Mortgage-Backed Securities ETF Holdings
Full Portfolio Holdings(As of July 2, 2020) |
Ticker | Cusip | Underlying Security | Strike Price | Quantity (Shares/ Par/ Notional/ Units) | Market Value | Weight % |
|---|---|---|---|---|---|---|---|
| UMBS TBA 30yr 3.5% July Delivery, 3.50%, 07/14/20 | FNCL | 01F032674 | - | - | 40,601,085 | $42,707,469 | 9.56 |
| GNMA II TBA 30yr 3.5% July Delivery, 3.50%, 07/21/20 | G2SF | 21H032670 | - | - | 35,998,100 | $37,970,796 | 8.50 |
| GNMA II TBA 30yr 2.5% August Delivery, 2.50%, 08/20/20 | G2SF | 21H022689 | - | - | 35,913,600 | $37,660,438 | 8.43 |
| GNMA II TBA 30yr 3% August Delivery, 3.00%, 08/20/20 | G2SF | 21H030682 | - | - | 31,344,800 | $33,100,422 | 7.41 |
| UMBS TBA 30yr 4% July Delivery, 4.00%, 07/14/20 | FNCL | 01F040677 | - | - | 30,531,937 | $32,358,663 | 7.25 |
| FNMA 30yr Pool#AL4585 3.500% 01-Dec-2043, 3.50%, 12/01/43 | FN | 3138EMCX7 | - | - | 26,463,217 | $28,826,902 | 6.45 |
| UMBS TBA 30yr 2% August Delivery, 2.00%, 08/13/20 | FNCL | 01F020687 | - | - | 25,000,000 | $25,523,250 | 5.71 |
| FHLMC 30yr Pool#ZS4703 3.000% 01-Feb-2047, 3.00%, 02/01/47 | FR | 3132A5GL3 | - | - | 19,960,061 | $21,192,892 | 4.74 |
| UMBS TBA 15yr 1.5% August Delivery, 1.50%, 08/17/20 | FNCI | 01F012486 | - | - | 20,000,000 | $20,295,388 | 4.54 |
| FNMA 30yr Pool#FM2915 3.000% 01-Nov-2048, 3.00%, 11/01/48 | FN | 3140X6GZ8 | - | - | 14,314,038 | $15,522,224 | 3.47 |
| UMBS TBA 15yr 3% July Delivery, 3.00%, 07/16/20 | FNCI | 01F030470 | - | - | 14,164,555 | $14,899,412 | 3.33 |
| UMBS TBA 15yr 2.5% August Delivery, 2.50%, 08/17/20 | FNCI | 01F022485 | - | - | 12,523,589 | $13,110,695 | 2.93 |
| Spruce Hill Mortgage Loan Trust 2020-SH2|3.407|06/25/2055, 3.41%, 06/25/55 | SHMLT | 85214RAA1 | - | - | 12,800,000 | $12,838,594 | 2.87 |
| GNMA II 30yr Pool#MA5194 5.000% 20-May-2048, 5.00%, 05/20/48 | G2 | 36179TXX8 | - | - | 9,599,476 | $10,554,287 | 2.36 |
| FNMA 30yr Pool#BO9355 3.000% 01-Mar-2050, 3.00%, 03/01/50 | FN | 3140K5MD6 | - | - | 9,921,953 | $10,511,308 | 2.35 |
| FHLMC 30yr Pool#RA2630 3.000% 01-May-2050, 3.00%, 05/01/50 | FR | 3133KH4P8 | - | - | 9,889,680 | $10,486,244 | 2.34 |
| GNMA II 30yr Pool#MA5266 5.000% 20-Jun-2048, 5.00%, 06/20/48 | G2 | 36179TZ73 | - | - | 9,534,182 | $10,482,219 | 2.34 |
| GNMA II TBA 30yr 4.5% July Delivery, 4.50%, 07/21/20 | G2SF | 21H042679 | - | - | 9,249,200 | $9,879,903 | 2.21 |
| GNMA II TBA 30yr 4% July Delivery, 4.00%, 07/21/20 | G2SF | 21H040673 | - | - | 8,706,000 | $9,234,019 | 2.06 |
| Ginnie Mae REMIC Trust 2017-163 LO 0.0% 20-MAY-2041, 0.00%, 05/16/41 | GNR | 38380KNA9 | - | - | 9,650,060 | $8,904,700 | 1.99 |
| Starwood Mortgage Residential Trust 2020-2 A1 2.718% 25-APR-2060, 2.72%, 04/25/60 | STAR | 85573DAA7 | - | - | 7,762,021 | $7,906,988 | 1.77 |
| FNMA 30yr Pool#BK6523 4.500% 01-Jun-2048, 4.50%, 06/01/48 | FN | 3140HLG91 | - | - | 7,223,178 | $7,846,892 | 1.75 |
| Connecticut Avenue Securities Trust 2019-R03 2.3345% 25-SEP-2031, 2.33%, 09/25/31 | CAS | 20753MAF5 | - | - | 7,892,554 | $7,781,915 | 1.74 |
| FNMA 30yr Pool#AL6348 3.500% 01-Feb-2045, 3.50%, 02/01/45 | FN | 3138EPBS2 | - | - | 7,058,528 | $7,689,101 | 1.72 |
| FHLMC 30yr Pool#ZS4716 3.000% 01-Apr-2047, 3.00%, 04/01/47 | FR | 3132A5GZ2 | - | - | 7,017,171 | $7,608,551 | 1.70 |
| FNMA 30yr Pool#BP1500 3.000% 01-May-2050, 3.00%, 05/01/50 | FN | 3140K8U25 | - | - | 6,067,637 | $6,625,052 | 1.48 |
| FHLMC 30yr Pool#ZS4511 3.000% 01-Mar-2043, 3.00%, 03/01/43 | FR | 3132A5AL9 | - | - | 5,830,120 | $6,269,982 | 1.40 |
| FNMA 30yr Pool#AS6811 3.000% 01-Mar-2046, 3.00%, 03/01/46 | FN | 3138WGR97 | - | - | 5,501,182 | $5,904,992 | 1.32 |
| Fnma Connecticut Avenue Securities Series 2016-C04 4.4345% 25-JAN-2029, 4.43%, 01/25/29 | CAS | 30711XDA9 | - | - | 5,704,405 | $5,796,867 | 1.30 |
| COLT 2020-3 A2 2.021% 27-APR-2065, 2.02%, 04/27/65 | COLT | 12597QAB2 | - | - | 5,800,000 | $5,717,177 | 1.28 |
| UMBS TBA 15yr 3.5% July Delivery, 3.50%, 07/16/20 | FNCI | 01F032476 | - | - | 5,191,089 | $5,447,165 | 1.22 |
| GNMA II 30yr Pool#MA5021 4.500% 20-Feb-2048, 4.50%, 02/20/48 | G2 | 36179TSJ5 | - | - | 4,940,663 | $5,380,787 | 1.20 |
| FHLMC 30yr Pool#QA2039 3.000% 01-Aug-2049, 3.00%, 08/01/49 | FR | 31334YHQ3 | - | - | 4,819,099 | $5,283,300 | 1.18 |
| FNMA 30yr Pool#BJ9181 5.000% 01-May-2048, 5.00%, 05/01/48 | FN | 3140HBFX1 | - | - | 4,737,528 | $5,213,604 | 1.17 |
