# EDGAR Filing Document

**Accession Number:** 0000764624
**File Stem:** 0000940400-26-021635
**Filing Date:** 2026-5
**Character Count:** 343218
**Document Hash:** f9edf25606938b7340ff2de4db0e08a9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-021635.hdr.sgml**: 20260528

**ACCESSION NUMBER**: 0000940400-26-021635

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260528

**DATE AS OF CHANGE**: 20260528

**PERIOD START**: 20261231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LEGG MASON PARTNERS INCOME TRUST
- **CENTRAL INDEX KEY:** 0000764624

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04254
- **FILM NUMBER:** 261031898

**BUSINESS ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018
- **BUSINESS PHONE:** 1-877-721-1926

**MAIL ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LEGG MASON PARTNERS INCOME FUNDS
- **DATE OF NAME CHANGE:** 20060407

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SMITH BARNEY INCOME FUNDS
- **DATE OF NAME CHANGE:** 19941228

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SMITH BARNEY SHEARSON INCOME FUNDS
- **DATE OF NAME CHANGE:** 19931015

## Series and Classes Contracts Data

### Western Asset Mortgage Total Return Fund (Series ID: S000016649)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000046506 | Class A      | SGVAX           |
| C000046508 | Class C1     | SGSLX           |
| C000046509 | Class I      | SGSYX           |
| C000046510 | Class 1      | SGVSX           |
| C000088509 | Class C      | LWMSX           |
| C000118880 | Class IS     | LMBSX           |

## Nport-Ex

Schedule of Investments (unaudited)

March 31, 2026

***If you need assistance accessing this content, please reach out to your sales representative or send an email to*** <u>accessibility@franklintempleton.com.</u>

 **Western Asset Mortgage Total Return Fund**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity <br>Date<br>| &nbsp;&nbsp; Face <br>Amount<br>| Value |
| **Mortgage-Backed Securities — 64.5%** | **Mortgage-Backed Securities — 64.5%** | **Mortgage-Backed Securities — 64.5%** | **Mortgage-Backed Securities — 64.5%** | **Mortgage-Backed Securities — 64.5%** |
| *FHLMC — 5.9%* | *FHLMC — 5.9%* | *FHLMC — 5.9%* | *FHLMC — 5.9%* | *FHLMC — 5.9%* |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 4/1/41- <br>9/1/41<br>| &nbsp;&nbsp; $1960859 | &nbsp;&nbsp;&nbsp; $1771641<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 9/1/41- <br>4/1/51<br>| &nbsp;&nbsp; 1049351 | &nbsp;&nbsp;&nbsp; 887255<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 3/1/43 | &nbsp;&nbsp; 593217<br>| &nbsp;&nbsp;&nbsp; 558176<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 7/1/49- <br>5/1/53<br>| &nbsp;&nbsp; 402170 | &nbsp;&nbsp;&nbsp; 393651<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 5/1/50 | &nbsp;&nbsp; 144874<br>| &nbsp;&nbsp;&nbsp; 130889<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 5/1/53- <br>8/1/55<br>| &nbsp;&nbsp; 4647033 | &nbsp;&nbsp;&nbsp; 4824917<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer <br> Cash Fallbacks + 1.617%) | &nbsp;&nbsp; 5.189% | &nbsp;&nbsp; 11/1/47 | &nbsp;&nbsp; 209659<br>| &nbsp;&nbsp;&nbsp; 216605<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer <br> Cash Fallbacks + 1.622%) | &nbsp;&nbsp; 3.419% | &nbsp;&nbsp; 2/1/50 | &nbsp;&nbsp; 325951<br>| &nbsp;&nbsp;&nbsp; 333547<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer <br> Cash Fallbacks + 1.627%) | &nbsp;&nbsp; 3.007% | &nbsp;&nbsp; 11/1/48 | &nbsp;&nbsp; 1248266<br>| &nbsp;&nbsp;&nbsp; 1250804<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 12/1/33- <br>8/1/43<br>| &nbsp;&nbsp; 3280887 | &nbsp;&nbsp;&nbsp; 3203943<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 10/1/46 | &nbsp;&nbsp; 7096529<br>| &nbsp;&nbsp;&nbsp; 6435289<br>|
| *Total FHLMC* | *Total FHLMC* | *Total FHLMC* | *Total FHLMC* | &nbsp;&nbsp; *20006717* |
| *FNMA — 38.9%* | *FNMA — 38.9%* | *FNMA — 38.9%* | *FNMA — 38.9%* | *FNMA — 38.9%* |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 4/1/41- <br>9/1/61<br>| &nbsp;&nbsp; 2218343 | &nbsp;&nbsp;&nbsp; 1920131<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 1.500% | &nbsp;&nbsp; 2/1/42 | &nbsp;&nbsp; 5703912<br>| &nbsp;&nbsp;&nbsp; 4859528<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 5/1/42- <br>5/1/43<br>| &nbsp;&nbsp; 2894170 | &nbsp;&nbsp;&nbsp; 2803892<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 8/1/42- <br>3/1/51<br>| &nbsp;&nbsp; 16996878 | &nbsp;&nbsp;&nbsp; 14841268<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 2/1/43- <br>4/1/43<br>| &nbsp;&nbsp; 2932605 | &nbsp;&nbsp;&nbsp; 2686468<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 11/1/45 | &nbsp;&nbsp; 2517448<br>| &nbsp;&nbsp;&nbsp; 2561820<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 12/1/46- <br>3/1/57<br>| &nbsp;&nbsp; 3294840 | &nbsp;&nbsp;&nbsp; 3066939<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/1/48- <br>1/1/59<br>| &nbsp;&nbsp; 2014910 | &nbsp;&nbsp;&nbsp; 1958408<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 12/1/53- <br>7/1/55<br>| &nbsp;&nbsp; 1552944 | &nbsp;&nbsp;&nbsp; 1608390<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 6700000<br>| &nbsp;&nbsp;&nbsp; 5398211<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 17900000<br>| &nbsp;&nbsp;&nbsp; 15052781<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 7700000<br>| &nbsp;&nbsp;&nbsp; 6764388<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 5500000<br>| &nbsp;&nbsp;&nbsp; 5042831<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 9000000<br>| &nbsp;&nbsp;&nbsp; 8687160<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 14900000<br>| &nbsp;&nbsp;&nbsp; 14696779<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 22500000<br>| &nbsp;&nbsp;&nbsp; 22607149<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 17100000<br>| &nbsp;&nbsp;&nbsp; 17433181<br> <sup>(b)</sup><br>|
| *Total FNMA* | *Total FNMA* | *Total FNMA* | *Total FNMA* | &nbsp;&nbsp; *131989324* |

