For Individual Investors in the US

Mortgage-Backed Securities ETF Holdings

Full Portfolio Holdings

(As of January 14, 2022)

Ticker Cusip Underlying Security Strike Price Quantity (Shares/ Par/ Units/ Contracts) Notional Value Market Value Weight %
UMBS TBA 30yr 3.5% February Delivery, 3.50%, 02/14/22 FNCL 01F032625 - - 235,413,001 $246,347,935 $246,347,935 25.58
GNMA II TBA 30yr 3.5% January Delivery, 3.50%, 01/20/22 G2SF 21H032613 - - 115,991,584 $120,155,682 $120,155,682 12.48
UMBS TBA 15yr 2% February Delivery, 2.00%, 02/17/22 FNCI 01F020422 - - 72,087,211 $72,487,295 $72,487,295 7.53
UMBS TBA 30yr 2.5% February Delivery, 2.50%, 02/14/22 FNCL 01F022626 - - 65,748,237 $65,648,694 $65,648,694 6.82
UMBS TBA 30yr 2% February Delivery, 2.00%, 02/14/22 FNCL 01F020620 - - 58,197,443 $56,684,833 $56,684,833 5.89
GNMA II TBA 30yr 3% February Delivery, 3.00%, 02/22/22 G2SF 21H030625 - - 42,919,945 $43,845,299 $43,845,299 4.56
FNMA 30yr Pool#FM2847 3.000% 01-Apr-2048, 3.00%, 04/01/48 FN 3140X6EV9 - - 31,288,620 $33,340,190 $33,340,190 3.46
UMBS TBA 30yr 3% February Delivery, 3.00%, 02/14/22 FNCL 01F030629 - - 28,012,656 $28,647,703 $28,647,703 2.97
GNMA II TBA 30yr 2.5% February Delivery, 2.50%, 02/22/22 G2SF 21H022622 - - 21,077,414 $21,172,684 $21,172,684 2.20
UMBS TBA 15yr 2.5% February Delivery, 2.50%, 02/17/22 FNCI 01F022428 - - 18,544,758 $18,955,895 $18,955,895 1.97
GNMA II TBA 30yr 4% February Delivery, 4.00%, 02/22/22 G2SF 21H040624 - - 18,017,249 $18,867,843 $18,867,843 1.96
UMBS TBA 15yr 3% February Delivery, 3.00%, 02/17/22 FNCI 01F030421 - - 15,195,555 $15,771,163 $15,771,163 1.64
GNMA II TBA 30yr 2% February Delivery, 2.00%, 02/22/22 G2SF 21H020626 - - 15,229,494 $15,012,260 $15,012,260 1.56
FNMA 30yr Pool#FM3857 3.500% 01-Jul-2048, 3.50%, 07/01/48 FN 3140X7JB6 - - 12,765,688 $14,137,384 $14,137,384 1.47
UMBS TBA 15yr 1.5% February Delivery, 1.50%, 02/17/22 FNCI 01F012429 - - 13,314,784 $13,113,984 $13,113,984 1.36
PRPM 2021-10 A1 2.487% 25-OCT-2026, 2.49%, 10/25/26 PRPM 69360HAA9 - - 13,082,615 $13,016,301 $13,016,301 1.35
FNMA 30yr Pool#FM5561 2.500% 01-Jan-2051, 2.50%, 01/01/51 FN 3140X9FB6 - - 11,421,692 $11,748,005 $11,748,005 1.22
Flagstar Mortgage Trust 2021-13INV A17 3.0% 25-DEC-2051, 3.00%, 12/30/51 FSMT 33853HAS0 - - 11,512,727 $11,541,119 $11,541,119 1.20
Bayview MSR Opportunity Master Fund Trust 2021-INV4 A11 0.89967% 25-OCT-2051, 0.90%, 10/25/51 BVINV 07336GAK0 - - 10,288,053 $10,272,490 $10,272,490 1.07
Mello Mortgage Capital Acceptance 2021-INV3 A11 0.99967% 25-OCT-2051, 1.00%, 10/25/51 MELLO 585491BC6 - - 9,141,628 $9,165,870 $9,165,870 0.95
Connecticut Avenue Securities, Series 2015-C02 1M2 4.10188% 25-MAY-2025, 4.10%, 05/25/25 CAS 30711XAX2 - - 8,432,300 $8,636,117 $8,636,117 0.90
Provident Funding Warehouse Securitization Trust 2021-1 E 2.092% 25-FEB-2055, 2.10%, 02/25/55 PFWST 74387PAE2 - - 7,500,000 $7,443,264 $7,443,264 0.77
UWM Mortgage Trust 2021-INV2 (United Wholesale Mortgage) A9 1.04967% 25-SEP-2051, 1.05%, 09/25/51 UWM 90354TAJ8 - - 7,313,672 $7,347,944 $7,347,944 0.76
FHLMC 30yr Pool#QA4865 3.000% 01-Nov-2049, 3.00%, 11/01/49 FR 31346YMN0 - - 6,907,921 $7,120,409 $7,120,409 0.74
FHLMC 30yr Pool#QA5698 3.000% 01-Dec-2049, 3.00%, 12/01/49 FR 3133A0KK9 - - 6,550,237 $7,009,218 $7,009,218 0.73
Fnma Connecticut Avenue Securities Series 2017-C05 2.30188% 25-JAN-2030, 2.30%, 01/25/30 CAS 30711XNX8 - - 6,758,534 $6,881,226 $6,881,226 0.71