| FHLMC 30yr Pool#ZT0529 3.000% 01-Oct-2046, 3.00%, 10/01/46 | FR | 3132ACSS0 | - | - | 4,565,375 | $4,956,039 | 1.11 |
| Angel Oak Mortgage Trust, Series 2020-2 A1A 2.531% 25-JAN-2065, 2.53%, 01/26/65 | AOMT | 03464XAL4 | - | - | 4,854,036 | $4,894,525 | 1.09 |
| UMBS TBA 15yr 2% August Delivery, 2.00%, 08/17/20 | FNCI | 01F020489 | - | - | 4,636,000 | $4,787,922 | 1.07 |
| Freddie Mac Structured Agency Credit Risk Debt Notes|3.171|06/25/2050, 3.17%, 06/25/50 | STACR | 35565WAH5 | - | - | 4,748,000 | $4,757,240 | 1.06 |
| FNMA 30yr Pool#MA3211 4.000% 01-Dec-2047, 4.00%, 12/01/47 | FN | 31418CR97 | - | - | 4,199,589 | $4,626,958 | 1.03 |
| Connecticut Avenue Securities, Series 2016-C03 2M2 6.0845% 25-OCT-2028, 6.08%, 10/25/28 | CAS | 30711XCT9 | - | - | 4,346,850 | $4,523,326 | 1.01 |
| UMBS TBA 30yr 4.5% July Delivery, 4.50%, 07/14/20 | FNCL | 01F042673 | - | - | 4,203,000 | $4,516,754 | 1.01 |
| GNMA II 30yr Pool#MA5264 4.000% 20-Jun-2048, 4.00%, 06/20/48 | G2 | 36179TZ57 | - | - | 4,160,025 | $4,472,266 | 1.00 |
| FNMA 30yr Pool#BN4541 4.000% 01-Feb-2049, 4.00%, 02/01/49 | FN | 3140JMBK7 | - | - | 3,839,178 | $4,097,252 | 0.92 |
| Station Place Securitization Trust 2019-10 NOTES 1.08475% 24-OCT-2020, 1.08%, 10/24/20 | SPST | 85776WAA0 | - | - | 3,464,000 | $3,464,773 | 0.77 |
| COLT 2019-4 A1 2.579% 26-NOV-2049, 2.58%, 11/25/49 | COLT | 196860AA8 | - | - | 3,413,941 | $3,457,376 | 0.77 |
| FHLMC 30yr Pool#QA2117 3.500% 01-Aug-2049, 3.50%, 08/01/49 | FR | 31334YK63 | - | - | 3,226,093 | $3,413,018 | 0.76 |
| FHLMC 30yr Pool#QA0743 3.000% 01-Apr-2047, 3.00%, 04/01/47 | FR | 31334WZG9 | - | - | 3,134,876 | $3,399,292 | 0.76 |
| Mello Warehouse Securitization Trust 2019-2 C 1.3345% 25-NOV-2052, 1.33%, 11/25/52 | MWST | 585504AC7 | - | - | 3,378,378 | $3,353,383 | 0.75 |
| Mello Warehouse Securitization Trust 2018-1|1.4345|11/25/2051, 1.43%, 11/25/51 | MWST | 585492AC5 | - | - | 3,186,000 | $3,164,314 | 0.71 |
| FNMA 30yr Pool#MA1404 3.500% 01-Apr-2043, 3.50%, 04/01/43 | FN | 31418AR26 | - | - | 2,887,581 | $3,145,570 | 0.70 |
| FNMA 30yr Pool#FM1689 3.500% 01-Jul-2049, 3.50%, 07/01/49 | FN | 3140X42X3 | - | - | 2,970,409 | $3,142,397 | 0.70 |
| FNMA 20yr Pool#FM1036 3.000% 01-May-2043, 3.00%, 05/01/43 | FN | 3140X4EJ1 | - | - | 2,903,250 | $3,092,002 | 0.69 |
| PRPM 2019-1 A1 4.5% 25-JAN-2024, 4.50%, 01/25/24 | PRPM | 69359AAA7 | - | - | 3,057,129 | $3,073,429 | 0.69 |
| Connecticut Avenue Securities, Series 2015-C03 1M2 5.1845% 25-JUL-2025, 5.18%, 07/25/25 | CAS | 30711XBB9 | - | - | 2,997,254 | $3,065,103 | 0.69 |
| FNMA Connecticut Avenue Securities Series 2019-R02 2.4845% 25-AUG-2031, 2.48%, 08/25/31 | CAS | 20753KAB8 | - | - | 3,101,978 | $3,059,810 | 0.68 |
| FNMA 30yr Pool#BC4714 3.000% 01-Oct-2046, 3.00%, 10/01/46 | FN | 3140F0GY4 | - | - | 2,843,756 | $3,042,856 | 0.68 |
| JP Morgan Mortgage Trust|1.44013|11/25/2050, 1.44%, 11/25/50 | JPMMT | 46652FBC3 | - | - | 3,000,000 | $2,996,651 | 0.67 |
| FHLMC 30yr Pool#QA3225 3.000% 01-Oct-2049, 3.00%, 10/01/49 | FR | 31339SSN6 | - | - | 2,818,353 | $2,981,799 | 0.67 |
| Sequoia Mortgage Trust 2013-5 A1 2.5% 25-MAY-2043, 2.50%, 05/25/43 | SEMT | 81745AAA5 | - | - | 2,866,250 | $2,928,255 | 0.65 |
| FNMA 40yr Pool#BF0168 3.500% 01-Feb-2057, 3.50%, 02/01/57 | FN | 3140FXFJ6 | - | - | 2,492,952 | $2,925,071 | 0.65 |
| FHLMC 30yr Pool#QA2215 3.500% 01-Aug-2049, 3.50%, 08/01/49 | FR | 31334YN86 | - | - | 2,633,061 | $2,785,732 | 0.62 |
| PRPM 2019-4 A1 3.351% 25-NOV-2024, 3.35%, 11/25/24 | PRPM | 69359NAA9 | - | - | 2,800,992 | $2,785,275 | 0.62 |
| FNMA 40yr Pool#BF0167 3.000% 01-Feb-2057, 3.00%, 02/01/57 | FN | 3140FXFH0 | - | - | 2,572,504 | $2,784,974 | 0.62 |
| PRPM 2019-3 A1 3.351% 25-JUL-2024, 3.35%, 07/25/24 | PRPM | 69359MAA1 | - | - | 2,588,069 | $2,587,251 | 0.58 |
| FNMA Connecticut Avenue Securities Series 2018-C06 2.1845% 25-MAR-2031, 2.18%, 03/25/31 | CAS | 30711X3H5 | - | - | 2,619,364 | $2,550,229 | 0.57 |
| FHLMC 30yr Pool#ZT1926 3.000% 01-Nov-2043, 3.00%, 11/01/43 | FR | 3132AED78 | - | - | 2,166,643 | $2,327,491 | 0.52 |
| FHLMC 30yr Pool#Q42096 3.000% 01-Aug-2046, 3.00%, 08/01/46 | FG | 3132WFKJ7 | - | - | 2,082,116 | $2,211,170 | 0.49 |
| FNMA 30yr Pool#AB9341 3.000% 01-May-2043, 3.00%, 05/01/43 | FN | 31417GLX2 | - | - | 2,008,546 | $2,181,468 | 0.49 |
| Towd Point HE Trust 2019-HE1 A1 1.0845% 25-APR-2048, 1.08%, 04/25/48 | TPHT | 89178AAA4 | - | - | 2,147,923 | $2,118,322 | 0.47 |