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| *GNMA — 19.7%* | *GNMA — 19.7%* | *GNMA — 19.7%* | *GNMA — 19.7%* | *GNMA — 19.7%* |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 4/15/40- <br>5/15/40<br>| &nbsp;&nbsp; $267533 | &nbsp;&nbsp;&nbsp; $273067<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 9/15/42- <br>11/15/42<br>| &nbsp;&nbsp; 444861 | &nbsp;&nbsp;&nbsp; 405394<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 6/15/48- <br>6/15/50<br>| &nbsp;&nbsp; 1538464 | &nbsp;&nbsp;&nbsp; 1446556<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 3/15/50 | &nbsp;&nbsp; 50163<br>| &nbsp;&nbsp;&nbsp; 47414<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 7/20/47- <br>8/20/50<br>| &nbsp;&nbsp; 3933976 | &nbsp;&nbsp;&nbsp; 3696841<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 8/20/47- <br>2/20/50<br>| &nbsp;&nbsp; 3322102 | &nbsp;&nbsp;&nbsp; 3082578<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/20/48- <br>7/20/50<br>| &nbsp;&nbsp; 677390 | &nbsp;&nbsp;&nbsp; 651690<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 9/20/49- <br>1/20/53<br>| &nbsp;&nbsp; 874688 | &nbsp;&nbsp;&nbsp; 879327<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/20/50- <br>3/20/52<br>| &nbsp;&nbsp; 5677003 | &nbsp;&nbsp;&nbsp; 5026679<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/20/50- <br>5/20/51<br>| &nbsp;&nbsp; 500041 | &nbsp;&nbsp;&nbsp; 427323<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 3/20/51 | &nbsp;&nbsp; 284471<br>| &nbsp;&nbsp;&nbsp; 231684<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 8100000<br>| &nbsp;&nbsp;&nbsp; 6693258<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 8300000<br>| &nbsp;&nbsp;&nbsp; 7141891<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 3000000<br>| &nbsp;&nbsp;&nbsp; 2678718<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 200000<br>| &nbsp;&nbsp;&nbsp; 183474<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 7300000<br>| &nbsp;&nbsp;&nbsp; 7053360<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 8900000<br>| &nbsp;&nbsp;&nbsp; 8815777<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 11700000<br>| &nbsp;&nbsp;&nbsp; 11776342<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 4800000<br>| &nbsp;&nbsp;&nbsp; 4881420<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 1100000<br>| &nbsp;&nbsp;&nbsp; 1143326<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II (1 mo. FTSE USD IBOR <br> Consumer Cash Fallbacks + 1.777%) | &nbsp;&nbsp; 5.616% | &nbsp;&nbsp; 6/20/60 | &nbsp;&nbsp; 398766<br>| &nbsp;&nbsp;&nbsp; 407895<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II (1 year Treasury <br> Constant Maturity Rate + 1.229%) | &nbsp;&nbsp; 4.739% | &nbsp;&nbsp; 8/20/58 | &nbsp;&nbsp; 716<br>| &nbsp;&nbsp;&nbsp; 718<br> <sup>(a)</sup><br>|
| *Total GNMA* | *Total GNMA* | *Total GNMA* | *Total GNMA* | &nbsp;&nbsp; *66944732* |
| **Total Mortgage-Backed Securities (Cost — $224,032,838)** | **Total Mortgage-Backed Securities (Cost — $224,032,838)** | **Total Mortgage-Backed Securities (Cost — $224,032,838)** | **Total Mortgage-Backed Securities (Cost — $224,032,838)** | &nbsp;&nbsp; **218940773** |
| **Collateralized Mortgage Obligations**<sup>(c)</sup> **— 57.4%** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— 57.4%** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— 57.4%** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— 57.4%** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— 57.4%** |
| &nbsp;&nbsp;&nbsp; 280 Park Avenue Mortgage Trust, 2017-280P F (1 mo. Term SOFR + 3.127%) | &nbsp;&nbsp; 6.797% | &nbsp;&nbsp; 9/15/34 | &nbsp;&nbsp; 2500000<br>| &nbsp;&nbsp;&nbsp; 2431139<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2006-OA9 2A1B (1 mo. Term SOFR + 0.514%) | &nbsp;&nbsp; 4.190% | &nbsp;&nbsp; 7/20/46 | &nbsp;&nbsp; 52035<br>| &nbsp;&nbsp;&nbsp; 45857<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Atrium Hotel Portfolio Trust, 2017-ATRM E (1 mo. Term SOFR + 3.347%) | &nbsp;&nbsp; 7.020% | &nbsp;&nbsp; 12/15/36 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 946925<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BANK, 2021-BN32 XA, IO | &nbsp;&nbsp; 0.756% | &nbsp;&nbsp; 4/15/54 | &nbsp;&nbsp; 5733315<br>| &nbsp;&nbsp;&nbsp; 154038<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Benchmark Mortgage Trust, 2021-B25 XA, IO | &nbsp;&nbsp; 1.063% | &nbsp;&nbsp; 4/15/54 | &nbsp;&nbsp; 16192279<br>| &nbsp;&nbsp;&nbsp; 654655<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; BF Mortgage Trust, 2019-NYT C (1 mo. Term SOFR + 1.997%) | &nbsp;&nbsp; 5.670% | &nbsp;&nbsp; 12/15/35 | &nbsp;&nbsp; 1500000<br>| &nbsp;&nbsp;&nbsp; 1456226<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BFLD Commercial Mortgage Trust, 2024-UNIV E (1 mo. Term SOFR + 3.640%) | &nbsp;&nbsp; 7.312% | &nbsp;&nbsp; 11/15/41 | &nbsp;&nbsp; 1170000<br>| &nbsp;&nbsp;&nbsp; 1173599<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BMP Trust, 2024-MF23 E (1 mo. Term SOFR + 3.389%) | &nbsp;&nbsp; 7.062% | &nbsp;&nbsp; 6/15/41 | &nbsp;&nbsp; 1420000<br>| &nbsp;&nbsp;&nbsp; 1418093<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BRAVO Residential Funding Trust, 2024-NQM5 A3 | &nbsp;&nbsp; 6.158% | &nbsp;&nbsp; 6/25/64 | &nbsp;&nbsp; 621513<br>| &nbsp;&nbsp;&nbsp; 625184<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BRES Commercial Mortgage Trust, 2025-ATCAP F (1 mo. Term SOFR + 5.189%) | &nbsp;&nbsp; 8.861% | &nbsp;&nbsp; 11/15/42 | &nbsp;&nbsp; 1250000<br>| &nbsp;&nbsp;&nbsp; 1248224<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2019-IMC G (1 mo. Term SOFR + 3.646%) | &nbsp;&nbsp; 7.319% | &nbsp;&nbsp; 4/15/34 | &nbsp;&nbsp; 1500000<br>| &nbsp;&nbsp;&nbsp; 1463768<br> <sup>(a)(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2024-BIO2 D | &nbsp;&nbsp; 7.713% | &nbsp;&nbsp; 8/13/41 | &nbsp;&nbsp; $1020000<br>| &nbsp;&nbsp;&nbsp; $987897<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2025-SPOT E (1 mo. Term SOFR + 3.690%) | &nbsp;&nbsp; 7.363% | &nbsp;&nbsp; 4/15/40 | &nbsp;&nbsp; 1178635<br>| &nbsp;&nbsp;&nbsp; 1180812<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2026-CSMO D (1 mo. Term SOFR + 2.450%) | &nbsp;&nbsp; 6.123% | &nbsp;&nbsp; 2/15/43 | &nbsp;&nbsp; 840000<br>| &nbsp;&nbsp;&nbsp; 843409<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2026-VLT9 E (1 mo. Term SOFR + 4.250%) | &nbsp;&nbsp; 7.923% | &nbsp;&nbsp; 3/15/45 | &nbsp;&nbsp; 780000<br>| &nbsp;&nbsp;&nbsp; 773632<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Trust, 2024-VLT4 E (1 mo. Term SOFR + 2.889%) | &nbsp;&nbsp; 6.562% | &nbsp;&nbsp; 6/15/41 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1180443<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CEDR Commercial Mortgage Trust, 2022-SNAI D (1 mo. Term SOFR + 2.376%) | &nbsp;&nbsp; 6.048% | &nbsp;&nbsp; 2/15/39 | &nbsp;&nbsp; 2250000<br>| &nbsp;&nbsp;&nbsp; 2205412<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CIM Trust, 2021-INV1 AXS, IO | &nbsp;&nbsp; 0.190% | &nbsp;&nbsp; 7/1/51 | &nbsp;&nbsp; 73130664<br>| &nbsp;&nbsp;&nbsp; 647265<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Commercial Mortgage Trust, 2015-GC29 C | &nbsp;&nbsp; 3.975% | &nbsp;&nbsp; 4/10/48 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 895500<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities Corp., 2002-10 2A1 | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 5/25/32 | &nbsp;&nbsp; 93281<br>| &nbsp;&nbsp;&nbsp; 93992<br>|
| &nbsp;&nbsp;&nbsp; CSAIL Commercial Mortgage Trust, 2015-C3 C | &nbsp;&nbsp; 4.130% | &nbsp;&nbsp; 8/15/48 | &nbsp;&nbsp; 814581<br>| &nbsp;&nbsp;&nbsp; 790805<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2017-RPL3 B3 | &nbsp;&nbsp; 4.339% | &nbsp;&nbsp; 8/1/57 | &nbsp;&nbsp; 1105713<br>| &nbsp;&nbsp;&nbsp; 1078010<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; DK Note Backed Trust, 2024-SPT1 A | &nbsp;&nbsp; 7.086% | &nbsp;&nbsp; 4/28/66 | &nbsp;&nbsp; 583087<br>| &nbsp;&nbsp;&nbsp; 591376<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Extended Stay America Trust, 2025-ESH D (1 mo. Term SOFR + 2.600%) | &nbsp;&nbsp; 6.273% | &nbsp;&nbsp; 10/15/42 | &nbsp;&nbsp; 900000<br>| &nbsp;&nbsp;&nbsp; 903355<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily PC REMIC Trust, <br> 2019-RR01 X, IO | &nbsp;&nbsp; 1.534% | &nbsp;&nbsp; 6/25/28 | &nbsp;&nbsp; 2400000<br>| &nbsp;&nbsp;&nbsp; 63278<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Credit <br> Risk Trust, 2023-MN7 B1 (30 Day Average SOFR + 8.850%) | &nbsp;&nbsp; 12.512% | &nbsp;&nbsp; 9/25/43 | &nbsp;&nbsp; 1600000<br>| &nbsp;&nbsp;&nbsp; 1861328<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K116 X1, IO | &nbsp;&nbsp; 1.407% | &nbsp;&nbsp; 7/25/30 | &nbsp;&nbsp; 1063788<br>| &nbsp;&nbsp;&nbsp; 52039<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K132 X1, IO | &nbsp;&nbsp; 0.505% | &nbsp;&nbsp; 8/25/31 | &nbsp;&nbsp; 11349672<br>| &nbsp;&nbsp;&nbsp; 262528<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K141 X1, IO | &nbsp;&nbsp; 0.305% | &nbsp;&nbsp; 2/25/32 | &nbsp;&nbsp; 34118495<br>| &nbsp;&nbsp;&nbsp; 580813<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K142 X1, IO | &nbsp;&nbsp; 0.297% | &nbsp;&nbsp; 3/25/32 | &nbsp;&nbsp; 17038885<br>| &nbsp;&nbsp;&nbsp; 273449<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K143 X1, IO | &nbsp;&nbsp; 0.343% | &nbsp;&nbsp; 4/25/55 | &nbsp;&nbsp; 66086282<br>| &nbsp;&nbsp;&nbsp; 1247339<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K148 X1, IO | &nbsp;&nbsp; 0.250% | &nbsp;&nbsp; 7/25/32 | &nbsp;&nbsp; 25435978<br>| &nbsp;&nbsp;&nbsp; 406910<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K155 X1, IO | &nbsp;&nbsp; 0.264% | &nbsp;&nbsp; 4/25/33 | &nbsp;&nbsp; 21019249<br>| &nbsp;&nbsp;&nbsp; 393775<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K742 X1, IO | &nbsp;&nbsp; 0.625% | &nbsp;&nbsp; 3/25/28 | &nbsp;&nbsp; 4585486<br>| &nbsp;&nbsp;&nbsp; 45768<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K1510 X1, IO | &nbsp;&nbsp; 0.480% | &nbsp;&nbsp; 1/25/34 | &nbsp;&nbsp; 39502651<br>| &nbsp;&nbsp;&nbsp; 1053962<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K1516 X1, IO | &nbsp;&nbsp; 1.503% | &nbsp;&nbsp; 5/25/35 | &nbsp;&nbsp; 4276510<br>| &nbsp;&nbsp;&nbsp; 441983<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, K1520 X1, IO | &nbsp;&nbsp; 0.469% | &nbsp;&nbsp; 2/25/36 | &nbsp;&nbsp; 14794995<br>| &nbsp;&nbsp;&nbsp; 481138<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-<br> Through Certificates, KG06 X1, IO | &nbsp;&nbsp; 0.532% | &nbsp;&nbsp; 10/25/31 | &nbsp;&nbsp; 14646335<br>| &nbsp;&nbsp;&nbsp; 349015<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4134 IM, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 11/15/42 | &nbsp;&nbsp; 2033331<br>| &nbsp;&nbsp;&nbsp; 329637<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4210 Z | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 5/15/43 | &nbsp;&nbsp; 3602356<br>| &nbsp;&nbsp;&nbsp; 3024451<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4377 UZ | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 8/15/44 | &nbsp;&nbsp; 2618038<br>| &nbsp;&nbsp;&nbsp; 2137689<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4808 SB, IO (-1.000 x 30 <br> Day Average SOFR + 6.086%) | &nbsp;&nbsp; 2.413% | &nbsp;&nbsp; 7/15/48 | &nbsp;&nbsp; 870007<br>| &nbsp;&nbsp;&nbsp; 108971<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4813 CJ | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 8/15/48 | &nbsp;&nbsp; 273158<br>| &nbsp;&nbsp;&nbsp; 239901<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4882 S, IO, PAC (-1.000 x <br> 30 Day Average SOFR + 5.936%) | &nbsp;&nbsp; 2.263% | &nbsp;&nbsp; 5/15/49 | &nbsp;&nbsp; $1170353<br>| &nbsp;&nbsp;&nbsp; $131016<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4921 SN, IO (-1.000 x 30 <br> Day Average SOFR + 5.936%) | &nbsp;&nbsp; 2.274% | &nbsp;&nbsp; 10/25/49 | &nbsp;&nbsp; 2358928<br>| &nbsp;&nbsp;&nbsp; 305076<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4931 DZ, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 11/25/49 | &nbsp;&nbsp; 3546062<br>| &nbsp;&nbsp;&nbsp; 2660658<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4980 KI, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/25/50 | &nbsp;&nbsp; 850952<br>| &nbsp;&nbsp;&nbsp; 200229<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4981 YI, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/25/50 | &nbsp;&nbsp; 4624262<br>| &nbsp;&nbsp;&nbsp; 1078787<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4988 AZ | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 7/25/50 | &nbsp;&nbsp; 3814005<br>| &nbsp;&nbsp;&nbsp; 2309424<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4995 IQ, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 7/25/50 | &nbsp;&nbsp; 1823557<br>| &nbsp;&nbsp;&nbsp; 266941<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4995 QI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 7/25/50 | &nbsp;&nbsp; 9385957<br>| &nbsp;&nbsp;&nbsp; 1399754<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5050 IE, IO, PAC | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 12/25/50 | &nbsp;&nbsp; 4820518<br>| &nbsp;&nbsp;&nbsp; 582386<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5056 PI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/25/50 | &nbsp;&nbsp; 2517678<br>| &nbsp;&nbsp;&nbsp; 336781<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5058 IL, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 1/25/51 | &nbsp;&nbsp; 1787874<br>| &nbsp;&nbsp;&nbsp; 263417<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5059 IB, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 1/25/51 | &nbsp;&nbsp; 1014325<br>| &nbsp;&nbsp;&nbsp; 170935<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5070 NI, IO | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 2/25/51 | &nbsp;&nbsp; 3996042<br>| &nbsp;&nbsp;&nbsp; 562007<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5078 EI, IO | &nbsp;&nbsp; 1.500% | &nbsp;&nbsp; 1/25/51 | &nbsp;&nbsp; 4635004<br>| &nbsp;&nbsp;&nbsp; 482495<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5085 IK, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 3/25/51 | &nbsp;&nbsp; 15074490<br>| &nbsp;&nbsp;&nbsp; 2470171<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5092 IU, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 2/25/51 | &nbsp;&nbsp; 6423891<br>| &nbsp;&nbsp;&nbsp; 764990<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5113 NI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 6/25/51 | &nbsp;&nbsp; 1920192<br>| &nbsp;&nbsp;&nbsp; 238262<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5134 KI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 7/25/48 | &nbsp;&nbsp; 6647160<br>| &nbsp;&nbsp;&nbsp; 880171<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5135 DI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 5/25/48 | &nbsp;&nbsp; 6162846<br>| &nbsp;&nbsp;&nbsp; 846336<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5140 NI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 5/25/49 | &nbsp;&nbsp; 6715123<br>| &nbsp;&nbsp;&nbsp; 970181<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5149 NI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 1/25/51 | &nbsp;&nbsp; 810315<br>| &nbsp;&nbsp;&nbsp; 120567<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5160 IU, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 11/25/50 | &nbsp;&nbsp; 4483338<br>| &nbsp;&nbsp;&nbsp; 603946<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5169 PW, PAC | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 9/25/51 | &nbsp;&nbsp; 4700000<br>| &nbsp;&nbsp;&nbsp; 3294483<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5178 CY | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 1/25/42 | &nbsp;&nbsp; 4400000<br>| &nbsp;&nbsp;&nbsp; 3113334<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5180 IP, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/25/52 | &nbsp;&nbsp; 4883309<br>| &nbsp;&nbsp;&nbsp; 982887<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5202 IN, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/25/47 | &nbsp;&nbsp; 3895399<br>| &nbsp;&nbsp;&nbsp; 501835<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5202 NI, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 8/25/46 | &nbsp;&nbsp; 1425467<br>| &nbsp;&nbsp;&nbsp; 176779<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5209 EQ | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 4/25/52 | &nbsp;&nbsp; 2800000<br>| &nbsp;&nbsp;&nbsp; 2115847<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5408 GI, IO, PAC | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 4/25/54 | &nbsp;&nbsp; 2090157<br>| &nbsp;&nbsp;&nbsp; 345689<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5408 PI, IO, PAC | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 3/25/54 | &nbsp;&nbsp; 916263<br>| &nbsp;&nbsp;&nbsp; 182915<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5449 FQ (30 Day Average <br> SOFR + 1.500%) | &nbsp;&nbsp; 5.162% | &nbsp;&nbsp; 9/25/54 | &nbsp;&nbsp; 315515<br>| &nbsp;&nbsp;&nbsp; 317351<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5482 FC (30 Day Average <br> SOFR + 1.300%) | &nbsp;&nbsp; 4.962% | &nbsp;&nbsp; 12/25/54 | &nbsp;&nbsp; 320527<br>| &nbsp;&nbsp;&nbsp; 322655<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5523 IQ, IO, PAC | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 4/25/55 | &nbsp;&nbsp; 4767307<br>| &nbsp;&nbsp;&nbsp; 835055<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit <br> Risk Trust, 2026-DNA2 B1 (30 Day Average SOFR + 2.100%) | &nbsp;&nbsp; 5.772% | &nbsp;&nbsp; 3/25/46 | &nbsp;&nbsp; 2400000<br>| &nbsp;&nbsp;&nbsp; 2402828<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2016-1 B, PO | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 9/25/55 | &nbsp;&nbsp; 4369380<br>| &nbsp;&nbsp;&nbsp; 669211<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2016-1 BIO, IO | &nbsp;&nbsp; 1.520% | &nbsp;&nbsp; 9/25/55 | &nbsp;&nbsp; 6910946<br>| &nbsp;&nbsp;&nbsp; 810216<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2016-1 M2 | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 9/25/55 | &nbsp;&nbsp; 696349<br>| &nbsp;&nbsp;&nbsp; 645637<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2016-1 XSIO, IO | &nbsp;&nbsp; 0.075% | &nbsp;&nbsp; 9/25/55 | &nbsp;&nbsp; 43467449<br>| &nbsp;&nbsp;&nbsp; 176652<br> <sup>(a)(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Securitized Participation Interests Trust, 2017-SPI1 B | &nbsp;&nbsp; 4.107% | &nbsp;&nbsp; 9/25/47 | &nbsp;&nbsp; $1788500<br>| &nbsp;&nbsp;&nbsp; $1312793<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2018-HRP1 B2 (30 Day Average SOFR + 11.864%) | &nbsp;&nbsp; 15.526% | &nbsp;&nbsp; 5/25/43 | &nbsp;&nbsp; 2033309<br>| &nbsp;&nbsp;&nbsp; 2385805<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2019-FTR1 B2 (30 Day Average SOFR + 8.464%) | &nbsp;&nbsp; 12.126% | &nbsp;&nbsp; 1/25/48 | &nbsp;&nbsp; 2810000<br>| &nbsp;&nbsp;&nbsp; 3319804<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2019-HQA3 B2 (30 Day Average SOFR + 7.614%) | &nbsp;&nbsp; 11.276% | &nbsp;&nbsp; 9/25/49 | &nbsp;&nbsp; 860000<br>| &nbsp;&nbsp;&nbsp; 955964<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2025-R02 1B1 (30 <br> Day Average SOFR + 1.950%) | &nbsp;&nbsp; 5.612% | &nbsp;&nbsp; 2/25/45 | &nbsp;&nbsp; 600000<br>| &nbsp;&nbsp;&nbsp; 601291<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2019-M11 X1, IO | &nbsp;&nbsp; 0.793% | &nbsp;&nbsp; 6/25/29 | &nbsp;&nbsp; 10634953<br>| &nbsp;&nbsp;&nbsp; 252013<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M11 IO, IO | &nbsp;&nbsp; 1.773% | &nbsp;&nbsp; 1/25/29 | &nbsp;&nbsp; 5642921<br>| &nbsp;&nbsp;&nbsp; 212499<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M16 X1, IO | &nbsp;&nbsp; 0.454% | &nbsp;&nbsp; 4/25/32 | &nbsp;&nbsp; 39360419<br>| &nbsp;&nbsp;&nbsp; 636623<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M24 X1, IO | &nbsp;&nbsp; 1.596% | &nbsp;&nbsp; 1/25/37 | &nbsp;&nbsp; 4870024<br>| &nbsp;&nbsp;&nbsp; 378603<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M31 X2, IO | &nbsp;&nbsp; 1.212% | &nbsp;&nbsp; 12/25/32 | &nbsp;&nbsp; 16974578<br>| &nbsp;&nbsp;&nbsp; 743475<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2009-59 LB | &nbsp;&nbsp; 4.706% | &nbsp;&nbsp; 8/25/39 | &nbsp;&nbsp; 159739<br>| &nbsp;&nbsp;&nbsp; 160581<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2009-74 TX, PAC | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 9/25/39 | &nbsp;&nbsp; 419473<br>| &nbsp;&nbsp;&nbsp; 423840<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2010-2 AI, IO | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 2/25/40 | &nbsp;&nbsp; 145262<br>| &nbsp;&nbsp;&nbsp; 17853<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2011-59 NZ | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 7/25/41 | &nbsp;&nbsp; 95533<br>| &nbsp;&nbsp;&nbsp; 98057<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2011-144 PT | &nbsp;&nbsp; 11.808% | &nbsp;&nbsp; 1/25/38 | &nbsp;&nbsp; 154688<br>| &nbsp;&nbsp;&nbsp; 191352<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-51 B | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 5/25/42 | &nbsp;&nbsp; 110819<br>| &nbsp;&nbsp;&nbsp; 119355<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2013-9 BC | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 7/25/42 | &nbsp;&nbsp; 123200<br>| &nbsp;&nbsp;&nbsp; 129949<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2013-9 CB | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 4/25/42 | &nbsp;&nbsp; 765328<br>| &nbsp;&nbsp;&nbsp; 785598<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2014-49 KS, IO | &nbsp;&nbsp; 2.237% | &nbsp;&nbsp; 8/25/44 | &nbsp;&nbsp; 618576<br>| &nbsp;&nbsp;&nbsp; 45304<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2016-48 IA, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/25/38 | &nbsp;&nbsp; 3258180<br>| &nbsp;&nbsp;&nbsp; 384693<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2018-3 IO, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 2/25/48 | &nbsp;&nbsp; 3164716<br>| &nbsp;&nbsp;&nbsp; 621112<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2018-74 AB | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 10/25/48 | &nbsp;&nbsp; 1109063<br>| &nbsp;&nbsp;&nbsp; 1031021<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2019-33 ZJ | &nbsp;&nbsp; 2.750% | &nbsp;&nbsp; 7/25/49 | &nbsp;&nbsp; 2493617<br>| &nbsp;&nbsp;&nbsp; 1792066<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2019-59 SH, IO <br> (-1.000 x 30 Day Average SOFR + 5.886%) | &nbsp;&nbsp; 2.224% | &nbsp;&nbsp; 10/25/49 | &nbsp;&nbsp; 2953091<br>| &nbsp;&nbsp;&nbsp; 349293<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-47 GZ | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 7/25/50 | &nbsp;&nbsp; 1346119<br>| &nbsp;&nbsp;&nbsp; 812346<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-62 BI, IO | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 9/25/50 | &nbsp;&nbsp; 1392906<br>| &nbsp;&nbsp;&nbsp; 158838<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-63 KI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 9/25/50 | &nbsp;&nbsp; 1242202<br>| &nbsp;&nbsp;&nbsp; 74438<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-74 EI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/25/50 | &nbsp;&nbsp; 450414<br>| &nbsp;&nbsp;&nbsp; 76639<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-88 GI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/25/50 | &nbsp;&nbsp; 1667973<br>| &nbsp;&nbsp;&nbsp; 265504<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-93 LI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 1/25/51 | &nbsp;&nbsp; 4697540<br>| &nbsp;&nbsp;&nbsp; 688608<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-3 NI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 2/25/51 | &nbsp;&nbsp; 609416<br>| &nbsp;&nbsp;&nbsp; 92173<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-33 AI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 5/25/47 | &nbsp;&nbsp; 1685344<br>| &nbsp;&nbsp;&nbsp; 226429<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-42 