PRPM 2021-9 A1 2.363% 25-OCT-2026, 2.36%, 10/25/26 PRPM 69360XAA4 - - 6,588,543 $6,535,220 $6,535,220 0.68
UMBS TBA 15yr 3.5% February Delivery, 3.50%, 02/17/22 FNCI 01F032427 - - 6,061,089 $6,347,960 $6,347,960 0.66
NRZ MSR-Collateralized Notes, Series 2021-FHT1 A 3.104% 25-JUL-2026, 3.10%, 07/25/26 NZES 62955MAB2 - - 5,993,157 $5,892,663 $5,892,663 0.61
Fnma Connecticut Avenue Securities Series 2017-C07 2.60188% 25-MAY-2030, 2.60%, 05/25/30 CAS 30711XWX8 - - 5,686,760 $5,770,394 $5,770,394 0.60
FHLMC 30yr Pool#QA4120 3.000% 01-Nov-2049, 3.00%, 11/01/49 FR 31339USH4 - - 5,141,041 $5,342,182 $5,342,182 0.55
FHLMC 30yr Pool#QA3225 3.000% 01-Oct-2049, 3.00%, 10/01/49 FR 31339SSN6 - - 5,038,880 $5,193,515 $5,193,515 0.54
FREED ABS Trust 2020-3FP C 6.96% 18-SEP-2027, 6.96%, 09/20/27 FREED 35634LAC7 - - 4,989,000 $5,186,700 $5,186,700 0.54
Fannie Mae REMIC Trust 2020-98 AI 3.5% 25-JAN-2061, 3.50%, 01/25/61 FNR 3136BDLE6 - - 28,686,669 $5,013,172 $5,013,172 0.52
PRET 2021-RN4 A1 2.4871% 25-OCT-2051, 2.49%, 10/25/51 PRET 69359QAA2 - - 4,900,746 $4,906,502 $4,906,502 0.51
FHLMC 30yr Pool#QA4052 3.000% 01-Oct-2049, 3.00%, 10/01/49 FR 31339UQD5 - - 4,701,485 $4,849,731 $4,849,731 0.50
Freddie Mac Structured Agency Credit Risk Debt Notes|6.04967|08/25/2033, 6.05%, 08/25/33 STACR 35564KDY2 - - 4,410,000 $4,836,759 $4,836,759 0.50
Ginnie Mae REMIC Trust 2017-163 LO 0.0% 20-MAY-2041, 0.00%, 05/16/41 GNR 38380KNA9 - - 5,421,205 $4,815,366 $4,815,366 0.50
UMBS TBA 30yr 4.5% February Delivery, 4.50%, 02/14/22 FNCL 01F042624 - - 4,203,000 $4,489,771 $4,489,771 0.47
Flagstar Mortgage Trust 2021-13INV A2 3.0% 25-DEC-2051, 3.00%, 12/30/51 FSMT 33853HAB7 - - 4,240,218 $4,290,427 $4,290,427 0.45
MRA Issuance Trust 2021-NA1 A1X 1.625% 08-MAR-2022, 1.60%, 03/08/22 MRAIT 55350M101 - - 4,255,000 $4,264,915 $4,264,915 0.44
FNMA 30yr Pool#FM8797 3.000% 01-Sep-2051, 3.00%, 09/01/51 FN 3140XCX37 - - 4,008,462 $4,159,788 $4,159,788 0.43
Connecticut Avenue Securities, Series 2021-R02 2B1 3.34967% 25-NOV-2041, 3.35%, 11/25/41 CAS 20754KAF8 - - 4,000,000 $4,037,383 $4,037,383 0.42
MSG III Securitization Trust 2021-1 D 1.40188% 25-JUN-2054, 1.39%, 06/25/54 NMSG3 55368MAD3 - - 4,000,000 $4,005,740 $4,005,740 0.42
FHLMC 30yr Pool#QA4841 3.000% 01-Nov-2049, 3.00%, 11/01/49 FR 31346YLW1 - - 3,735,712 $3,849,966 $3,849,966 0.40
Connecticut Avenue Securities Trust 2019-R03 2.25188% 25-SEP-2031, 2.25%, 09/25/31 CAS 20753MAF5 - - 3,723,266 $3,740,273 $3,740,273 0.39
UWM Mortgage Trust 2021-INV4 (United Wholesale Mortgage) A15 2.5% 25-DEC-2051, 2.50%, 12/25/51 UWM 918307AY5 - - 3,849,400 $3,729,073 $3,729,073 0.39
Connecticut Avenue Securities Trust 2020-R02 2.10188% 25-JAN-2040, 2.10%, 01/25/40 CAS 20754WAB1 - - 3,662,195 $3,688,430 $3,688,430 0.38
FNMA 30yr Pool#BP1500 3.000% 01-May-2050, 3.00%, 05/01/50 FN 3140K8U25 - - 3,360,724 $3,670,168 $3,670,168 0.38
GoodLeap Sustainable Home Solutions Trust, Series 2021-3 A 2.1% 20-MAY-2048, 2.10%, 05/20/48 GOOD 382371AA0 - - 3,684,398 $3,560,298 $3,560,298 0.37
Mello Warehouse Securitization Trust 2021-1 F 2.85188% 25-FEB-2055, 2.85%, 02/25/55 MWST 58550LAF2 - - 3,489,000 $3,494,801 $3,494,801 0.36
Structured Agency Credit Risk (STACR) Debt Notes, Series 2021-HQA1 M2 2.29967% 25-AUG-2033, 2.30%, 08/25/33 STACR 35564KBS7 - - 3,430,000 $3,462,949 $3,462,949 0.36