| FNMA 30yr Pool#BM4620 3.000% 01-Oct-2044, 3.00%, 10/01/44 | FN | 3140J9D24 | - | - | 1,967,331 | $2,116,110 | 0.47 |
| JP Morgan Mortgage Trust 2019-INV1 A11 1.1345% 25-SEP-2049, 1.13%, 10/25/49 | JPMMT | 46591DBF5 | - | - | 2,070,643 | $2,071,117 | 0.46 |
| Mello Warehouse Securitization Trust 2018-1|1.0345|11/25/2051, 1.03%, 11/25/51 | MWST | 585492AA9 | - | - | 2,057,333 | $2,053,386 | 0.46 |
| FHLMC 15yr Pool#SB0116 2.500% 01-Nov-2034, 2.50%, 11/01/34 | FR | 3132CWDV3 | - | - | 1,883,525 | $2,009,026 | 0.45 |
| Radnor Re 2020-1 M1B 1.6345% 25-JAN-2030, 1.63%, 02/25/30 | RMIR | 750493AB4 | - | - | 2,250,000 | $1,997,848 | 0.45 |
| Freddie Mac Structured Agency Credit Risk Debt Notes|1.671|06/25/2050, 1.67%, 06/25/50 | STACR | 35565WAA0 | - | - | 2,000,000 | $1,929,635 | 0.43 |
| FHLMC 30yr Pool#QA8274 3.500% 01-Mar-2050, 3.50%, 03/01/50 | FR | 3133A3FP8 | - | - | 1,740,431 | $1,865,755 | 0.42 |
| JP Morgan Mortgage Trust 2015-4 AM 3.0% 25-JUN-2045, 3.00%, 06/25/45 | JPMMT | 46644VBP0 | - | - | 1,742,795 | $1,793,040 | 0.40 |
| Connecticut Avenue Securities, Series 2015-C04 1M2 5.8845% 25-APR-2028, 5.88%, 04/25/28 | CAS | 30711XBF0 | - | - | 1,650,416 | $1,722,306 | 0.39 |
| FNMA 30yr Pool#AB8407 3.500% 01-Feb-2043, 3.50%, 02/01/43 | FN | 31417FKV9 | - | - | 1,574,192 | $1,718,088 | 0.38 |
| JP Morgan Mortgage Trust 2020-LTV1 A11 1.1845% 25-JUN-2050, 1.17%, 06/25/50 | JPMMT | 46591NBC0 | - | - | 1,511,419 | $1,508,694 | 0.34 |
| FNMA 30yr Pool#BD0667 4.500% 01-Jun-2047, 4.50%, 06/01/47 | FN | 3140F7W54 | - | - | 1,335,642 | $1,451,251 | 0.32 |
| FNMA 30yr Pool#AS8649 3.000% 01-Jan-2047, 3.00%, 01/01/47 | FN | 3138WJTF5 | - | - | 1,307,531 | $1,388,308 | 0.31 |
| JP Morgan Mortgage Trust 2019-LTV2 A11 1.0845% 25-DEC-2049, 1.08%, 12/25/49 | JPMMT | 46651AAL6 | - | - | 1,387,290 | $1,384,817 | 0.31 |
| FHLMC 30yr Pool#ZT0337 3.500% 01-Dec-2044, 3.50%, 12/01/44 | FR | 3132ACLS7 | - | - | 1,252,800 | $1,364,750 | 0.31 |
| GNMA II 30yr Pool#MA5878 5.000% 20-Apr-2049, 5.00%, 04/20/49 | G2 | 36179UQ70 | - | - | 1,242,194 | $1,359,947 | 0.30 |
| GNMA II 30yr Pool#MA5192 4.000% 20-May-2048, 4.00%, 05/20/48 | G2 | 36179TXV2 | - | - | 1,249,907 | $1,343,733 | 0.30 |
| Sequoia Mortgage Trust 2019-CH3 A19 4.0% 25-OCT-2049, 4.00%, 09/25/49 | SEMT | 81748GBN0 | - | - | 1,225,907 | $1,268,343 | 0.28 |
| FHLMC 30yr Pool#QA6548 3.000% 01-Feb-2050, 3.00%, 02/01/50 | FR | 3133A1HZ8 | - | - | 1,178,447 | $1,250,181 | 0.28 |
| FHLMC 30yr Pool#QA2550 3.500% 01-Sep-2049, 3.50%, 09/01/49 | FR | 31334YZP5 | - | - | 1,146,539 | $1,218,697 | 0.27 |
| FNMA 30yr Pool#AL8438 3.000% 01-Jul-2045, 3.00%, 07/01/45 | FN | 3138ETLU8 | - | - | 1,114,355 | $1,196,686 | 0.27 |
| Eagle Re 2020-1 M1A 1.0845% 25-JAN-2030, 1.08%, 01/25/30 | EMIR | 26982LAA8 | - | - | 1,200,000 | $1,188,558 | 0.27 |
| FNMA 30yr Pool#BC0935 3.000% 01-Jun-2046, 3.00%, 06/01/46 | FN | 3140EVBD8 | - | - | 1,064,925 | $1,154,237 | 0.26 |
| GNMA II 30yr Pool#MA5866 4.000% 20-Apr-2049, 4.00%, 04/20/49 | G2 | 36179UQT2 | - | - | 1,064,652 | $1,134,557 | 0.25 |
| FHLMC 30yr Pool#ZN6461 4.000% 01-May-2049, 4.00%, 05/01/49 | FR | 3131YDFA7 | - | - | 1,047,639 | $1,122,763 | 0.25 |
| FNMA 40yr Pool#BF0262 3.000% 01-May-2058, 3.00%, 05/01/58 | FN | 3140FXJG8 | - | - | 1,013,408 | $1,095,123 | 0.24 |
| FNMA 30yr Pool#BH8171 4.500% 01-Aug-2047, 4.50%, 08/01/47 | FN | 3140GXCH2 | - | - | 1,002,977 | $1,089,778 | 0.24 |
| GNMA II 30yr Pool#MA5753 4.000% 20-Feb-2049, 4.00%, 02/20/49 | G2 | 36179UMA7 | - | - | 1,002,564 | $1,086,569 | 0.24 |
| FHLMC 15yr Pool#SB0040 2.500% 01-Dec-2033, 2.50%, 12/01/33 | FR | 3132CWBH6 | - | - | 1,009,147 | $1,069,864 | 0.24 |
| FNMA 30yr Pool#BE2733 4.500% 01-Jul-2047, 4.50%, 07/01/47 | FN | 3140FNBB9 | - | - | 977,235 | $1,061,807 | 0.24 |
| FHLMC 30yr Pool#QA5927 3.000% 01-Jan-2050, 3.00%, 01/01/50 | FR | 3133A0SQ8 | - | - | 980,139 | $1,039,783 | 0.23 |
| GNMA II 30yr Pool#BK5879 4.500% 20-Nov-2048, 4.50%, 11/20/48 | G2 | 3617J6Q80 | - | - | 954,454 | $1,036,376 | 0.23 |
| FHLMC 30yr Pool#QA6076 3.000% 01-Jan-2050, 3.00%, 01/01/50 | FR | 3133A0XD1 | - | - | 954,143 | $1,011,601 | 0.23 |
| FHLMC 30yr Pool#QA1615 3.500% 01-Aug-2049, 3.50%, 08/01/49 | FR | 31334XYL7 | - | - | 946,775 | $1,005,422 | 0.22 |
| FNMA 30yr Pool#BM5138 3.500% 01-Nov-2048, 3.50%, 11/01/48 | FN | 3140J9V81 | - | - | 891,779 | $986,034 | 0.22 |
| FHLMC 30yr Pool#Q58159 5.000% 01-Sep-2048, 5.00%, 09/01/48 | FG | 3132Y2B54 | - | - | 876,483 | $970,885 | 0.22 |
