| Rate (%)
| Maturity date
|
| Par value^
| Value
|
Commercial and residential (continued)
|
|
|
|
|
|
BX Commercial Mortgage Trust
|
|
|
|
|
|
Series 2021-VOLT, Class C (1 month CME Term SOFR + 1.214%) (D)(F)
| 6.436
| 09-15-36
|
| 19,000
| $18,167
|
BX Trust
|
|
|
|
|
|
Series 2022-CLS, Class A (D)
| 5.760
| 10-13-27
|
| 221,000
| 211,739
|
Citigroup Commercial Mortgage Trust
|
|
|
|
|
|
Series 2023-SMRT, Class A (D)(G)
| 5.820
| 06-10-28
|
| 163,000
| 161,340
|
Commercial Mortgage Trust (Cantor Fitzgerald/Deutsche Bank AG)
|
|
|
|
|
|
Series 2012-CR3, Class XA IO
| 1.225
| 10-15-45
|
| 206,735
| 2
|
Commercial Mortgage Trust (Citigroup/Deutsche Bank AG)
|
|
|
|
|
|
Series 2018-COR3, Class XA IO
| 0.432
| 05-10-51
|
| 3,796,671
| 64,867
|
Commercial Mortgage Trust (Deutsche Bank AG)
|
|
|
|
|
|
Series 2013-300P, Class D (D)(G)
| 4.394
| 08-10-30
|
| 340,000
| 264,355
|
Series 2020-CBM, Class A2 (D)
| 2.896
| 02-10-37
|
| 208,000
| 195,489
|
Ellington Financial Mortgage Trust
|
|
|
|
|
|
Series 2023-1, Class A1 (D)
| 5.732
| 02-25-68
|
| 479,924
| 472,957
|
Flagstar Mortgage Trust
|
|
|
|
|
|
Series 2021-1, Class A2 (D)(G)
| 2.500
| 02-01-51
|
| 348,473
| 279,609
|
GCAT Trust
|
|
|
|
|
|
Series 2023-NQM2, Class A1 (D)
| 5.837
| 11-25-67
|
| 458,792
| 453,961
|
GS Mortgage Securities Trust
|
|
|
|
|
|
Series 2017-485L, Class C (D)(G)
| 3.982
| 02-10-37
|
| 240,000
| 198,579
|
Series 2020-UPTN, Class A (D)
| 2.751
| 02-10-37
|
| 192,000
| 176,840
|
HarborView Mortgage Loan Trust
|
|
|
|
|
|
Series 2007-3, Class ES IO (D)
| 0.350
| 05-19-47
|
| 2,389,688
| 24,947
|
Series 2007-4, Class ES IO
| 0.350
| 07-19-47
|
| 2,486,982
| 32,688
|
Series 2007-6, Class ES IO (D)
| 0.343
| 08-19-37
|
| 2,560,451
| 31,655
|
Imperial Fund Mortgage Trust
|
|
|
|
|
|
Series 2023-NQM1, Class A1 (D)
| 5.941
| 02-25-68
|
| 464,435
| 459,147
|
JPMorgan Chase Commercial Mortgage Securities Trust
|
|
|
|
|
|
Series 2020-NNN, Class AFX (D)
| 2.812
| 01-16-37
|
| 195,000
| 175,945
|
Natixis Commercial Mortgage Securities Trust
|
|
|
|
|
|
Series 2018-285M, Class D (D)(G)
| 3.790
| 11-15-32
|
| 100,000
| 61,355
|
Series 2018-ALXA, Class C (D)(G)
| 4.316
| 01-15-43
|
| 175,000
| 137,789
|
New Residential Mortgage Loan Trust
|
|
|
|
|
|
Series 2022-NQM4, Class A1 (D)
| 5.000
| 06-25-62
|
| 550,375
| 533,167
|
NYMT Loan Trust
|
|
|
|
|
|
Series 2022-CP1, Class A1 (D)
| 2.042
| 07-25-61
|
| 108,282
| 96,397
|
OBX Trust
|
|
|
|
|
|
Series 2020-EXP2, Class A3 (D)(G)
| 2.500
| 05-25-60
|
| 82,598
| 69,235
|
Series 2022-NQM7, Class A1 (D)
| 5.110
| 08-25-62
|
| 524,113
| 511,365
|
One Market Plaza Trust
|
|
|
|
|
|
Series 2017-1MKT, Class D (D)
| 4.146
| 02-10-32
|
| 190,000
| 153,188
|
SLG Office Trust
|
|
|
|
|
|
Series 2021-OVA, Class D (D)
| 2.851
| 07-15-41
|
| 270,000
| 199,792
|
Starwood Mortgage Residential Trust
|
|
|
|
|
|
Series 2022-1, Class A1 (D)(G)
| 2.447
| 12-25-66
|
| 245,879
| 207,677
|
Series 2022-4, Class A1 (D)
| 5.192
| 05-25-67
|
| 443,663
| 433,480
|
Towd Point Mortgage Trust
|
|
|
|
|
|
Series 2018-4, Class A1 (D)(G)
| 3.000
| 06-25-58
|
| 183,185
| 167,201
|
Series 2018-5, Class A1A (D)(G)
| 3.250
| 07-25-58
|
| 28,165
| 26,881
|
Series 2019-1, Class A1 (D)(G)
| 3.750
| 03-25-58
|
| 130,765
| 122,306
|
Series 2019-4, Class A1 (D)(G)
| 2.900
| 10-25-59
|
| 144,314
| 132,779
|
Series 2020-4, Class A1 (D)
| 1.750
| 10-25-60
|
| 178,991
| 155,546
|
Verus Securitization Trust
|
|
|
|
|
|
Series 2023-INV1, Class A1 (D)
| 5.999
| 02-25-68
|
| 1,873,623
| 1,857,402
|
U.S. Government Agency 1.6%
|
|
|
|
| 2,153,450
|
Government National Mortgage Association
|
|
|
|
|
|
Series 2012-114, Class IO
| 0.620
| 01-16-53
|
| 445,669
| 6,802
|
Series 2016-174, Class IO
| 0.892
| 11-16-56
|
| 653,733
| 25,636
|
Series 2017-109, Class IO
| 0.230
| 04-16-57
|
| 762,681
| 12,887
|