Mortgage-Backed Securities ETF Holdings
Full Portfolio Holdings(As of December 4, 2020) |
Ticker | Cusip | Underlying Security | Strike Price | Quantity (Shares/ Par/ Units/ Contracts) | Notional Value | Market Value | Weight % |
|---|---|---|---|---|---|---|---|---|
| UMBS TBA 30yr 2.5% December Delivery, 2.50%, 12/14/20 | FNCL | 01F0226C4 | - | - | 66,641,850 | $69,772,018 | $69,772,018 | 11.60 |
| UMBS TBA 30yr 4% December Delivery, 4.00%, 12/14/20 | FNCL | 01F0406C6 | - | - | 49,373,937 | $52,565,468 | $52,565,468 | 8.74 |
| GNMA II TBA 30yr 3.5% December Delivery, 3.50%, 12/21/20 | G2SF | 21H0326C9 | - | - | 36,990,100 | $39,022,336 | $39,022,336 | 6.49 |
| GNMA II TBA 30yr 2.5% December Delivery, 2.50%, 12/21/20 | G2SF | 21H0226C0 | - | - | 35,913,600 | $37,713,949 | $37,713,949 | 6.27 |
| UMBS TBA 15yr 2% December Delivery, 2.00%, 12/16/20 | FNCI | 01F0204C0 | - | - | 36,206,000 | $37,648,085 | $37,648,085 | 6.25 |
| UMBS TBA 15yr 1.5% December Delivery, 1.50%, 12/16/20 | FNCI | 01F0124C7 | - | - | 31,000,000 | $31,694,710 | $31,694,710 | 5.26 |
| GNMA II TBA 30yr 2% December Delivery, 2.00%, 12/21/20 | G2SF | 21H0206C4 | - | - | 28,000,000 | $29,128,680 | $29,128,680 | 4.84 |
| FNMA 30yr Pool#FM3857 3.500% 01-Jul-2048, 3.50%, 07/01/48 | FN | 3140X7JB6 | - | - | 25,609,977 | $27,499,644 | $27,499,644 | 4.57 |
| UMBS TBA 30yr 2% December Delivery, 2.00%, 12/14/20 | FNCL | 01F0206C8 | - | - | 26,119,500 | $27,013,309 | $27,013,309 | 4.49 |
| UMBS TBA 30yr 3% December Delivery, 3.00%, 12/14/20 | FNCL | 01F0306C7 | - | - | 23,925,000 | $25,007,606 | $25,007,606 | 4.15 |
| UMBS TBA 30yr 3.5% December Delivery, 3.50%, 12/14/20 | FNCL | 01F0326C3 | - | - | 22,139,482 | $23,331,029 | $23,331,029 | 3.87 |
| FHLMC 30yr Pool#ZS4703 3.000% 01-Feb-2047, 3.00%, 02/01/47 | FR | 3132A5GL3 | - | - | 15,913,380 | $17,229,804 | $17,229,804 | 2.86 |
| UMBS TBA 30yr 1.5% December Delivery, 1.50%, 12/14/20 | FNCL | 01F0126C5 | - | - | 16,741,203 | $16,836,460 | $16,836,460 | 2.80 |
| UMBS TBA 15yr 2.5% December Delivery, 2.50%, 12/16/20 | FNCI | 01F0224C6 | - | - | 14,711,589 | $15,306,231 | $15,306,231 | 2.54 |
| UMBS TBA 15yr 3% December Delivery, 3.00%, 12/16/20 | FNCI | 01F0304C9 | - | - | 12,686,555 | $13,281,047 | $13,281,047 | 2.21 |
| FHLMC 30yr Pool#QA4865 3.000% 01-Nov-2049, 3.00%, 11/01/49 | FR | 31346YMN0 | - | - | 11,879,787 | $12,433,938 | $12,433,938 | 2.06 |
| FNMA 30yr Pool#FM2915 3.000% 01-Nov-2048, 3.00%, 11/01/48 | FN | 3140X6GZ8 | - | - | 11,645,463 | $12,425,342 | $12,425,342 | 2.06 |
| GNMA II TBA 30yr 4% December Delivery, 4.00%, 12/21/20 | G2SF | 21H0406C2 | - | - | 10,932,000 | $11,615,687 | $11,615,687 | 1.93 |
| FHLMC 30yr Pool#QA5698 3.000% 01-Dec-2049, 3.00%, 12/01/49 | FR | 3133A0KK9 | - | - | 10,787,621 | $11,290,826 | $11,290,826 | 1.87 |
| Connecticut Avenue Securities Trust 2019-R06 2.25013% 25-SEP-2039, 2.25%, 09/25/39 | CAS | 20754JAB0 | - | - | 11,050,104 | $11,020,545 | $11,020,545 | 1.83 |
| Freddie Mac Structured Agency Credit Risk Debt Notes|2.691|11/25/2050, 2.69%, 11/25/50 | STACR | 35565TAH2 | - | - | 10,962,000 | $11,011,228 | $11,011,228 | 1.83 |
| Fannie Mae REMIC Trust 2020-61 NI 3.5% 25-SEP-2050, 3.50%, 09/25/50 | FNR | 3136BBF98 | - | - | 84,027,737 | $10,927,530 | $10,927,530 | 1.81 |
| Spruce Hill Mortgage Loan Trust 2020-SH2 A1 3.407% 28-JUN-2055, 3.41%, 06/25/55 | SHMLT | 85214RAA1 | - | - | 9,491,385 | $9,659,928 | $9,659,928 | 1.60 |
| FHLMC 30yr Pool#QA3225 3.000% 01-Oct-2049, 3.00%, 10/01/49 | FR | 31339SSN6 | - | - | 8,181,391 | $8,610,675 | $8,610,675 | 1.43 |
| FHLMC 30yr Pool#QA4841 3.000% 01-Nov-2049, 3.00%, 11/01/49 | FR | 31346YLW1 | - | - | 7,472,899 | $7,833,903 | $7,833,903 | 1.30 |
| FHLMC 30yr Pool#QA4120 3.000% 01-Nov-2049, 3.00%, 11/01/49 | FR | 31339USH4 | - | - | 7,358,926 | $7,714,090 | $7,714,090 | 1.28 |
| Ginnie Mae REMIC Trust 2017-163 LO 0.0% 20-MAY-2041, 0.00%, 05/16/41 | GNR | 38380KNA9 | - | - | 7,950,110 | $7,232,104 | $7,232,104 | 1.20 |
| FHLMC 30yr Pool#QA4052 3.000% 01-Oct-2049, 3.00%, 10/01/49 | FR | 31339UQD5 | - | - | 6,871,903 | $7,192,454 | $7,192,454 | 1.19 |
| Structured Agency Credit Risk (STACR) Debt Notes, Series 2020-HQA3 M1 1.69925% 25-JUL-2050, 1.70%, 07/25/50 | STACR | 35565MAA2 | - | - | 7,000,000 | $7,012,697 | $7,012,697 | 1.16 |
| Quicken Loans LLC 3.625% 01-MAR-2029, 3.62%, 03/01/29 | QUICKN | 74841CAA9 | - | - | 6,671,000 | $6,730,923 | $6,730,923 | 1.12 |
| FNMA 30yr Pool#BP1500 3.000% 01-May-2050, 3.00%, 05/01/50 | FN | 3140K8U25 | - | - | 6,113,268 | $6,580,709 | $6,580,709 | 1.09 |
| Starwood Mortgage Residential Trust 2020-2 A1 2.718% 25-APR-2060, 2.72%, 04/25/60 | STAR | 85573DAA7 | - | - | 6,279,863 | $6,402,671 | $6,402,671 | 1.06 |
| FHLMC 30yr Pool#ZS4716 3.000% 01-Apr-2047, 3.00%, 04/01/47 | FR | 3132A5GZ2 | - | - | 5,913,369 | $6,365,804 | $6,365,804 | 1.06 |