| Ginnie Mae REMIC Trust 2016-057 ST 5.86% 20-APR-2046, 5.86%, 04/20/46 | GNR | 38379WRN4 | - | - | 4,246,267 | $965,231 | 0.22 |
| FHLMC 30yr Pool#ZT0391 4.000% 01-Nov-2047, 4.00%, 11/01/47 | FR | 3132ACNG1 | - | - | 856,298 | $953,150 | 0.21 |
| FHLMC 30yr Pool#Q62234 4.500% 01-Dec-2048, 4.50%, 12/01/48 | FG | 3132VNPU1 | - | - | 856,233 | $941,963 | 0.21 |
| FHLMC 30yr Pool#QA4120 3.000% 01-Nov-2049, 3.00%, 11/01/49 | FR | 31339USH4 | - | - | 856,141 | $905,844 | 0.20 |
| UMBS TBA 15yr 4% July Delivery, 4.00%, 07/16/20 | FNCI | 01F040479 | - | - | 851,500 | $900,725 | 0.20 |
| FNMA 30yr Pool#CA4646 3.000% 01-Feb-2048, 3.00%, 02/01/48 | FN | 3140QCEU6 | - | - | 821,851 | $892,267 | 0.20 |
| FHLMC 30yr Pool#QA4841 3.000% 01-Nov-2049, 3.00%, 11/01/49 | FR | 31346YLW1 | - | - | 823,337 | $871,113 | 0.19 |
| FHLMC 30yr Pool#QA7442 3.000% 01-Mar-2050, 3.00%, 03/01/50 | FR | 3133A2HT0 | - | - | 800,383 | $848,465 | 0.19 |
| FNMA 30yr Pool#FM1743 3.000% 01-Jan-2047, 3.00%, 01/01/47 | FN | 3140X45D4 | - | - | 751,858 | $808,495 | 0.18 |
| JP Morgan Mortgage Trust 2019-7 A11 1.0845% 25-FEB-2050, 1.08%, 02/25/50 | JPMMT | 46651GAL3 | - | - | 795,020 | $793,435 | 0.18 |
| FNMA 30yr Pool#AR9225 3.000% 01-Mar-2043, 3.00%, 03/01/43 | FN | 3138W7HB3 | - | - | 731,421 | $785,517 | 0.18 |
| Chase Home Lending Mortgage Trust 2019-ATR2 A11 1.0845% 25-AUG-2049, 1.08%, 07/25/49 | CHASE | 16159GAL3 | - | - | 783,757 | $782,228 | 0.17 |
| UMBS TBA 30yr 5% July Delivery, 5.00%, 07/14/20 | FNCL | 01F050676 | - | - | 696,000 | $760,122 | 0.17 |
| FNMA 30yr Pool#MA1327 3.000% 01-Jan-2043, 3.00%, 01/01/43 | FN | 31418APM4 | - | - | 682,808 | $733,551 | 0.16 |
| FNMA 30yr Pool#BH6170 4.500% 01-Jul-2047, 4.50%, 07/01/47 | FN | 3140GU2C0 | - | - | 673,610 | $731,913 | 0.16 |
| FNMA 30yr Pool#BE3616 4.000% 01-May-2047, 4.00%, 05/01/47 | FN | 3140FPAS8 | - | - | 620,192 | $695,674 | 0.16 |
| FNMA 30yr Pool#BE2786 4.500% 01-Nov-2047, 4.50%, 11/01/47 | FN | 3140FNCY8 | - | - | 624,607 | $678,625 | 0.15 |
| FHLMC 30yr Pool#ZT1159 3.500% 01-Feb-2044, 3.50%, 02/01/44 | FR | 3132ADJC3 | - | - | 620,411 | $675,855 | 0.15 |
| Radnor Re 2020-1 M1A 1.1345% 25-JAN-2030, 1.13%, 02/25/30 | RMIR | 750493AA6 | - | - | 680,245 | $672,932 | 0.15 |
| JP Morgan Mortgage Trust 2019-5 A11 1.0845% 25-NOV-2049, 1.08%, 11/25/49 | JPMMT | 46591FAL8 | - | - | 668,228 | $668,382 | 0.15 |
| FNMA 30yr Pool#BE2717 4.500% 01-Jul-2047, 4.50%, 07/01/47 | FN | 3140FNAT1 | - | - | 608,648 | $661,321 | 0.15 |
| GNMA II 30yr Pool#BK6072 5.000% 20-Jan-2049, 5.00%, 01/20/49 | G2 | 3617J6W91 | - | - | 609,052 | $648,925 | 0.15 |
| FHLMC 30yr Pool#QA4094 3.000% 01-Oct-2049, 3.00%, 10/01/49 | FR | 31339URP7 | - | - | 605,665 | $642,142 | 0.14 |
| FNMA 30yr Pool#BK8767 4.000% 01-Sep-2049, 4.00%, 09/01/49 | FN | 3140HNW57 | - | - | 577,380 | $630,977 | 0.14 |
| FNMA 30yr Pool#AB6280 3.000% 01-Sep-2042, 3.00%, 09/01/42 | FN | 31417C6S9 | - | - | 568,147 | $610,375 | 0.14 |
| FNMA 20yr Pool#AR6433 3.000% 01-Aug-2043, 3.00%, 08/01/43 | FN | 3138W4EF4 | - | - | 563,126 | $605,444 | 0.14 |
| FNMA 30yr Pool#BE2774 4.000% 01-Oct-2047, 4.00%, 10/01/47 | FN | 3140FNCL6 | - | - | 559,683 | $601,390 | 0.13 |
| FNMA 30yr Pool#BE2784 4.000% 01-Nov-2047, 4.00%, 11/01/47 | FN | 3140FNCW2 | - | - | 556,202 | $597,625 | 0.13 |
| Fhlmc Stacr 2017-Dna3 0.9345% 25-MAR-2030, 0.93%, 03/25/30 | STACR | 3137G0QP7 | - | - | 585,481 | $583,190 | 0.13 |
| FNMA 30yr Pool#BE2775 4.500% 01-Sep-2047, 4.50%, 09/01/47 | FN | 3140FNCM4 | - | - | 534,191 | $580,388 | 0.13 |
| FHLMC 30yr Pool#T61610 3.000% 01-Jun-2043, 3.00%, 06/01/43 | FG | 3128S2YF2 | - | - | 535,054 | $566,187 | 0.13 |
| FHLMC 30yr Pool#QA4053 3.000% 01-Oct-2049, 3.00%, 10/01/49 | FR | 31339UQE3 | - | - | 529,460 | $561,351 | 0.13 |
| GNMA II 30yr Pool#BF6874 4.500% 20-Jul-2048, 4.50%, 07/20/48 | G2 | 3617GDT77 | - | - | 526,803 | $555,570 | 0.12 |
| GNMA II 30yr Pool#MA5756 5.500% 20-Feb-2049, 5.50%, 02/20/49 | G2 | 36179UMD1 | - | - | 497,330 | $550,608 | 0.12 |
| FNMA 30yr Pool#BM5836 3.000% 01-Sep-2046, 3.00%, 09/01/46 | FN | 3140JAPW2 | - | - | 482,666 | $518,509 | 0.12 |
| FNMA 30yr Pool#BM4963 3.000% 01-May-2048, 3.00%, 05/01/48 | FN | 3140J9QR5 | - | - | 449,196 | $479,093 | 0.11 |
| Sequoia Mortgage Trust 2019-3 A2 3.5% 25-SEP-2049, 3.50%, 09/25/49 | SEMT | 81748BAB8 | - | - | 439,750 | $451,000 | 0.10 |
