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 |
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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.
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