| UMBS TBA 15yr 3.5% December Delivery, 3.50%, 12/16/20 | FNCI | 01F0324C5 | - | - | 6,002,089 | $6,349,370 | $6,349,370 | 1.05 |
| Connecticut Avenue Securities Trust 2019-R03 2.30013% 25-SEP-2031, 2.30%, 09/25/31 | CAS | 20753MAF5 | - | - | 6,244,005 | $6,235,980 | $6,235,980 | 1.04 |
| FHLMC 30yr Pool#ZS4511 3.000% 01-Mar-2043, 3.00%, 03/01/43 | FR | 3132A5AL9 | - | - | 4,852,579 | $5,298,999 | $5,298,999 | 0.88 |
| COLT 2020-3 A2 2.021% 27-APR-2065, 2.02%, 04/27/65 | COLT | 12597QAB2 | - | - | 5,157,740 | $5,171,564 | $5,171,564 | 0.86 |
| MGIC Investment Corporation 5.25% 15-AUG-2028, 5.25%, 08/15/28 | MTG | 552848AG8 | - | - | 4,500,000 | $4,890,469 | $4,890,469 | 0.81 |
| Structured Agency Credit Risk (STACR) Debt Notes, Series 2020-DNA3 M2 3.14925% 25-JUN-2050, 3.15%, 06/25/50 | STACR | 35565WAH5 | - | - | 4,748,000 | $4,811,598 | $4,811,598 | 0.80 |
| FNMA 30yr Pool#AS6811 3.000% 01-Mar-2046, 3.00%, 03/01/46 | FN | 3138WGR97 | - | - | 4,337,357 | $4,708,579 | $4,708,579 | 0.78 |
| FHLMC 30yr Pool#QA2039 3.000% 01-Aug-2049, 3.00%, 08/01/49 | FR | 31334YHQ3 | - | - | 4,228,744 | $4,581,867 | $4,581,867 | 0.76 |
| UMBS TBA 30yr 4.5% December Delivery, 4.50%, 12/14/20 | FNCL | 01F0426C2 | - | - | 4,203,000 | $4,550,042 | $4,550,042 | 0.76 |
| PRPM 2020-2 A1 3.671% 25-AUG-2025, 3.67%, 08/25/25 | PRPM | 693590AA9 | - | - | 4,502,093 | $4,524,444 | $4,524,444 | 0.75 |
| FHLMC 30yr Pool#ZT0529 3.000% 01-Oct-2046, 3.00%, 10/01/46 | FR | 3132ACSS0 | - | - | 3,958,648 | $4,419,343 | $4,419,343 | 0.73 |
| GNMA II 30yr Pool#MA5021 4.500% 20-Feb-2048, 4.50%, 02/20/48 | G2 | 36179TSJ5 | - | - | 3,899,839 | $4,387,623 | $4,387,623 | 0.73 |
| VCAT 2020-NPL1 A1 3.671% 25-AUG-2050, 3.67%, 08/25/50 | VCAT | 91822XAA0 | - | - | 4,347,545 | $4,352,815 | $4,352,815 | 0.72 |
| Angel Oak Mortgage Trust, Series 2020-2 A1A 2.531% 25-JAN-2065, 2.53%, 01/26/65 | AOMT | 03464XAL4 | - | - | 4,232,247 | $4,347,568 | $4,347,568 | 0.72 |
| FNMA 30yr Pool#BJ9181 5.000% 01-May-2048, 5.00%, 05/01/48 | FN | 3140HBFX1 | - | - | 3,608,221 | $4,122,504 | $4,122,504 | 0.68 |
| Connecticut Avenue Securities Trust 2020-R01 2.20013% 25-JAN-2040, 2.20%, 01/25/40 | CAS | 20754CAB5 | - | - | 3,456,891 | $3,440,244 | $3,440,244 | 0.57 |
| Mello Warehouse Securitization Trust 2019-2 C 1.29925% 25-NOV-2052, 1.30%, 11/25/52 | MWST | 585504AC7 | - | - | 3,378,378 | $3,402,730 | $3,402,730 | 0.57 |
| GNMA II 30yr Pool#MA5264 4.000% 20-Jun-2048, 4.00%, 06/20/48 | G2 | 36179TZ57 | - | - | 3,061,346 | $3,400,322 | $3,400,322 | 0.56 |
| Connecticut Avenue Securities Trust 2019-R04 2.25013% 25-JUN-2039, 2.25%, 06/25/39 | CAS | 20753TAB9 | - | - | 3,335,048 | $3,328,072 | $3,328,072 | 0.55 |
| FNMA 30yr Pool#BN4541 4.000% 01-Feb-2049, 4.00%, 02/01/49 | FN | 3140JMBK7 | - | - | 2,871,362 | $3,142,204 | $3,142,204 | 0.52 |
| COLT 2020-1R Mortgage Loan Trust A2 1.512% 25-SEP-2065, 1.51%, 09/25/65 | COLT | 12597VAB1 | - | - | 3,105,746 | $3,112,543 | $3,112,543 | 0.52 |
| FNMA Connecticut Avenue Securities Series 2019-R02 2.45013% 25-AUG-2031, 2.45%, 08/25/31 | CAS | 20753KAB8 | - | - | 3,111,720 | $3,104,358 | $3,104,358 | 0.52 |
| CSMC 2020-TMIC A 3.25% 15-DEC-2035, 3.25%, 12/15/35 | CSMC | 126390AA1 | - | - | 3,000,000 | $3,001,191 | $3,001,191 | 0.50 |
| COLT 2019-4 A1 2.579% 26-NOV-2049, 2.58%, 11/25/49 | COLT | 196860AA8 | - | - | 2,859,794 | $2,898,341 | $2,898,341 | 0.48 |
| FHLMC 30yr Pool#QA2117 3.500% 01-Aug-2049, 3.50%, 08/01/49 | FR | 31334YK63 | - | - | 2,680,270 | $2,884,840 | $2,884,840 | 0.48 |
| FNMA 40yr Pool#BF0168 3.500% 01-Feb-2057, 3.50%, 02/01/57 | FN | 3140FXFJ6 | - | - | 2,497,495 | $2,805,387 | $2,805,387 | 0.47 |
| Angel Oak Mortgage Trust, Series 2020-5 A2 1.579% 25-MAY-2065, 1.58%, 05/25/65 | AOMT | 03464WAB8 | - | - | 2,714,954 | $2,724,421 | $2,724,421 | 0.45 |
| FNMA 40yr Pool#BF0167 3.000% 01-Feb-2057, 3.00%, 02/01/57 | FN | 3140FXFH0 | - | - | 2,440,509 | $2,673,250 | $2,673,250 | 0.44 |
| FNMA 30yr Pool#BC4714 3.000% 01-Oct-2046, 3.00%, 10/01/46 | FN | 3140F0GY4 | - | - | 2,414,767 | $2,660,118 | $2,660,118 | 0.44 |
| FNMA 30yr Pool#FM1689 3.500% 01-Jul-2049, 3.50%, 07/01/49 | FN | 3140X42X3 | - | - | 2,394,562 | $2,571,895 | $2,571,895 | 0.43 |
| PRPM 2019-4 A1 3.351% 25-NOV-2024, 3.35%, 11/25/24 | PRPM | 69359NAA9 | - | - | 2,537,671 | $2,543,163 | $2,543,163 | 0.42 |
| PRPM 2019-3 A1 3.351% 25-JUL-2024, 3.35%, 07/25/24 | PRPM | 69359MAA1 | - | - | 2,377,649 | $2,432,608 | $2,432,608 | 0.40 |
| Connecticut Avenue Securities, Series 2015-C03 2M2 5.15013% 25-JUL-2025, 5.15%, 07/25/25 | CAS | 30711XBD5 | - | - | 2,357,073 | $2,415,353 | $2,415,353 | 0.40 |
| Freddie Mac Gold MACS, Series 268 S5 5.85912% 15-AUG-2042, 5.86%, 08/15/42 | FHS | 31325TPQ6 | - | - | 13,602,746 | $2,359,347 | $2,359,347 | 0.39 |
