Principal Amount USD ($) | | | | | | Value |
| Collateralized Mortgage Obligations—(continued) | |
550,000(a) | Freddie Mac STACR Trust, Series 2019-FTR3, Class B2, 10.236% (SOFR30A + 491 bps), 9/25/47 (144A) | $ 575,323 |
520,000(a) | Freddie Mac STACR Trust, Series 2019-FTR4, Class B2, 10.445% (SOFR30A + 511 bps), 11/25/47 (144A) | 549,679 |
110,000(c) | GCAT Trust, Series 2021-CM1, Class M1, 3.276%, 4/25/65 (144A) | 87,209 |
200,000(c) | GS Mortgage-Backed Securities Trust, Series 2020-NQM1, Class B1, 5.143%, 9/27/60 (144A) | 185,685 |
190,000(c) | GS Mortgage-Backed Securities Trust, Series 2020-NQM1, Class M1, 3.293%, 9/27/60 (144A) | 162,274 |
175,000(a) | Home Re, Ltd., Series 2022-1, Class B1, 14.33% (SOFR30A + 900 bps), 10/25/34 (144A) | 197,129 |
3,961,990(c)(d) | Hundred Acre Wood Trust, Series 2021-INV1, Class AX1, 0.226%, 7/25/51 (144A) | 48,346 |
205,000(c) | Imperial Fund Mortgage Trust, Series 2021-NQM2, Class B2, 4.29%, 9/25/56 (144A) | 144,775 |
7,809,921(c)(d) | JP Morgan Mortgage Trust, Series 2021-10, Class AX1, 0.118%, 12/25/51 (144A) | 48,036 |
6,682,119(c)(d) | JP Morgan Mortgage Trust, Series 2021-8, Class AX1, 0.119%, 12/25/51 (144A) | 41,679 |
255,918(a) | JPMorgan Chase Bank N.A. - JPMWM, Series 2021-CL1, Class M3, 7.13% (SOFR30A + 180 bps), 3/25/51 (144A) | 249,776 |
350,000(e) | LHOME Mortgage Trust, Series 2024-RTL1, Class A1, 7.017%, 1/25/29 (144A) | 349,396 |
300,000(e) | MFA Trust, Series 2023-RTL2, Class A1, 8.498%, 11/25/28 (144A) | 301,864 |
156,743(c) | New Residential Mortgage Loan Trust, Series 2017-4A, Class B4, 5.223%, 5/25/57 (144A) | 139,989 |
150,000(a) | Oaktown Re VII, Ltd., Series 2021-2, Class B1, 9.73% (SOFR30A + 440 bps), 4/25/34 (144A) | 154,011 |
260,000(a) | Radnor Re, Ltd., Series 2023-1, Class M1A, 8.03% (SOFR30A + 270 bps), 7/25/33 (144A) | 263,396 |
300,000(a) | Radnor Re, Ltd., Series 2023-1, Class M1B, 9.68% (SOFR30A + 435 bps), 7/25/33 (144A) | 311,091 |
375,000(e) | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1, 7.50%, 2/25/30 (144A) | 372,311 |
350,000(e) | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1, 7.762%, 4/25/30 (144A) | 351,751 |
191,956(c) | Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M, 4.75%, 5/25/57 | 182,154 |
288,000(c) | Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M, 4.75%, 7/25/58 (144A) | 269,074 |