| FNMA 30yr Pool#BJ1588 4.000% 01-Oct-2047, 4.00%, 10/01/47 | FN | 3140H2XS2 | - | - | 403,810 | $433,870 | 0.10 |
| Ginnie Mae REMIC Trust 2015-148 SL 5.49% 20-OCT-2045, 5.49%, 10/20/45 | GNR | 38379QJ55 | - | - | 2,279,808 | $431,650 | 0.10 |
| FNMA 30yr Pool#BO2983 3.000% 01-Sep-2049, 3.00%, 09/01/49 | FN | 3140JXJ58 | - | - | 400,162 | $427,816 | 0.10 |
| GNMA II 30yr Pool#MA5644 5.500% 20-Dec-2048, 5.50%, 12/20/48 | G2 | 36179UHV7 | - | - | 379,171 | $422,077 | 0.09 |
| FNMA 30yr Pool#MA1229 3.000% 01-Oct-2042, 3.00%, 10/01/42 | FN | 31418ALK2 | - | - | 383,670 | $412,246 | 0.09 |
| Freddie Mac Multiclass Certificates, Series 3843 FE 0.73475% 15-APR-2041, 0.73%, 04/15/41 | FHR | 3137A9HT6 | - | - | 400,481 | $409,097 | 0.09 |
| FNMA 30yr Pool#AL6535 3.500% 01-Feb-2045, 3.50%, 02/01/45 | FN | 3138EPHM9 | - | - | 373,218 | $406,534 | 0.09 |
| FNMA 30yr Pool#AL5439 3.500% 01-Nov-2043, 3.50%, 11/01/43 | FN | 3138ENBH1 | - | - | 372,041 | $406,078 | 0.09 |
| FNMA 30yr Pool#AB7563 3.000% 01-Jan-2043, 3.00%, 01/01/43 | FN | 31417EMM0 | - | - | 362,712 | $390,159 | 0.09 |
| FHLMC 30yr Pool#ZT1633 4.000% 01-Mar-2047, 4.00%, 03/01/47 | FR | 3132ADY69 | - | - | 345,817 | $378,684 | 0.08 |
| FNMA 20yr Pool#AB9283 3.000% 01-Apr-2038, 3.00%, 04/01/38 | FN | 31417GJ56 | - | - | 345,459 | $371,316 | 0.08 |
| FNMA 30yr Pool#MA3239 4.000% 01-Jan-2048, 4.00%, 01/01/48 | FN | 31418CS54 | - | - | 333,022 | $357,835 | 0.08 |
| FNMA 30yr Pool#BH8170 4.000% 01-Aug-2047, 4.00%, 08/01/47 | FN | 3140GXCG4 | - | - | 330,968 | $355,626 | 0.08 |
| FHLMC 30yr Pool#Q57728 4.500% 01-Aug-2048, 4.50%, 08/01/48 | FG | 3132Y1SS8 | - | - | 299,962 | $326,413 | 0.07 |
| FNMA 30yr Pool#MA1363 3.000% 01-Feb-2043, 3.00%, 02/01/43 | FN | 31418AQR2 | - | - | 288,431 | $309,849 | 0.07 |
| FNMA 30yr Pool#BM3282 3.500% 01-Dec-2047, 3.50%, 12/01/47 | FN | 3140J7UG8 | - | - | 266,307 | $297,223 | 0.07 |
| FNMA 40yr Pool#BF0217 3.000% 01-Sep-2057, 3.00%, 09/01/57 | FN | 3140FXG30 | - | - | 270,413 | $292,602 | 0.07 |
| FNMA 30yr Pool#CA0108 3.500% 01-Aug-2047, 3.50%, 08/01/47 | FN | 3140Q7DN4 | - | - | 260,848 | $291,124 | 0.07 |
| FNMA 30yr Pool#BH8168 4.000% 01-Aug-2047, 4.00%, 08/01/47 | FN | 3140GXCE9 | - | - | 256,631 | $275,744 | 0.06 |
| FHLMC 30yr Pool#QA4812 3.000% 01-Nov-2049, 3.00%, 11/01/49 | FR | 31346YKZ5 | - | - | 259,091 | $274,705 | 0.06 |
| Angel Oak Mortgage Trust I, Series 2017-1 M1 4.629% 25-JAN-2047, 4.63%, 01/25/47 | AOMT | 034620AD6 | - | - | 270,000 | $273,722 | 0.06 |
| New Residential Mortgage Loan Trust 2018-4 A1M 1.0845% 25-JAN-2048, 1.08%, 01/25/48 | NRZT | 64828FCS9 | - | - | 277,404 | $270,791 | 0.06 |
| FNMA 30yr Pool#MA1384 3.000% 01-Mar-2043, 3.00%, 03/01/43 | FN | 31418ARE0 | - | - | 250,120 | $268,628 | 0.06 |
| FNMA 30yr Pool#BJ3265 4.000% 01-Nov-2047, 4.00%, 11/01/47 | FN | 3140H4TX2 | - | - | 244,506 | $262,714 | 0.06 |
| Fannie Mae REMIC Trust 2013-130 FN 0.5345% 25-OCT-2042, 0.53%, 10/25/42 | FNR | 3136AHG53 | - | - | 258,584 | $258,114 | 0.06 |
| FNMA 30yr Pool#BO4113 3.000% 01-Aug-2049, 3.00%, 08/01/49 | FN | 3140JYSB3 | - | - | 235,121 | $253,456 | 0.06 |
| FNMA 30yr Pool#BH6165 4.000% 01-Jul-2047, 4.00%, 07/01/47 | FN | 3140GUZ75 | - | - | 234,689 | $252,170 | 0.06 |
| FNMA 30yr Pool#BE2732 4.000% 01-Jul-2047, 4.00%, 07/01/47 | FN | 3140FNBA1 | - | - | 229,720 | $246,829 | 0.06 |
| FNMA 30yr Pool#BJ8459 3.000% 01-Aug-2049, 3.00%, 08/01/49 | FN | 3140HAMH0 | - | - | 228,547 | $246,372 | 0.06 |
| FHLMC 30yr Pool#QA2159 3.000% 01-Aug-2049, 3.00%, 08/01/49 | FR | 31334YMG9 | - | - | 210,603 | $227,030 | 0.05 |
| FHLMC 15yr Pool#ZS7403 3.000% 01-May-2031, 3.00%, 05/01/31 | FR | 3132A8GL7 | - | - | 210,123 | $225,062 | 0.05 |
| FNMA 30yr Pool#MA1447 3.000% 01-May-2043, 3.00%, 05/01/43 | FN | 31418ATD0 | - | - | 206,384 | $221,649 | 0.05 |
| FHLMC 30yr Pool#QA1818 3.000% 01-Aug-2049, 3.00%, 08/01/49 | FR | 31334YAT4 | - | - | 205,440 | $219,356 | 0.05 |
| FHLMC 15yr Pool#ZK8962 3.000% 01-Sep-2032, 3.00%, 09/01/32 | FR | 3131XC5X1 | - | - | 202,455 | $216,770 | 0.05 |
| FNMA 30yr Pool#BH6168 4.000% 01-Jun-2047, 4.00%, 06/01/47 | FN | 3140GU2A4 | - | - | 201,347 | $216,344 | 0.05 |
| FNMA 30yr Pool#BJ1758 4.000% 01-Oct-2047, 4.00%, 10/01/47 | FN | 3140H25U8 | - | - | 195,498 | $212,507 | 0.05 |
| Connecticut Avenue Securities, Series 2016-C02 1M2 6.1845% 25-SEP-2028, 6.18%, 09/25/28 | CAS | 30711XCB8 | - | - | 203,389 | $211,355 | 0.05 |
