| Rate (%)
| Maturity date
|
| Par value^
| Value
|
Commercial and residential (continued)
|
|
|
|
Series 2022-BOCA, Class A (1 month CME Term SOFR + 1.770%) (B)(C)
| 6.332
| 05-15-39
|
| 19,350,000
| $19,259,237
|
Series 2022-BOCA, Class B (1 month CME Term SOFR + 2.319%) (B)(C)
| 6.882
| 05-15-39
|
| 7,240,000
| 7,112,976
|
BPR Trust
|
|
|
Series 2022-OANA, Class A (1 month CME Term SOFR + 1.898%) (B)(C)
| 6.460
| 04-15-37
|
| 55,353,000
| 54,349,046
|
BRAVO Residential Funding Trust
|
|
|
Series 2021-NQM1, Class A1 (C)(I)
| 0.941
| 02-25-49
|
| 10,000,452
| 8,748,358
|
BWAY Mortgage Trust
|
|
|
Series 2015-1740, Class XA IO (C)
| 0.179
| 01-10-35
|
| 123,773,000
| 15,472
|
BX Commercial Mortgage Trust
|
|
|
Series 2020-VKNG, Class A (1 month CME Term SOFR + 1.044%) (B)(C)
| 5.607
| 10-15-37
|
| 17,089,848
| 16,908,128
|
Series 2021-ACNT, Class A (1 month LIBOR + 0.850%) (B)(C)
| 5.438
| 11-15-38
|
| 17,129,000
| 16,839,460
|
Series 2021-VOLT, Class C (1 month LIBOR + 1.100%) (B)(C)
| 5.688
| 09-15-36
|
| 23,449,000
| 22,626,329
|
Series 2022-AHP, Class A (1 month CME Term SOFR + 0.990%) (B)(C)
| 5.552
| 01-17-39
|
| 41,470,000
| 40,730,718
|
BX Trust
|
|
|
Series 2022-CLS, Class A (C)
| 5.760
| 10-13-27
|
| 19,433,000
| 18,887,535
|
CAMB Commercial Mortgage Trust
|
|
|
Series 2019-LIFE, Class D (1 month LIBOR + 1.750%) (B)(C)
| 6.338
| 12-15-37
|
| 6,315,000
| 6,204,087
|
Series 2019-LIFE, Class F (1 month LIBOR + 2.550%) (B)(C)
| 7.138
| 12-15-37
|
| 12,809,000
| 12,519,815
|
Citigroup Commercial Mortgage Trust
|
|
|
Series 2019-PRM, Class A (C)
| 3.341
| 05-10-36
|
| 19,515,000
| 19,214,090
|
Series 2019-SMRT, Class A (C)
| 4.149
| 01-10-36
|
| 10,996,000
| 10,786,698
|
COLT Mortgage Loan Trust
|
|
|
Series 2021-2, Class A1 (C)(I)
| 0.924
| 08-25-66
|
| 14,283,320
| 11,296,197
|
Series 2021-3, Class A1 (C)(I)
| 0.956
| 09-27-66
|
| 21,271,731
| 16,751,488
|
Series 2021-HX1, Class A1 (C)(I)
| 1.110
| 10-25-66
|
| 16,522,941
| 13,337,783
|
COLT Trust
|
|
|
Series 2020-RPL1, Class A1 (C)(I)
| 1.390
| 01-25-65
|
| 30,236,617
| 25,775,397
|
Commercial Mortgage Trust (Cantor Fitzgerald/Deutsche Bank AG)
|
|
|
Series 2012-CR3, Class XA IO
| 1.228
| 10-15-45
|
| 8,095,051
| 802
|
Series 2014-CR15, Class XA IO
| 0.615
| 02-10-47
|
| 49,031,460
| 197,018
|
Commercial Mortgage Trust (Citigroup/Deutsche Bank AG)
|
|
|
Series 2018-COR3, Class XA IO
| 0.434
| 05-10-51
|
| 222,683,535
| 4,138,084
|
Commercial Mortgage Trust (Deutsche Bank AG)
|
|
|
Series 2013-300P, Class D (C)(I)
| 4.394
| 08-10-30
|
| 18,413,000
| 16,919,048
|
Series 2017-PANW, Class A (C)
| 3.244
| 10-10-29
|
| 7,264,000
| 6,821,354
|
Series 2020-CBM, Class A2 (C)
| 2.896
| 02-10-37
|
| 14,666,000
| 13,627,578
|
Credit Suisse Mortgage Capital Certificates
|
|
|
Series 2019-ICE4, Class D (1 month LIBOR + 1.600%) (B)(C)
| 6.188
| 05-15-36
|
| 23,760,886
| 23,491,829
|
Series 2020-NET, Class A (C)
| 2.257
| 08-15-37
|
| 7,038,652
| 6,323,824
|
Series 2021-NQM2, Class A1 (C)(I)
| 1.179
| 02-25-66
|
| 13,025,874
| 10,934,924
|
Series 2021-NQM3, Class A1 (C)(I)
| 1.015
| 04-25-66
|
| 11,592,335
| 9,405,854
|
Series 2021-NQM5, Class A1 (C)(I)
| 0.938
| 05-25-66
|
| 8,383,775
| 6,552,566
|
Series 2021-NQM6, Class A1 (C)(I)
| 1.174
| 07-25-66
|
| 21,280,228
| 16,939,051
|
Ellington Financial Mortgage Trust
|
|
|
Series 2021-1, Class A1 (C)(I)
| 0.797
| 02-25-66
|
| 5,652,052
| 4,595,808
|
Series 2021-2, Class A1 (C)(I)
| 0.931
| 06-25-66
|
| 13,950,302
| 11,205,509
|
Flagstar Mortgage Trust
|
|
|
Series 2021-1, Class A2 (C)(I)
| 2.500
| 02-01-51
|
| 27,263,500
| 21,996,110
|
GCAT Trust
|
|
|
Series 2021-NQM1, Class A1 (C)(I)
| 0.874
| 01-25-66
|
| 9,137,291
| 7,619,347
|
Series 2021-NQM2, Class A1 (C)(I)
| 1.036
| 05-25-66
|
| 10,217,382
| 8,257,110
|
Series 2021-NQM3, Class A1 (C)(I)
| 1.091
| 05-25-66
|
| 16,355,211
| 13,325,957
|
GS Mortgage Securities Trust
|
|
|
Series 2011-GC5, Class XA IO (C)
| 0.090
| 08-10-44
|
| 3,203,485
| 32
|
Series 2015-590M, Class C (C)(I)
| 3.805
| 10-10-35
|
| 6,950,000
| 6,183,583
|
Series 2017-485L, Class C (C)(I)
| 3.982
| 02-10-37
|
| 6,670,000
| 5,737,243
|
Series 2019-GC40, Class A2
| 2.971
| 07-10-52
|
| 22,410,000
| 21,599,717
|
Series 2020-UPTN, Class A (C)
| 2.751
| 02-10-37
|
| 13,326,000
| 12,235,308
|
GS Mortgage-Backed Securities Trust
|
|
|