NI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 11/25/48 | &nbsp;&nbsp; 6933802<br>| &nbsp;&nbsp;&nbsp; 954087<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-46 BI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/25/48 | &nbsp;&nbsp; 4759543<br>| &nbsp;&nbsp;&nbsp; 668341<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-49 GI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/25/48 | &nbsp;&nbsp; 3029807<br>| &nbsp;&nbsp;&nbsp; 420124<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-52 CI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/25/47 | &nbsp;&nbsp; 9094491<br>| &nbsp;&nbsp;&nbsp; 1242860<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-54 KI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 5/25/49 | &nbsp;&nbsp; 662434<br>| &nbsp;&nbsp;&nbsp; 88244<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-59 TI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 9/25/51 | &nbsp;&nbsp; 5040162<br>| &nbsp;&nbsp;&nbsp; 762135<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-61 KI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 4/25/49 | &nbsp;&nbsp; 924877<br>| &nbsp;&nbsp;&nbsp; 137975<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-63 QI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 6/25/51 | &nbsp;&nbsp; 710795<br>| &nbsp;&nbsp;&nbsp; 86155<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-74 IO, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/25/51 | &nbsp;&nbsp; 10438645<br>| &nbsp;&nbsp;&nbsp; 1816760<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-91 IG, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 1/25/52 | &nbsp;&nbsp; $1717201<br>| &nbsp;&nbsp;&nbsp; $252251<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2022-29 KZ | &nbsp;&nbsp; 1.500% | &nbsp;&nbsp; 6/25/42 | &nbsp;&nbsp; 6990372<br>| &nbsp;&nbsp;&nbsp; 5281835<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2022-57 BC | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 9/25/52 | &nbsp;&nbsp; 646271<br>| &nbsp;&nbsp;&nbsp; 617060<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2024-22 IC, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/25/51 | &nbsp;&nbsp; 9276476<br>| &nbsp;&nbsp;&nbsp; 1256155<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 406 2, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 2/25/41 | &nbsp;&nbsp; 1035312<br>| &nbsp;&nbsp;&nbsp; 165728<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 417 C5, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 2/25/43 | &nbsp;&nbsp; 2041211<br>| &nbsp;&nbsp;&nbsp; 340676<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 418 C15, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 8/25/43 | &nbsp;&nbsp; 4819502<br>| &nbsp;&nbsp;&nbsp; 815124<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 435 C28, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 9/25/52 | &nbsp;&nbsp; 1578454<br>| &nbsp;&nbsp;&nbsp; 294800<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 440 C50, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 10/25/53 | &nbsp;&nbsp; 3761913<br>| &nbsp;&nbsp;&nbsp; 821247<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2009-H01 FA (1 mo. <br> Term SOFR + 1.264%) | &nbsp;&nbsp; 4.940% | &nbsp;&nbsp; 11/20/59 | &nbsp;&nbsp; 49156<br>| &nbsp;&nbsp;&nbsp; 49613<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2010-H02 FA (1 mo. <br> Term SOFR + 0.794%) | &nbsp;&nbsp; 4.467% | &nbsp;&nbsp; 2/20/60 | &nbsp;&nbsp; 134556<br>| &nbsp;&nbsp;&nbsp; 134938<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-72 IO, IO | &nbsp;&nbsp; 0.559% | &nbsp;&nbsp; 11/16/47 | &nbsp;&nbsp; 6541549<br>| &nbsp;&nbsp;&nbsp; 127936<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-82 TI, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 5/20/43 | &nbsp;&nbsp; 4855885<br>| &nbsp;&nbsp;&nbsp; 609027<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-142 IO, IO | &nbsp;&nbsp; 0.980% | &nbsp;&nbsp; 9/16/51 | &nbsp;&nbsp; 1565164<br>| &nbsp;&nbsp;&nbsp; 25409<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-2 CI, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 1/20/44 | &nbsp;&nbsp; 657068<br>| &nbsp;&nbsp;&nbsp; 134372<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-50 IO, IO | &nbsp;&nbsp; 0.587% | &nbsp;&nbsp; 9/16/55 | &nbsp;&nbsp; 904481<br>| &nbsp;&nbsp;&nbsp; 20643<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2015-20 PI, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 2/20/45 | &nbsp;&nbsp; 584458<br>| &nbsp;&nbsp;&nbsp; 96022<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2015-167 OI, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 4/16/45 | &nbsp;&nbsp; 1463496<br>| &nbsp;&nbsp;&nbsp; 284951<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2016-156 PB, PAC | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 11/20/46 | &nbsp;&nbsp; 5417124<br>| &nbsp;&nbsp;&nbsp; 3905075<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-21 IO, IO | &nbsp;&nbsp; 0.590% | &nbsp;&nbsp; 10/16/58 | &nbsp;&nbsp; 6942051<br>| &nbsp;&nbsp;&nbsp; 213728<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-26 IQ, IO | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/20/40 | &nbsp;&nbsp; 2578330<br>| &nbsp;&nbsp;&nbsp; 507556<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-41 IO, IO | &nbsp;&nbsp; 0.494% | &nbsp;&nbsp; 7/16/58 | &nbsp;&nbsp; 301913<br>| &nbsp;&nbsp;&nbsp; 6853<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-190 IO, IO | &nbsp;&nbsp; 0.616% | &nbsp;&nbsp; 3/16/60 | &nbsp;&nbsp; 1321281<br>| &nbsp;&nbsp;&nbsp; 48732<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2018-134 SM, IO (-1.000 <br> x 1 mo. Term SOFR + 6.086%) | &nbsp;&nbsp; 2.410% | &nbsp;&nbsp; 10/20/48 | &nbsp;&nbsp; 1693421<br>| &nbsp;&nbsp;&nbsp; 182329<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2018-168 PA, PAC-1 | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 8/20/48 | &nbsp;&nbsp; 724746<br>| &nbsp;&nbsp;&nbsp; 697325<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2019-18 TP, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 2/20/49 | &nbsp;&nbsp; 544373<br>| &nbsp;&nbsp;&nbsp; 491213<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2019-137 PI, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 11/20/49 | &nbsp;&nbsp; 2347753<br>| &nbsp;&nbsp;&nbsp; 458899<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-29 JI, IO | &nbsp;&nbsp; 0.932% | &nbsp;&nbsp; 1/16/60 | &nbsp;&nbsp; 8600515<br>| &nbsp;&nbsp;&nbsp; 537882<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-38 IO, IO | &nbsp;&nbsp; 0.820% | &nbsp;&nbsp; 4/16/62 | &nbsp;&nbsp; 6320993<br>| &nbsp;&nbsp;&nbsp; 363863<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-47 MI, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/20/50 | &nbsp;&nbsp; 380612<br>| &nbsp;&nbsp;&nbsp; 74286<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-47 NI, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/20/50 | &nbsp;&nbsp; 163461<br>| &nbsp;&nbsp;&nbsp; 31359<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-61 CI, IO, PAC | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 3/20/50 | &nbsp;&nbsp; 870893<br>| &nbsp;&nbsp;&nbsp; 160869<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-85 CI, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/20/50 | &nbsp;&nbsp; 1011363<br>| &nbsp;&nbsp;&nbsp; 183715<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-89 IA, IO | &nbsp;&nbsp; 1.169% | &nbsp;&nbsp; 4/16/62 | &nbsp;&nbsp; 12696777<br>| &nbsp;&nbsp;&nbsp; 1015926<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-109 AI, IO | &nbsp;&nbsp; 0.835% | &nbsp;&nbsp; 5/16/60 | &nbsp;&nbsp; 6222807<br>| &nbsp;&nbsp;&nbsp; 363641<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-116 GI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 8/20/50 | &nbsp;&nbsp; 5335753<br>| &nbsp;&nbsp;&nbsp; 798212<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-117 IO, IO | &nbsp;&nbsp; 0.793% | &nbsp;&nbsp; 5/16/62 | &nbsp;&nbsp; 12694832<br>| &nbsp;&nbsp;&nbsp; 754473<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-122 IM, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 8/20/50 | &nbsp;&nbsp; 1902658<br>| &nbsp;&nbsp;&nbsp; 284675<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-123 EI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 8/20/50 | &nbsp;&nbsp; 3610063<br>| &nbsp;&nbsp;&nbsp; 542210<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-129 IE, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 9/20/50 | &nbsp;&nbsp; 119865<br>| &nbsp;&nbsp;&nbsp; 17266<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-160 QI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/20/50 | &nbsp;&nbsp; 4360400<br>| &nbsp;&nbsp;&nbsp; 741301<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-181 WI, IO | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 12/20/50 | &nbsp;&nbsp; 935158<br>| &nbsp;&nbsp;&nbsp; 110465<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-191 IX, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/20/50 | &nbsp;&nbsp; 3427643<br>| &nbsp;&nbsp;&nbsp; 586101<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H02 FG (1 mo. <br> Term SOFR + 0.714%) | &nbsp;&nbsp; 4.383% | &nbsp;&nbsp; 1/20/70 | &nbsp;&nbsp; $500658<br>| &nbsp;&nbsp;&nbsp; $500934<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H08 BI, IO | &nbsp;&nbsp; 1.579% | &nbsp;&nbsp; 4/1/70 | &nbsp;&nbsp; 6755792<br>| &nbsp;&nbsp;&nbsp; 269888<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H12 F (1 mo. Term <br> SOFR + 0.614%) | &nbsp;&nbsp; 4.283% | &nbsp;&nbsp; 7/20/70 | &nbsp;&nbsp; 47336<br>| &nbsp;&nbsp;&nbsp; 47103<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H13 FA (1 mo. <br> Term SOFR + 0.564%) | &nbsp;&nbsp; 4.233% | &nbsp;&nbsp; 7/20/70 | &nbsp;&nbsp; 733594<br>| &nbsp;&nbsp;&nbsp; 729123<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-5 IO, IO | &nbsp;&nbsp; 1.111% | &nbsp;&nbsp; 1/16/61 | &nbsp;&nbsp; 1074229<br>| &nbsp;&nbsp;&nbsp; 84640<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-8 AQ | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 1/20/51 | &nbsp;&nbsp; 619382<br>| &nbsp;&nbsp;&nbsp; 610430<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-14 AB | &nbsp;&nbsp; 1.340% | &nbsp;&nbsp; 6/16/63 | &nbsp;&nbsp; 1095427<br>| &nbsp;&nbsp;&nbsp; 816822<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-21 AH | &nbsp;&nbsp; 1.400% | &nbsp;&nbsp; 6/16/63 | &nbsp;&nbsp; 2795974<br>| &nbsp;&nbsp;&nbsp; 2123991<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-29 AG | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/20/51 | &nbsp;&nbsp; 931407<br>| &nbsp;&nbsp;&nbsp; 919242<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-60 IO, IO | &nbsp;&nbsp; 0.826% | &nbsp;&nbsp; 5/16/63 | &nbsp;&nbsp; 4455236<br>| &nbsp;&nbsp;&nbsp; 265309<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-68 IO, IO | &nbsp;&nbsp; 0.878% | &nbsp;&nbsp; 10/16/62 | &nbsp;&nbsp; 4442303<br>| &nbsp;&nbsp;&nbsp; 274589<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-97 TI, IO, PAC | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 8/20/50 | &nbsp;&nbsp; 8990571<br>| &nbsp;&nbsp;&nbsp; 1255216<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-121 CI, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 7/20/51 | &nbsp;&nbsp; 2429131<br>| &nbsp;&nbsp;&nbsp; 420223<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-125 IM, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 7/20/51 | &nbsp;&nbsp; 6646287<br>| &nbsp;&nbsp;&nbsp; 1164381<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-128 IO, IO | &nbsp;&nbsp; 0.992% | &nbsp;&nbsp; 6/16/61 | &nbsp;&nbsp; 1179012<br>| &nbsp;&nbsp;&nbsp; 73824<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-139 IE, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 8/20/51 | &nbsp;&nbsp; 2623700<br>| &nbsp;&nbsp;&nbsp; 485752<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-156 IE, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 9/20/51 | &nbsp;&nbsp; 4080083<br>| &nbsp;&nbsp;&nbsp; 633255<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-158 IN, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 9/20/51 | &nbsp;&nbsp; 6377181<br>| &nbsp;&nbsp;&nbsp; 900919<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-158 XB, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 9/20/51 | &nbsp;&nbsp; 4281350<br>| &nbsp;&nbsp;&nbsp; 638376<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-180 IO, IO | &nbsp;&nbsp; 0.916% | &nbsp;&nbsp; 11/16/63 | &nbsp;&nbsp; 2213701<br>| &nbsp;&nbsp;&nbsp; 150539<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-216 NI, IO, PAC-1 | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 12/20/51 | &nbsp;&nbsp; 3633420<br>| &nbsp;&nbsp;&nbsp; 675069<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-5 LI, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 1/20/52 | &nbsp;&nbsp; 3155522<br>| &nbsp;&nbsp;&nbsp; 589062<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-54 Z | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 10/16/63 | &nbsp;&nbsp; 1949787<br>| &nbsp;&nbsp;&nbsp; 796835<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-86 C | &nbsp;&nbsp; 2.250% | &nbsp;&nbsp; 10/16/63 | &nbsp;&nbsp; 800000<br>| &nbsp;&nbsp;&nbsp; 429835<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-139 AL | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 7/20/51 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1085227<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-147 B | &nbsp;&nbsp; 2.200% | &nbsp;&nbsp; 10/16/63 | &nbsp;&nbsp; 6500000<br>| &nbsp;&nbsp;&nbsp; 4573620<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-158 AL | &nbsp;&nbsp; 2.100% | &nbsp;&nbsp; 8/16/64 | &nbsp;&nbsp; 5790538<br>| &nbsp;&nbsp;&nbsp; 4107283<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2023-92 AH | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 6/16/64 | &nbsp;&nbsp; 2847267<br>| &nbsp;&nbsp;&nbsp; 2180997<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2023-92 IA, IO | &nbsp;&nbsp; 0.611% | &nbsp;&nbsp; 6/16/64 | &nbsp;&nbsp; 1963632<br>| &nbsp;&nbsp;&nbsp; 100095<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2023-179 IO, IO | &nbsp;&nbsp; 0.611% | &nbsp;&nbsp; 9/16/63 | &nbsp;&nbsp; 7772396<br>| &nbsp;&nbsp;&nbsp; 335568<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2023-184 HI, IO | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 12/20/53 | &nbsp;&nbsp; 1787097<br>| &nbsp;&nbsp;&nbsp; 374178<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2024-175 CS, IO (-1.000 <br> x 30 Day Average SOFR + 6.020%) | &nbsp;&nbsp; 2.347% | &nbsp;&nbsp; 10/20/54 | &nbsp;&nbsp; 10959397<br>| &nbsp;&nbsp;&nbsp; 941664<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-55 SD, IO (-1.000 x <br> 30 Day Average SOFR + 5.950%) | &nbsp;&nbsp; 2.277% | &nbsp;&nbsp; 3/20/55 | &nbsp;&nbsp; 9146199<br>| &nbsp;&nbsp;&nbsp; 791563<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-169 SA, IO (-1.000 <br> x 30 Day Average SOFR + 6.600%) | &nbsp;&nbsp; 2.927% | &nbsp;&nbsp; 10/20/55 | &nbsp;&nbsp; 14746028<br>| &nbsp;&nbsp;&nbsp; 1475345<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Greystone CRE Notes LLC, 2025-HC4 D (1 mo. Term SOFR + 3.940%) | &nbsp;&nbsp; 7.613% | &nbsp;&nbsp; 10/15/42 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 996531<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. II, 2024-70P E | &nbsp;&nbsp; 8.367% | &nbsp;&nbsp; 3/10/41 | &nbsp;&nbsp; 2015000<br>| &nbsp;&nbsp;&nbsp; 2060183<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. Term SOFR + <br> 4.747%) | &nbsp;&nbsp; 8.420% | &nbsp;&nbsp; 11/15/32 | &nbsp;&nbsp; 1070000<br>| &nbsp;&nbsp;&nbsp; 1066296<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust, 2020-GC47 XA, IO | &nbsp;&nbsp; 1.121% | &nbsp;&nbsp; 5/12/53 | &nbsp;&nbsp; 16835511<br>| &nbsp;&nbsp;&nbsp; 615799<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, 2022-NQM1 B4 | &nbsp;&nbsp; 4.068% | &nbsp;&nbsp; 5/25/62 | &nbsp;&nbsp; 1415124<br>| &nbsp;&nbsp;&nbsp; 1230723<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GSMPS Mortgage Loan Trust, 2006-RP2 1AF1 (1 mo. Term SOFR + 0.514%) | &nbsp;&nbsp; 4.193% | &nbsp;&nbsp; 4/25/36 | &nbsp;&nbsp; 764229<br>| &nbsp;&nbsp;&nbsp; 659420<br> <sup>(a)(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(c)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; JPMDB Commercial Mortgage Securities Trust, 2017-C7 B | &nbsp;&nbsp; 3.985% | &nbsp;&nbsp; 10/15/50 | &nbsp;&nbsp; $420000<br>| &nbsp;&nbsp;&nbsp; $399507<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust, 2015-FL7 D (PRIME + <br> 0.693%) | &nbsp;&nbsp; 7.443% | &nbsp;&nbsp; 5/15/28 | &nbsp;&nbsp; 2370417<br>| &nbsp;&nbsp;&nbsp; 2079675<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust, 2019-COR5 XA, IO | &nbsp;&nbsp; 1.422% | &nbsp;&nbsp; 6/13/52 | &nbsp;&nbsp; 13847373<br>| &nbsp;&nbsp;&nbsp; 462354<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2021-14 AX4, IO | &nbsp;&nbsp; 0.500% | &nbsp;&nbsp; 5/25/52 | &nbsp;&nbsp; 19829023<br>| &nbsp;&nbsp;&nbsp; 590818<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2024-3 AX1, IO | &nbsp;&nbsp; 0.331% | &nbsp;&nbsp; 5/25/54 | &nbsp;&nbsp; 32634937<br>| &nbsp;&nbsp;&nbsp; 653733<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; La Hipotecaria El Salvadorian Mortgage Trust, 2019-1A AAA | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 9/29/46 | &nbsp;&nbsp; 981562<br>| &nbsp;&nbsp;&nbsp; 936950<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. Term SOFR + <br> 0.324%) | &nbsp;&nbsp; 4.003% | &nbsp;&nbsp; 4/25/46 | &nbsp;&nbsp; 208846<br>| &nbsp;&nbsp;&nbsp; 197138<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; MF1 LLC, 2025-FL17 D (1 mo. Term SOFR + 2.741%) | &nbsp;&nbsp; 6.421% | &nbsp;&nbsp; 2/18/40 | &nbsp;&nbsp; 470000<br>| &nbsp;&nbsp;&nbsp; 467383<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MF1 LLC, 2025-FL17 E (1 mo. Term SOFR + 3.490%) | &nbsp;&nbsp; 7.170% | &nbsp;&nbsp; 2/18/40 | &nbsp;&nbsp; 410000<br>| &nbsp;&nbsp;&nbsp; 407419<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MF1 Ltd., 2022-FL8 D (1 mo. Term SOFR + 2.650%) | &nbsp;&nbsp; 6.327% | &nbsp;&nbsp; 2/19/37 | &nbsp;&nbsp; 1100000<br>| &nbsp;&nbsp;&nbsp; 1102657<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MFA Trust, 2024-RTL3 A1 | &nbsp;&nbsp; 5.913% | &nbsp;&nbsp; 11/25/39 | &nbsp;&nbsp; 1164881<br>| &nbsp;&nbsp;&nbsp; 1170232<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MLTI Trust, 2026-SF75 E (1 mo. Term SOFR + 3.250%) | &nbsp;&nbsp; 6.923% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; 1560000<br>| &nbsp;&nbsp;&nbsp; 1556538<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital I Trust, 2021-230P B (1 mo. Term SOFR + 1.563%) | &nbsp;&nbsp; 5.236% | &nbsp;&nbsp; 12/15/38 | &nbsp;&nbsp; 2000000<br>| &nbsp;&nbsp;&nbsp; 1869992<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust, 2006-8AR 1A2 (1 mo. Term SOFR + <br> 0.254%) | &nbsp;&nbsp; 3.933% | &nbsp;&nbsp; 6/25/36 | &nbsp;&nbsp; 28066<br>| &nbsp;&nbsp;&nbsp; 5400<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; MSWF Commercial Mortgage Trust, 2023-1 E | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 5/15/56 | &nbsp;&nbsp; 1939000<br>| &nbsp;&nbsp;&nbsp; 1455822<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Multifamily CAS Trust, 2020-1 CE (30 Day Average SOFR + 7.614%) | &nbsp;&nbsp; 11.276% | &nbsp;&nbsp; 3/25/50 | &nbsp;&nbsp; 2250000<br>| &nbsp;&nbsp;&nbsp; 2332823<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Multifamily Trust, 2016-1 B | &nbsp;&nbsp; 17.785% | &nbsp;&nbsp; 4/25/46 | &nbsp;&nbsp; 340821<br>| &nbsp;&nbsp;&nbsp; 331660<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Natixis Commercial Mortgage Securities Trust, 2019-FAME D | &nbsp;&nbsp; 4.398% | &nbsp;&nbsp; 8/15/36 | &nbsp;&nbsp; 1450000<br>| &nbsp;&nbsp;&nbsp; 950890<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Natixis Commercial Mortgage Securities Trust, 2019-FAME E | &nbsp;&nbsp; 4.398% | &nbsp;&nbsp; 8/15/36 | &nbsp;&nbsp; 2077000<br>| &nbsp;&nbsp;&nbsp; 796085<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2014-1A A | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 1/25/54 | &nbsp;&nbsp; 299320<br>| &nbsp;&nbsp;&nbsp; 291401<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2017-1A B6 | &nbsp;&nbsp; 5.282% | &nbsp;&nbsp; 2/25/57 | &nbsp;&nbsp; 920246<br>| &nbsp;&nbsp;&nbsp; 858041<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2024-RTL1 A2 | &nbsp;&nbsp; 7.101% | &nbsp;&nbsp; 3/25/39 | &nbsp;&nbsp; 1455000<br>| &nbsp;&nbsp;&nbsp; 1457425<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; NRM FHT1 Excess Owner LLC, 2025-FHT1 A | &nbsp;&nbsp; 6.545% | &nbsp;&nbsp; 3/25/32 | &nbsp;&nbsp; 764542<br>| &nbsp;&nbsp;&nbsp; 768461<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; NYC Commercial Mortgage Trust, 2025-28L F | &nbsp;&nbsp; 8.130% | &nbsp;&nbsp; 11/5/38 | &nbsp;&nbsp; 350000<br>| &nbsp;&nbsp;&nbsp; 353528<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; NYC Commercial Mortgage Trust, 2025-28L G | &nbsp;&nbsp; 9.321% | &nbsp;&nbsp; 11/5/38 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 1002664<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; ONNI Commercial Mortgage Trust, 2024-APT D | &nbsp;&nbsp; 6.537% | &nbsp;&nbsp; 7/15/39 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1225492<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Redwood Funding Trust, 2025-3 A | &nbsp;&nbsp; 6.231% | &nbsp;&nbsp; 12/27/56 | &nbsp;&nbsp; 1246110<br>| &nbsp;&nbsp;&nbsp; 1257949<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; RIDE, 2025-SHRE D | &nbsp;&nbsp; 6.297% | &nbsp;&nbsp; 2/14/47 | &nbsp;&nbsp; 370000<br>| &nbsp;&nbsp;&nbsp; 377903<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; ROCK Trust, 2024-CNTR E | &nbsp;&nbsp; 8.819% | &nbsp;&nbsp; 11/13/41 | &nbsp;&nbsp; 1400000<br>| &nbsp;&nbsp;&nbsp; 1460514<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Saluda Grade Alternative Mortgage Trust, 2024-RTL4 A2 | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 2/25/30 | &nbsp;&nbsp; 1140000<br>| &nbsp;&nbsp;&nbsp; 1135555<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMRT, 2022-MINI F (1 mo. Term SOFR + 3.350%) | &nbsp;&nbsp; 7.023% | &nbsp;&nbsp; 1/15/39 | &nbsp;&nbsp; 1400000<br>| &nbsp;&nbsp;&nbsp; 1366648<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Starwood Mortgage Residential Trust, 2021-4 B31 | &nbsp;&nbsp; 4.678% | &nbsp;&nbsp; 8/25/56 | &nbsp;&nbsp; 1490000<br>| &nbsp;&nbsp;&nbsp; 1048356<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Starwood Retail Property Trust, 2014-STAR C | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 11/15/27 | &nbsp;&nbsp; 2324000<br>| &nbsp;&nbsp;&nbsp; 75530<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments II Trust, 2006-AR6 1A1 (1 mo. Term <br> SOFR + 0.474%) | &nbsp;&nbsp; 4.153% | &nbsp;&nbsp; 7/25/46 | &nbsp;&nbsp; 50334<br>| &nbsp;&nbsp;&nbsp; 45688<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; SWCH Commercial Mortgage Trust, 2025-DATA E (1 mo. Term SOFR + 3.340%) | &nbsp;&nbsp; 7.013% | &nbsp;&nbsp; 2/15/42 | &nbsp;&nbsp; 2250000<br>| &nbsp;&nbsp;&nbsp; 2216819<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2022-1 B1 | &nbsp;&nbsp; 4.007% | &nbsp;&nbsp; 1/25/67 | &nbsp;&nbsp; 400000<br>| &nbsp;&nbsp;&nbsp; 316535<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2024-1 M1 | &nbsp;&nbsp; 6.668% | &nbsp;&nbsp; 1/25/69 | &nbsp;&nbsp; 1650000<br>| &nbsp;&nbsp;&nbsp; 1656171<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2024-3 A3 | &nbsp;&nbsp; 6.845% | &nbsp;&nbsp; 4/25/69 | &nbsp;&nbsp; 360229<br>| &nbsp;&nbsp;&nbsp; 363705<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2003-AR5 A7 | &nbsp;&nbsp; 5.718% | &nbsp;&nbsp; 6/25/33 | &nbsp;&nbsp; 11849<br>| &nbsp;&nbsp;&nbsp; 11882<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2021-C59 XA, IO | &nbsp;&nbsp; 1.479% | &nbsp;&nbsp; 4/15/54 | &nbsp;&nbsp; 12118478<br>| &nbsp;&nbsp;&nbsp; 645835<br> <sup>(a)</sup><br>|
| **Total Collateralized Mortgage Obligations (Cost — $207,254,199)** | **Total Collateralized Mortgage Obligations (Cost — $207,254,199)** | **Total Collateralized Mortgage Obligations (Cost — $207,254,199)** | **Total Collateralized Mortgage Obligations (Cost — $207,254,199)** | &nbsp;&nbsp; **194760862** |