FHLMC 30yr Pool#ZS4511 3.000% 01-Mar-2043, 3.00%, 03/01/43 FR 3132A5AL9 - - 3,143,754 $3,357,004 $3,357,004 0.35
Connecticut Avenue Securities Trust 2022-R01|3.19967|12/25/2041, 3.20%, 12/25/41 CAS 20754LAF6 - - 3,314,000 $3,332,541 $3,332,541 0.35
FNMA Connecticut Avenue Securities Series 2018-C06 2.10188% 25-MAR-2031, 2.10%, 03/25/31 CAS 30711X3H5 - - 3,278,676 $3,317,534 $3,317,534 0.34
FHLMC 30yr Pool#QA2039 3.000% 01-Aug-2049, 3.00%, 08/01/49 FR 31334YHQ3 - - 3,011,125 $3,315,808 $3,315,808 0.34
CHASE Mortgage Reference Notes Series 2021-Cl1 1.59967% 25-FEB-2050, 1.60%, 02/25/50 CHASE 46591HBZ2 - - 3,074,813 $3,085,424 $3,085,424 0.32
FHLMC 30yr Pool#ZT0529 3.000% 01-Oct-2046, 3.00%, 10/01/46 FR 3132ACSS0 - - 2,886,853 $3,079,269 $3,079,269 0.32
Extended Stay America Trust 2021-ESH D 2.36% 15-JUL-2038, 2.36%, 07/15/38 ESA 30227FAJ9 - - 2,984,474 $2,994,460 $2,994,460 0.31
Mello Mortgage Capital Acceptance 2021-INV2 A11 0.99967% 25-AUG-2051, 1.00%, 08/25/51 MELLO 58549XBC6 - - 2,886,673 $2,894,241 $2,894,241 0.30
COLT 2021-3R Mortgage Loan Trust M1 2.355% 26-DEC-2064, 2.35%, 12/25/64 COLT 19688DAG5 - - 2,862,000 $2,853,456 $2,853,456 0.30
Point Securitization Trust 2021-1 A1 3.2282% 25-FEB-2052, 3.23%, 02/25/52 PNT 73090AAA3 - - 2,836,087 $2,841,680 $2,841,680 0.29
Structured Agency Credit Risk (STACR) Debt Notes, Series 2021-DNA3 B2 6.29967% 25-OCT-2033, 6.30%, 10/25/33 STACR 35564KFH7 - - 2,500,000 $2,784,694 $2,784,694 0.29
FNMA 30yr Pool#BJ9181 5.000% 01-May-2048, 5.00%, 05/01/48 FN 3140HBFX1 - - 2,343,818 $2,625,710 $2,625,710 0.27
CHASE Mortgage Reference Notes Series 2021-Cl1 1.39967% 25-FEB-2050, 1.40%, 02/25/50 CHASE 46591HBY5 - - 2,593,121 $2,604,465 $2,604,465 0.27
Multifamily Structured Credit Risk (Multifamily SCR) Notes, Series 2021-MN1 M1 2.04967% 25-JAN-2051, 2.05%, 01/25/51 MSCR 35563FAA9 - - 2,472,322 $2,454,618 $2,454,618 0.25
CoreLogic, Inc. 4.5% 01-MAY-2028, 4.50%, 05/01/28 CLGX 21871DAD5 - - 2,500,000 $2,448,750 $2,448,750 0.25
FNMA 30yr Pool#AS6811 3.000% 01-Mar-2046, 3.00%, 03/01/46 FN 3138WGR97 - - 2,251,057 $2,415,335 $2,415,335 0.25
CONNECTICUT AVENUE SECURITIES SERIES 2021-R02 2.04967% 25-NOV-2041, 2.05%, 11/25/41 CAS 20754KAB7 - - 2,386,000 $2,391,406 $2,391,406 0.25
PRPM 2021-RPL2 A3 2.485% 25-OCT-2051, 2.48%, 10/25/51 PRPM 69357QAC0 - - 2,350,000 $2,325,423 $2,325,423 0.24
NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1 A 3.844% 25-DEC-2025, 3.84%, 12/25/25 NZES 433674AA6 - - 2,268,016 $2,279,285 $2,279,285 0.24
FHLMC STACR REMIC TRUST 2021-HQA2 2.09967% 25-DEC-2033, 2.10%, 12/25/33 STACR 35564KFV6 - - 2,235,000 $2,241,803 $2,241,803 0.23
FNMA 30yr Pool#BT3025 2.500% 01-Oct-2051, 2.50%, 10/01/51 FN 3140LRLF3 - - 2,128,558 $2,177,589 $2,177,589 0.23
FNMA 40yr Pool#BF0167 3.000% 01-Feb-2057, 3.00%, 02/01/57 FN 3140FXFH0 - - 1,991,882 $2,139,127 $2,139,127 0.22
Station Place Securitization Trust 2021-WL1 E 2.10188% 22-JAN-2054, 2.10%, 01/26/54 SPST 857740AE4 - - 2,083,333 $2,086,045 $2,086,045 0.22
Sunnova Helios VI Solar Loan Backed Notes, Series 2021-B B 2.01% 20-JUL-2048, 2.01%, 07/20/48 SNVA 86744TAB2 - - 2,130,881 $2,064,083 $2,064,083 0.21
Connecticut Avenue Securities Trust 2019-R03 4.20188% 25-SEP-2031, 4.20%, 09/25/31 CAS 20753MAE8 - - 2,000,000 $2,059,089 $2,059,089 0.21
CIM Trust 2021-NR1 A1 2.569% 25-JUL-2055, 2.57%, 07/25/55 CIM 12565YAA5 - - 2,055,786 $2,059,019 $2,059,019 0.21
GNMA II 30yr Pool#MA5021 4.500% 20-Feb-2048, 4.50%, 02/20/48 G2 36179TSJ5 - - 1,813,072 $2,052,414 $2,052,414 0.21