| FHLMC 30yr Pool#QA0743 3.000% 01-Apr-2047, 3.00%, 04/01/47 | FR | 31334WZG9 | - | - | 2,146,477 | $2,307,141 | $2,307,141 | 0.38 |
| FNMA 20yr Pool#FM1036 3.000% 01-May-2043, 3.00%, 05/01/43 | FN | 3140X4EJ1 | - | - | 2,128,287 | $2,296,278 | $2,296,278 | 0.38 |
| PRPM 2020-3 A1 2.857% 25-SEP-2025, 2.86%, 09/25/25 | PRPM | 693585AA9 | - | - | 2,270,768 | $2,283,444 | $2,283,444 | 0.38 |
| FHLMC 30yr Pool#QA2215 3.500% 01-Aug-2049, 3.50%, 08/01/49 | FR | 31334YN86 | - | - | 2,061,671 | $2,219,125 | $2,219,125 | 0.37 |
| Sequoia Mortgage Trust 2013-5 A1 2.5% 25-MAY-2043, 2.50%, 05/25/43 | SEMT | 81745AAA5 | - | - | 2,102,175 | $2,168,215 | $2,168,215 | 0.36 |
| Radnor Re 2020-1 M1B 1.6345% 25-JAN-2030, 1.60%, 02/25/30 | RMIR | 750493AB4 | - | - | 2,250,000 | $2,157,269 | $2,157,269 | 0.36 |
| FNMA Connecticut Avenue Securities Series 2018-C06 2.15013% 25-MAR-2031, 2.15%, 03/25/31 | CAS | 30711X3H5 | - | - | 2,128,213 | $2,116,909 | $2,116,909 | 0.35 |
| FHLMC 30yr Pool#ZT1926 3.000% 01-Nov-2043, 3.00%, 11/01/43 | FR | 3132AED78 | - | - | 1,886,441 | $2,034,259 | $2,034,259 | 0.34 |
| Structured Agency Credit Risk (STACR) Debt Notes, Series 2020-DNA4 M2 3.89925% 25-AUG-2050, 3.90%, 08/25/50 | STACR | 35565XAH3 | - | - | 2,000,000 | $2,032,432 | $2,032,432 | 0.34 |
| FNMA 30yr Pool#AB9341 3.000% 01-May-2043, 3.00%, 05/01/43 | FN | 31417GLX2 | - | - | 1,788,235 | $1,991,943 | $1,991,943 | 0.33 |
| FHLMC 15yr Pool#SB0116 2.500% 01-Nov-2034, 2.50%, 11/01/34 | FR | 3132CWDV3 | - | - | 1,724,132 | $1,865,973 | $1,865,973 | 0.31 |
| FHLMC 30yr Pool#ZM1474 3.000% 01-Aug-2046, 3.00%, 08/01/46 | FR | 3131XUT72 | - | - | 1,709,708 | $1,849,492 | $1,849,492 | 0.31 |
| Connecticut Avenue Securities, Series 2016-C03 2M2 6.05013% 25-OCT-2028, 6.05%, 10/25/28 | CAS | 30711XCT9 | - | - | 1,730,720 | $1,821,551 | $1,821,551 | 0.30 |
| FNMA 30yr Pool#BM4620 3.000% 01-Oct-2044, 3.00%, 10/01/44 | FN | 3140J9D24 | - | - | 1,664,768 | $1,818,110 | $1,818,110 | 0.30 |
| Towd Point HE Trust 2019-HE1 A1 1.04925% 25-APR-2048, 1.05%, 04/25/48 | TPHT | 89178AAA4 | - | - | 1,709,274 | $1,703,662 | $1,703,662 | 0.28 |
| FHLMC 30yr Pool#QA8274 3.500% 01-Mar-2050, 3.50%, 03/01/50 | FR | 3133A3FP8 | - | - | 1,439,696 | $1,574,215 | $1,574,215 | 0.26 |
| Connecticut Avenue Securities, Series 2015-C04 1M2 5.85013% 25-APR-2028, 5.85%, 04/25/28 | CAS | 30711XBF0 | - | - | 1,389,116 | $1,465,785 | $1,465,785 | 0.24 |
| JP Morgan Mortgage Trust 2015-4 AM 3.0% 25-JUN-2045, 3.00%, 06/25/45 | JPMMT | 46644VBP0 | - | - | 1,404,409 | $1,437,338 | $1,437,338 | 0.24 |
| FNMA 30yr Pool#MA2471 3.500% 01-Dec-2045, 3.50%, 12/01/45 | FN | 31418BW93 | - | - | 1,206,514 | $1,327,318 | $1,327,318 | 0.22 |
| Connecticut Avenue Securities, Series 2014-C04 1M2 5.05013% 25-NOV-2024, 5.05%, 11/25/24 | CAS | 30711XAP9 | - | - | 1,221,072 | $1,235,152 | $1,235,152 | 0.21 |
| JP Morgan Mortgage Trust 2020-LTV1 A11 1.14925% 25-JUN-2050, 1.15%, 06/25/50 | JPMMT | 46591NBC0 | - | - | 1,208,010 | $1,208,419 | $1,208,419 | 0.20 |
| Eagle Re 2020-1 Ltd. FRN 25-JAN-2030, 1.05%, 01/25/30 | EMIR | 26982LAA8 | - | - | 1,200,000 | $1,193,352 | $1,193,352 | 0.20 |
| FHLMC 30yr Pool#ZT0337 3.500% 01-Dec-2044, 3.50%, 12/01/44 | FR | 3132ACLS7 | - | - | 1,052,485 | $1,167,624 | $1,167,624 | 0.19 |
| Structured Agency Credit Risk (STACR) Debt Notes, Series 2020-HQA4 M2 3.30188% 25-SEP-2050, 3.30%, 09/25/50 | STACR | 35565RAH6 | - | - | 1,148,000 | $1,162,557 | $1,162,557 | 0.19 |
| FNMA 30yr Pool#FM3107 3.500% 01-Mar-2047, 3.50%, 03/01/47 | FN | 3140X6NZ0 | - | - | 1,048,223 | $1,136,431 | $1,136,431 | 0.19 |
| Structured Agency Credit Risk (STACR) Debt Notes, Series 2020-DNA3 M1 1.64925% 25-JUN-2050, 1.65%, 06/25/50 | STACR | 35565WAA0 | - | - | 1,086,545 | $1,087,887 | $1,087,887 | 0.18 |
| FNMA 30yr Pool#AL8438 3.000% 01-Jul-2045, 3.00%, 07/01/45 | FN | 3138ETLU8 | - | - | 982,762 | $1,072,908 | $1,072,908 | 0.18 |
| FNMA 30yr Pool#BQ4952 2.500% 01-Oct-2050, 2.50%, 10/01/50 | FN | 3140KQQE4 | - | - | 977,150 | $1,033,395 | $1,033,395 | 0.17 |
| FNMA 30yr Pool#AS8649 3.000% 01-Jan-2047, 3.00%, 01/01/47 | FN | 3138WJTF5 | - | - | 948,539 | $1,029,700 | $1,029,700 | 0.17 |
| Sequoia Mortgage Trust 2019-CH3 A19 4.0% 25-OCT-2049, 4.00%, 09/25/49 | SEMT | 81748GBN0 | - | - | 983,460 | $1,022,405 | $1,022,405 | 0.17 |
| GNMA II 30yr Pool#MA5192 4.000% 20-May-2048, 4.00%, 05/20/48 | G2 | 36179TXV2 | - | - | 917,700 | $1,019,332 | $1,019,332 | 0.17 |
| Fannie Mae REMIC Trust 2012-126 SY 3.84987% 25-NOV-2042, 3.85%, 11/25/42 | FNR | 3136A9ZR2 | - | - | 1,044,034 | $1,016,100 | $1,016,100 | 0.17 |
| FNMA 40yr Pool#BF0262 3.000% 01-May-2058, 3.00%, 05/01/58 | FN | 3140FXJG8 | - | - | 925,389 | $1,012,638 | $1,012,638 | 0.17 |
