For Institutional Investors in the US

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
Holdings are subject to change without notice.
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