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
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.