| JP Morgan Mortgage Trust 2019-LTV2 A11 1.04925% 25-DEC-2049, 1.05%, 12/25/49 | JPMMT | 46651AAL6 | - | - | 1,000,772 | $1,001,092 | $1,001,092 | 0.17 |
| FNMA 30yr Pool#BC0935 3.000% 01-Jun-2046, 3.00%, 06/01/46 | FN | 3140EVBD8 | - | - | 878,053 | $955,427 | $955,427 | 0.16 |
| GNMA II TBA 30yr 4.5% December Delivery, 4.50%, 12/21/20 | G2SF | 21H0426C8 | - | - | 878,200 | $941,501 | $941,501 | 0.16 |
| FNMA 30yr Pool#FM2868 3.500% 01-Jul-2047, 3.50%, 07/01/47 | FN | 3140X6FJ5 | - | - | 860,126 | $932,518 | $932,518 | 0.15 |
| FHLMC 15yr Pool#SB0040 2.500% 01-Dec-2033, 2.50%, 12/01/33 | FR | 3132CWBH6 | - | - | 863,533 | $919,255 | $919,255 | 0.15 |
| FHLMC 30yr Pool#ZN6461 4.000% 01-May-2049, 4.00%, 05/01/49 | FR | 3131YDFA7 | - | - | 834,586 | $913,566 | $913,566 | 0.15 |
| UMBS TBA 15yr 4% December Delivery, 4.00%, 12/16/20 | FNCI | 01F0404C8 | - | - | 851,500 | $902,539 | $902,539 | 0.15 |
| FNMA 30yr Pool#BM5138 3.500% 01-Nov-2048, 3.50%, 11/01/48 | FN | 3140J9V81 | - | - | 793,259 | $902,260 | $902,260 | 0.15 |
| FHLMC 30yr Pool#ZT0391 4.000% 01-Nov-2047, 4.00%, 11/01/47 | FR | 3132ACNG1 | - | - | 759,347 | $865,259 | $865,259 | 0.14 |
| FHLMC 30yr Pool#QA1615 3.500% 01-Aug-2049, 3.50%, 08/01/49 | FR | 31334XYL7 | - | - | 805,558 | $856,155 | $856,155 | 0.14 |
| Ginnie Mae REMIC Trust 2016-057 ST 5.89862% 20-APR-2046, 5.90%, 04/20/46 | GNR | 38379WRN4 | - | - | 3,776,221 | $847,189 | $847,189 | 0.14 |
| FNMA 30yr Pool#CA4646 3.000% 01-Feb-2048, 3.00%, 02/01/48 | FN | 3140QCEU6 | - | - | 762,234 | $839,116 | $839,116 | 0.14 |
| FHLMC 30yr Pool#ZN4240 4.500% 01-Dec-2048, 4.50%, 12/01/48 | FR | 3131YAV98 | - | - | 737,852 | $824,106 | $824,106 | 0.14 |
| GNMA II 30yr Pool#MA5753 4.000% 20-Feb-2049, 4.00%, 02/20/49 | G2 | 36179UMA7 | - | - | 709,627 | $765,323 | $765,323 | 0.13 |
| GNMA II 30yr Pool#MA5866 4.000% 20-Apr-2049, 4.00%, 04/20/49 | G2 | 36179UQT2 | - | - | 689,594 | $740,724 | $740,724 | 0.12 |
| FHLMC 30yr Pool#U99186 3.500% 01-Jan-2047, 3.50%, 01/01/47 | FG | 3132H7F41 | - | - | 670,146 | $737,161 | $737,161 | 0.12 |
| FHLMC 30yr Pool#QA7442 3.000% 01-Mar-2050, 3.00%, 03/01/50 | FR | 3133A2HT0 | - | - | 679,105 | $724,713 | $724,713 | 0.12 |
| FNMA 30yr Pool#AR9225 3.000% 01-Mar-2043, 3.00%, 03/01/43 | FN | 3138W7HB3 | - | - | 662,610 | $723,442 | $723,442 | 0.12 |
| FNMA 30yr Pool#FM1743 3.000% 01-Jan-2047, 3.00%, 01/01/47 | FN | 3140X45D4 | - | - | 629,188 | $680,986 | $680,986 | 0.11 |
| Radnor Re 2020-1 M1A 1.1345% 25-JAN-2030, 1.10%, 02/25/30 | RMIR | 750493AA6 | - | - | 680,245 | $677,826 | $677,826 | 0.11 |
| FNMA 30yr Pool#MA1327 3.000% 01-Jan-2043, 3.00%, 01/01/43 | FN | 31418APM4 | - | - | 594,372 | $647,530 | $647,530 | 0.11 |
| FNMA 30yr Pool#BE3616 4.000% 01-May-2047, 4.00%, 05/01/47 | FN | 3140FPAS8 | - | - | 550,621 | $635,299 | $635,299 | 0.11 |
| FHLMC 30yr Pool#ZM7926 5.000% 01-Sep-2048, 5.00%, 09/01/48 | FR | 3131Y2YX0 | - | - | 548,631 | $627,068 | $627,068 | 0.10 |
| GNMA II 30yr Pool#BK5879 4.500% 20-Nov-2048, 4.50%, 11/20/48 | G2 | 3617J6Q80 | - | - | 551,686 | $609,938 | $609,938 | 0.10 |
| Chase Home Lending Mortgage Trust 2019-ATR2 A11 1.04925% 25-AUG-2049, 1.05%, 07/25/49 | CHASE | 16159GAL3 | - | - | 603,264 | $603,447 | $603,447 | 0.10 |
| FHLMC 30yr Pool#ZT1159 3.500% 01-Feb-2044, 3.50%, 02/01/44 | FR | 3132ADJC3 | - | - | 550,809 | $602,583 | $602,583 | 0.10 |
| GNMA II 30yr Pool#MA5756 5.500% 20-Feb-2049, 5.50%, 02/20/49 | G2 | 36179UMD1 | - | - | 491,065 | $549,515 | $549,515 | 0.09 |
| FNMA 30yr Pool#AB6280 3.000% 01-Sep-2042, 3.00%, 09/01/42 | FN | 31417C6S9 | - | - | 493,980 | $538,172 | $538,172 | 0.09 |
| Fhlmc Stacr 2017-Dna3 0.89925% 25-MAR-2030, 0.90%, 03/25/30 | STACR | 3137G0QP7 | - | - | 494,251 | $494,630 | $494,630 | 0.08 |
| FNMA 30yr Pool#BM5836 3.000% 01-Sep-2046, 3.00%, 09/01/46 | FN | 3140JAPW2 | - | - | 434,332 | $471,489 | $471,489 | 0.08 |
| FNMA 30yr Pool#BM4963 3.000% 01-May-2048, 3.00%, 05/01/48 | FN | 3140J9QR5 | - | - | 383,810 | $419,308 | $419,308 | 0.07 |
| FNMA 30yr Pool#BO2983 3.000% 01-Sep-2049, 3.00%, 09/01/49 | FN | 3140JXJ58 | - | - | 364,239 | $394,792 | $394,792 | 0.07 |
| Ginnie Mae REMIC Trust 2015-148 SL 5.52862% 20-OCT-2045, 5.53%, 10/20/45 | GNR | 38379QJ55 | - | - | 2,019,155 | $394,104 | $394,104 | 0.07 |
| FNMA 30yr Pool#MA1229 3.000% 01-Oct-2042, 3.00%, 10/01/42 | FN | 31418ALK2 | - | - | 349,740 | $384,425 | $384,425 | 0.06 |
| Freddie Mac Multiclass Certificates, Series 3843 FE 0.69088% 15-APR-2041, 0.69%, 04/15/41 | FHR | 3137A9HT6 | - | - | 370,074 | $375,168 | $375,168 | 0.06 |
| FNMA 20yr Pool#AB9283 3.000% 01-Apr-2038, 3.00%, 04/01/38 | FN | 31417GJ56 | - | - | 334,284 | $368,654 | $368,654 | 0.06 |
| FNMA 30yr Pool#AB7563 3.000% 01-Jan-2043, 3.00%, 01/01/43 | FN | 31417EMM0 | - | - | 326,980 | $358,140 | $358,140 | 0.06 |
| GNMA II 30yr Pool#BK6072 5.000% 20-Jan-2049, 5.00%, 01/20/49 | G2 | 3617J6W91 | - | - | 314,753 | $356,417 | $356,417 | 0.06 |
