0.46163% 20-JUN-2037, 0.46%, 06/20/37 GNR 38375KNR9 - - 46,744 $46,921 $46,921 0.01
Ginnie Mae REMIC Trust 2005-065 FA 0.2965% 20-AUG-2035, 0.30%, 08/20/35 GNR 38374LL25 - - 46,867 $46,722 $46,722 0.01
Ginnie Mae REMIC Trust 2008-016 FC 0.6465% 20-FEB-2038, 0.65%, 02/20/38 GNR 383742FU2 - - 45,109 $45,658 $45,658 0.01
Freddie Mac Multiclass Certificates, Series 2469 FE 0.65863% 15-JUL-2032, 0.63%, 07/15/32 FHR 31392RC58 - - 44,854 $45,126 $45,126 0.01
Fannie Mae REMIC Trust 2007-89 GF 0.668% 25-SEP-2037, 0.67%, 09/25/37 FNR 31396XPM0 - - 42,607 $42,995 $42,995 0.01
FNMA 30yr Pool#MA2894 3.000% 01-Jan-2047, 3.00%, 01/01/47 FN 31418CGC2 - - 39,235 $42,900 $42,900 0.01
Fannie Mae REMIC Trust 2005-83 KT 0.448% 25-OCT-2035, 0.45%, 10/25/35 FNR 31394FUL7 - - 40,966 $41,225 $41,225 0.01
Ginnie Mae REMIC Trust 2005-048 AF 0.3465% 20-JUN-2035, 0.35%, 06/20/35 GNR 38374LHM6 - - 41,134 $41,093 $41,093 0.01
FHLMC 30yr Pool#ZT0252 3.000% 01-Dec-2047, 3.00%, 12/01/47 FR 3132ACH52 - - 36,017 $40,401 $40,401 0.01
Freddie Mac Multiclass Certificates, Series 2410, excluding Group 6 FX 0.50863% 15-FEB-2032, 0.48%, 02/15/32 FHR 31339NJN7 - - 40,229 $40,375 $40,375 0.01
Verus Securitization Trust 2018-INV1 A2 3.849% 25-MAR-2058, 3.85%, 03/25/58 VERUS 92536MAB7 - - 39,794 $39,994 $39,994 0.01
Ginnie Mae REMIC Trust 1999-27 FE 0.54088% 20-AUG-2029, 0.55%, 08/16/29 GNR 3837H2WA3 - - 39,358 $39,600 $39,600 0.01
Ginnie Mae REMIC Trust 2012-075 FP 0.4465% 20-JUL-2041, 0.45%, 07/20/41 GNR 38378EZ55 - - 37,928 $38,043 $38,043 0.01
Fannie Mae REMIC Trust 2002-16 VF 0.698% 25-APR-2032, 0.70%, 04/25/32 FNR 31392CWW0 - - 37,312 $37,658 $37,658 0.01
Freddie Mac Multiclass Certificates, Series 2551 FD 0.55863% 15-JAN-2033, 0.53%, 01/15/33 FHR 31393JAZ1 - - 37,403 $37,591 $37,591 0.01
FNMA 30yr Pool#BJ2394 3.500% 01-Nov-2047, 3.50%, 11/01/47 FN 3140H3UU8 - - 32,370 $36,094 $36,094 0.01
Freddie Mac Multiclass Certificates, Series 3028 FM 0.40863% 15-SEP-2035, 0.38%, 09/15/35 FHR 31396AFB5 - - 32,924 $32,957 $32,957 0.01
Angel Oak Mortgage Trust I, Series 2018-3 A1 3.649% 25-SEP-2048, 3.65%, 09/25/48 AOMT 03464NAA0 - - 30,940 $31,488 $31,488 0.00
FNMA 30yr Pool#BA4752 3.000% 01-Jan-2046, 3.00%, 01/01/46 FN 3140E9H66 - - 28,365 $30,317 $30,317 0.00
FNMA 15yr Pool#AS8207 2.500% 01-Oct-2031, 2.50%, 10/01/31 FN 3138WJDM7 - - 27,793 $30,226 $30,226 0.00
FNMA 15yr Pool#AS7643 2.500% 01-Aug-2031, 2.50%, 08/01/31 FN 3138WHP55 - - 26,761 $29,176 $29,176 0.00
Fannie Mae REMIC Trust 2010-95 FB 0.548% 25-SEP-2040, 0.55%, 09/25/40 FNR 31398NEX8 - - 28,132 $28,281 $28,281 0.00
FHLMC 30yr Pool#ZM2269 3.000% 01-Dec-2046, 3.00%, 12/01/46 FR 3131XVQW8 - - 25,249 $28,194 $28,194 0.00
FNMA 15yr Pool#BM1036 2.500% 01-Feb-2032, 2.50%, 02/01/32 FN 3140J5EJ4 - - 25,829 $28,131 $28,131 0.00
Fannie Mae REMIC Trust 2010-123 FL 0.578% 25-NOV-2040, 0.58%, 11/25/40 FNR 31398N2W3 - - 27,419 $27,587 $27,587 0.00
FHLMC 15yr Pool#ZK8405 2.500% 01-Dec-2031, 2.50%, 01/22/31 FR 3131XCKS5 - - 22,019 $23,991 $23,991 0.00
