a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Financial
Services
(continued)
f
WaMu
Mortgage
Pass-Through
Certificates
Trust
,
2005-AR13,
A1B2,
FRN,
4.699%,
(1-month
SOFR
+
0.974%),
10/25/45
........................................
United
States
491,851
$
468,892
2005-AR13,
A1C4,
FRN,
4.699%,
(1-month
SOFR
+
0.974%),
10/25/45
........................................
United
States
1,722,505
1,632,488
2005-AR17,
A1B2,
FRN,
4.659%,
(1-month
SOFR
+
0.934%),
12/25/45
........................................
United
States
1,014,302
932,632
2005-AR2,
2A1B,
FRN,
4.579%,
(1-month
SOFR
+
0.854%),
1/25/45
.........................................
United
States
146,639
143,796
68,362,878
a
a
a
a
a
a
Total
Residential
Mortgage-Backed
Securities
(Cost
$68,485,197)
...............
68,362,878
Agency
Commercial
Mortgage-Backed
Securities
5.9%
Financial
Services
5.9%
FHLMC
,
f
3065,
DC,
FRN,
8.64%,
(-3
x
30-day
SOFR
Average
+
19.517%),
3/15/35
.................................
United
States
82,250
83,141
j
3117,
AF,
FRN,
Zero
Cpn.,
2/15/36
.....................
United
States
5,572
4,876
3369,
BO,
Strip,
9/15/37
.............................
United
States
1,347
1,141
3391,
Strip,
4/15/37
................................
United
States
24,646
21,358
f
3408,
EK,
FRN,
10.744%,
(-4
x
30-day
SOFR
Average
+
25.332%),
4/15/37
.................................
United
States
148,918
163,933
k
4018,
DI,
IO,
4.5%,
7/15/41
..........................
United
States
7,272
7
f
406,
F30,
FRN,
4.766%,
(30-day
SOFR
Average
+
1.15%),
10/25/53
........................................
United
States
1,292,643
1,303,318
k
4132,
IP,
IO,
4.5%
,
11/15/42
..........................
United
States
328,088
21,382
f,k
4839,
WS,
IO,
FRN,
2.36%,
(-1
x
30-day
SOFR
Average
+
5.986%),
8/15/56
..................................
United
States
11,919,121
1,347,422
k
5050,
IM,
IO,
3.5%,
10/25/50
.........................
United
States
2,017,184
390,093
k
5349,
IB,
IO,
4%,
12/15/46
...........................
United
States
3,035,258
638,313
f
5419,
AF,
FRN,
4.716%,
(30-day
SOFR
Average
+
1.1%),
6/25/54
.........................................
United
States
1,216,583
1,226,351
b,f
FHLMC
Multi-family
Structured
Credit
Risk
Trust
,
2021-MN3
,
M2
,
144A,
FRN
,
7.616
%
,
(
30-day
SOFR
Average
+
4
%
),
11/25/51
.
United
States
478,000
490,111
FNMA
,
2006-84,
OT,
Strip,
9/25/36
..........................
United
States
2,554
2,136
2007-14,
KO,
Strip,
3/25/37
..........................
United
States
20,462
17,329
k
2012-128,
QI,
IO,
3.5%,
6/25/42
.......................
United
States
516,294
13,098
k
2015-33,
AI,
IO,
5%,
6/25/45
.........................
United
States
5,152,383
597,040
k
2017-72,
ID,
IO,
4.5%,
9/25/47
........................
United
States
9,340,766
1,706,575
k
2021-12,
NI,
IO,
2.5%,
3/25/51
........................
United
States
22,758,275
3,771,331
k
2023-49,
IA,
IO,
3%,
8/25/46
.........................
United
States
3,346,658
426,134
k
2023-49,
IB,
IO,
3.5%,
3/25/47
........................
United
States
2,978,032
451,676
f
2024-10,
FA,
FRN,
4.716%,
(30-day
SOFR
Average
+
1.1%),
3/25/54
.........................................
United
States
985,345
987,932
f
2026-43,
FD,
FRN,
4.546%,
(30-day
SOFR
Average
+
0.93%),
6/25/56
.........................................
United
States
2,113,359
2,114,363
k
409,
C24,
IO,
4.5%,
4/25/42
..........................
United
States
2,747,895
532,255
b,f
FNMA
Multi-family
Connecticut
Avenue
Securities
Trust
,
2019-01,
M10,
144A,
FRN,
6.981%,
(30-day
SOFR
Average
+
3.364%),
10/25/49
.................................
United
States
2,155,555
2,177,776
2020-01,
M10,
144A,
FRN,
7.481%,
(30-day
SOFR
Average
+
3.864%),
3/25/50
..................................
United
States
2,554,825
2,595,546
b,f
FREMF
Mortgage
Trust
,
2018-KF43
,
B
,
144A,
FRN
,
5.896
%
,
(
30-
day
SOFR
Average
+
2.264
%
),
1/25/28
.................
United
States
2,579,818
2,526,518