| Fannie Mae REMIC Trust 2010-109 BS 53.10107% 25-OCT-2040, 50.93%, 10/25/40 | FNR | 31398NTM6 | - | - | 41,248 | $211,248 | 0.05 |
| FNMA 30yr Pool#BD2441 3.500% 01-Jan-2047, 3.50%, 01/01/47 | FN | 3140F9WB7 | - | - | 178,719 | $198,587 | 0.04 |
| FNMA 30yr Pool#BJ1735 4.000% 01-Oct-2047, 4.00%, 10/01/47 | FN | 3140H24V7 | - | - | 182,065 | $197,908 | 0.04 |
| FNMA 30yr Pool#BM4735 3.500% 01-Apr-2048, 3.50%, 04/01/48 | FN | 3140J9HM6 | - | - | 173,406 | $191,736 | 0.04 |
| FNMA 40yr Pool#BF0189 3.000% 01-Jun-2057, 3.00%, 06/01/57 | FN | 3140FXF72 | - | - | 150,233 | $162,641 | 0.04 |
| Deephaven Residential Mortgage Trust, Series 2017-3 A2 2.711% 25-OCT-2047, 2.71%, 10/25/47 | DRMT | 24381FAB1 | - | - | 161,184 | $160,620 | 0.04 |
| Mello Warehouse Securitization Trust 2018-1|1.2345|11/25/2051, 1.23%, 11/25/51 | MWST | 585492AB7 | - | - | 160,667 | $160,427 | 0.04 |
| FHLMC 30yr Pool#U90065 3.500% 01-Aug-2042, 3.50%, 08/01/42 | FG | 3132H3CA9 | - | - | 146,096 | $159,517 | 0.04 |
| FNMA 30yr Pool#BD2453 3.000% 01-Jan-2047, 3.00%, 01/01/47 | FN | 3140F9WP6 | - | - | 143,863 | $156,165 | 0.03 |
| FNMA 30yr Pool#BE0640 4.500% 01-Aug-2047, 4.50%, 08/01/47 | FN | 3140FKWA4 | - | - | 140,197 | $152,822 | 0.03 |
| Fannie Mae REMIC Trust 2006-20 GF 0.5345% 25-APR-2036, 0.53%, 04/25/36 | FNR | 31395BU43 | - | - | 150,806 | $150,444 | 0.03 |
| FNMA 15yr Pool#BO7717 3.000% 01-Nov-2034, 3.00%, 11/01/34 | FN | 3140K3SF0 | - | - | 137,796 | $148,457 | 0.03 |
| FNMA 15yr Pool#BO5957 3.000% 01-Dec-2034, 3.00%, 12/01/34 | FN | 3140K1TP1 | - | - | 136,378 | $148,397 | 0.03 |
| FNMA 30yr Pool#BC0870 3.500% 01-Jan-2046, 3.50%, 01/01/46 | FN | 3140EU6G9 | - | - | 136,206 | $146,439 | 0.03 |
| FNMA 30yr Pool#BH4380 4.000% 01-Jun-2047, 4.00%, 06/01/47 | FN | 3140GS2N1 | - | - | 133,459 | $143,397 | 0.03 |
| FNMA 30yr Pool#BJ1747 4.000% 01-Oct-2047, 4.00%, 10/01/47 | FN | 3140H25H7 | - | - | 129,302 | $140,553 | 0.03 |
| FHLMC 30yr Pool#U95029 3.500% 01-Aug-2042, 3.50%, 08/01/42 | FG | 3132H5A73 | - | - | 127,861 | $139,607 | 0.03 |
| Deephaven Residential Mortgage Trust, Series 2018-3 A1 3.789% 25-AUG-2058, 3.79%, 08/25/58 | DRMT | 24381KAA2 | - | - | 135,789 | $138,568 | 0.03 |
| FHLMC 30yr Pool#U95026 3.500% 01-Jul-2042, 3.50%, 07/01/42 | FG | 3132H5A40 | - | - | 119,453 | $130,431 | 0.03 |
| Deephaven Residential Mortgage Trust, Series 2018-3 A3 3.963% 25-AUG-2058, 3.96%, 08/25/58 | DRMT | 24381KAC8 | - | - | 128,030 | $128,556 | 0.03 |
| Freddie Mac Multiclass Certificates, Series 3721 FB 0.68475% 15-SEP-2040, 0.68%, 09/15/40 | FHR | 3137GAD20 | - | - | 121,708 | $122,132 | 0.03 |
| FNMA 30yr Pool#BH5672 4.000% 01-Jun-2047, 4.00%, 06/01/47 | FN | 3140GUJS7 | - | - | 112,937 | $122,077 | 0.03 |
| FNMA 30yr Pool#MA1479 4.000% 01-Jun-2043, 4.00%, 06/01/43 | FN | 31418AUD8 | - | - | 110,235 | $121,498 | 0.03 |
| FNMA 30yr Pool#BJ1608 4.500% 01-Oct-2047, 4.50%, 10/01/47 | FN | 3140H2YE2 | - | - | 108,715 | $118,120 | 0.03 |
| FHLMC 30yr Pool#V80025 3.000% 01-Apr-2043, 3.00%, 04/01/43 | FG | 3132L5A29 | - | - | 106,660 | $114,747 | 0.03 |
| Freddie Mac Multiclass Certificates, Series 3380 FM 0.77475% 15-OCT-2037, 0.77%, 10/15/37 | FHR | 31397KTJ0 | - | - | 113,080 | $114,090 | 0.03 |
| FHLMC 15yr Pool#ZK9163 3.000% 01-Jan-2033, 3.00%, 01/01/33 | FR | 3131XDFC4 | - | - | 104,542 | $111,914 | 0.03 |
| Deephaven Residential Mortgage Trust, Series 2018-1 A1 2.976% 25-DEC-2057, 2.98%, 12/25/57 | DRMT | 24380PAA2 | - | - | 108,758 | $110,073 | 0.02 |
| Ginnie Mae REMIC Trust 2008-013 FB 0.69% 20-FEB-2038, 0.69%, 02/20/38 | GNR | 38375PNL1 | - | - | 107,461 | $108,057 | 0.02 |
| FNMA 30yr Pool#FM0029 3.000% 01-Sep-2046, 3.00%, 09/01/46 | FN | 3140X3A73 | - | - | 92,296 | $99,254 | 0.02 |
| FNMA 30yr Pool#AS8547 3.000% 01-Nov-2046, 3.00%, 11/01/46 | FN | 3138WJP93 | - | - | 88,664 | $93,975 | 0.02 |
| Ginnie Mae REMIC Trust 2010-133 FD 0.62513% 20-OCT-2040, 0.63%, 10/16/40 | GNR | 38377MHV1 | - | - | 88,406 | $88,640 | 0.02 |
| Freddie Mac Multiclass Certificates, Series 3738 FD 0.48475% 15-AUG-2040, 0.48%, 08/15/40 | FHR | 3137GAYQ4 | - | - | 87,948 | $87,853 | 0.02 |
| FNMA 30yr Pool#BJ3260 4.500% 01-Oct-2047, 4.50%, 10/01/47 | FN | 3140H4TS3 | - | - | 78,129 | $84,891 | 0.02 |
| Ginnie Mae REMIC Trust 2007-040 FG 0.51% 20-JUL-2037, 0.51%, 07/20/37 | GNR | 38375KZS4 | - | - | 82,926 | $83,888 | 0.02 |
| Ginnie Mae REMIC Trust 2004-069 CF 0.59% 20-JUL-2034, 0.59%, 07/20/34 | GNR | 38374JAT3 | - | - | 80,550 | $80,668 | 0.02 |
