Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value |
Residential Mortgage-Backed Securities (Continued) |
Government National Mortgage Assoc., (cont’d.) | | | | | |
Series 2018-121, Class KS, IO, 1 Month SOFR x (1) + 3.746% (Cap 3.860%, Floor 0.000%) | 0.000 %(c) | 09/20/48 | | 1,707 | $21,823 |
Series 2018-148, Class DS, IO, 1 Month SOFR x (1) + 3.726% (Cap 3.840%, Floor 0.000%) | 0.000(c) | 10/20/48 | | 2,182 | 29,820 |
Series 2018-151, Class SL, IO, 1 Month SOFR x (1) + 3.686% (Cap 3.800%, Floor 0.000%) | 0.000(c) | 11/20/48 | | 1,960 | 31,197 |
Series 2018-155, Class PS, IO, 1 Month SOFR x (1) + 3.186% (Cap 2.000%, Floor 0.000%) | 0.000(c) | 11/20/48 | | 3,881 | 31,949 |
Series 2019-092, Class S, IO, 1 Month SOFR x (1) + 2.696% (Cap 2.810%, Floor 0.000%) | 0.000(c) | 07/20/49 | | 6,837 | 48,709 |
Series 2019-097, Class MS, IO, 1 Month SOFR x (1) + 2.966% (Cap 3.080%, Floor 0.000%) | 0.000(c) | 08/20/49 | | 4,021 | 34,261 |
Series 2019-099, Class SA, IO, 1 Month SOFR x (1) + 3.236% (Cap 3.350%, Floor 0.000%) | 0.000(c) | 08/20/49 | | 3,408 | 36,768 |
Series 2019-23, Class SW, IO, 1 Month SOFR x (1) + 6.086% (Cap 6.200%, Floor 0.000%) | 0.766(c) | 07/16/43 | | 4,942 | 226,294 |
Series 2021-165, Class ST, IO, 1 Month SOFR x (1) + 3.246% (Cap 0.020%, Floor 0.000%) | 0.000(c) | 01/20/50 | | 699 | 117 |
Series 2022-051, Class SC, IO, 30 Day Average SOFR x (1) + 3.500% (Cap 3.500%, Floor 0.000%) | 0.000(c) | 03/20/52 | | 5,365 | 74,949 |
Series 2022-066, Class SB, IO, 30 Day Average SOFR x (1) + 3.850% (Cap 3.850%, Floor 0.000%) | 0.000(c) | 04/20/52 | | 126 | 1,723 |
Series 2022-078, Class MS, IO, 30 Day Average SOFR x (1) + 3.600% (Cap 3.600%, Floor 0.000%) | 0.000(c) | 04/20/52 | | 4,687 | 63,180 |
Series 2022-078, Class SB, IO, 30 Day Average SOFR x (1) + 3.750% (Cap 3.750%, Floor 0.000%) | 0.000(c) | 04/20/52 | | 3,110 | 45,568 |
Series 2022-112, Class CM | 3.000 | 06/20/52 | | 2,851 | 1,973,894 |
Series 2022-126, Class CS, IO, 30 Day Average SOFR x (1) + 3.760% (Cap 3.760%, Floor 0.000%) | 0.000(c) | 07/20/52 | | 6,564 | 70,919 |
Series 2022-148, Class DS, IO, 30 Day Average SOFR x (1) + 3.600% (Cap 3.600%, Floor 0.000%) | 0.000(c) | 08/20/52 | | 2,467 | 27,515 |
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|
Home Re Ltd., Series 2019-01, Class M1, 144A, 30 Day Average SOFR + 1.764% (Cap N/A, Floor 0.000%) | 7.095(c) | 05/25/29 | | 61 | 60,703 |
Legacy Mortgage Asset Trust, | | | | | |
Series 2019-PR01, Class A1, 144A | 7.858 | 09/25/59 | | 1,394 | 1,392,617 |
Series 2020-GS01, Class A1, 144A | 6.882 | 10/25/59 | | 616 | 616,158 |
Series 2021-GS01, Class A1, 144A | 4.892 | 10/25/66 | | 268 | 260,039 |
| | |
|
MFA Trust, Series 2021-RPL01, Class A1, 144A | 1.131(cc) | 07/25/60 | | 2,159 | 1,879,083 |