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | |
|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face <br>Amount/ <br>Units<br>|
| **Asset-Backed Securities — 16.2%** | **Asset-Backed Securities — 16.2%** | **Asset-Backed Securities — 16.2%** | **Asset-Backed Securities — 16.2%** |
| &nbsp;&nbsp;&nbsp; Apollo Aviation Securitization Equity Trust, 2025-1A A | &nbsp;&nbsp; 5.943% | &nbsp;&nbsp; 2/16/50 | &nbsp;&nbsp; $1102915<br>&nbsp;&nbsp;&nbsp; $1111719<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Applebee's Funding LLC/IHOP Funding LLC, 2025-1A A2 | &nbsp;&nbsp; 6.720% | &nbsp;&nbsp; 6/7/55 | &nbsp;&nbsp; 760000<br>&nbsp;&nbsp;&nbsp; 761155<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Aqua Finance Trust, 2020-AA C | &nbsp;&nbsp; 3.970% | &nbsp;&nbsp; 7/17/46 | &nbsp;&nbsp; 1536597<br>&nbsp;&nbsp;&nbsp; 1485588<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC, 2023-6A D | &nbsp;&nbsp; 7.370% | &nbsp;&nbsp; 12/20/29 | &nbsp;&nbsp; 1230000<br>&nbsp;&nbsp;&nbsp; 1250196<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Balboa Bay Loan Funding Ltd., 2024-2A E (3 mo. Term SOFR + 5.750%) | &nbsp;&nbsp; 9.418% | &nbsp;&nbsp; 1/20/38 | &nbsp;&nbsp; 790000<br>&nbsp;&nbsp;&nbsp; 771129<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bayview Opportunity Master Fund LLC, 2024-EDU1 D (30 Day Average SOFR + <br> 2.750%) | &nbsp;&nbsp; 6.412% | &nbsp;&nbsp; 6/25/47 | &nbsp;&nbsp; 1335548<br>&nbsp;&nbsp;&nbsp; 1353899<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bayview Opportunity Master Fund LLC, 2025-EDU1 D (30 Day Average SOFR + <br> 2.250%) | &nbsp;&nbsp; 5.912% | &nbsp;&nbsp; 7/27/48 | &nbsp;&nbsp; 1879737<br>&nbsp;&nbsp;&nbsp; 1877795<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Blue Stream Issuer LLC, 2024-1A C | &nbsp;&nbsp; 8.710% | &nbsp;&nbsp; 11/20/54 | &nbsp;&nbsp; 1500000<br>&nbsp;&nbsp;&nbsp; 1551076<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CARS-DB7 LP, 2023-1A A1 | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 9/15/53 | &nbsp;&nbsp; 1178100<br>&nbsp;&nbsp;&nbsp; 1183254<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; College Ave Student Loans LLC, 2021-C D | &nbsp;&nbsp; 4.110% | &nbsp;&nbsp; 7/26/55 | &nbsp;&nbsp; 1274254<br>&nbsp;&nbsp;&nbsp; 1199645<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Dividend Solar Loans LLC, 2018-1 B | &nbsp;&nbsp; 4.290% | &nbsp;&nbsp; 7/20/38 | &nbsp;&nbsp; 396288<br>&nbsp;&nbsp;&nbsp; 374651<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Dividend Solar Loans LLC, 2019-1 A | &nbsp;&nbsp; 3.670% | &nbsp;&nbsp; 8/22/39 | &nbsp;&nbsp; 857594<br>&nbsp;&nbsp;&nbsp; 799285<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; ExteNet Issuer LLC, 2024-1A B | &nbsp;&nbsp; 6.150% | &nbsp;&nbsp; 7/25/54 | &nbsp;&nbsp; 1000000<br>&nbsp;&nbsp;&nbsp; 1010584<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goodgreen Trust, 2020-1A C | &nbsp;&nbsp; 5.530% | &nbsp;&nbsp; 4/15/55 | &nbsp;&nbsp; 1637982<br>&nbsp;&nbsp;&nbsp; 1277318<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goodgreen Trust, 2021-1A C | &nbsp;&nbsp; 5.740% | &nbsp;&nbsp; 10/15/56 | &nbsp;&nbsp; 491574<br>&nbsp;&nbsp;&nbsp; 360567<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goodgreen Trust, 2022-1A C | &nbsp;&nbsp; 7.010% | &nbsp;&nbsp; 10/15/56 | &nbsp;&nbsp; 75078<br>&nbsp;&nbsp;&nbsp; 75960<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GoodLeap Sustainable Home Solutions Trust, 2021-5CS C | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 10/20/48 | &nbsp;&nbsp; 1372662<br>&nbsp;&nbsp;&nbsp; 528698<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Hardee's Funding LLC, 2020-1A A2 | &nbsp;&nbsp; 3.981% | &nbsp;&nbsp; 12/20/50 | &nbsp;&nbsp; 1895000<br>&nbsp;&nbsp;&nbsp; 1825963<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Hartwick Park CLO Ltd., 2023-1A ER (3 mo. Term SOFR + 4.850%) | &nbsp;&nbsp; 8.518% | &nbsp;&nbsp; 1/20/37 | &nbsp;&nbsp; 170000<br>&nbsp;&nbsp;&nbsp; 157568<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Hertz Vehicle Financing LLC, 2023-4A C | &nbsp;&nbsp; 7.510% | &nbsp;&nbsp; 3/25/30 | &nbsp;&nbsp; 1750000<br>&nbsp;&nbsp;&nbsp; 1824653<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Hotwire Funding LLC, 2024-1A C | &nbsp;&nbsp; 9.188% | &nbsp;&nbsp; 6/20/54 | &nbsp;&nbsp; 750000<br>&nbsp;&nbsp;&nbsp; 778161<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Huntington Bank Auto Credit-Linked Notes, 2024-2 D (30 Day Average SOFR + <br> 4.000%) | &nbsp;&nbsp; 7.673% | &nbsp;&nbsp; 10/20/32 | &nbsp;&nbsp; 871213<br>&nbsp;&nbsp;&nbsp; 869528<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Huntington Bank Auto Credit-Linked Notes, 2025-1 D (30 Day Average SOFR + <br> 3.500%) | &nbsp;&nbsp; 7.173% | &nbsp;&nbsp; 3/21/33 | &nbsp;&nbsp; 728800<br>&nbsp;&nbsp;&nbsp; 721562<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; J.G. Wentworth LLC, 2018-1A B | &nbsp;&nbsp; 4.700% | &nbsp;&nbsp; 10/15/74 | &nbsp;&nbsp; 1546452<br>&nbsp;&nbsp;&nbsp; 1364437<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lunar Structured Aircraft Portfolio Notes, 2021-1 B | &nbsp;&nbsp; 3.432% | &nbsp;&nbsp; 10/15/46 | &nbsp;&nbsp; 865700<br>&nbsp;&nbsp;&nbsp; 825641<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lunar Structured Aircraft Portfolio Notes, 2021-1 C | &nbsp;&nbsp; 5.682% | &nbsp;&nbsp; 10/15/46 | &nbsp;&nbsp; 1097024<br>&nbsp;&nbsp;&nbsp; 1068988<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MACH Cayman Ltd., 2019-1 A | &nbsp;&nbsp; 3.474% | &nbsp;&nbsp; 10/15/39 | &nbsp;&nbsp; 146289<br>&nbsp;&nbsp;&nbsp; 145095<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mosaic Solar Loan Trust, 2024-1A B | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 9/20/49 | &nbsp;&nbsp; 920377<br>&nbsp;&nbsp;&nbsp; 757894<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; National Collegiate Student Loan Trust, 2006-4 B (1 mo. Term SOFR + 0.454%) | &nbsp;&nbsp; 4.133% | &nbsp;&nbsp; 5/25/32 | &nbsp;&nbsp; 2200000<br>&nbsp;&nbsp;&nbsp; 1244015<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Nelnet Student Loan Trust, 2025-DA D | &nbsp;&nbsp; 5.860% | &nbsp;&nbsp; 8/20/54 | &nbsp;&nbsp; 1800000<br>&nbsp;&nbsp;&nbsp; 1773157<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; NRM Excess LLC, 2024-FNT1 A | &nbsp;&nbsp; 7.398% | &nbsp;&nbsp; 11/25/31 | &nbsp;&nbsp; 700881<br>&nbsp;&nbsp;&nbsp; 704770<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ocean Trails CLO Ltd., 2023-14A ER (3 mo. Term SOFR + 6.340%) | &nbsp;&nbsp; 10.008% | &nbsp;&nbsp; 1/20/38 | &nbsp;&nbsp; 900000<br>&nbsp;&nbsp;&nbsp; 770098<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Pear LLC, 2021-1 A | &nbsp;&nbsp; 2.600% | &nbsp;&nbsp; 1/15/34 | &nbsp;&nbsp; 32440<br>&nbsp;&nbsp;&nbsp; 32406<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Pear LLC, 2024-1 A | &nbsp;&nbsp; 6.950% | &nbsp;&nbsp; 2/15/36 | &nbsp;&nbsp; 559403<br>&nbsp;&nbsp;&nbsp; 564067<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Phantom Aviation, 2026-1A B | &nbsp;&nbsp; 6.027% | &nbsp;&nbsp; 1/15/51 | &nbsp;&nbsp; 1046159<br>&nbsp;&nbsp;&nbsp; 1031104<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Progress Residential Trust, 2024-SFR1 D | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 2/17/41 | &nbsp;&nbsp; 1000000<br>&nbsp;&nbsp;&nbsp; 958962<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; RAAC Trust, 2007-SP1 M3 (1 mo. Term SOFR + 1.614%) | &nbsp;&nbsp; 5.293% | &nbsp;&nbsp; 3/25/37 | &nbsp;&nbsp; 999689<br>&nbsp;&nbsp;&nbsp; 827311<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Renew Financial, 2023-1A A | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 11/20/58 | &nbsp;&nbsp; 1316389<br>&nbsp;&nbsp;&nbsp; 1351889<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Renew Financial, 2024-1A M | &nbsp;&nbsp; 7.506% | &nbsp;&nbsp; 11/20/59 | &nbsp;&nbsp; 1126475<br>&nbsp;&nbsp;&nbsp; 1124812<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Renew Financial, 2024-2A B | &nbsp;&nbsp; 8.223% | &nbsp;&nbsp; 11/20/60 | &nbsp;&nbsp; 828638<br>&nbsp;&nbsp;&nbsp; 830138<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SEB Funding LLC, 2024-1A A2 | &nbsp;&nbsp; 7.386% | &nbsp;&nbsp; 4/30/54 | &nbsp;&nbsp; 1870000<br>&nbsp;&nbsp;&nbsp; 1904937<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sesac Finance LLC, 2024-1 A2 | &nbsp;&nbsp; 6.421% | &nbsp;&nbsp; 1/25/54 | &nbsp;&nbsp; 1372000<br>&nbsp;&nbsp;&nbsp; 1377562<br> <sup>(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount/<br> Units<br>| Value |
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, 2024-1A D | &nbsp;&nbsp; 8.020% | &nbsp;&nbsp; 1/20/43 | &nbsp;&nbsp; $498202<br>| &nbsp;&nbsp;&nbsp; $509162<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, 2024-2A D | &nbsp;&nbsp; 7.480% | &nbsp;&nbsp; 6/20/41 | &nbsp;&nbsp; 974039<br>| &nbsp;&nbsp;&nbsp; 986847<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2015-C R | &nbsp;&nbsp; 11.247% | &nbsp;&nbsp; 9/18/46 | &nbsp;&nbsp; 2751<br>| &nbsp;&nbsp;&nbsp; 775608<br> <sup>(d)(e)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2020-A B | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 8/15/45 | &nbsp;&nbsp; 2000000<br>| &nbsp;&nbsp;&nbsp; 1877874<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2021-A C | &nbsp;&nbsp; 2.990% | &nbsp;&nbsp; 1/15/53 | &nbsp;&nbsp; 2263423<br>| &nbsp;&nbsp;&nbsp; 1999056<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sotheby's Artfi Master Trust, 2026-1A D | &nbsp;&nbsp; 5.540% | &nbsp;&nbsp; 6/20/33 | &nbsp;&nbsp; 1220000<br>| &nbsp;&nbsp;&nbsp; 1219526<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Stonepeak, 2021-1A B | &nbsp;&nbsp; 3.821% | &nbsp;&nbsp; 2/28/33 | &nbsp;&nbsp; 910317<br>| &nbsp;&nbsp;&nbsp; 893959<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Loan Trust, 2006-ARS1 A1 (1 mo. <br> Term SOFR + 0.334%) | &nbsp;&nbsp; 4.013% | &nbsp;&nbsp; 2/25/36 | &nbsp;&nbsp; 1347362<br>| &nbsp;&nbsp;&nbsp; 22934<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sunnova Hestia Issuer LLC, 2023-GRID1 1A | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 12/20/50 | &nbsp;&nbsp; 1880467<br>| &nbsp;&nbsp;&nbsp; 1842462<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sunrun Vulcan Issuer LLC, 2021-1A A | &nbsp;&nbsp; 2.460% | &nbsp;&nbsp; 1/30/52 | &nbsp;&nbsp; 625003<br>| &nbsp;&nbsp;&nbsp; 577127<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Tricon Residential Trust, 2024-SFR4 D | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 11/17/41 | &nbsp;&nbsp; 1170000<br>| &nbsp;&nbsp;&nbsp; 1161221<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Trinitas CLO Ltd., 2022-19A D1R (3 mo. Term SOFR + 2.950%) | &nbsp;&nbsp; 6.618% | &nbsp;&nbsp; 10/20/33 | &nbsp;&nbsp; 830000<br>| &nbsp;&nbsp;&nbsp; 830999<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wave LLC, 2019-1 A | &nbsp;&nbsp; 3.597% | &nbsp;&nbsp; 9/15/44 | &nbsp;&nbsp; 261330<br>| &nbsp;&nbsp;&nbsp; 256503<br> <sup>(d)</sup><br>|
| **Total Asset-Backed Securities (Cost — $60,445,318)** | **Total Asset-Backed Securities (Cost — $60,445,318)** | **Total Asset-Backed Securities (Cost — $60,445,318)** | **Total Asset-Backed Securities (Cost — $60,445,318)** | &nbsp;&nbsp; **54760515** |
|  |  |  | &nbsp;&nbsp; Face <br>Amount<br>|  |
| **Corporate Bonds & Notes — 2.3%** | **Corporate Bonds & Notes — 2.3%** | **Corporate Bonds & Notes — 2.3%** | **Corporate Bonds & Notes — 2.3%** | **Corporate Bonds & Notes — 2.3%** |
| **Consumer Discretionary — 1.3%** | **Consumer Discretionary — 1.3%** | **Consumer Discretionary — 1.3%** | **Consumer Discretionary — 1.3%** | **Consumer Discretionary — 1.3%** |
| *Automobile Components — 0.2%* | *Automobile Components — 0.2%* | *Automobile Components — 0.2%* | *Automobile Components — 0.2%* | *Automobile Components — 0.2%* |
| &nbsp;&nbsp;&nbsp; ZF North America Capital Inc., Senior Notes | &nbsp;&nbsp; 6.875% | &nbsp;&nbsp; 4/23/32 | &nbsp;&nbsp; $650000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *618172*<br> <sup>(d)</sup><br>|
| *Hotels, Restaurants & Leisure — 0.8%* | *Hotels, Restaurants & Leisure — 0.8%* | *Hotels, Restaurants & Leisure — 0.8%* | *Hotels, Restaurants & Leisure — 0.8%* | *Hotels, Restaurants & Leisure — 0.8%* |
| &nbsp;&nbsp;&nbsp; Carnival Corp., Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 5/1/29 | &nbsp;&nbsp; 900000<br>| &nbsp;&nbsp;&nbsp; 893886<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Full House Resorts Inc., Senior Secured Notes | &nbsp;&nbsp; 8.250% | &nbsp;&nbsp; 2/15/28 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1095000<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 3/15/32 | &nbsp;&nbsp; 820000<br>| &nbsp;&nbsp;&nbsp; 838508<br> <sup>(d)</sup><br>|
| *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | &nbsp;&nbsp; *2827394* |
| *Specialty Retail — 0.3%* | *Specialty Retail — 0.3%* | *Specialty Retail — 0.3%* | *Specialty Retail — 0.3%* | *Specialty Retail — 0.3%* |
| &nbsp;&nbsp;&nbsp; Lithia Motors Inc., Senior Notes | &nbsp;&nbsp; 4.375% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *940501*<br> <sup>(d)</sup><br>|
| **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | &nbsp;&nbsp; **4386067** |
| **Energy — 0.6%** | **Energy — 0.6%** | **Energy — 0.6%** | **Energy — 0.6%** | **Energy — 0.6%** |
| *Oil, Gas & Consumable Fuels — 0.6%* | *Oil, Gas & Consumable Fuels — 0.6%* | *Oil, Gas & Consumable Fuels — 0.6%* | *Oil, Gas & Consumable Fuels — 0.6%* | *Oil, Gas & Consumable Fuels — 0.6%* |
| &nbsp;&nbsp;&nbsp; Expand Energy Corp., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 2/1/32 | &nbsp;&nbsp; 1100000<br>| &nbsp;&nbsp;&nbsp; 1072241<br>|
| &nbsp;&nbsp;&nbsp; Venture Global Calcasieu Pass LLC, Senior Secured Notes | &nbsp;&nbsp; 4.125% | &nbsp;&nbsp; 8/15/31 | &nbsp;&nbsp; 930000<br>| &nbsp;&nbsp;&nbsp; 863134<br> <sup>(d)</sup><br>|
| **Total Energy** | **Total Energy** | **Total Energy** | **Total Energy** | &nbsp;&nbsp; **1935375** |
| **Financials — 0.3%** | **Financials — 0.3%** | **Financials — 0.3%** | **Financials — 0.3%** | **Financials — 0.3%** |
| *Mortgage Real Estate Investment Trusts (REITs) — 0.3%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.3%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.3%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.3%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.3%* |
| &nbsp;&nbsp;&nbsp; Arbor Realty SR Inc., Senior Notes | &nbsp;&nbsp; 8.500% | &nbsp;&nbsp; 12/15/28 | &nbsp;&nbsp; 400000<br>| &nbsp;&nbsp;&nbsp; 393271<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Arbor Realty SR Inc., Senior Notes | &nbsp;&nbsp; 7.875% | &nbsp;&nbsp; 7/15/30 | &nbsp;&nbsp; 690000<br>| &nbsp;&nbsp;&nbsp; 638469<br> <sup>(d)</sup><br>|
| **Total Financials** | **Total Financials** | **Total Financials** | **Total Financials** | &nbsp;&nbsp; **1031740** |
| **Health Care — 0.1%** | **Health Care — 0.1%** | **Health Care — 0.1%** | **Health Care — 0.1%** | **Health Care — 0.1%** |
| *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* |
| &nbsp;&nbsp;&nbsp; CHS/Community Health Systems Inc., Secured Notes | &nbsp;&nbsp; 6.875% | &nbsp;&nbsp; 4/15/29 | &nbsp;&nbsp; 270000<br>| &nbsp;&nbsp;&nbsp;&nbsp; **259920**<br> <sup>(d)</sup><br>|
| **Total Corporate Bonds & Notes (Cost — $7,687,971)** | **Total Corporate Bonds & Notes (Cost — $7,687,971)** | **Total Corporate Bonds & Notes (Cost — $7,687,971)** | **Total Corporate Bonds & Notes (Cost — $7,687,971)** | &nbsp;&nbsp; **7613102** |