| FNMA 30yr Pool#BH5673 4.000% 01-Jul-2047, 4.00%, 07/01/47 | FN | 3140GUJT5 | - | - | 74,534 | $80,083 | 0.02 |
| FHLMC 30yr Pool#ZN2165 4.500% 01-Dec-2048, 4.50%, 12/01/48 | FR | 3131Y8MN2 | - | - | 71,548 | $79,609 | 0.02 |
| Fannie Mae REMIC Trust 2013-2 QF 0.6845% 25-FEB-2043, 0.68%, 02/25/43 | FNR | 3136AB4P5 | - | - | 78,884 | $79,136 | 0.02 |
| Fannie Mae REMIC Trust 2012-94 KF 0.5345% 25-MAY-2038, 0.53%, 05/25/38 | FNR | 3136A8XS4 | - | - | 77,653 | $77,827 | 0.02 |
| FNMA 40yr Pool#BF0130 3.500% 01-Aug-2056, 3.50%, 08/01/56 | FN | 3140FXEC2 | - | - | 69,062 | $76,006 | 0.02 |
| FNMA 30yr Pool#BH3540 4.000% 01-Jun-2047, 4.00%, 06/01/47 | FN | 3140GR5A8 | - | - | 69,845 | $75,500 | 0.02 |
| FNMA 30yr Pool#BH4706 4.500% 01-May-2047, 4.50%, 05/01/47 | FN | 3140GTGQ7 | - | - | 64,552 | $72,337 | 0.02 |
| Fnma Connecticut Avenue Securities Series 2018-C05 2.5345% 25-JAN-2031, 2.53%, 01/25/31 | CAS | 30711XY24 | - | - | 68,732 | $67,051 | 0.01 |
| Ginnie Mae REMIC Trust 2007-059 FA 0.69% 20-OCT-2037, 0.69%, 10/20/37 | GNR | 38375LPU8 | - | - | 63,071 | $64,398 | 0.01 |
| Freddie Mac Multiclass Certificates, Series 2426 FL 0.83475% 15-MAR-2032, 0.83%, 03/15/32 | FHR | 31339W7G5 | - | - | 63,679 | $64,283 | 0.01 |
| FHLMC 30yr Pool#ZL6308 3.500% 01-Jun-2043, 3.50%, 06/01/43 | FR | 3131XNAH6 | - | - | 57,616 | $62,763 | 0.01 |
| Deephaven Residential Mortgage Trust, Series 2018-2 A3 3.684% 25-APR-2058, 3.68%, 04/25/58 | DRMT | 24381HAC5 | - | - | 62,017 | $62,011 | 0.01 |
| Fannie Mae REMIC Trust 2003-87 FG 0.6845% 25-SEP-2033, 0.68%, 09/25/33 | FNR | 31393E4W6 | - | - | 55,226 | $55,439 | 0.01 |
| Ginnie Mae REMIC Trust 2004-059 FP 0.49513% 20-AUG-2034, 0.50%, 08/16/34 | GNR | 38374HYS3 | - | - | 54,924 | $54,847 | 0.01 |
| Ginnie Mae REMIC Trust 2007-037 FW 0.5% 20-JUN-2037, 0.50%, 06/20/37 | GNR | 38375KNR9 | - | - | 53,775 | $54,814 | 0.01 |
| Fannie Mae REMIC Trust 2002-53 FK 0.5845% 25-APR-2032, 0.58%, 04/25/32 | FNR | 31392EHN3 | - | - | 53,317 | $53,351 | 0.01 |
| Ginnie Mae REMIC Trust 2009-033 FN 0.89% 20-MAY-2039, 0.89%, 05/20/39 | GNR | 38374UJK8 | - | - | 49,209 | $53,333 | 0.01 |
| Ginnie Mae REMIC Trust 2008-016 FC 0.69% 20-FEB-2038, 0.69%, 02/20/38 | GNR | 383742FU2 | - | - | 53,001 | $53,286 | 0.01 |
| Freddie Mac Multiclass Certificates, Series 2469 FE 0.68475% 15-JUL-2032, 0.68%, 07/15/32 | FHR | 31392RC58 | - | - | 51,944 | $52,144 | 0.01 |
| Ginnie Mae REMIC Trust 2005-065 FA 0.34% 20-AUG-2035, 0.34%, 08/20/35 | GNR | 38374LL25 | - | - | 52,250 | $51,849 | 0.01 |
| Federal National Mortgage Association 1.1345% 25-OCT-2029, 1.13%, 10/25/29 | CAS | 30711XJS4 | - | - | 51,346 | $51,335 | 0.01 |
| FNMA 30yr Pool#BJ0241 4.000% 01-Sep-2047, 4.00%, 09/01/47 | FN | 3140H1HT0 | - | - | 47,091 | $51,188 | 0.01 |
| Verus Securitization Trust 2018-INV1 A2 3.849% 25-MAR-2058, 3.85%, 03/25/58 | VERUS | 92536MAB7 | - | - | 49,409 | $49,934 | 0.01 |
| FNMA 30yr Pool#MA2894 3.000% 01-Jan-2047, 3.00%, 01/01/47 | FN | 31418CGC2 | - | - | 45,570 | $48,299 | 0.01 |
| Fannie Mae REMIC Trust 2007-89 GF 0.7045% 25-SEP-2037, 0.70%, 09/25/37 | FNR | 31396XPM0 | - | - | 47,926 | $48,116 | 0.01 |
| Ginnie Mae REMIC Trust 2005-048 AF 0.39% 20-JUN-2035, 0.39%, 06/20/35 | GNR | 38374LHM6 | - | - | 48,191 | $47,882 | 0.01 |
| Angel Oak Mortgage Trust I, Series 2018-3 A1 3.649% 25-SEP-2048, 3.65%, 09/25/48 | AOMT | 03464NAA0 | - | - | 45,450 | $46,400 | 0.01 |
| Fannie Mae REMIC Trust 2005-83 KT 0.4845% 25-OCT-2035, 0.48%, 10/25/35 | FNR | 31394FUL7 | - | - | 45,783 | $45,944 | 0.01 |
| Ginnie Mae REMIC Trust 1999-27 FE 0.59513% 20-AUG-2029, 0.60%, 08/16/29 | GNR | 3837H2WA3 | - | - | 45,495 | $45,621 | 0.01 |
| FHLMC 30yr Pool#ZT0252 3.000% 01-Dec-2047, 3.00%, 12/01/47 | FR | 3132ACH52 | - | - | 41,870 | $45,450 | 0.01 |
| Freddie Mac Multiclass Certificates, Series 2410, excluding Group 6 FX 0.53475% 15-FEB-2032, 0.53%, 02/15/32 | FHR | 31339NJN7 | - | - | 44,696 | $44,675 | 0.01 |
| Ginnie Mae REMIC Trust 2012-075 FP 0.49% 20-JUL-2041, 0.49%, 07/20/41 | GNR | 38378EZ55 | - | - | 44,652 | $44,602 | 0.01 |
| FNMA 30yr Pool#BA4752 3.000% 01-Jan-2046, 3.00%, 01/01/46 | FN | 3140E9H66 | - | - | 41,126 | $43,767 | 0.01 |
| Freddie Mac Multiclass Certificates, Series 2551 FD 0.58475% 15-JAN-2033, 0.58%, 01/15/33 | FHR | 31393JAZ1 | - | - | 41,975 | $41,996 | 0.01 |
| Fannie Mae REMIC Trust 2002-16 VF 0.7345% 25-APR-2032, 0.73%, 04/25/32 | FNR | 31392CWW0 | - | - | 40,338 | $40,551 | 0.01 |