Connecticut Avenue Securities Trust 2019-R02 4.25188% 25-AUG-2031, 4.25%, 08/25/31 CAS 20753KAF9 - - 2,000,000 $2,051,402 $2,051,402 0.21
COLT 2020-1R Mortgage Loan Trust A2 1.512% 25-SEP-2065, 1.51%, 09/25/65 COLT 12597VAB1 - - 1,993,574 $1,996,653 $1,996,653 0.21
FNMA 30yr Pool#AT5993 3.000% 01-May-2043, 3.00%, 05/01/43 FN 3138WTUT1 - - 1,892,588 $1,989,353 $1,989,353 0.21
FNMA 30yr Pool#BC4714 3.000% 01-Oct-2046, 3.00%, 10/01/46 FN 3140F0GY4 - - 1,669,307 $1,773,718 $1,773,718 0.18
PRPM 2021-RPL2 A2 2.237% 25-OCT-2051, 2.24%, 10/25/51 PRPM 69357QAB2 - - 1,750,000 $1,731,185 $1,731,185 0.18
FNMA 30yr Pool#BN4541 4.000% 01-Feb-2049, 4.00%, 02/01/49 FN 3140JMBK7 - - 1,540,543 $1,713,595 $1,713,595 0.18
FREMF 2019-KF70 Mortgage Trust C 6.094% 25-SEP-2029, 6.09%, 09/25/29 FREMF 30298UAJ0 - - 1,695,576 $1,702,795 $1,702,795 0.18
FHLMC 30yr Pool#QA0743 3.000% 01-Apr-2047, 3.00%, 04/01/47 FR 31334WZG9 - - 1,527,889 $1,594,147 $1,594,147 0.17
UMBS TBA 15yr 4% February Delivery, 4.00%, 02/17/22 FNCI 01F040420 - - 1,501,500 $1,573,287 $1,573,287 0.16
Bayview MSR Opportunity Master Fund Trust 2022-1|3|12/25/2051, 3.00%, 12/25/51 BVINV 67648BAU6 - - 1,512,000 $1,529,687 $1,529,687 0.16
GNMA II 30yr Pool#MA5264 4.000% 20-Jun-2048, 4.00%, 06/20/48 G2 36179TZ57 - - 1,314,281 $1,456,573 $1,456,573 0.15
FNMA 30yr Pool#AB9341 3.000% 01-May-2043, 3.00%, 05/01/43 FN 31417GLX2 - - 1,325,203 $1,416,119 $1,416,119 0.15
Connecticut Avenue Securities, Series 2015-C04 1M2 5.80188% 25-APR-2028, 5.80%, 04/25/28 CAS 30711XBF0 - - 1,336,807 $1,409,966 $1,409,966 0.15
Fnma Connecticut Avenue Securities Series 2018-C05 4.35188% 25-JAN-2031, 4.35%, 01/25/31 CAS 30711XY32 - - 1,307,741 $1,375,529 $1,375,529 0.14
FHLMC 30yr Pool#QC5206 2.500% 01-Aug-2051, 2.50%, 08/01/51 FR 3133APYB9 - - 1,349,759 $1,357,364 $1,357,364 0.14
FHLMC 30yr Pool#ZT1926 3.000% 01-Nov-2043, 3.00%, 11/01/43 FR 3132AED78 - - 1,236,082 $1,333,235 $1,333,235 0.14
FHLMC 15yr Pool#SB0116 2.500% 01-Nov-2034, 2.50%, 11/01/34 FR 3132CWDV3 - - 1,233,784 $1,311,460 $1,311,460 0.14
Bayview Financing Trust 2021-1F|2.09967|07/01/2033, 2.10%, 07/01/33 BVRT 07335FAB3 - - 1,308,666 $1,309,374 $1,309,374 0.14
Eagle Re 2020-1 Ltd. FRN 25-JAN-2030, 1.00%, 01/25/30 EMIR 26982LAA8 - - 1,200,000 $1,196,266 $1,196,266 0.12
FNMA 30yr Pool#BM4620 3.000% 01-Oct-2044, 3.00%, 10/01/44 FN 3140J9D24 - - 1,115,721 $1,194,188 $1,194,188 0.12
FHLMC 30yr Pool#QC7106 2.000% 01-Sep-2051, 2.00%, 09/01/51 FR 3133AR3P8 - - 1,076,440 $1,056,808 $1,056,808 0.11
FHLMC 30yr Pool#QC6986 2.000% 01-Sep-2051, 2.00%, 09/01/51 FR 3133ARXP5 - - 1,074,255 $1,053,149 $1,053,149 0.11
New Residential Investment Corp. Cum Conv Red Perp Pfd Registered Shs Series D, 7.00%, 02/15/70 NRZ 64828T706 - - 40,000 $1,023,900 $1,023,900 0.11
Sequoia Mortgage Trust 2013-5 A1 2.5% 25-MAY-2043, 2.50%, 05/25/43 SEMT 81745AAA5 - - 1,026,767 $1,021,009 $1,021,009 0.11
FNMA 30yr Pool#BT2978 2.000% 01-Sep-2051, 2.00%, 09/01/51 FN 3140LRJY5 - - 991,048 $971,460 $971,460 0.10
Spruce Hill Mortgage Loan Trust 2020-SH2 A1 3.407% 28-JUN-2055, 3.41%, 06/25/55 SHMLT 85214RAA1 - - 850,662 $855,897 $855,897 0.09
JP Morgan Mortgage Trust 2015-4 AM 3.0% 25-JUN-2045, 3.00%, 06/25/45 JPMMT 46644VBP0 - - 792,172 $795,976 $795,976 0.08
Connecticut Avenue Securities, Series 2014-C04 1M2 5.00188% 25-NOV-2024, 5.00%, 11/25/24 CAS 30711XAP9 - - 742,439 $775,079 $775,079 0.08