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | |
|:---|:---|:---|:---|
| Security | Rate | Shares | Value |
| **Preferred Stocks — 1.2%** | **Preferred Stocks — 1.2%** | **Preferred Stocks — 1.2%** | **Preferred Stocks — 1.2%** |
| **Financials — 1.2%** | **Financials — 1.2%** | **Financials — 1.2%** | **Financials — 1.2%** |
| *Mortgage Real Estate Investment Trusts (REITs) — 1.2%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.2%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.2%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.2%* |
| &nbsp;&nbsp;&nbsp; AGNC Investment Corp., Non Voting Shares (3 mo. Term SOFR + 4.959%) | &nbsp;&nbsp; 8.641% | &nbsp;&nbsp; 76437 | &nbsp;&nbsp;&nbsp; $1855126<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Chimera Investment Corp., Non Voting Shares (3 mo. Term SOFR + 5.005%) | &nbsp;&nbsp; 8.705% | &nbsp;&nbsp; 61325 | &nbsp;&nbsp;&nbsp; 1209329<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; MFA Financial Inc., Non Voting Shares (3 mo. Term SOFR + 5.607%) | &nbsp;&nbsp; 9.289% | &nbsp;&nbsp; 52662 | &nbsp;&nbsp;&nbsp; 1114854<br> <sup>(a)</sup><br>|
| **Total Preferred Stocks (Cost — $4,435,062)** | **Total Preferred Stocks (Cost — $4,435,062)** | **Total Preferred Stocks (Cost — $4,435,062)** | &nbsp;&nbsp; **4179309** |
| **Total Investments before Short-Term Investments (Cost — $503,855,388)** | **Total Investments before Short-Term Investments (Cost — $503,855,388)** | **Total Investments before Short-Term Investments (Cost — $503,855,388)** | &nbsp;&nbsp; **480254561** |
| **Short-Term Investments — 0.4%** | **Short-Term Investments — 0.4%** | **Short-Term Investments — 0.4%** | **Short-Term Investments — 0.4%** |
| &nbsp;&nbsp;&nbsp; Western Asset Premier Institutional Government Reserves, Premium Shares <br> (Cost — $1,518,324)  | &nbsp;&nbsp; 3.589% | &nbsp;&nbsp; 1518324<br>| &nbsp;&nbsp;&nbsp;&nbsp; **1518324**<br> <sup>(f)(g)</sup><br>|
| **Total Investments — 142.0% (Cost — $505,373,712)** | **Total Investments — 142.0% (Cost — $505,373,712)** | **Total Investments — 142.0% (Cost — $505,373,712)** | &nbsp;&nbsp; **481772885** |
| &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (42.0)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (42.0)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (42.0)% | &nbsp;&nbsp;&nbsp; (142487069)<br>|
| **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | &nbsp;&nbsp; **$339285816** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. 