| GNMA II 30yr Pool#BF6874 4.500% 20-Jul-2048, 4.50%, 07/20/48 | G2 | 3617GDT77 | - | - | 313,149 | $355,471 | $355,471 | 0.06 |
| Connecticut Avenue Securities, Series 2016-C02 1M2 6.15013% 25-SEP-2028, 6.15%, 09/25/28 | CAS | 30711XCB8 | - | - | 327,908 | $342,888 | $342,888 | 0.06 |
| FHLMC 30yr Pool#ZT1633 4.000% 01-Mar-2047, 4.00%, 03/01/47 | FR | 3132ADY69 | - | - | 302,929 | $338,586 | $338,586 | 0.06 |
| FHLMC 30yr Pool#ZM9344 3.000% 01-Jun-2043, 3.00%, 06/01/43 | FR | 3131Y4LZ5 | - | - | 307,707 | $332,097 | $332,097 | 0.06 |
| Sequoia Mortgage Trust 2019-3 A2 3.5% 25-SEP-2049, 3.50%, 09/25/49 | SEMT | 81748BAB8 | - | - | 310,131 | $319,411 | $319,411 | 0.05 |
| FNMA 30yr Pool#MA1363 3.000% 01-Feb-2043, 3.00%, 02/01/43 | FN | 31418AQR2 | - | - | 260,401 | $283,672 | $283,672 | 0.05 |
| FNMA 40yr Pool#BF0217 3.000% 01-Sep-2057, 3.00%, 09/01/57 | FN | 3140FXG30 | - | - | 254,742 | $279,034 | $279,034 | 0.05 |
| Angel Oak Mortgage Trust I, Series 2017-1 M1 4.629% 25-JAN-2047, 4.63%, 01/25/47 | AOMT | 034620AD6 | - | - | 270,000 | $274,527 | $274,527 | 0.05 |
| FNMA 30yr Pool#BM3282 3.500% 01-Dec-2047, 3.50%, 12/01/47 | FN | 3140J7UG8 | - | - | 237,524 | $273,189 | $273,189 | 0.05 |
| FNMA 30yr Pool#CA0108 3.500% 01-Aug-2047, 3.50%, 08/01/47 | FN | 3140Q7DN4 | - | - | 231,130 | $265,830 | $265,830 | 0.04 |
| FHLMC 30yr Pool#ZM7577 4.500% 01-Aug-2048, 4.50%, 08/01/48 | FR | 3131Y2M21 | - | - | 233,101 | $260,737 | $260,737 | 0.04 |
| FNMA 30yr Pool#MA1384 3.000% 01-Mar-2043, 3.00%, 03/01/43 | FN | 31418ARE0 | - | - | 222,274 | $242,686 | $242,686 | 0.04 |
| FNMA 20yr Pool#AR6433 3.000% 01-Aug-2043, 3.00%, 08/01/43 | FN | 3138W4EF4 | - | - | 215,288 | $238,508 | $238,508 | 0.04 |
| New Residential Mortgage Loan Trust 2018-4 A1M 1.04925% 25-JAN-2048, 1.05%, 01/25/48 | NRZT | 64828FCS9 | - | - | 241,404 | $238,118 | $238,118 | 0.04 |
| FNMA 30yr Pool#BO4113 3.000% 01-Aug-2049, 3.00%, 08/01/49 | FN | 3140JYSB3 | - | - | 213,736 | $235,833 | $235,833 | 0.04 |
| Fannie Mae REMIC Trust 2013-130 FN 0.50013% 25-OCT-2042, 0.50%, 10/25/42 | FNR | 3136AHG53 | - | - | 233,619 | $234,238 | $234,238 | 0.04 |
| FNMA 30yr Pool#BJ8459 3.000% 01-Aug-2049, 3.00%, 08/01/49 | FN | 3140HAMH0 | - | - | 202,795 | $223,762 | $223,762 | 0.04 |
| FHLMC 30yr Pool#QA2159 3.000% 01-Aug-2049, 3.00%, 08/01/49 | FR | 31334YMG9 | - | - | 188,318 | $207,783 | $207,783 | 0.03 |
| FHLMC 15yr Pool#ZS7403 3.000% 01-May-2031, 3.00%, 05/01/31 | FR | 3132A8GL7 | - | - | 183,235 | $199,512 | $199,512 | 0.03 |
| FNMA 30yr Pool#MA1447 3.000% 01-May-2043, 3.00%, 05/01/43 | FN | 31418ATD0 | - | - | 181,745 | $198,432 | $198,432 | 0.03 |
| FHLMC 15yr Pool#ZK8962 3.000% 01-Sep-2032, 3.00%, 09/01/32 | FR | 3131XC5X1 | - | - | 179,317 | $196,316 | $196,316 | 0.03 |
| FHLMC 30yr Pool#QA1818 3.000% 01-Aug-2049, 3.00%, 08/01/49 | FR | 31334YAT4 | - | - | 175,440 | $190,754 | $190,754 | 0.03 |
| Fannie Mae REMIC Trust 2010-109 BS 53.35957% 25-OCT-2040, 53.36%, 10/25/40 | FNR | 31398NTM6 | - | - | 41,248 | $190,476 | $190,476 | 0.03 |
| FNMA 30yr Pool#BD2441 3.500% 01-Jan-2047, 3.50%, 01/01/47 | FN | 3140F9WB7 | - | - | 163,325 | $187,356 | $187,356 | 0.03 |
| FNMA 30yr Pool#BM4735 3.500% 01-Apr-2048, 3.50%, 04/01/48 | FN | 3140J9HM6 | - | - | 151,704 | $172,859 | $172,859 | 0.03 |
| FNMA 40yr Pool#BF0189 3.000% 01-Jun-2057, 3.00%, 06/01/57 | FN | 3140FXF72 | - | - | 144,769 | $158,575 | $158,575 | 0.03 |
| FNMA 30yr Pool#BD2453 3.000% 01-Jan-2047, 3.00%, 01/01/47 | FN | 3140F9WP6 | - | - | 127,261 | $142,423 | $142,423 | 0.02 |
| FHLMC 30yr Pool#ZN0443 3.500% 01-Aug-2042, 3.50%, 08/01/42 | FR | 3131Y6P45 | - | - | 128,442 | $140,563 | $140,563 | 0.02 |
| Fannie Mae REMIC Trust 2006-20 GF 0.50013% 25-APR-2036, 0.50%, 04/25/36 | FNR | 31395BU43 | - | - | 138,822 | $139,174 | $139,174 | 0.02 |
| FNMA 15yr Pool#BO5957 3.000% 01-Dec-2034, 3.00%, 12/01/34 | FN | 3140K1TP1 | - | - | 125,843 | $137,151 | $137,151 | 0.02 |
| FNMA 15yr Pool#BO7717 3.000% 01-Nov-2034, 3.00%, 11/01/34 | FN | 3140K3SF0 | - | - | 118,624 | $129,978 | $129,978 | 0.02 |
| FNMA 30yr Pool#BC0870 3.500% 01-Jan-2046, 3.50%, 01/01/46 | FN | 3140EU6G9 | - | - | 110,229 | $121,928 | $121,928 | 0.02 |
| FHLMC 30yr Pool#ZA3585 3.500% 01-Aug-2042, 3.50%, 08/01/42 | FR | 31329L6W7 | - | - | 106,152 | $116,175 | $116,175 | 0.02 |
| Freddie Mac Multiclass Certificates, Series 3721 FB 0.64088% 15-SEP-2040, 0.64%, 09/15/40 | FHR | 3137GAD20 | - | - | 109,808 | $110,710 | $110,710 | 0.02 |
| FNMA 30yr Pool#MA1479 4.000% 01-Jun-2043, 4.00%, 06/01/43 | FN | 31418AUD8 | - | - | 95,632 | $107,617 | $107,617 | 0.02 |
| FHLMC 30yr Pool#ZA3583 3.500% 01-Jul-2042, 3.50%, 07/01/42 | FR | 31329L6U1 | - | - | 97,629 | $106,846 | $106,846 | 0.02 |
