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|
Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
Collateralized Mortgage Obligations (continued) |
|
COLT Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2020-2, Class M1, 5.25%, 03/25/65(a)(b) |
|
|
USD |
|
|
|
3,050 |
|
|
$ |
2,877,653 |
|
Series 2020-3, Class M1, 3.36%, 04/27/65(a)(b) |
|
|
|
|
|
|
3,820 |
|
|
|
3,352,743 |
|
Series 2022-1, Class A1, 4.55%, 04/25/67(a)(b) |
|
|
|
|
|
|
1,551 |
|
|
|
1,460,540 |
|
Series 2022-7, Class A1, 5.16%, 04/25/67(b)(o) |
|
|
|
|
|
|
2,074 |
|
|
|
2,019,207 |
|
Series 2022-9, Class A1, 6.79%, 12/25/67(b)(o) |
|
|
|
|
|
|
343 |
|
|
|
344,088 |
|
Series 2023-2, Class A1, 6.60%, 07/25/68 |
|
|
|
|
|
|
1,522 |
|
|
|
1,516,562 |
|
Credit Suisse Mortgage Capital Certificates Trust, Series 2022-NQM5, Class A1, 5.17%, 05/25/67(a)(b) |
|
|
|
|
|
|
2,741 |
|
|
|
2,656,233 |
|
Deephaven Residential Mortgage Trust, Series 2022-2, Class A1,
4.30%, 03/25/67(a)(b) |
|
|
|
|
|
|
277 |
|
|
|
253,842 |
|
Ellington Financial Mortgage Trust(a)(b) |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2020-1, Class M1, 5.24%, 05/25/65 |
|
|
|
|
|
|
1,500 |
|
|
|
1,363,107 |
|
Series 2021-2, Class A1, 0.93%, 06/25/66 |
|
|
|
|
|
|
202 |
|
|
|
157,374 |
|
GCAT Trust, Series 2022-NQM3, Class A1, 4.35%,
04/25/67(a)(b) |
|
|
|
|
|
|
1,141 |
|
|
|
1,061,096 |
|
GMACM Mortgage Loan Trust, Series 2005-AR3, Class 5A1, 3.88%,
06/19/35(a) |
|
|
|
|
|
|
92 |
|
|
|
82,010 |
|
GS Mortgage-Backed Securities Corp. Trust, Series 2022-PJ2,
Class A4, 2.50%, 06/25/52(a)(b) |
|
|
|
|
|
|
1,061 |
|
|
|
802,190 |
|
GS Mortgage-Backed Securities Trust(a)(b) |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2021-PJ2, Class A2, 2.50%, 11/25/51 |
|
|
|
|
|
|
922 |
|
|
|
695,614 |
|
Series 2021-PJ7, Class A2, 2.50%, 01/25/52 |
|
|
|
|
|
|
2,410 |
|
|
|
1,818,737 |
|
GSR Mortgage Loan Trust, Series 2007-4F, Class 3A1, 6.00%,
07/25/37 |
|
|
|
|
|
|
81 |
|
|
|
50,335 |
|
Homeward Opportunities Fund Trust, Series 2022-1, Class A1,
5.08%, 07/25/67(b)(o) |
|
|
|
|
|
|
1,212 |
|
|
|
1,172,589 |
|
JP Morgan Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-S3, Class 1A12, 6.50%, 08/25/36 |
|
|
|
|
|
|
42 |
|
|
|
13,677 |
|
Series 2022-DSC1, Class A1, 4.75%, 01/25/63(a)(b)
|
|
|
|
|
|
|
473 |
|
|
|
435,380 |
|
Series 2022-INV3, Class A3B, 3.00%, 09/25/52(a)(b)
|
|
|
|
|
|
|
750 |
|
|
|
592,148 |
|
Series 2023-DSC1, Class A1, 4.63%, 07/25/63(a)(b)
|
|
|
|
|
|
|
334 |
|
|
|
305,417 |
|
Mello Mortgage Capital Acceptance, Series 2022-INV2, Class A3, 3.00%, 04/25/52(a)(b) |
|
|
|
|
|
|
790 |
|
|
|
622,010 |
|
Merrill Lynch Mortgage Investors Trust, Series 2006-A3,
Class 3A1, 4.08%, 05/25/36(a) |
|
|
|
|
|
|
139 |
|
|
|
98,064 |
|
MFA Trust |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2021-NQM1, Class M1, 2.31%, 04/25/65(a)(b)
. |
|
|
|
|
|
|
2,750 |
|
|
|
1,933,996 |
|
Series 2023-NQM1, Class A1, 5.75%, 11/25/67(b)(o)
|
|
|
|
|
|
|
899 |
|
|
|
879,012 |
|
Series 2023-NQM3, Class A1, 6.62%, 07/25/68 |
|
|
|
|
|
|
1,840 |
|
|
|
1,834,016 |
|
Mill City Mortgage Trust, Series 2023-NQM2, Class A1, 6.24%, 12/25/67(b)(o) |
|
|
|
|
|
|
1,888 |
|
|
|
1,871,621 |
|
OBX Trust |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2022-INC3, Class A1, 3.00%, 02/25/52(a)(b)
|
|
|
|
|
|
|
691 |
|
|
|
544,473 |
|
Series 2022-NQM9, Class A1A, 6.45%, 09/25/62(b)(o)
|
|
|
|
|
|
|
528 |
|
|
|
524,670 |
|
Series 2023-NQM1, Class A1, 6.12%, 11/25/62(a)(b)
|
|
|
|
|
|
|
733 |
|
|
|
726,929 |
|
Series 2023-NQM6, Class A1, 6.52%, 07/25/63 |
|
|
|
|
|
|
1,408 |
|
|
|
1,408,720 |
|
Onslow Bay Financial LLC, Series 2023-NQM5, Class A1A, 6.57%, 06/25/63 |
|
|
|
|
|
|
1,686 |
|
|
|
1,686,334 |
|
PRKCM Trust, Series 2023-AFC2, Class A1, 6.48%, 06/25/58 |
|
|
|
|
|
|
1,661 |
|
|
|
1,645,753 |
|
RCKT Mortgage Trust, Series 2022-2, Class A1, 3.00%, 02/25/52(a)(b) |
|
|
|
|
|
|
1,034 |
|
|
|
813,106 |
|
SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%,
08/25/62(b)(o) |
|
|
|
|
|
|
681 |
|
|
|
657,846 |
|
Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A,
4.10%, 07/25/57(b)(o) |
|
|
|
|
|
|
702 |
|
|
|
650,195 |
|