<sup>(b)</sup> This security is traded on a to-be-announced ("TBA") basis. At March 31, 2026, the Fund held TBA securities with a total cost of $146,587,627.

<sup>(c)</sup> Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit. 

<sup>(d)</sup> Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. 

<sup>(e)</sup> Rate shown is the current yield based on income received over the trailing twelve months.

<sup>(f)</sup> Rate shown is one-day yield as of the end of the reporting period. 

<sup>(g)</sup> In this instance, as defined in the Investment Company Act of 1940, an "Affiliated Company" represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At March 31, 2026, the total market value of investments in Affiliated Companies was $1,518,324 and the cost was $1,518,324 (Note 2). 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** |
| ACES |  | Alternative Credit Enhancement Securities |
| CAS |  | Connecticut Avenue Securities |
| CLO |  | Collateralized Loan Obligation |
| IBOR |  | Interbank Offered Rate |
| IO |  | Interest Only |
| PAC |  | Planned Amortization Class |
| PO |  | Principal Only |
| REMIC |  | Real Estate Mortgage Investment Conduit |
| SOFR |  | Secured Overnight Financing Rate |
| STRIPS |  | Separate Trading of Registered Interest and Principal Securities |
| USD |  | United States Dollar |

---

At March 31, 2026, the Fund had the following open futures contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp; <br> Number of <br>Contracts<br>| &nbsp;&nbsp;&nbsp; <br> Expiration <br>Date<br>| &nbsp;&nbsp;&nbsp; <br> Notional <br>Amount<br>| &nbsp;&nbsp;&nbsp; <br> Market <br>Value<br>| &nbsp;&nbsp;&nbsp; <br> Unrealized <br>Appreciation <br>&nbsp;&nbsp;&nbsp;&nbsp;(Depreciation)<br>|
| **Contracts to Buy:** |  |  |  |  |  |
| U.S. Treasury Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; $3375831 | &nbsp;&nbsp;&nbsp;&nbsp; $3302375 | &nbsp;&nbsp;&nbsp;&nbsp; $(73456) |
| U.S. Treasury Ultra 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 4425349 | &nbsp;&nbsp;&nbsp;&nbsp; 4427110 | &nbsp;&nbsp;&nbsp;&nbsp; 1761 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (71695) |

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Mortgage Total Return Fund**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp; Number of<br> Contracts<br>| &nbsp;&nbsp;&nbsp; Expiration<br> Date<br>| &nbsp;&nbsp;&nbsp; Notional<br> Amount<br>| &nbsp;&nbsp;&nbsp; Market<br> Value<br>| &nbsp;&nbsp;&nbsp; Unrealized<br> Appreciation<br> &nbsp;&nbsp;&nbsp;&nbsp;(Depreciation)<br>|
| **Contracts to Sell:** |  |  |  |  |  |
| 3-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 206 | &nbsp;&nbsp;&nbsp;&nbsp; 3/27 | &nbsp;&nbsp;&nbsp;&nbsp; $49895351 | &nbsp;&nbsp;&nbsp;&nbsp; $49627975 | &nbsp;&nbsp;&nbsp;&nbsp; $267376 |
| U.S. Treasury 5-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 32242920 | &nbsp;&nbsp;&nbsp;&nbsp; 31913009 | &nbsp;&nbsp;&nbsp;&nbsp; 329911 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 597287 |
| **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | &nbsp;&nbsp;&nbsp; **$525592** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** |
| SOFR |  | Secured Overnight Financing Rate |

---

This Schedule of Investments is unaudited and is intended to provide information about the Fund's investments as of the date of the schedule. Other information regarding the Fund is available in the Fund's most recent annual or semi-annual shareholder report.

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

Notes to Schedule of Investments (unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**1. Organization and significant accounting policies** 

Western Asset Mortgage Total Return Fund (the "Fund") is a separate diversified investment series of Legg Mason Partners Income Trust (the "Trust"). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company.

The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946, *Financial Services – Investment Companies* ("ASC 946"). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles ("GAAP"), including, but not limited to, ASC 946.

**(a) Investment valuation.** The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund's Board of Trustees (the "Board").

Pursuant to policies adopted by the Board, the Fund's manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund's manager is assisted by the Global Fund Valuation Committee (the "Valuation Committee"). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund's pricing policies, and reporting to the Fund's manager and the Board. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer's financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts' research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

Notes to Schedule of Investments (unaudited) (cont'd)

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

• Level 1 — unadjusted quoted prices in active markets for identical investments

• Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 — significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Fund's assets and liabilities carried at fair value: <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| Description | &nbsp;&nbsp; Quoted Prices <br>(Level 1)<br>| &nbsp;&nbsp; Other Significant <br>Observable Inputs <br>(Level 2)<br>| &nbsp;&nbsp; Significant <br>Unobservable <br>Inputs <br>(Level 3)<br>| Total |
| Long-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; $218940773 | &nbsp;&nbsp; — | &nbsp;&nbsp; $218940773 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 194760862 | &nbsp;&nbsp; — | &nbsp;&nbsp; 194760862 |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 54760515 | &nbsp;&nbsp; — | &nbsp;&nbsp; 54760515 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds & Notes | &nbsp;&nbsp; — | &nbsp;&nbsp; 7613102 | &nbsp;&nbsp; — | &nbsp;&nbsp; 7613102 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks | &nbsp;&nbsp; $4179309 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 4179309 |
| Total Long-Term Investments | &nbsp;&nbsp; 4179309 | &nbsp;&nbsp; 476075252 | &nbsp;&nbsp; — | &nbsp;&nbsp; 480254561 |
| Short-Term Investments† | &nbsp;&nbsp; 1518324 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 1518324 |
| **Total Investments** | &nbsp;&nbsp; **$5697633** | &nbsp;&nbsp; **$476075252** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$481772885** |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; $599048 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $599048 |
| **Total** | &nbsp;&nbsp; **$6296681** | &nbsp;&nbsp; **$476075252** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$482371933** |
| **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  |
| Description | &nbsp;&nbsp; Quoted Prices <br>(Level 1)<br>| &nbsp;&nbsp; Other Significant <br>Observable Inputs <br>(Level 2)<br>| &nbsp;&nbsp; Significant <br>Unobservable <br>Inputs <br>(Level 3)<br>| Total |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; $73456 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $73456 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

† See Schedule of Investments for additional detailed categorizations. <br> †† Reflects the unrealized appreciation (depreciation) of the instruments.

**2. Transactions with affiliated company**

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended March 31, 2026. The following transactions were effected in such company for the period ended March 31, 2026. <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Affiliate <br>Value at <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>December 31, <br>2025 | Purchased | Purchased | Sold | Sold |
|  | Affiliate <br>Value at <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>December 31, <br>2025 | Cost | Shares | Proceeds | Shares |
| Western Asset Premier <br> Institutional Government <br> Reserves, Premium <br> Shares<br>| $3795314 | $24327734 | 24327734 | $26604724 | 26604724 |

---

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| (cont'd) | Realized <br>Gain (Loss)<br>| Dividend <br>Income<br>| Income From <br>Securities Lending<br>| Net Increase <br>(Decrease) in <br>Unrealized <br>Appreciation <br>(Depreciation)<br>| Affiliate <br>Value at <br>March 31, <br>2026<br>|
| Western Asset Premier <br> Institutional Government <br> Reserves, Premium <br> Shares<br>|  | $32825 |  |  | $1518324 |

---

------

Western Asset Mortgage Total Return Fund 2026 Quarterly Report

------

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Legg Mason Partners Income Trust

- **b. Investment Company Act file number:** 811-04254

- **c. CIK number of Registrant:** 0000764624

- **d. LEI of Registrant:** 549300Y1U2UCLTK83X35

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** One Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 1-877-656-3863

**Item A.2. Information about the Series.**

- **a. Name of Series:** Western Asset Mortgage Total Return Fund

- **b. EDGAR series identifier (if any):** S000016649

- **c. LEI of Series:** 549300GQXDFRVF4XT215

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-12-31

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $545228188.08

**Total Liabilities:** $206755127.57

**Net Assets:** $338473060.51

**Stand-by Commitments:** $191149051.05

**Cash Not Reported:** $2863931.57

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 105.86000000 | **1-Year:** 23348.53000000 | **5-Year:** 131347.35000000 | **10-Year:** 47148.77000000 | **30-Year:** 2305.58000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 266.48000000 | **1-Year:** 6199.41000000 | **5-Year:** 9559.02000000 | **10-Year:** 6552.78000000 | **30-Year:** 680.28000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000088509 | 0.47%                | 1.65%                | -1.75%               |
| Class ID C000046506 | 0.53%                | 1.70%                | -1.81%               |
| Class ID C000046510 | 0.56%                | 1.72%                | -1.67%               |
| Class ID C000046509 | 0.56%                | 1.72%                | -1.77%               |
| Class ID C000046508 | 0.47%                | 1.65%                | -1.76%               |
| Class ID C000118880 | 0.57%                | 1.73%                | -1.65%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $120005.10               | $319828.23                                 |
| Month 2  | $-811956.12              | $6119777.98                                |
| Month 3  | $36998.40                | $-8362869.42                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Mortgage Backed Securities