| Deephaven Residential Mortgage Trust, Series 2017-3 A2 2.711% 25-OCT-2047, 2.71%, 10/25/47 | DRMT | 24381FAB1 | - | - | 105,541 | $106,101 | $106,101 | 0.02 |
| Freddie Mac Multiclass Certificates, Series 3380 FM 0.73088% 15-OCT-2037, 0.73%, 10/15/37 | FHR | 31397KTJ0 | - | - | 104,058 | $105,462 | $105,462 | 0.02 |
| Deephaven Residential Mortgage Trust, Series 2018-3 A1 3.789% 25-AUG-2058, 3.79%, 08/25/58 | DRMT | 24381KAA2 | - | - | 100,591 | $103,269 | $103,269 | 0.02 |
| Deephaven Residential Mortgage Trust, Series 2018-3 A3 3.963% 25-AUG-2058, 3.96%, 08/25/58 | DRMT | 24381KAC8 | - | - | 101,312 | $102,888 | $102,888 | 0.02 |
| FHLMC 15yr Pool#ZK9163 3.000% 01-Jan-2033, 3.00%, 01/01/33 | FR | 3131XDFC4 | - | - | 93,972 | $102,861 | $102,861 | 0.02 |
| FHLMC 30yr Pool#ZA4209 3.000% 01-Apr-2043, 3.00%, 04/01/43 | FR | 31329MVA5 | - | - | 92,397 | $101,236 | $101,236 | 0.02 |
| FNMA 30yr Pool#AS8547 3.000% 01-Nov-2046, 3.00%, 11/01/46 | FN | 3138WJP93 | - | - | 86,824 | $95,400 | $95,400 | 0.02 |
| Ginnie Mae REMIC Trust 2008-013 FB 0.65138% 20-FEB-2038, 0.65%, 02/20/38 | GNR | 38375PNL1 | - | - | 92,245 | $93,238 | $93,238 | 0.02 |
| FNMA 30yr Pool#MA3211 4.000% 01-Dec-2047, 4.00%, 12/01/47 | FN | 31418CR97 | - | - | - | $90,455 | $90,455 | 0.02 |
| FNMA 30yr Pool#FM0029 3.000% 01-Sep-2046, 3.00%, 09/01/46 | FN | 3140X3A73 | - | - | 78,556 | $84,973 | $84,973 | 0.01 |
| COLT 2020-2 A1 1.853% 25-MAR-2065, 1.85%, 03/25/65 | COLT | 19688JAA5 | - | - | 82,305 | $82,958 | $82,958 | 0.01 |
| Ginnie Mae REMIC Trust 2010-133 FD 0.57575% 20-OCT-2040, 0.57%, 10/16/40 | GNR | 38377MHV1 | - | - | 77,210 | $77,765 | $77,765 | 0.01 |
| Deephaven Residential Mortgage Trust, Series 2018-1 A1 2.976% 25-DEC-2057, 2.98%, 12/25/57 | DRMT | 24380PAA2 | - | - | 76,904 | $77,607 | $77,607 | 0.01 |
| Freddie Mac Multiclass Certificates, Series 3738 FD 0.44088% 15-AUG-2040, 0.44%, 08/15/40 | FHR | 3137GAYQ4 | - | - | 75,408 | $75,557 | $75,557 | 0.01 |
| Fannie Mae REMIC Trust 2013-2 QF 0.65013% 25-FEB-2043, 0.65%, 02/25/43 | FNR | 3136AB4P5 | - | - | 73,710 | $74,298 | $74,298 | 0.01 |
| FNMA 40yr Pool#BF0130 3.500% 01-Aug-2056, 3.50%, 08/01/56 | FN | 3140FXEC2 | - | - | 64,711 | $72,430 | $72,430 | 0.01 |
| Ginnie Mae REMIC Trust 2007-040 FG 0.47138% 20-JUL-2037, 0.47%, 07/20/37 | GNR | 38375KZS4 | - | - | 71,610 | $71,847 | $71,847 | 0.01 |
| Ginnie Mae REMIC Trust 2004-069 CF 0.55138% 20-JUL-2034, 0.55%, 07/20/34 | GNR | 38374JAT3 | - | - | 69,867 | $70,306 | $70,306 | 0.01 |
| FHLMC 30yr Pool#ZN2165 4.500% 01-Dec-2048, 4.50%, 12/01/48 | FR | 3131Y8MN2 | - | - | 59,433 | $67,284 | $67,284 | 0.01 |
| Freddie Mac Multiclass Certificates, Series 2426 FL 0.79088% 15-MAR-2032, 0.79%, 03/15/32 | FHR | 31339W7G5 | - | - | 58,407 | $59,188 | $59,188 | 0.01 |
| Fnma Connecticut Avenue Securities Series 2018-C05 2.50013% 25-JAN-2031, 2.50%, 01/25/31 | CAS | 30711XY24 | - | - | 59,198 | $58,914 | $58,914 | 0.01 |
| Deephaven Residential Mortgage Trust, Series 2018-2 A3 3.684% 25-APR-2058, 3.68%, 04/25/58 | DRMT | 24381HAC5 | - | - | 55,381 | $56,020 | $56,020 | 0.01 |
| Ginnie Mae REMIC Trust 2007-059 FA 0.65138% 20-OCT-2037, 0.65%, 10/20/37 | GNR | 38375LPU8 | - | - | 55,400 | $56,014 | $56,014 | 0.01 |
| Fannie Mae REMIC Trust 2012-94 KF 0.50013% 25-MAY-2038, 0.50%, 05/25/38 | FNR | 3136A8XS4 | - | - | 54,583 | $54,562 | $54,562 | 0.01 |
| Fannie Mae REMIC Trust 2003-87 FG 0.65013% 25-SEP-2033, 0.65%, 09/25/33 | FNR | 31393E4W6 | - | - | 50,385 | $50,734 | $50,734 | 0.01 |
| Ginnie Mae REMIC Trust 2004-059 FP 0.44575% 20-AUG-2034, 0.44%, 08/16/34 | GNR | 38374HYS3 | - | - | 49,816 | $49,953 | $49,953 | 0.01 |
| FHLMC 30yr Pool#ZL6308 3.500% 01-Jun-2043, 3.50%, 06/01/43 | FR | 3131XNAH6 | - | - | 44,792 | $49,656 | $49,656 | 0.01 |
| FNMA 30yr Pool#MA2894 3.000% 01-Jan-2047, 3.00%, 01/01/47 | FN | 31418CGC2 | - | - | 44,625 | $49,032 | $49,032 | 0.01 |
| Fannie Mae REMIC Trust 2002-53 FK 0.55013% 25-APR-2032, 0.55%, 04/25/32 | FNR | 31392EHN3 | - | - | 48,788 | $49,010 | $49,010 | 0.01 |
| Ginnie Mae REMIC Trust 2007-037 FW 0.46138% 20-JUN-2037, 0.46%, 06/20/37 | GNR | 38375KNR9 | - | - | 47,745 | $47,883 | $47,883 | 0.01 |
| Freddie Mac Multiclass Certificates, Series 2469 FE 0.64088% 15-JUL-2032, 0.64%, 07/15/32 | FHR | 31392RC58 | - | - | 47,328 | $47,659 | $47,659 | 0.01 |
| Ginnie Mae REMIC Trust 2005-065 FA 0.30138% 20-AUG-2035, 0.30%, 08/20/35 | GNR | 38374LL25 | - | - | 47,497 | $47,339 | $47,339 | 0.01 |
| Ginnie Mae REMIC Trust 2008-016 FC 0.65138% 20-FEB-2038, 0.65%, 02/20/38 | GNR | 383742FU2 | - | - | 46,176 | $46,663 | $46,663 | 0.01 |
| Verus Securitization Trust 2018-INV1 A2 3.849% 25-MAR-2058, 3.85%, 03/25/58 | VERUS | 92536MAB7 | - | - | 43,115 | $44,529 | $44,529 | 0.01 |
| Fannie Mae REMIC Trust 2007-89 GF 0.67013% 25-SEP-2037, 0.67%, 09/25/37 | FNR | 31396XPM0 | - | - | 43,728 | $44,105 | $44,105 | 0.01 |