FNMA 30yr Pool#BQ4952 2.500% 01-Oct-2050, 2.50%, 10/01/50 FN 3140KQQE4 - - 734,105 $738,266 $738,266 0.08
FHLMC 30yr Pool#ZT0337 3.500% 01-Dec-2044, 3.50%, 12/01/44 FR 3132ACLS7 - - 670,128 $735,808 $735,808 0.08
FNMA 30yr Pool#MA2471 3.500% 01-Dec-2045, 3.50%, 12/01/45 FN 31418BW93 - - 637,652 $710,056 $710,056 0.07
FNMA 30yr Pool#CA4646 3.000% 01-Feb-2048, 3.00%, 02/01/48 FN 3140QCEU6 - - 591,762 $630,660 $630,660 0.07
JP Morgan Mortgage Trust 2021-12 A11 0.89967% 25-FEB-2052, 0.90%, 02/25/52 JPMMT 46592WBE5 - - 621,958 $622,866 $622,866 0.06
FNMA 30yr Pool#FM3107 3.500% 01-Mar-2047, 3.50%, 03/01/47 FN 3140X6NZ0 - - 550,139 $606,334 $606,334 0.06
FHLMC 30yr Pool#ZN4240 4.500% 01-Dec-2048, 4.50%, 12/01/48 FR 3131YAV98 - - 540,921 $591,508 $591,508 0.06
FHLMC 15yr Pool#SB0040 2.500% 01-Dec-2033, 2.50%, 12/01/33 FR 3132CWBH6 - - 557,605 $590,557 $590,557 0.06
FHLMC 30yr Pool#ZT0391 4.000% 01-Nov-2047, 4.00%, 11/01/47 FR 3132ACNG1 - - 528,219 $580,010 $580,010 0.06
FHLMC 30yr Pool#ZN6461 4.000% 01-May-2049, 4.00%, 05/01/49 FR 3131YDFA7 - - 517,535 $554,235 $554,235 0.06
FNMA 30yr Pool#FM2868 3.500% 01-Jul-2047, 3.50%, 07/01/47 FN 3140X6FJ5 - - 482,010 $532,890 $532,890 0.06
FNMA 30yr Pool#AR9225 3.000% 01-Mar-2043, 3.00%, 03/01/43 FN 3138W7HB3 - - 480,009 $507,603 $507,603 0.05
Fannie Mae REMIC Trust 2012-126 SY 3.89812% 25-NOV-2042, 3.90%, 11/25/42 FNR 3136A9ZR2 - - 572,776 $507,372 $507,372 0.05
FNMA 30yr Pool#AS8649 3.000% 01-Jan-2047, 3.00%, 01/01/47 FN 3138WJTF5 - - 473,936 $503,016 $503,016 0.05
FNMA 30yr Pool#BC0935 3.000% 01-Jun-2046, 3.00%, 06/01/46 FN 3140EVBD8 - - 454,025 $470,086 $470,086 0.05
FNMA 30yr Pool#MA1327 3.000% 01-Jan-2043, 3.00%, 01/01/43 FN 31418APM4 - - 421,859 $452,475 $452,475 0.05
FHLMC 30yr Pool#QA8274 3.500% 01-Mar-2050, 3.50%, 03/01/50 FR 3133A3FP8 - - 421,595 $444,414 $444,414 0.05
GNMA II 30yr Pool#MA5192 4.000% 20-May-2048, 4.00%, 05/20/48 G2 36179TXV2 - - 393,984 $437,259 $437,259 0.05
FHLMC 30yr Pool#QA1615 3.500% 01-Aug-2049, 3.50%, 08/01/49 FR 31334XYL7 - - 408,303 $430,537 $430,537 0.04
FNMA 30yr Pool#BE3616 4.000% 01-May-2047, 4.00%, 05/01/47 FN 3140FPAS8 - - 387,328 $428,317 $428,317 0.04
FNMA 30yr Pool#FM1743 3.000% 01-Jan-2047, 3.00%, 01/01/47 FN 3140X45D4 - - 395,530 $420,491 $420,491 0.04
Connecticut Avenue Securities, Series 2015-C03 2M2 5.10188% 25-JUL-2025, 5.10%, 07/25/25 CAS 30711XBD5 - - 361,792 $363,891 $363,891 0.04
FHLMC 30yr Pool#QA7442 3.000% 01-Mar-2050, 3.00%, 03/01/50 FR 3133A2HT0 - - 351,586 $362,276 $362,276 0.04
Connecticut Avenue Securities Trust 2019-R04 2.20188% 25-JUN-2039, 2.20%, 06/25/39 CAS 20753TAB9 - - 357,859 $358,500 $358,500 0.04
GNMA II 30yr Pool#BF6874 4.500% 20-Jul-2048, 4.50%, 07/20/48 G2 3617GDT77 - - 317,650 $341,629 $341,629 0.04
FNMA 30yr Pool#AB6280 3.000% 01-Sep-2042, 3.00%, 09/01/42 FN 31417C6S9 - - 307,137 $323,209 $323,209 0.03
Freddie Mac Multiclass Certificates, Series 3843 FE 0.65975% 15-APR-2041, 0.66%, 04/15/41 FHR 3137A9HT6 - - 276,504 $280,583 $280,583 0.03
GNMA II 30yr Pool#MA5753 4.000% 20-Feb-2049, 4.00%, 02/20/49 G2 36179UMA7 - - 266,081 $278,902 $278,902 0.03
FNMA 30yr Pool#BO2983 3.000% 01-Sep-2049, 3.00%, 09/01/49 FN 3140JXJ58 - - 257,264 $267,537 $267,537 0.03
GNMA II 30yr Pool#MA5866 4.000% 20-Apr-2049, 4.00%, 04/20/49 G2 36179UQT2 - - 244,871 $256,723 $256,723 0.03