| FNMA 30yr Pool#BJ2394 3.500% 01-Nov-2047, 3.50%, 11/01/47 | FN | 3140H3UU8 | - | - | 35,732 | $39,507 | 0.01 |
| Freddie Mac Multiclass Certificates, Series 3028 FM 0.43475% 15-SEP-2035, 0.43%, 09/15/35 | FHR | 31396AFB5 | - | - | 38,517 | $38,611 | 0.01 |
| FNMA 30yr Pool#BE0637 4.000% 01-Jul-2047, 4.00%, 07/01/47 | FN | 3140FKV72 | - | - | 33,665 | $36,172 | 0.01 |
| FNMA 15yr Pool#AS7643 2.500% 01-Aug-2031, 2.50%, 08/01/31 | FN | 3138WHP55 | - | - | 33,346 | $35,358 | 0.01 |
| FNMA 15yr Pool#AS8207 2.500% 01-Oct-2031, 2.50%, 10/01/31 | FN | 3138WJDM7 | - | - | 32,238 | $34,304 | 0.01 |
| FHLMC 30yr Pool#ZM2269 3.000% 01-Dec-2046, 3.00%, 12/01/46 | FR | 3131XVQW8 | - | - | 30,970 | $33,365 | 0.01 |
| Fannie Mae REMIC Trust 2010-95 FB 0.5845% 25-SEP-2040, 0.58%, 09/25/40 | FNR | 31398NEX8 | - | - | 32,775 | $32,996 | 0.01 |
| Fannie Mae REMIC Trust 2010-123 FL 0.6145% 25-NOV-2040, 0.61%, 11/25/40 | FNR | 31398N2W3 | - | - | 32,463 | $32,486 | 0.01 |
| FNMA 15yr Pool#BM1036 2.500% 01-Feb-2032, 2.50%, 02/01/32 | FN | 3140J5EJ4 | - | - | 29,870 | $31,834 | 0.01 |
| FHLMC 15yr Pool#ZK8405 2.500% 01-Dec-2031, 2.50%, 01/22/31 | FR | 3131XCKS5 | - | - | 26,195 | $27,866 | 0.01 |
| Ginnie Mae REMIC Trust 2007-061 FA 0.69% 20-OCT-2037, 0.69%, 10/20/37 | GNR | 38375LLN8 | - | - | 26,582 | $26,749 | 0.01 |
| Fannie Mae REMIC Trust 2012-100 FG 0.5845% 25-SEP-2042, 0.58%, 09/25/42 | FNR | 3136A8QW3 | - | - | 24,116 | $24,094 | 0.01 |
| FNMA 30yr Pool#AB8517 3.000% 01-Feb-2043, 3.00%, 02/01/43 | FN | 31417FPB8 | - | - | 21,226 | $22,797 | 0.01 |
| Structured Agency Credit Risk (STACR) Debt Notes, Series 2015-DNA1 M2 2.0345% 25-OCT-2027, 2.03%, 10/25/27 | STACR | 3137G0ET2 | - | - | 22,294 | $22,357 | 0.00 |
| Sequoia Mortgage Trust 2018-8 AIO1 0.288306% 25-NOV-2048, 0.29%, 11/25/48 | SEMT | 81748HBA6 | - | - | 5,407,481 | $22,271 | 0.00 |
| Angel Oak Mortgage Trust I, Series 2017-3 A1 2.708% 25-NOV-2047, 2.71%, 11/25/47 | AOMT | 03463LAA5 | - | - | 22,076 | $22,196 | 0.00 |
| Ginnie Mae REMIC Trust 2007-018 FD 0.49% 20-APR-2037, 0.49%, 04/20/37 | GNR | 38375JC86 | - | - | 19,642 | $19,963 | 0.00 |
| Ginnie Mae REMIC Trust 2010-006 FG 0.79513% 16-JAN-2040, 0.80%, 01/16/40 | GNR | 38376TSC7 | - | - | 18,125 | $18,320 | 0.00 |
| Angel Oak Mortgage Trust I, Series 2017-1 A1 2.81% 25-JAN-2047, 2.81%, 01/25/47 | AOMT | 034620AA2 | - | - | 15,271 | $15,334 | 0.00 |
| FNMA 30yr Pool#AL7381 4.500% 01-Jun-2045, 4.50%, 06/01/45 | FN | 3138EQFX5 | - | - | 11,703 | $13,152 | 0.00 |
| Ginnie Mae REMIC Trust 2010-125 VF 0.54% 20-JUN-2040, 0.54%, 06/20/40 | GNR | 38377JYJ6 | - | - | 10,324 | $10,349 | 0.00 |
| Freddie Mac Multiclass Certificates, Series 3884 DL 3.0% 15-FEB-2025, 3.00%, 02/15/25 | FHR | 3137ABVV0 | - | - | 5,894 | $5,918 | 0.00 |
| FHLMC 30yr Pool#ZN0627 3.000% 01-Feb-2043, 3.00%, 02/01/43 | FR | 3131Y6VU0 | - | - | 2,022 | $2,173 | 0.00 |
| FHLMC 30yr Pool#ZN0650 3.000% 01-Mar-2043, 3.00%, 03/01/43 | FR | 3131Y6WK1 | - | - | 1,398 | $1,502 | 0.00 |
| FNMA 30yr Pool#BC2488 3.000% 01-Mar-2046, 3.00%, 03/01/46 | FN | 3140EWXS9 | - | - | - | $863 | 0.00 |
| FHLMC 30yr Pool#ZL5324 3.500% 01-Mar-2043, 3.50%, 03/01/43 | FR | 3131XL4H7 | - | - | 465.00 | $507 | 0.00 |
| FNMA 30yr Pool#BC2468 3.000% 01-Mar-2046, 3.00%, 03/01/46 | FN | 3140EWW68 | - | - | - | $492 | 0.00 |
| FNMA 30yr Pool#BA2885 3.000% 01-Oct-2045, 3.00%, 10/01/45 | FN | 3140E7F39 | - | - | - | $19 | 0.00 |
| FNMA 30yr Pool#AZ9203 3.000% 01-Oct-2045, 3.00%, 10/01/45 | FN | 3140E2GM7 | - | - | - | $11 | 0.00 |
| CBOT 5 Year US Treasury Note SEP 20 | FVU0 | - | FUTURES_USD | - | -235.00 | $0 | 0.00 |
| Ultra 10-Year US Treasury Note Futures SEP 20 | UXYU0 | - | FUTURES_USD | - | -60.00 | $0 | 0.00 |
| UMBS TBA 30yr 2.5% July Delivery, 2.50%, 07/14/20 | FNCL | 01F022675 | - | - | -14,906,000 | $-15,525,195 | -3.47 |
| UMBS TBA 30yr 3% July Delivery, 3.00%, 07/14/20 | FNCL | 01F030678 | - | - | -42,373,000 | $-44,605,210 | -9.97 |
| ALMSUM | ALMSUM | - | - | $0.00 | 59,898,912 | $59,898,912 | 13.39 |
| SEGREGATED CASH | SEGCASH | - | - | $0.00 | 590,000 | $590,000 | 0.13 |
| US DOLLARS, 0.00%, 04/16/20 | USD | - | - | - | -262,040,670 | $-262,040,670 | -58.59 |
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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 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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