|
| Principal
amount°
| Value (US $)
|
Agency Collateralized Mortgage Obligations — 1.11%
|
Freddie Mac REMICs Series 4505 PE 2.50% 5/15/44
|
| 179,927
| $ 168,788
|
GNMA Series 2012-39 PA 2.00% 3/16/42
|
| 221,904
|
201,116
|
Verus Securitization Trust Series 2023-6 A1 144A 6.665% 9/25/68 #, φ
|
| 1,744,005
| 1,758,788
|
Total Agency Collateralized Mortgage Obligations
(cost $2,147,370)
| 2,128,692
|
|
|
|
Agency Commercial Mortgage-Backed Securities — 3.90%
|
FREMF Mortgage Trust
|
|
|
|
Series 2015-KF12 B 144A 12.534% (SOFR + 7.21%, Floor 7.10%) 9/25/22 #, •
|
| 592,529
|
586,412
|
Series 2017-K729 B 144A 3.684% 11/25/49 #, •
|
| 1,900,000
|
1,867,039
|
Series 2017-KF33 B 144A 7.984% (SOFR + 2.66%, Floor 2.55%) 6/25/27 #, •
|
| 414,873
|
387,954
|
Series 2017-KF40 B 144A 8.134% (SOFR + 2.81%, Floor 2.70%) 11/25/27 #, •
|
| 484,433
|
451,824
|
Series 2018-K732 B 144A 4.056% 5/25/25 #, •
|
| 225,000
|
219,975
|
Series 2018-KF47 B 144A 7.434% (SOFR + 2.11%, Floor 2.00%) 5/25/25 #, •
|
| 423,985
|
415,457
|
Series 2019-KF60 B 144A 7.784% (SOFR + 2.46%, Floor 2.35%) 2/25/26 #, •
|
| 940,432
|
909,961
|
Series 2019-KF61 B 144A 7.634% (SOFR + 2.31%, Floor 2.20%) 4/25/29 #, •
|
| 370,284
|
333,254
|
Series 2019-KF68 B 144A 7.634% (SOFR + 2.31%, Floor 2.20%) 7/25/26 #, •
|
| 568,342
|
543,462
|
Series 2019-KF69 B 144A 7.734% (SOFR + 2.41%, Floor 2.30%) 8/25/29 #, •
|
| 404,542
|
372,456
|
Series 2019-KF70 B 144A 7.734% (SOFR + 2.41%, Floor 2.30%) 9/25/29 #, •
|
| 314,502
|
293,747
|
Series 2019-KF73 B 144A 7.884% (SOFR + 2.56%, Floor 2.45%) 11/25/29 #, •
|
| 718,215
|
670,173
|
Series 2020-KF74 B 144A 7.584% (SOFR + 2.26%, Floor 2.15%) 1/25/27 #, •
|
| 167,034
|
160,089
|