Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value |
Residential Mortgage-Backed Securities (Continued) |
Legacy Mortgage Asset Trust, | | | | | |
Series 2019-PR01, Class A1, 144A | 6.858 % | 09/25/59 | | 1,968 | $1,966,815 |
Series 2020-GS01, Class A1, 144A | 2.882 | 10/25/59 | | 754 | 739,584 |
Series 2021-GS01, Class A1, 144A | 1.892 | 10/25/66 | | 312 | 282,943 |
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MFA Trust, Series 2021-RPL01, Class A1, 144A | 1.131(cc) | 07/25/60 | | 2,708 | 2,294,501 |
Mill City Mortgage Loan Trust, | | | | | |
Series 2017-03, Class A1, 144A | 2.750(cc) | 01/25/61 | | 108 | 106,274 |
Series 2018-01, Class A1, 144A | 3.250(cc) | 05/25/62 | | 177 | 169,842 |
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New Residential Mortgage Loan Trust, Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) | 4.336(c) | 01/25/48 | | 75 | 72,203 |
Oaktown Re VII Ltd., Series 2021-02, Class M1A, 144A, 30 Day Average SOFR + 1.600% (Cap N/A, Floor 1.600%) | 4.597(c) | 04/25/34 | | 4,100 | 4,009,821 |
OBX Trust, Series 2018-01, Class A2, 144A, 1 Month LIBOR + 0.650% (Cap N/A, Floor 0.000%) | 4.236(c) | 06/25/57 | | 158 | 152,346 |
PMT Credit Risk Transfer Trust, | | | | | |
Series 2020-02R, Class A, 144A, 1 Month LIBOR + 3.815% (Cap N/A, Floor 3.815%) | 7.411(c) | 12/25/22 | | 1,411 | 1,381,059 |
Series 2021-01R, Class A, 144A, 1 Month LIBOR + 2.900% (Cap N/A, Floor 2.900%) | 6.496(c) | 02/27/24 | | 2,407 | 2,292,398 |
Radnor Re Ltd., | | | | | |
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) | 4.986(c) | 03/25/28 | | 17 | 17,270 |
Series 2020-01, Class M1A, 144A, 1 Month LIBOR + 0.950% (Cap N/A, Floor 0.950%) | 4.536(c) | 01/25/30 | | 76 | 75,448 |
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Seasoned Credit Risk Transfer Trust, Series 2019-02, Class MA | 3.500 | 08/25/58 | | 712 | 672,032 |
Sequoia Mortgage Trust, Series 10, Class 2A1, 1 Month LIBOR + 0.760% (Cap 11.750%, Floor 0.760%) | 4.249(c) | 10/20/27 | | 15 | 14,080 |
Structured Asset Mortgage Investments II Trust, Series 2005-AR05, Class A1, 1 Month LIBOR + 0.500% (Cap 11.000%, Floor 0.500%) | 3.980(c) | 07/19/35 | | 18 | 15,641 |
Towd Point Mortgage Trust, | | | | | |
Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600% (Cap N/A, Floor 0.000%) | 3.434(c) | 02/25/57 | | 167 | 164,411 |
Series 2018-01, Class A1, 144A | 3.000(cc) | 01/25/58 | | 274 | 263,503 |
Series 2019-HY03, Class A1A, 144A, 1 Month LIBOR + 1.000% (Cap N/A, Floor 1.000%) | 4.586(c) | 10/25/59 | | 178 | 174,772 |
Series 2020-04, Class A1, 144A | 1.750 | 10/25/60 | | 734 | 649,149 |
Series 2021-SJ01, Class A1, 144A | 2.250(cc) | 07/25/68 | | 2,364 | 2,208,311 |