FNMA 30yr Pool#AB7563 3.000% 01-Jan-2043, 3.00%, 01/01/43 FN 31417EMM0 - - 240,030 $255,386 $255,386 0.03
FNMA 20yr Pool#AB9283 3.000% 01-Apr-2038, 3.00%, 04/01/38 FN 31417GJ56 - - 241,101 $254,267 $254,267 0.03
GNMA II 30yr Pool#MA5756 5.500% 20-Feb-2049, 5.50%, 02/20/49 G2 36179UMD1 - - 230,696 $250,927 $250,927 0.03
Sequoia Mortgage Trust 2019-CH3 A19 4.0% 25-OCT-2049, 4.00%, 09/25/49 SEMT 81748GBN0 - - 245,486 $249,310 $249,310 0.03
FNMA Connecticut Avenue Securities Series 2019-R01 2.55188% 25-JUL-2031, 2.55%, 07/25/31 CAS 20754FAK8 - - 238,294 $239,664 $239,664 0.02
FNMA 30yr Pool#MA1229 3.000% 01-Oct-2042, 3.00%, 10/01/42 FN 31418ALK2 - - 221,423 $233,409 $233,409 0.02
FHLMC 30yr Pool#ZT1633 4.000% 01-Mar-2047, 4.00%, 03/01/47 FR 3132ADY69 - - 199,706 $217,851 $217,851 0.02
GNMA II 30yr Pool#BK5879 4.500% 20-Nov-2048, 4.50%, 11/20/48 G2 3617J6Q80 - - 205,759 $217,092 $217,092 0.02
FNMA 20yr Pool#AR6433 3.000% 01-Aug-2043, 3.00%, 08/01/43 FN 3138W4EF4 - - 203,848 $215,089 $215,089 0.02
FNMA 30yr Pool#BM3282 3.500% 01-Dec-2047, 3.50%, 12/01/47 FN 3140J7UG8 - - 185,113 $204,263 $204,263 0.02
FNMA 30yr Pool#CA0108 3.500% 01-Aug-2047, 3.50%, 08/01/47 FN 3140Q7DN4 - - 177,567 $196,868 $196,868 0.02
Fannie Mae REMIC Trust 2013-130 FN 0.45188% 25-OCT-2042, 0.45%, 10/25/42 FNR 3136AHG53 - - 174,085 $175,861 $175,861 0.02
FNMA 30yr Pool#BO4113 3.000% 01-Aug-2049, 3.00%, 08/01/49 FN 3140JYSB3 - - 158,286 $167,543 $167,543 0.02
FHLMC 30yr Pool#ZM7577 4.500% 01-Aug-2048, 4.50%, 08/01/48 FR 3131Y2M21 - - 142,296 $159,088 $159,088 0.02
FNMA 30yr Pool#BJ8459 3.000% 01-Aug-2049, 3.00%, 08/01/49 FN 3140HAMH0 - - 144,520 $151,231 $151,231 0.02
FNMA 30yr Pool#BT2960 2.500% 01-Aug-2051, 2.50%, 08/01/51 FN 3140LRJE9 - - 145,275 $146,148 $146,148 0.02
FHLMC 30yr Pool#QA2159 3.000% 01-Aug-2049, 3.00%, 08/01/49 FR 31334YMG9 - - 128,295 $145,356 $145,356 0.02
Fannie Mae REMIC Trust 2010-109 BS 53.87932% 25-OCT-2040, 53.88%, 10/25/40 FNR 31398NTM6 - - 41,248 $142,138 $142,138 0.01
FHLMC 15yr Pool#ZS7403 3.000% 01-May-2031, 3.00%, 05/01/31 FR 3132A8GL7 - - 131,607 $140,919 $140,919 0.01
FHLMC 15yr Pool#ZK8962 3.000% 01-Sep-2032, 3.00%, 09/01/32 FR 3131XC5X1 - - 119,484 $127,431 $127,431 0.01
FNMA 30yr Pool#MA1447 3.000% 01-May-2043, 3.00%, 05/01/43 FN 31418ATD0 - - 117,655 $126,974 $126,974 0.01
FHLMC 30yr Pool#ZM7926 5.000% 01-Sep-2048, 5.00%, 09/01/48 FR 3131Y2YX0 - - 84,649 $126,564 $126,564 0.01
FHLMC 30yr Pool#QA1818 3.000% 01-Aug-2049, 3.00%, 08/01/49 FR 31334YAT4 - - 112,308 $118,918 $118,918 0.01
FNMA 30yr Pool#BD2453 3.000% 01-Jan-2047, 3.00%, 01/01/47 FN 3140F9WP6 - - 100,592 $106,591 $106,591 0.01
Fannie Mae REMIC Trust 2006-20 GF 0.45188% 25-APR-2036, 0.45%, 04/25/36 FNR 31395BU43 - - 104,465 $104,969 $104,969 0.01
FNMA 15yr Pool#BO5957 3.000% 01-Dec-2034, 3.00%, 12/01/34 FN 3140K1TP1 - - 87,459 $99,828 $99,828 0.01
FHLMC 30yr Pool#ZM9344 3.000% 01-Jun-2043, 3.00%, 06/01/43 FR 3131Y4LZ5 - - 92,227 $95,647 $95,647 0.01
Freddie Mac Multiclass Certificates, Series 3380 FM 0.69975% 15-OCT-2037, 0.70%, 10/15/37 FHR 31397KTJ0 - - 85,414 $87,147 $87,147 0.01
FHLMC 30yr Pool#ZN0443 3.500% 01-Aug-2042, 3.50%, 08/01/42 FR 3131Y6P45 - - 79,151 $86,194 $86,194 0.01
FNMA 30yr Pool#AS8547 3.000% 01-Nov-2046, 3.00%, 11/01/46 FN 3138WJP93 - - 80,683 $85,399 $85,399 0.01
FNMA 15yr Pool#BO7717 3.000% 01-Nov-2034, 3.00%, 11/01/34 FN 3140K3SF0 - - 80,342 $85,316 $85,316 0.01