| Fannie Mae REMIC Trust 2005-83 KT 0.45013% 25-OCT-2035, 0.45%, 10/25/35 | FNR | 31394FUL7 | - | - | 41,657 | $41,850 | $41,850 | 0.01 |
| Ginnie Mae REMIC Trust 2005-048 AF 0.35138% 20-JUN-2035, 0.35%, 06/20/35 | GNR | 38374LHM6 | - | - | 41,863 | $41,797 | $41,797 | 0.01 |
| Freddie Mac Multiclass Certificates, Series 2410, excluding Group 6 FX 0.49088% 15-FEB-2032, 0.49%, 02/15/32 | FHR | 31339NJN7 | - | - | 41,185 | $41,321 | $41,321 | 0.01 |
| FHLMC 30yr Pool#ZT0252 3.000% 01-Dec-2047, 3.00%, 12/01/47 | FR | 3132ACH52 | - | - | 37,015 | $41,320 | $41,320 | 0.01 |
| Ginnie Mae REMIC Trust 1999-27 FE 0.54575% 20-AUG-2029, 0.54%, 08/16/29 | GNR | 3837H2WA3 | - | - | 40,032 | $40,292 | $40,292 | 0.01 |
| Freddie Mac Multiclass Certificates, Series 2551 FD 0.54088% 15-JAN-2033, 0.54%, 01/15/33 | FHR | 31393JAZ1 | - | - | 38,744 | $38,926 | $38,926 | 0.01 |
| Ginnie Mae REMIC Trust 2012-075 FP 0.45138% 20-JUL-2041, 0.45%, 07/20/41 | GNR | 38378EZ55 | - | - | 38,798 | $38,912 | $38,912 | 0.01 |
| Fannie Mae REMIC Trust 2002-16 VF 0.70013% 25-APR-2032, 0.70%, 04/25/32 | FNR | 31392CWW0 | - | - | 37,757 | $38,080 | $38,080 | 0.01 |
| FNMA 30yr Pool#BJ2394 3.500% 01-Nov-2047, 3.50%, 11/01/47 | FN | 3140H3UU8 | - | - | 31,582 | $36,115 | $36,115 | 0.01 |
| FNMA 30yr Pool#BA4752 3.000% 01-Jan-2046, 3.00%, 01/01/46 | FN | 3140E9H66 | - | - | 33,108 | $36,050 | $36,050 | 0.01 |
| Freddie Mac Multiclass Certificates, Series 3028 FM 0.39088% 15-SEP-2035, 0.39%, 09/15/35 | FHR | 31396AFB5 | - | - | 34,365 | $34,415 | $34,415 | 0.01 |
| Angel Oak Mortgage Trust I, Series 2018-3 A1 3.649% 25-SEP-2048, 3.65%, 09/25/48 | AOMT | 03464NAA0 | - | - | 32,164 | $32,854 | $32,854 | 0.01 |
| FNMA 15yr Pool#AS8207 2.500% 01-Oct-2031, 2.50%, 10/01/31 | FN | 3138WJDM7 | - | - | 28,423 | $30,775 | $30,775 | 0.01 |
| FNMA 15yr Pool#AS7643 2.500% 01-Aug-2031, 2.50%, 08/01/31 | FN | 3138WHP55 | - | - | 27,978 | $30,041 | $30,041 | 0.00 |
| FHLMC 30yr Pool#ZM2269 3.000% 01-Dec-2046, 3.00%, 12/01/46 | FR | 3131XVQW8 | - | - | 26,937 | $29,779 | $29,779 | 0.00 |
| Fannie Mae REMIC Trust 2010-95 FB 0.55013% 25-SEP-2040, 0.55%, 09/25/40 | FNR | 31398NEX8 | - | - | 28,859 | $29,000 | $29,000 | 0.00 |
| FNMA 15yr Pool#BM1036 2.500% 01-Feb-2032, 2.50%, 02/01/32 | FN | 3140J5EJ4 | - | - | 26,302 | $28,575 | $28,575 | 0.00 |
| Fannie Mae REMIC Trust 2010-123 FL 0.58013% 25-NOV-2040, 0.58%, 11/25/40 | FNR | 31398N2W3 | - | - | 28,339 | $28,495 | $28,495 | 0.00 |
| FHLMC 15yr Pool#ZK8405 2.500% 01-Dec-2031, 2.50%, 01/22/31 | FR | 3131XCKS5 | - | - | 23,131 | $24,512 | $24,512 | 0.00 |
| Ginnie Mae REMIC Trust 2007-061 FA 0.65138% 20-OCT-2037, 0.65%, 10/20/37 | GNR | 38375LLN8 | - | - | 23,464 | $23,724 | $23,724 | 0.00 |
| Ginnie Mae REMIC Trust 2009-033 FN 0.85138% 20-MAY-2039, 0.85%, 05/20/39 | GNR | 38374UJK8 | - | - | 21,553 | $21,562 | $21,562 | 0.00 |
| Fannie Mae REMIC Trust 2012-100 FG 0.55013% 25-SEP-2042, 0.55%, 09/25/42 | FNR | 3136A8QW3 | - | - | 21,349 | $21,444 | $21,444 | 0.00 |
| FNMA 30yr Pool#BK6523 4.500% 01-Jun-2048, 4.50%, 06/01/48 | FN | 3140HLG91 | - | - | - | $21,204 | $21,204 | 0.00 |
| FNMA 30yr Pool#AB8517 3.000% 01-Feb-2043, 3.00%, 02/01/43 | FN | 31417FPB8 | - | - | 17,639 | $19,259 | $19,259 | 0.00 |
| Ginnie Mae REMIC Trust 2007-018 FD 0.45138% 20-APR-2037, 0.45%, 04/20/37 | GNR | 38375JC86 | - | - | 17,089 | $17,129 | $17,129 | 0.00 |
| Ginnie Mae REMIC Trust 2010-006 FG 0.74575% 16-JAN-2040, 0.74%, 01/16/40 | GNR | 38376TSC7 | - | - | 16,070 | $16,325 | $16,325 | 0.00 |
| FNMA 30yr Pool#AL7381 4.500% 01-Jun-2045, 4.50%, 06/01/45 | FN | 3138EQFX5 | - | - | 10,480 | $11,938 | $11,938 | 0.00 |
| Angel Oak Mortgage Trust I, Series 2017-3 A1 2.708% 25-NOV-2047, 2.71%, 11/25/47 | AOMT | 03463LAA5 | - | - | 10,712 | $10,770 | $10,770 | 0.00 |
| Sequoia Mortgage Trust 2018-8 AIO1 0.264563% 25-NOV-2048, 0.26%, 11/25/48 | SEMT | 81748HBA6 | - | - | 3,321,630 | $8,264 | $8,264 | 0.00 |
| FNMA 30yr Pool#MA3239 4.000% 01-Jan-2048, 4.00%, 01/01/48 | FN | 31418CS54 | - | - | - | $6,894 | $6,894 | 0.00 |
| Ginnie Mae REMIC Trust 2010-125 VF 0.50138% 20-JUN-2040, 0.50%, 06/20/40 | GNR | 38377JYJ6 | - | - | 4,199 | $4,211 | $4,211 | 0.00 |
| FNMA 30yr Pool#BD0667 4.500% 01-Jun-2047, 4.50%, 06/01/47 | FN | 3140F7W54 | - | - | - | $4,159 | $4,159 | 0.00 |
| FNMA 30yr Pool#BE2733 4.500% 01-Jul-2047, 4.50%, 07/01/47 | FN | 3140FNBB9 | - | - | - | $2,952 | $2,952 | 0.00 |
| FNMA 30yr Pool#BH8171 4.500% 01-Aug-2047, 4.50%, 08/01/47 | FN | 3140GXCH2 | - | - | - | $2,783 | $2,783 | 0.00 |
| Angel Oak Mortgage Trust I, Series 2017-1 A1 2.81% 25-JAN-2047, 2.81%, 01/25/47 | AOMT | 034620AA2 | - | - | 2,708 | $2,714 | $2,714 | 0.00 |
| FHLMC 30yr Pool#ZN0627 3.000% 01-Feb-2043, 3.00%, 02/01/43 | FR | 3131Y6VU0 | - | - | 1,770 | $1,913 | $1,913 | 0.00 |