Ginnie Mae REMIC Trust 2007-061 FA 0.65163% 20-OCT-2037, 0.65%, 10/20/37 GNR 38375LLN8 - - 22,896 $23,194 $23,194 0.00
Fannie Mae REMIC Trust 2012-100 FG 0.548% 25-SEP-2042, 0.55%, 09/25/42 FNR 3136A8QW3 - - 20,789 $20,896 $20,896 0.00
FNMA 30yr Pool#AB8517 3.000% 01-Feb-2043, 3.00%, 02/01/43 FN 31417FPB8 - - 17,768 $19,302 $19,302 0.00
Ginnie Mae REMIC Trust 2009-033 FN 0.8465% 20-MAY-2039, 0.85%, 05/20/39 GNR 38374UJK8 - - 16,884 $16,895 $16,895 0.00
Ginnie Mae REMIC Trust 2007-018 FD 0.4465% 20-APR-2037, 0.45%, 04/20/37 GNR 38375JC86 - - 16,524 $16,576 $16,576 0.00
Ginnie Mae REMIC Trust 2010-006 FG 0.75313% 16-JAN-2040, 0.75%, 01/16/40 GNR 38376TSC7 - - 15,660 $15,926 $15,926 0.00
FNMA 30yr Pool#AL7381 4.500% 01-Jun-2045, 4.50%, 06/01/45 FN 3138EQFX5 - - 10,177 $11,677 $11,677 0.00
COLT 2020-3 A2 2.021% 27-APR-2065, 2.02%, 04/27/65 COLT 12597QAB2 - - - $8,194 $8,194 0.00
COLT 2019-4 A1 2.579% 26-NOV-2049, 2.58%, 11/25/49 COLT 196860AA8 - - - $5,840 $5,840 0.00
Sequoia Mortgage Trust 2018-8 AIO1 0.281088% 25-NOV-2048, 0.27%, 11/25/48 SEMT 81748HBA6 - - 3,006,339 $5,122 $5,122 0.00
Ginnie Mae REMIC Trust 2010-125 VF 0.4965% 20-JUN-2040, 0.50%, 06/20/40 GNR 38377JYJ6 - - 3,468 $3,480 $3,480 0.00
FHLMC 30yr Pool#ZN0627 3.000% 01-Feb-2043, 3.00%, 02/01/43 FR 3131Y6VU0 - - 1,681 $1,859 $1,859 0.00
FHLMC 30yr Pool#ZN0650 3.000% 01-Mar-2043, 3.00%, 03/01/43 FR 3131Y6WK1 - - 1,110 $1,206 $1,206 0.00
FHLMC 30yr Pool#ZL5324 3.500% 01-Mar-2043, 3.50%, 03/01/43 FR 3131XL4H7 - - 394.00 $433 $433 0.00
Ultra 10-Year US Treasury Note Futures MAR 21 UXYH1 - FUTURES_USD - -246.00 $-37,818,656 $0 0.00
CBOT 2 Year US Treasury Note Future MAR 21 TUH1 - FUTURES_USD - 295.00 $65,165,039 $0 0.00
CBOT 5 Year US Treasury Note MAR 21 FVH1 - FUTURES_USD - -446.00 $-56,070,562 $0 0.00
GNMA II TBA 30yr 2% February Delivery, 2.00%, 02/18/21 G2SF 21H020626 - - -2,357,596 $-2,446,760 $-2,446,760 -0.38
UMBS TBA 30yr 3% February Delivery, 3.00%, 02/11/21 FNCL 01F030629 - - -27,199,000 $-28,585,605 $-28,585,605 -4.43
ALMSUM ALMSUM - - $0.00 30,968,062 $30,968,062 $30,968,062 4.80
SEGREGATED CASH SEGCASH - - $0.00 900,000 $900,000 $900,000 0.14
US DOLLARS, 0.00%, 04/16/20 USD - - - -321,332,189 $-321,332,189 $-321,332,189 -49.84
CME 3 Month Eurodollar Future JUN 24 EDM4 - FUTURES_USD - -7.00 $-6,945,750 $0 0.00
CME 3 Month Eurodollar Future MAR 24 EDH4 - FUTURES_USD - -7.00 $-6,952,050 $0 0.00
CME 3 Month Eurodollar Future DEC 23 EDZ3 - FUTURES_USD - -7.00 $-6,957,650 $0 0.00
CME 3 Month Eurodollar Future SEP 24 EDU4 - FUTURES_USD - -7.00 $-6,939,450 $0 0.00
Please consider the charges, risks, expenses and investment objectives carefully before investing. Please see a prospectus or, if available, a summary prospectus containing this and other information. Read it carefully before you invest or send money.
Holdings are subject to change without notice.
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.
ETFs distributed by ALPS Distributors, Inc. ALPS is not affiliated with Janus Henderson or any of its subsidiaries.