Freddie Mac Multiclass Certificates, Series 3721 FB 0.60975% 15-SEP-2040, 0.61%, 09/15/40 FHR 3137GAD20 - - 81,710 $82,544 $82,544 0.01
GNMA II 30yr Pool#BK6072 5.000% 20-Jan-2049, 5.00%, 01/20/49 G2 3617J6W91 - - 10,599 $79,261 $79,261 0.01
FHLMC 30yr Pool#ZA3585 3.500% 01-Aug-2042, 3.50%, 08/01/42 FR 31329L6W7 - - 70,035 $77,072 $77,072 0.01
FHLMC 15yr Pool#ZK9163 3.000% 01-Jan-2033, 3.00%, 01/01/33 FR 3131XDFC4 - - 67,561 $72,666 $72,666 0.01
Ginnie Mae REMIC Trust 2008-013 FB 0.60388% 20-FEB-2038, 0.60%, 02/20/38 GNR 38375PNL1 - - 70,769 $71,851 $71,851 0.01
FHLMC 30yr Pool#ZA4209 3.000% 01-Apr-2043, 3.00%, 04/01/43 FR 31329MVA5 - - 64,517 $69,419 $69,419 0.01
FNMA 30yr Pool#BC0870 3.500% 01-Jan-2046, 3.50%, 01/01/46 FN 3140EU6G9 - - 59,274 $66,809 $66,809 0.01
Ginnie Mae REMIC Trust 2010-133 FD 0.5375% 20-OCT-2040, 0.54%, 10/16/40 GNR 38377MHV1 - - 58,607 $59,070 $59,070 0.01
Fannie Mae REMIC Trust 2013-2 QF 0.60188% 25-FEB-2043, 0.60%, 02/25/43 FNR 3136AB4P5 - - 56,239 $56,765 $56,765 0.01
Ginnie Mae REMIC Trust 2007-040 FG 0.42388% 20-JUL-2037, 0.42%, 07/20/37 GNR 38375KZS4 - - 55,957 $56,511 $56,511 0.01
FNMA 30yr Pool#FM0029 3.000% 01-Sep-2046, 3.00%, 09/01/46 FN 3140X3A73 - - 51,054 $54,423 $54,423 0.01
Ginnie Mae REMIC Trust 2004-069 CF 0.50388% 20-JUL-2034, 0.50%, 07/20/34 GNR 38374JAT3 - - 53,014 $53,470 $53,470 0.01
FHLMC 30yr Pool#ZN2165 4.500% 01-Dec-2048, 4.50%, 12/01/48 FR 3131Y8MN2 - - 36,841 $44,820 $44,820 0.00
Freddie Mac Multiclass Certificates, Series 2426 FL 0.75975% 15-MAR-2032, 0.76%, 03/15/32 FHR 31339W7G5 - - 43,022 $43,769 $43,769 0.00
Ginnie Mae REMIC Trust 2007-059 FA 0.60388% 20-OCT-2037, 0.60%, 10/20/37 GNR 38375LPU8 - - 42,618 $43,453 $43,453 0.00
Freddie Mac Multiclass Certificates, Series 3738 FD 0.40975% 15-AUG-2040, 0.41%, 08/15/40 FHR 3137GAYQ4 - - 42,751 $42,839 $42,839 0.00
Fannie Mae REMIC Trust 2003-87 FG 0.60188% 25-SEP-2033, 0.60%, 09/25/33 FNR 31393E4W6 - - 39,795 $40,172 $40,172 0.00
Ginnie Mae REMIC Trust 2004-059 FP 0.4075% 20-AUG-2034, 0.41%, 08/16/34 GNR 38374HYS3 - - 39,363 $39,645 $39,645 0.00
Fannie Mae REMIC Trust 2002-53 FK 0.50188% 25-APR-2032, 0.50%, 04/25/32 FNR 31392EHN3 - - 38,318 $38,683 $38,683 0.00
Ginnie Mae REMIC Trust 2005-065 FA 0.25388% 20-AUG-2035, 0.25%, 08/20/35 GNR 38374LL25 - - 37,906 $37,833 $37,833 0.00
Ginnie Mae REMIC Trust 2007-037 FW 0.41388% 20-JUN-2037, 0.41%, 06/20/37 GNR 38375KNR9 - - 35,549 $35,758 $35,758 0.00
Ginnie Mae REMIC Trust 2008-016 FC 0.60388% 20-FEB-2038, 0.60%, 02/20/38 GNR 383742FU2 - - 34,441 $34,946 $34,946 0.00
Fannie Mae REMIC Trust 2007-89 GF 0.62188% 25-SEP-2037, 0.62%, 09/25/37 FNR 31396XPM0 - - 32,379 $32,708 $32,708 0.00
Fannie Mae REMIC Trust 2005-83 KT 0.40188% 25-OCT-2035, 0.40%, 10/25/35 FNR 31394FUL7 - - 31,770 $31,793 $31,793 0.00
Fannie Mae REMIC Trust 2002-16 VF 0.65188% 25-APR-2032, 0.65%, 04/25/32 FNR 31392CWW0 - - 30,542 $30,887 $30,887 0.00
Ginnie Mae REMIC Trust 2005-048 AF 0.30388% 20-JUN-2035, 0.30%, 06/20/35 GNR 38374LHM6 - - 30,712 $30,727 $30,727 0.00
Freddie Mac Multiclass Certificates, Series 2410, excluding Group 6 FX 0.45975% 15-FEB-2032, 0.46%, 02/15/32 FHR 31339NJN7 - - 30,287 $30,506 $30,506 0.00
Freddie Mac Multiclass Certificates, Series 2551 FD 0.50975% 15-JAN-2033, 0.51%, 01/15/33 FHR 31393JAZ1 - - 29,504 $29,768 $29,768 0.00
Freddie Mac Multiclass Certificates, Series 2469 FE 0.60975% 15-JUL-2032, 0.61%, 07/15/32 FHR 31392RC58 - - 29,227 $29,433 $29,433 0.00