| FNMA 30yr Pool#BE2717 4.500% 01-Jul-2047, 4.50%, 07/01/47 | FN | 3140FNAT1 | - | - | - | $1,803 | $1,803 | 0.00 |
| FNMA 30yr Pool#BE2786 4.500% 01-Nov-2047, 4.50%, 11/01/47 | FN | 3140FNCY8 | - | - | - | $1,781 | $1,781 | 0.00 |
| FNMA 30yr Pool#BH6170 4.500% 01-Jul-2047, 4.50%, 07/01/47 | FN | 3140GU2C0 | - | - | - | $1,774 | $1,774 | 0.00 |
| FNMA 30yr Pool#BK8767 4.000% 01-Sep-2049, 4.00%, 09/01/49 | FN | 3140HNW57 | - | - | - | $1,750 | $1,750 | 0.00 |
| FNMA 30yr Pool#BE2775 4.500% 01-Sep-2047, 4.50%, 09/01/47 | FN | 3140FNCM4 | - | - | - | $1,550 | $1,550 | 0.00 |
| FNMA 30yr Pool#BE2784 4.000% 01-Nov-2047, 4.00%, 11/01/47 | FN | 3140FNCW2 | - | - | - | $1,419 | $1,419 | 0.00 |
| FNMA 30yr Pool#BE2774 4.000% 01-Oct-2047, 4.00%, 10/01/47 | FN | 3140FNCL6 | - | - | - | $1,411 | $1,411 | 0.00 |
| FHLMC 30yr Pool#ZN0650 3.000% 01-Mar-2043, 3.00%, 03/01/43 | FR | 3131Y6WK1 | - | - | 1,113 | $1,203 | $1,203 | 0.00 |
| FNMA 30yr Pool#BJ1588 4.000% 01-Oct-2047, 4.00%, 10/01/47 | FN | 3140H2XS2 | - | - | - | $1,130 | $1,130 | 0.00 |
| FNMA 30yr Pool#BH8170 4.000% 01-Aug-2047, 4.00%, 08/01/47 | FN | 3140GXCG4 | - | - | - | $835 | $835 | 0.00 |
| FNMA 30yr Pool#BJ3265 4.000% 01-Nov-2047, 4.00%, 11/01/47 | FN | 3140H4TX2 | - | - | - | $809 | $809 | 0.00 |
| FNMA 30yr Pool#BH8168 4.000% 01-Aug-2047, 4.00%, 08/01/47 | FN | 3140GXCE9 | - | - | - | $729 | $729 | 0.00 |
| FNMA 30yr Pool#BH6165 4.000% 01-Jul-2047, 4.00%, 07/01/47 | FN | 3140GUZ75 | - | - | - | $633 | $633 | 0.00 |
| FNMA 30yr Pool#BJ1758 4.000% 01-Oct-2047, 4.00%, 10/01/47 | FN | 3140H25U8 | - | - | - | $612 | $612 | 0.00 |
| FNMA 30yr Pool#BJ1735 4.000% 01-Oct-2047, 4.00%, 10/01/47 | FN | 3140H24V7 | - | - | - | $553 | $553 | 0.00 |
| FNMA 30yr Pool#BH6168 4.000% 01-Jun-2047, 4.00%, 06/01/47 | FN | 3140GU2A4 | - | - | - | $452 | $452 | 0.00 |
| FHLMC 30yr Pool#ZL5324 3.500% 01-Mar-2043, 3.50%, 03/01/43 | FR | 3131XL4H7 | - | - | 407.00 | $451 | $451 | 0.00 |
| FNMA 30yr Pool#BE2732 4.000% 01-Jul-2047, 4.00%, 07/01/47 | FN | 3140FNBA1 | - | - | - | $447 | $447 | 0.00 |
| FNMA 30yr Pool#BJ1747 4.000% 01-Oct-2047, 4.00%, 10/01/47 | FN | 3140H25H7 | - | - | - | $417 | $417 | 0.00 |
| FNMA 30yr Pool#BE0640 4.500% 01-Aug-2047, 4.50%, 08/01/47 | FN | 3140FKWA4 | - | - | - | $415 | $415 | 0.00 |
| FNMA 30yr Pool#BH4380 4.000% 01-Jun-2047, 4.00%, 06/01/47 | FN | 3140GS2N1 | - | - | - | $406 | $406 | 0.00 |
| FNMA 30yr Pool#BJ1608 4.500% 01-Oct-2047, 4.50%, 10/01/47 | FN | 3140H2YE2 | - | - | - | $365 | $365 | 0.00 |
| FNMA 30yr Pool#BH5672 4.000% 01-Jun-2047, 4.00%, 06/01/47 | FN | 3140GUJS7 | - | - | - | $281 | $281 | 0.00 |
| FNMA 30yr Pool#BH5673 4.000% 01-Jul-2047, 4.00%, 07/01/47 | FN | 3140GUJT5 | - | - | - | $247 | $247 | 0.00 |
| FNMA 30yr Pool#BJ3260 4.500% 01-Oct-2047, 4.50%, 10/01/47 | FN | 3140H4TS3 | - | - | - | $241 | $241 | 0.00 |
| FNMA 30yr Pool#BH4706 4.500% 01-May-2047, 4.50%, 05/01/47 | FN | 3140GTGQ7 | - | - | - | $209 | $209 | 0.00 |
| FNMA 30yr Pool#BH3540 4.000% 01-Jun-2047, 4.00%, 06/01/47 | FN | 3140GR5A8 | - | - | - | $206 | $206 | 0.00 |
| FNMA 30yr Pool#BJ0241 4.000% 01-Sep-2047, 4.00%, 09/01/47 | FN | 3140H1HT0 | - | - | - | $156 | $156 | 0.00 |
| FNMA 30yr Pool#BE0637 4.000% 01-Jul-2047, 4.00%, 07/01/47 | FN | 3140FKV72 | - | - | - | $46 | $46 | 0.00 |
| CBOT 5 Year US Treasury Note MAR 21 | FVH1 | - | FUTURES_USD | - | -218.00 | $-27,410,094 | $0 | 0.00 |
| Ultra 10-Year US Treasury Note Futures MAR 21 | UXYH1 | - | FUTURES_USD | - | -156.00 | $-24,231,188 | $0 | 0.00 |
| GNMA II TBA 30yr 3% December Delivery, 3.00%, 12/21/20 | G2SF | 21H0306C3 | - | - | -27,981,200 | $-29,183,832 | $-29,183,832 | -4.85 |
| ALMSUM | ALMSUM | - | - | $0.00 | 29,191,168 | $29,191,168 | $29,191,168 | 4.85 |
| SEGREGATED CASH | SEGCASH | - | - | $0.00 | 900,000 | $900,000 | $900,000 | 0.15 |
| US DOLLARS, 0.00%, 04/16/20 | USD | - | - | - | -239,975,801 | $-239,975,801 | $-239,975,801 | -39.85 |
| CME 3 Month Eurodollar Future JUN 24 | EDM4 | - | FUTURES_USD | - | -7.00 | $-6,950,650 | $0 | 0.00 |
| CME 3 Month Eurodollar Future MAR 24 | EDH4 | - | FUTURES_USD | - | -7.00 | $-6,955,200 | $0 | 0.00 |
| CME 3 Month Eurodollar Future DEC 23 | EDZ3 | - | FUTURES_USD | - | -7.00 | $-6,959,400 | $0 | 0.00 |
| CME 3 Month Eurodollar Future SEP 24 | EDU4 | - | FUTURES_USD | - | -7.00 | $-6,945,750 | $0 | 0.00 |
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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 may differ from the complete schedules of investments in regulatory filings due to differing accounting and reporting requirements.
ETFs distributed by ALPS Distributors, Inc. ALPS is not affiliated with Janus Henderson or any of its subsidiaries.
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