- **Index Identifier:** NA

### Schedule of Portfolio Investments

| Name                                                                                                         | Title                                                                                                                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association                                                                     | GNR 2010-H02 FA                                                                                                                                        | CUSIP: 38375BAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    134556 | PA      | $134938.11    | 0.04%             | 2060-02-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-IMC                                                                                            | BX 2019-IMC G                                                                                                                                          | CUSIP: 05608BAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1463768.25   | 0.43%             | 2034-04-17      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | FHR 5092 IU                                                                                                                                            | CUSIP: 3137FYCR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6423891 | PA      | $764990.36    | 0.23%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOODGREEN 2022-1                                                                                             | GOODG 2022-1A C                                                                                                                                        | CUSIP: 38218JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     75078 | PA      | $75960.21     | 0.02%             | 2056-10-15      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FR SL3103                                                                                                                                              | CUSIP: 31427QNV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1232190 | PA      | $1281008.60   | 0.38%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2017-41 IO                                                                                                                                         | CUSIP: 38379RPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    301913 | PA      | $6852.72      | 0.00%             | 2058-07-16      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                                                  | 5-Year T-Note Futures, Jun-2026,ETH                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -295 | NC      | $329911.35    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 5056 PI                                                                                                                                            | CUSIP: 3137F74L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2517678 | PA      | $336781.50    | 0.10%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-29 JI                                                                                                                                         | CUSIP: 38380N4W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8600515 | PA      | $537882.26    | 0.16%             | 2060-01-16      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Carnival Corporation                                                                                         | CCL 5.125 05/01/29 144A                                                                                                                                | CUSIP: 143658CB6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    900000 | PA      | $893885.94    | 0.26%             | 2029-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                                                             | MF1 2022-FL8 D                                                                                                                                         | CUSIP: 55284JAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1102657.38   | 0.33%             | 2037-02-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                       | FHR 4813 CJ                                                                                                                                            | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    273158 | PA      | $239900.77    | 0.07%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 5085 IK                                                                                                                                            | CUSIP: 3137FXSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  15074490 | PA      | $2470170.75   | 0.73%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C59                                                               | WFCM 2021-C59 XA                                                                                                                                       | CUSIP: 95003CBU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12118478 | PA      | $645834.92    | 0.19%             | 2054-04-17      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | FHR 5149 NI                                                                                                                                            | CUSIP: 3137H2TB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    810315 | PA      | $120567.23    | 0.04%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 4931 DZ                                                                                                                                            | CUSIP: 3137FPWG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3546062 | PA      | $2660658.22   | 0.79%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2019-18 TP                                                                                                                                         | CUSIP: 38381B4T8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    544373 | PA      | $491212.63    | 0.15%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL INC                                                                                        | WAMU 2003-AR5 A7                                                                                                                                       | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11848 | PA      | $11882.31     | 0.00%             | 2033-06-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-A                                                                      | SMB 2020-A B                                                                                                                                           | CUSIP: 78449UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1877873.60   | 0.55%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2020-GC47                                                                       | GSMS 2020-GC47 XA                                                                                                                                      | CUSIP: 36258RBC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16835511 | PA      | $615799.21    | 0.18%             | 2053-05-14      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN FM8025                                                                                                                                              | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132812 | PA      | $114692.73    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 BS1757                                                                                                                                              | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84294 | PA      | $79794.00     | 0.02%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | FHR 5202 NI                                                                                                                                            | CUSIP: 3137H63C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1425467 | PA      | $176778.71    | 0.05%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 5135 DI                                                                                                                                            | CUSIP: 3137H1RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6162846 | PA      | $846335.68    | 0.25%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-85 CI                                                                                                                                         | CUSIP: 38382FVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1011363 | PA      | $183715.36    | 0.05%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN CB0114                                                                                                                                              | CUSIP: 3140QKDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255613 | PA      | $231519.14    | 0.07%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK (STACR) SECURITIZED PARTICIPATION INTERESTS TRUST SERIES 2017-SPI1 | STACR 2017-SPI1 B                                                                                                                                      | CUSIP: 3137G1CG0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1788500 | PA      | $1312792.88   | 0.39%             | 2047-09-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2009-H01 FA                                                                                                                                        | CUSIP: 38376ETM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     49156 | PA      | $49612.70     | 0.01%             | 2059-11-20      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNMA-30YR                                                                                                                                              | CUSIP: 01F020646<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6700000 | PA      | $5398210.90   | 1.59%             | 2056-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2019-137 PI                                                                                                                                        | CUSIP: 38382AYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2347753 | PA      | $458899.47    | 0.14%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNMA-30YR                                                                                                                                              | CUSIP: 01F060642<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20100000 | PA      | $20491633.43  | 6.05%             | 2056-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Figre Trust 2023-HE1                                                                                         | BMP 2024-MF23 E                                                                                                                                        | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1420000 | PA      | $1418092.66   | 0.42%             | 2041-06-17      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FR SC0190                                                                                                                                              | CUSIP: 3132D9F74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1903354 | PA      | $1719539.78   | 0.51%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | FHR 5202 IN                                                                                                                                            | CUSIP: 3137H62K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3895399 | PA      | $501834.58    | 0.15%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 BS8420                                                                                                                                              | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    441242 | PA      | $415579.78    | 0.12%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2022-139 AL                                                                                                                                        | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1200000 | PA      | $1085226.60   | 0.32%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHMR 2019-RR01 X                                                                                                                                       | CUSIP: 3137FQ3M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2400000 | PA      | $63278.40     | 0.02%             | 2028-06-27      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 784905                                                                                                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51588 | PA      | $45671.82     | 0.01%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Senior Incorporated                                                                             | ABR 8.5 12/15/28 144A                                                                                                                                  | CUSIP: 03881NAL1<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              | CORP              | US        |    400000 | PA      | $393271.13    | 0.12%             | 2028-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES 2022-                                                                          | GSMBS 2022-NQM1 B4                                                                                                                                     | CUSIP: 36264EBG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1415124 | PA      | $1230722.71   | 0.36%             | 2062-05-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                                                       | NCMS 2019-FAME D                                                                                                                                       | CUSIP: 63873VAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1450000 | PA      | $950889.85    | 0.28%             | 2036-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 BW7380                                                                                                                                              | CUSIP: 3617Q0FV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    606750 | PA      | $583876.39    | 0.17%             | 2050-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-HRP1                                                                                        | STACR 2018-HRP1 B2                                                                                                                                     | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-O            | USGSE             | US        |   2037493 | PA      | $2390713.72   | 0.71%             | 2043-05-25      | Floating      | 15.53%                | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2021-A                                                                      | SMB 2021-A C                                                                                                                                           | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2263423 | PA      | $1999056.44   | 0.59%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| BFLD COMMERCIAL MORTGAGE TRUST 2024-UNIV                                                                     | BFLD 2024-UNIV E                                                                                                                                       | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1170000 | PA      | $1173598.80   | 0.35%             | 2041-11-15      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 BT1888                                                                                                                                              | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    384127 | PA      | $328081.75    | 0.10%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2022-147 B                                                                                                                                         | CUSIP: 38381HMU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6500000 | PA      | $4573619.70   | 1.35%             | 2063-10-16      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                                                  | GSMS 2018-LUAU G                                                                                                                                       | CUSIP: 36256AAS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1070000 | PA      | $1066295.77   | 0.32%             | 2032-11-15      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN BF0145                                                                                                                                              | CUSIP: 3140FXET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    920156 | PA      | $839719.14    | 0.25%             | 2057-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC29                                                                | CGCMT 2015-GC29 C                                                                                                                                      | CUSIP: 17323VBE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $895500.00    | 0.26%             | 2048-04-10      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| GOODGREEN TRUST 2021-1                                                                                       | GOODG 2021-1A C                                                                                                                                        | CUSIP: 38217UAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    491574 | PA      | $360567.17    | 0.11%             | 2056-10-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2017-21 IO                                                                                                                                         | CUSIP: 38379U5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6942051 | PA      | $213727.70    | 0.06%             | 2058-10-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-89 IA                                                                                                                                         | CUSIP: 38380PTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  12696777 | PA      | $1015926.24   | 0.30%             | 2062-04-16      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2017-26 IQ                                                                                                                                         | CUSIP: 38380CK51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2578330 | PA      | $507555.68    | 0.15%             | 2040-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2019-59 SH                                                                                                                                         | CUSIP: 3136B6LX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2953091 | PA      | $349293.43    | 0.10%             | 2049-10-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-156 IE                                                                                                                                        | CUSIP: 38383ASM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4080083 | PA      | $633254.94    | 0.19%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MLTI TRUST 2026-SF75                                                                                         | MLTI 2026-SF75 E                                                                                                                                       | CUSIP: 55318JAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1560000 | PA      | $1556537.74   | 0.46%             | 2031-03-17      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHMS K142 X1                                                                                                                                           | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  17038885 | PA      | $273448.55    | 0.08%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 BW7384                                                                                                                                              | CUSIP: 3617Q0FZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    933856 | PA      | $879398.10    | 0.26%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2016-48 IA                                                                                                                                         | CUSIP: 3136ATLX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3258180 | PA      | $384692.93    | 0.11%             | 2038-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2014-2 CI                                                                                                                                          | CUSIP: 38378YJ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    657068 | PA      | $134371.70    | 0.04%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2021-74 IO                                                                                                                                         | CUSIP: 3136BJK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  10438645 | PA      | $1816759.51   | 0.54%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN BF0338                                                                                                                                              | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512851 | PA      | $494522.43    | 0.15%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN FA1134                                                                                                                                              | CUSIP: 3140W1HL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393859 | PA      | $408866.72    | 0.12%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-HQA3                                                                            | STACR 2019-HQA3 B2                                                                                                                                     | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-O            | USGSE             | US        |    860000 | PA      | $955963.87    | 0.28%             | 2049-09-27      | Floating      | 11.28%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-158 XB                                                                                                                                        | CUSIP: 38382X6W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4281350 | PA      | $638375.90    | 0.19%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 784577                                                                                                                                              | CUSIP: 3622A3CN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    981320 | PA      | $921533.07    | 0.27%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-109 AI                                                                                                                                        | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6222807 | PA      | $363640.93    | 0.11%             | 2060-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2017-C7                                                           | JPMDB 2017-C7 B                                                                                                                                        | CUSIP: 46648KAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420000 | PA      | $399506.90    | 0.12%             | 2050-10-17      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-60 IO                                                                                                                                         | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4455236 | PA      | $265308.83    | 0.08%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORP                                                                       | FR SD0573                                                                                                                                              | CUSIP: 3132DMT62<br>LEI: 254900C5LP6DN9OP9V83 | Long             | ABS-MBS          | USGSE             | US        |    112498 | PA      | $92929.05     | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp.                                                                                          | EXE 4.75 02/01/32                                                                                                                                      | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1072241.17   | 0.32%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN 890813                                                                                                                                              | CUSIP: 31410LVE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1439762 | PA      | $1345300.43   | 0.40%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 786474                                                                                                                                              | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218933 | PA      | $218709.35    | 0.06%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RIDE TRUST 2025-SHRE                                                                                         | RIDE 2025-SHRE D                                                                                                                                       | CUSIP: 765692AG3<br>LEI: 5493000HCHF3YP6AGZ15 | Long             | ABS-O            | CORP              | US        |    370000 | PA      | $377902.61    | 0.11%             | 2047-02-14      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2-30YR-Multi                                                                                                                                          | CUSIP: 21H030641<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2678718.03   | 0.79%             | 2056-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 CD8312                                                                                                                                              | CUSIP: 3617VKGV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58630 | PA      | $50366.99     | 0.01%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN AT6152                                                                                                                                              | CUSIP: 3138WTZS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1637962 | PA      | $1582869.64   | 0.47%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FG V81657                                                                                                                                              | CUSIP: 3132L6ZW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1771381 | PA      | $1740502.45   | 0.51%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2020-63 KI                                                                                                                                         | CUSIP: 3136BBA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1242202 | PA      | $74438.19     | 0.02%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 786340                                                                                                                                              | CUSIP: 3622AB4Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148307 | PA      | $148061.38    | 0.04%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2-30YR-Multi                                                                                                                                          | CUSIP: 21H022648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8300000 | PA      | $7141890.63   | 2.11%             | 2056-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-H12 F                                                                                                                                         | CUSIP: 38380QDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     47336 | PA      | $47103.26     | 0.01%             | 2070-07-20      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2015-20 PI                                                                                                                                         | CUSIP: 38379JHX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    584458 | PA      | $96022.21     | 0.03%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GN BS8462                                                                                                                                              | CUSIP: 3617MKMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1391453 | PA      | $1308144.31   | 0.39%             | 2050-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NYC COMMERCIAL MORTGAGE TRUST 2025-28L                                                                       | NYC 2025-28L F                                                                                                                                         | CUSIP: 67123JAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $353528.42    | 0.10%             | 2038-11-05      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | FHR 5140 NI                                                                                                                                            | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6715123 | PA      | $970181.47    | 0.29%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                       | FHR 5209 EQ                                                                                                                                            | CUSIP: 3137H6V44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2800000 | PA      | $2115847.16   | 0.63%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNS 440 C50                                                                                                                                            | CUSIP: 31424U8E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3761913 | PA      | $821247.16    | 0.24%             | 2053-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-122 IM                                                                                                                                        | CUSIP: 38382HMZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1902658 | PA      | $284675.08    | 0.08%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2018-74 AB                                                                                                                                         | CUSIP: 3136B3HQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1109063 | PA      | $1031020.79   | 0.30%             | 2048-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                                                | STACR 2026-DNA2 B1                                                                                                                                     | CUSIP: 35564UEP8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2400000 | PA      | $2402828.40   | 0.71%             | 2046-03-26      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                                        | FNR 2021-59 TI                                                                                                                                         | CUSIP: 3136BGZ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5040162 | PA      | $762135.04    | 0.23%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-21 AH                                                                                                                                         | CUSIP: 38380RTP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2795974 | PA      | $2123991.47   | 0.63%             | 2063-06-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNMA-30YR                                                                                                                                              | CUSIP: 01F022642<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17900000 | PA      | $15052781.25  | 4.45%             | 2056-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN FS7902                                                                                                                                              | CUSIP: 3140XPX87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475873 | PA      | $492309.88    | 0.15%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                       | FHMS K141 X1                                                                                                                                           | CUSIP: 3137H6ZT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  34118495 | PA      | $580812.79    | 0.17%             | 2032-02-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNS 406 2                                                                                                                                              | CUSIP: 3136FG2G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1035312 | PA      | $165728.13    | 0.05%             | 2041-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                             | CWALT 2006-OA9 2A1B                                                                                                                                    | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52035 | PA      | $45856.52     | 0.01%             | 2046-07-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-97 TI                                                                                                                                         | CUSIP: 38382VLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8990571 | PA      | $1255215.84   | 0.37%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNA 2020-M11 IO                                                                                                                                        | CUSIP: 3136B86Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5642921 | PA      | $212498.85    | 0.06%             | 2029-01-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNMA-30YR                                                                                                                                              | CUSIP: 01F060642<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -3000000 | PA      | $-3058452.75  | -0.90%            | 2056-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD EUROPEAN REAL ESTATE FINANCE LTD                                                                    | SRPT 2014-STAR C                                                                                                                                       | CUSIP: 85571XAN7<br>LEI: 5493004YMVUQ9Z7JGZ50 | Long             | ABS-O            | CORP              | GG        |   2324000 | PA      | $75530.00     | 0.02%             | 2027-11-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2013-9 BC                                                                                                                                          | CUSIP: 3136ABQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    123200 | PA      | $129948.62    | 0.04%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2013-142 IO                                                                                                                                        | CUSIP: 38378K2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1565164 | PA      | $25408.56     | 0.01%             | 2051-09-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                       | FHR 5523 IQ                                                                                                                                            | CUSIP: 3137HKRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4767307 | PA      | $835055.28    | 0.25%             | 2055-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 BS1728                                                                                                                                              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286753 | PA      | $266139.21    | 0.08%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GN AA5649                                                                                                                                              | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81611 | PA      | $74679.32     | 0.02%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2025-169 SA                                                                                                                                        | CUSIP: 38385HKU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  14746028 | PA      | $1475344.55   | 0.44%             | 2055-10-20      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FH 841076                                                                                                                                              | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1248266 | PA      | $1250804.26   | 0.37%             | 2048-11-01      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 892992                                                                                                                                              | CUSIP: 3620E0DH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    398766 | PA      | $407894.96    | 0.12%             | 2060-06-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GN BS1754                                                                                                                                              | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50163 | PA      | $47414.11     | 0.01%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SUNRUN VULCAN ISSUER 2021-1 LLC                                                                              | SUNRN 2021-1A A                                                                                                                                        | CUSIP: 86773QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625003 | PA      | $577126.89    | 0.17%             | 2052-01-30      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-180 IO                                                                                                                                        | CUSIP: 38381D6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2213700 | PA      | $150539.38    | 0.04%             | 2063-11-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2015-167 OI                                                                                                                                        | CUSIP: 38379FFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1463496 | PA      | $284951.06    | 0.08%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | FHMS KG06 X1                                                                                                                                           | CUSIP: 3137H4C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  14646335 | PA      | $349014.84    | 0.10%             | 2031-10-25      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                                        | FNR 2021-63 QI                                                                                                                                         | CUSIP: 3136BGV57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    710795 | PA      | $86154.82     | 0.03%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROCK TRUST 2024-CNTR                                                                                         | ROCC 2024-CNTR E                                                                                                                                       | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1460513.60   | 0.43%             | 2041-11-15      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2022-54 Z                                                                                                                                          | CUSIP: 38381E2F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1949787 | PA      | $796834.81    | 0.24%             | 2063-10-16      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 BG7951                                                                                                                                              | CUSIP: 3617GSZQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70640 | PA      | $67813.50     | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Legg Mason Partners Institutional Trust                                                                      | Legg Mason Partners Institutional Trust GVT RSEVS PRM                                                                                                  | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |   1962446 | NS      | $1962446.33   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 5134 KI                                                                                                                                            | CUSIP: 3137H1X92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   6647160 | PA      | $880171.10    | 0.26%             | 2048-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNA 2019-M11 X1                                                                                                                                        | CUSIP: 3136B4C71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  10634953 | PA      | $252013.30    | 0.07%             | 2029-06-25      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 4882 S                                                                                                                                             | CUSIP: 3137FLVX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1170353 | PA      | $131015.83    | 0.04%             | 2049-05-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Phantom 2026-1 Aviation Ltd. / Phantom 2026-1 Aviation LLC                                                   | PHNTOM 2026-1A B                                                                                                                                       | CUSIP: 71711GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1046159 | PA      | $1031104.18   | 0.30%             | 2051-01-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2025-R03                                                                 | CAS 2025-R02 1B1                                                                                                                                       | CUSIP: 20754TAH5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    600000 | PA      | $601290.84    | 0.18%             | 2045-02-27      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BAYVIEW OPPORTUNITY MASTER FUND VII 2025-EDU1, LLC                                                           | BVCLN 2025-EDU1 D                                                                                                                                      | CUSIP: 07337GAD5<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |   1879737 | PA      | $1877795.32   | 0.55%             | 2048-07-27      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN BF0301                                                                                                                                              | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    874492 | PA      | $845671.42    | 0.25%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SUNNOVA HESTIA I ISSUER LLC                                                                                  | SNVA 2023-GRID1 1A                                                                                                                                     | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1880467 | PA      | $1842462.12   | 0.54%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                                        | FNR 2021-52 CI                                                                                                                                         | CUSIP: 3136BGNQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   9094491 | PA      | $1242860.42   | 0.37%             | 2047-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 4377 UZ                                                                                                                                            | CUSIP: 3137BDBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2618038 | PA      | $2137689.44   | 0.63%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Extenet Issuer Llc                                                                                           | EXTNT 2024-1A B                                                                                                                                        | CUSIP: 30227XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1010583.60   | 0.30%             | 2054-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNMA-30YR                                                                                                                                              | CUSIP: 01F050643<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21000000 | PA      | $20713581.42  | 6.12%             | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REDWOOD FUNDING TRUST 2025-3                                                                                 | RFT 2025-3 A                                                                                                                                           | CUSIP: 75806GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1246110 | PA      | $1257949.10   | 0.37%             | 2056-12-28      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2021-49 GI                                                                                                                                         | CUSIP: 3136BHK40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3029807 | PA      | $420124.27    | 0.12%             | 2048-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2-30YR-Multi                                                                                                                                          | CUSIP: 21H032647<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $183473.57    | 0.05%             | 2056-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 4995 IQ                                                                                                                                            | CUSIP: 3137FUWV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1823557 | PA      | $266941.26    | 0.08%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-SP1 TRUST                                                                                   | RAAC 2007-SP1 M3                                                                                                                                       | CUSIP: 74978AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999690 | PA      | $827311.21    | 0.24%             | 2037-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNS 435 C28                                                                                                                                            | CUSIP: 31424UBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1578454 | PA      | $294799.74    | 0.09%             | 2052-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 891562                                                                                                                                              | CUSIP: 36208AZY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       716 | PA      | $718.34       | 0.00%             | 2058-08-20      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-68 IO                                                                                                                                         | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4442303 | PA      | $274588.97    | 0.08%             | 2062-10-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2024-RTL4                                                            | GRADE 2024-RTL4 A2                                                                                                                                     | CUSIP: 79584CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1140000 | PA      | $1135555.14   | 0.34%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-129 IE                                                                                                                                        | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    119865 | PA      | $17266.27     | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NYC COMMERCIAL MORTGAGE TRUST 2025-28L                                                                       | NYC 2025-28L G                                                                                                                                         | CUSIP: 67123JAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002664.40   | 0.30%             | 2038-11-05      | Variable      | 9.32%                 | No            |                  2 | On Loan: No      |