Ginnie Mae REMIC Trust 1999-27 FE 0.5075% 20-AUG-2029, 0.51%, 08/16/29 GNR 3837H2WA3 - - 29,200 $29,389 $29,389 0.00
FHLMC 30yr Pool#ZT0252 3.000% 01-Dec-2047, 3.00%, 12/01/47 FR 3132ACH52 - - 27,140 $29,077 $29,077 0.00
Ginnie Mae REMIC Trust 2012-075 FP 0.40388% 20-JUL-2041, 0.40%, 07/20/41 GNR 38378EZ55 - - 27,380 $27,464 $27,464 0.00
Freddie Mac Multiclass Certificates, Series 3028 FM 0.35975% 15-SEP-2035, 0.36%, 09/15/35 FHR 31396AFB5 - - 25,915 $25,969 $25,969 0.00
FNMA 15yr Pool#AS8207 2.500% 01-Oct-2031, 2.50%, 10/01/31 FN 3138WJDM7 - - 21,253 $22,382 $22,382 0.00
Fannie Mae REMIC Trust 2010-123 FL 0.53188% 25-NOV-2040, 0.53%, 11/25/40 FNR 31398N2W3 - - 20,658 $20,811 $20,811 0.00
Fannie Mae REMIC Trust 2010-95 FB 0.50188% 25-SEP-2040, 0.50%, 09/25/40 FNR 31398NEX8 - - 20,682 $20,807 $20,807 0.00
FNMA 15yr Pool#BM1036 2.500% 01-Feb-2032, 2.50%, 02/01/32 FN 3140J5EJ4 - - 19,349 $20,406 $20,406 0.00
FHLMC 30yr Pool#ZM2269 3.000% 01-Dec-2046, 3.00%, 12/01/46 FR 3131XVQW8 - - 18,802 $20,080 $20,080 0.00
FNMA 15yr Pool#AS7643 2.500% 01-Aug-2031, 2.50%, 08/01/31 FN 3138WHP55 - - 18,589 $19,941 $19,941 0.00
FNMA 30yr Pool#BA4752 3.000% 01-Jan-2046, 3.00%, 01/01/46 FN 3140E9H66 - - 18,564 $19,385 $19,385 0.00
Ginnie Mae REMIC Trust 2007-061 FA 0.60388% 20-OCT-2037, 0.60%, 10/20/37 GNR 38375LLN8 - - 17,778 $18,125 $18,125 0.00
FHLMC 15yr Pool#ZK8405 2.500% 01-Dec-2031, 2.50%, 01/22/31 FR 3131XCKS5 - - 16,224 $16,957 $16,957 0.00
Fannie Mae REMIC Trust 2012-100 FG 0.50188% 25-SEP-2042, 0.50%, 09/25/42 FNR 3136A8QW3 - - 13,592 $13,684 $13,684 0.00
Ginnie Mae REMIC Trust 2007-018 FD 0.40388% 20-APR-2037, 0.40%, 04/20/37 GNR 38375JC86 - - 12,734 $12,795 $12,795 0.00
Ginnie Mae REMIC Trust 2010-006 FG 0.7075% 16-JAN-2040, 0.71%, 01/16/40 GNR 38376TSC7 - - 11,760 $12,021 $12,021 0.00
Fannie Mae REMIC Trust 2012-94 KF 0.45188% 25-MAY-2038, 0.45%, 05/25/38 FNR 3136A8XS4 - - 10,427 $10,434 $10,434 0.00
Ginnie Mae REMIC Trust 2010-125 VF 0.45388% 20-JUN-2040, 0.45%, 06/20/40 GNR 38377JYJ6 - - 921.00 $925 $925 0.00
FHLMC 30yr Pool#ZN0650 3.000% 01-Mar-2043, 3.00%, 03/01/43 FR 3131Y6WK1 - - 654.00 $688 $688 0.00
Sequoia Mortgage Trust 2018-8 AIO1 0.262646% 25-NOV-2048, 0.26%, 11/25/48 SEMT 81748HBA6 - - 767,314 $467 $467 0.00
CBOT 5 Year US Treasury Note MAR 22 FVH2 - FUTURES_USD - -320.00 $-38,245,000 $0 0.00
Ultra 10-Year US Treasury Note Futures MAR 22 UXYH2 - FUTURES_USD - 150.00 $21,438,281 $0 0.00
CME Ultra Long Term US Treasury Bond Future MAR 22 WNH2 - FUTURES_USD - 17.00 $3,205,031 $0 0.00
SEGREGATED CASH SEGCASH - - $0.00 1,396,326 $1,396,326 $1,396,326 0.14
ALMSUM ALMSUM - - $0.00 - $0 $0 0.00
US DOLLARS, 0.00%, 04/16/20 USD - - - -171,369,958 $-171,369,958 $-171,369,958 -17.79
Buy Protection CDX-NAIGS37V1-05Y, 1.00%, 12/20/26 2I65BYDZ5 - 2I65BYDZ5 - 77,000,000 $0 $77,000,000 7.99
Buy Protection CDX-NAIGS37V1-05Y, 1.00%, 12/20/26 2I65BYDZ5 - 2I65BYDZ5 - -77,000,000 $-77,000,000 $-77,000,000 -7.99
Janus Henderson publishes this listing of identities and quantities of each position held by the fund on each business day, before commencement of trading. Securities are reported at market value.
The portfolio data and its presentation here is based on the investment book of record and may differ from the accounting book of record and complete schedules of investments in regulatory filings due to differing accounting and reporting standards.