| Cim Trust                                                                                                    | CIM 2021-INV1 AXS                                                                                                                                      | CUSIP: 12566PCU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  73130664 | PA      | $647264.88    | 0.19%             | 2051-07-01      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                                                                      | FR SD7265                                                                                                                                              | CUSIP: 3132DVCA1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGSE             | US        |    761457 | PA      | $790821.81    | 0.23%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 786077                                                                                                                                              | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    619095 | PA      | $549584.62    | 0.16%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2023-92 AH                                                                                                                                         | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2847267 | PA      | $2180997.30   | 0.64%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Jpmcc Commercial Mortgage Securities Trust 2019-COR5                                                         | JPMCC 2019-COR5 XA                                                                                                                                     | CUSIP: 46591EAY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13847373 | PA      | $462354.09    | 0.14%             | 2052-06-14      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FR QK0701                                                                                                                                              | CUSIP: 3133D3X67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57505 | PA      | $52100.97     | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2-30YR-Multi                                                                                                                                          | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7300000 | PA      | $7053359.72   | 2.08%             | 2056-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-14                                                                             | JPMMT 2021-14 AX4                                                                                                                                      | CUSIP: 46653QBZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19829023 | PA      | $590817.64    | 0.17%             | 2052-05-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 4921 SN                                                                                                                                            | CUSIP: 3137FPHB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2358928 | PA      | $305076.15    | 0.09%             | 2049-10-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2021-46 BI                                                                                                                                         | CUSIP: 3136BH3Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4759543 | PA      | $668340.70    | 0.20%             | 2048-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                       | FHR 5408 PI                                                                                                                                            | CUSIP: 3137HCN65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    916263 | PA      | $182914.88    | 0.05%             | 2054-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2020-47 GZ                                                                                                                                         | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1346119 | PA      | $812345.69    | 0.24%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-FTR1                                                                            | STACR 2019-FTR1 B2                                                                                                                                     | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-O            | USGSE             | US        |   2810000 | PA      | $3319803.97   | 0.98%             | 2048-01-27      | Floating      | 12.13%                | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2024-BIO2                                                                       | BX 2024-BIO2 D                                                                                                                                         | CUSIP: 05613GAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1020000 | PA      | $987897.03    | 0.29%             | 2041-08-15      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN AT2016                                                                                                                                              | CUSIP: 3138WPG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791796 | PA      | $725246.22    | 0.21%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2009-74 TX                                                                                                                                         | CUSIP: 31396Q3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    419473 | PA      | $423839.73    | 0.13%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRES COMMERCIAL MORTGAGE TRUST 2025-ATCAP                                                                    | BRES 2025-ATCAP F                                                                                                                                      | CUSIP: 05619GAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1248224.38   | 0.37%             | 2042-11-17      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2-30YR-Multi                                                                                                                                          | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4800000 | PA      | $4881419.76   | 1.44%             | 2056-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2018-168 PA                                                                                                                                        | CUSIP: 38381BDT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    724746 | PA      | $697325.45    | 0.21%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 5078 EI                                                                                                                                            | CUSIP: 3137FF2J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4635004 | PA      | $482495.15    | 0.14%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Agnc Investment Corp                                                                                         | Agnc Investment Corp DEPOSITARY SHARES EACH REPRESENTING 1/1,000TH OF A SHARE OF 6.125% SERIES F FIXED-TO-FLOATING RATE CUMULATIVE REDEEMABLE PREFERRE | CUSIP: 00123Q872<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     76437 | NS      | $1855125.99   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| HOTWIRE FUNDING LLC                                                                                          | HWIRE 2024-1A C                                                                                                                                        | CUSIP: 44148JAM1<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $778161.45    | 0.23%             | 2054-06-20      | Fixed         | 9.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2010-2 AI                                                                                                                                          | CUSIP: 31398G4Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    145262 | PA      | $17852.94     | 0.01%             | 2040-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FG U91753                                                                                                                                              | CUSIP: 3132HBZS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1509506 | PA      | $1463441.53   | 0.43%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                | SCRT 2016-1 B                                                                                                                                          | CUSIP: 35563PAF6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   4369380 | PA      | $669210.79    | 0.20%             | 2055-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST                                                                      | CSAIL 2015-C3 C                                                                                                                                        | CUSIP: 12635FAZ7<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-O            | CORP              | US        |    814581 | PA      | $790805.31    | 0.23%             | 2048-08-17      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Greystone CRE Notes 2025-HC4 LLC                                                                             | GSTNE 2025-HC4 D                                                                                                                                       | CUSIP: 39809NAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $996531.10    | 0.29%             | 2042-10-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FR RB5125                                                                                                                                              | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    468603 | PA      | $409168.42    | 0.12%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                       | FHR 5482 FC                                                                                                                                            | CUSIP: 3137HHLW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    320527 | PA      | $322655.36    | 0.10%             | 2054-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP                                                          | CSFB 2002-10 2A1                                                                                                                                       | CUSIP: 22540VQ47<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93281 | PA      | $93992.03     | 0.03%             | 2032-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHMS K148 X1                                                                                                                                           | CUSIP: 3137H8UB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  25435978 | PA      | $406909.52    | 0.12%             | 2032-07-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| SOTHEBY'S ARTFI MASTER TRUST                                                                                 | ARTFI 2026-1A D                                                                                                                                        | CUSIP: 83589DAE6<br>LEI: 549300P5BAAMQQ7VL735 | Long             | ABS-O            | CORP              | US        |   1220000 | PA      | $1219525.66   | 0.36%             | 2033-06-20      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 4210 Z                                                                                                                                             | CUSIP: 3137B1W73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3602356 | PA      | $3024450.82   | 0.89%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                                        | FNR 2021-42 NI                                                                                                                                         | CUSIP: 3136BGCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   6933802 | PA      | $954086.95    | 0.28%             | 2048-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SEB FUNDING LLC                                                                                              | SEB4P 2024-1A A2                                                                                                                                       | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1870000 | PA      | $1904937.21   | 0.56%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2009-59 LB                                                                                                                                         | CUSIP: 31396QRA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    159739 | PA      | $160581.30    | 0.05%             | 2039-08-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-116 GI                                                                                                                                        | CUSIP: 38382HYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5335753 | PA      | $798212.15    | 0.24%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MF1 2025-FL17 LLC                                                                                            | MF1 2025-FL17 E                                                                                                                                        | CUSIP: 55287HAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    410000 | PA      | $407419.09    | 0.12%             | 2040-02-21      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 4134 IM                                                                                                                                            | CUSIP: 3137AW2C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2033331 | PA      | $329637.32    | 0.10%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR6                                                      | SAMI 2006-AR6 1A1                                                                                                                                      | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50334 | PA      | $45688.31     | 0.01%             | 2046-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 5070 NI                                                                                                                                            | CUSIP: 3137F9Y21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3996042 | PA      | $562006.55    | 0.17%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NYT 2019- NYT MORTGAGE TRUST                                                                                 | NYT 2019-NYT C                                                                                                                                         | CUSIP: 62954PAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1456226.10   | 0.43%             | 2035-12-17      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-139 IE                                                                                                                                        | CUSIP: 38382XHX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2623700 | PA      | $485751.80    | 0.14%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limite                                                                               | DK 2024-SPT1 Note Backed Trust                                                                                                                         | CUSIP: 23292KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    583087 | PA      | $591376.00    | 0.17%             | 2066-04-28      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| DIVIDEND SOLAR LOANS 2019-1 LLC                                                                              | DIV 2019-1 A                                                                                                                                           | CUSIP: 255388AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    857594 | PA      | $799285.07    | 0.24%             | 2039-08-22      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-4                                                                   | STAR 2021-4 B31                                                                                                                                        | CUSIP: 85573PAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1490000 | PA      | $1048356.40   | 0.31%             | 2056-08-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Senior Incorporated                                                                             | ABR 7.875 07/15/30 144A                                                                                                                                | CUSIP: 03881NAJ6<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              | CORP              | US        |    690000 | PA      | $638468.54    | 0.19%             | 2030-07-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2-30YR-Multi                                                                                                                                          | CUSIP: 21H062644<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1100000 | PA      | $1143325.84   | 0.34%             | 2055-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SIERRA RECEIVABLES FUNDING CO LLC                                                                            | SRFC 2024-2A D                                                                                                                                         | CUSIP: 82650DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    974039 | PA      | $986847.41    | 0.29%             | 2041-06-20      | Fixed         | 7.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 BT9472                                                                                                                                              | CUSIP: 3617MYQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    893104 | PA      | $837716.49    | 0.25%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FR QG2317                                                                                                                                              | CUSIP: 3133C2SE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432858 | PA      | $450786.77    | 0.13%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 BC5293                                                                                                                                              | CUSIP: 3617B83A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    358475 | PA      | $333192.45    | 0.10%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHMS K116 X1                                                                                                                                           | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1063788 | PA      | $52038.50     | 0.02%             | 2030-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-1                                                                   | NRZT 2017-1A B6                                                                                                                                        | CUSIP: 64829JBP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    920246 | PA      | $858041.08    | 0.25%             | 2057-02-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| ONNI COMMERCIAL MORTGAGE TRUST 2024-APT                                                                      | ONNI 2024-APT D                                                                                                                                        | CUSIP: 682939AG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1225492.32   | 0.36%             | 2039-07-15      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 5050 IE                                                                                                                                            | CUSIP: 3137F7PV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4820518 | PA      | $582385.56    | 0.17%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2012-51 B                                                                                                                                          | CUSIP: 3136A54N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    110819 | PA      | $119355.41    | 0.04%             | 2042-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2023-184 HI                                                                                                                                        | CUSIP: 38384GXW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1787097 | PA      | $374177.64    | 0.11%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 4981 YI                                                                                                                                            | CUSIP: 3137FTYH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4624262 | PA      | $1078787.50   | 0.32%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2013-72 IO                                                                                                                                         | CUSIP: 38378KQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6541549 | PA      | $127935.69    | 0.04%             | 2047-11-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| RENEW 2023-1 LTD                                                                                             | RENEW 2023-1A A                                                                                                                                        | CUSIP: 75973HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   1316389 | PA      | $1351888.50   | 0.40%             | 2058-11-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Lithia Motors Incorporated                                                                                   | LAD 4.375 01/15/31 144A                                                                                                                                | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $940501.40    | 0.28%             | 2031-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 5058 IL                                                                                                                                            | CUSIP: 3137F8D59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1787874 | PA      | $263416.60    | 0.08%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RENEW 2024-1                                                                                                 | RENEW 2024-1A M                                                                                                                                        | CUSIP: 75973VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1126475 | PA      | $1124812.08   | 0.33%             | 2059-11-20      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2021-5                                                             | GOOD 2021-5CS C                                                                                                                                        | CUSIP: 38237HAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1372662 | PA      | $528697.89    | 0.16%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Trust                                                                                        | PRK 2017-280P F                                                                                                                                        | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2431138.75   | 0.72%             | 2034-09-15      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 4988 AZ                                                                                                                                            | CUSIP: 3137FUNG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3814005 | PA      | $2309423.63   | 0.68%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2013-82 TI                                                                                                                                         | CUSIP: 38378TEW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4855885 | PA      | $609027.50    | 0.18%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SALT 2021-1 TRUST                                                                                            | SALTT 2021-1A B                                                                                                                                        | CUSIP: 78433XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910317 | PA      | $893959.43    | 0.26%             | 2033-02-28      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| MF1 2025-FL17 LLC                                                                                            | MF1 2025-FL17 D                                                                                                                                        | CUSIP: 55287HAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    470000 | PA      | $467383.42    | 0.14%             | 2040-02-21      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Hartwick PK CLO Ltd. / Hartwick PK CLO LLC                                                                   | HWKPK 2023-1A ER                                                                                                                                       | CUSIP: 417402AE4<br>LEI: 2549003E1ZAWJG55NM75 | Long             | ABS-CBDO         | CORP              | JE        |    170000 | PA      | $157567.54    | 0.05%             | 2037-01-21      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-H13 FA                                                                                                                                        | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    733594 | PA      | $729123.22    | 0.22%             | 2070-07-20      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                                        | FNR 2021-61 KI                                                                                                                                         | CUSIP: 3136BGVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    924877 | PA      | $137975.42    | 0.04%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN FS8273                                                                                                                                              | CUSIP: 3140XQFP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5703912 | PA      | $4859527.57   | 1.44%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GN 733627                                                                                                                                              | CUSIP: 3620AMA44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177483 | PA      | $181087.14    | 0.05%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2024-22 IC                                                                                                                                         | CUSIP: 3136BRH67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   9276476 | PA      | $1256154.56   | 0.37%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2024-VLT4                                                                                           | BX 2024-VLT4 E                                                                                                                                         | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1180443.48   | 0.35%             | 2041-06-17      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                                                         | ESA 2025-ESH D                                                                                                                                         | CUSIP: 30227TAG5<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $903355.38    | 0.27%             | 2042-10-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 5059 IB                                                                                                                                            | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1014325 | PA      | $170935.45    | 0.05%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ZF North America Capital, Inc.                                                                               | ZFFNGR 6.875 04/23/32 144A                                                                                                                             | CUSIP: 98877DAG0<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    650000 | PA      | $618171.45    | 0.18%             | 2032-04-23      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNMA-30YR                                                                                                                                              | CUSIP: 01F040651<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1000000 | PA      | $-942937.70   | -0.28%            | 2056-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-BILT                                                                                           | BX 2026-CSMO D                                                                                                                                         | CUSIP: 12433LAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    840000 | PA      | $843408.80    | 0.25%             | 2031-02-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | FHR 5160 IU                                                                                                                                            | CUSIP: 3137H3WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4483338 | PA      | $603945.56    | 0.18%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FR QB9485                                                                                                                                              | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64856 | PA      | $53528.80     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO XIX LTD                                                                                         | TRNTS 2022-19A D1R                                                                                                                                     | CUSIP: 89642FAU7<br>LEI: 2549001AD9MMQI3LBM68 | Long             | ABS-CBDO         | CORP              | KY        |    830000 | PA      | $830998.57    | 0.25%             | 2033-10-20      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| MACH 1 CAYMAN LTD                                                                                            | MAACH 2019-1 A                                                                                                                                         | CUSIP: 55446MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    146289 | PA      | $145094.76    | 0.04%             | 2039-10-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 BC5429                                                                                                                                              | CUSIP: 3617B9A63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2493575 | PA      | $2317707.65   | 0.68%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN BF0162                                                                                                                                              | CUSIP: 3140FXFC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2517448 | PA      | $2561819.99   | 0.76%             | 2045-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                                     | GNR 2020-191 IX                                                                                                                                        | CUSIP: 38382MKC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGSE             | US        |   3427643 | PA      | $586100.54    | 0.17%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2-30YR-Multi                                                                                                                                          | CUSIP: 21H050649<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8900000 | PA      | $8815776.81   | 2.60%             | 2056-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Multifamily Trust 2016-1                                                                                     | MFMT 2016-1 B                                                                                                                                          | CUSIP: 62547L103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340821 | PA      | $331660.44    | 0.10%             | 2046-04-25      | Variable      | 17.79%                | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | FHMS K132 X1                                                                                                                                           | CUSIP: 3137H3EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  11349672 | PA      | $262528.12    | 0.08%             | 2031-08-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FR RA1084                                                                                                                                              | CUSIP: 3133KGFZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101720 | PA      | $99749.08     | 0.03%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AASET 2025-1 LTD                                                                                             | AASET 2025-1A A                                                                                                                                        | CUSIP: 00258PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1102915 | PA      | $1111719.40   | 0.33%             | 2050-02-16      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MSCR TRUST MN7                                                                                   | MSCR 2023-MN7 B1                                                                                                                                       | CUSIP: 35563QAC1<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-O            | USGSE             | US        |   1600000 | PA      | $1861327.68   | 0.55%             | 2043-09-25      | Floating      | 12.51%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2014-49 KS                                                                                                                                         | CUSIP: 3136AKWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    618576 | PA      | $45303.50     | 0.01%             | 2044-08-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2023-92 IA                                                                                                                                         | CUSIP: 38381H8D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1963632 | PA      | $100094.59    | 0.03%             | 2064-06-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GN AB9108                                                                                                                                              | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87050 | PA      | $79549.08     | 0.02%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PEAR THERAPEUTICS INC                                                                                        | PEAR 2021-1 A                                                                                                                                          | CUSIP: 70472TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32440 | PA      | $32406.39     | 0.01%             | 2034-01-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TR 2024-3                                                                               | VERUS 2024-3 A3                                                                                                                                        | CUSIP: 92540MAC9<br>LEI: 2138005NRONUFED1TZ38 | Long             | ABS-O            | CORP              | US        |    360229 | PA      | $363704.54    | 0.11%             | 2069-04-25      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-47 NI                                                                                                                                         | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    163461 | PA      | $31358.61     | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MFA Financial Inc.                                                                                           | MFA Financial Inc. 6.50% SERIES C FIXED-TO-FLOATING RATE CUMULATIVE REDEEMABLE PREFERRED STOCK                                                         | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     52662 | NS      | $1114854.54   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Ocean Trails Clo XIV Ltd.                                                                                    | OCTR 2023-14A ER                                                                                                                                       | CUSIP: 67515MAG3<br>LEI: 254900TWRKR5CRS1OX19 | Long             | ABS-CBDO         | CORP              | JE        |    900000 | PA      | $770097.96    | 0.23%             | 2038-01-20      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                                        | FNR 2020-88 GI                                                                                                                                         | CUSIP: 3136BDCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1667973 | PA      | $265503.92    | 0.08%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Renew 2024-2                                                                                                 | RENEW 2024-2A B                                                                                                                                        | CUSIP: 75975DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    828638 | PA      | $830137.93    | 0.25%             | 2060-11-20      | Fixed         | 8.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN FS7940                                                                                                                                              | CUSIP: 3140XPZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233401 | PA      | $228940.70    | 0.07%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2024-70P                                                                   | GSMS 2024-70P E                                                                                                                                        | CUSIP: 36269JAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2015000 | PA      | $2060183.35   | 0.61%             | 2041-03-12      | Variable      | 8.37%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B25 MORTGAGE TRUST                                                                            | BMARK 2021-B25 XA                                                                                                                                      | CUSIP: 08163DAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16192279 | PA      | $654655.45    | 0.19%             | 2054-04-17      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                                                  | U.S. Treasury Bond Futures, Jun-2026,ETH                                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        29 | NC      | $-73456.42    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2024-1                                                                               | MSAIC 2024-1A B                                                                                                                                        | CUSIP: 618937AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    920377 | PA      | $757893.63    | 0.22%             | 2049-09-20      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FH 841081                                                                                                                                              | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325951 | PA      | $333547.20    | 0.10%             | 2050-02-01      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FG G67701                                                                                                                                              | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7096529 | PA      | $6435288.69   | 1.90%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                                             | FN FA2842                                                                                                                                              | CUSIP: 3140W3EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    683212 | PA      | $707212.82    | 0.21%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2022-86 C                                                                                                                                          | CUSIP: 38381HDN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    800000 | PA      | $429835.36    | 0.13%             | 2063-10-16      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2013-9 CB                                                                                                                                          | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    765328 | PA      | $785597.60    | 0.23%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNS 418 C15                                                                                                                                            | CUSIP: 31395Q3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4819502 | PA      | $815123.70    | 0.24%             | 2043-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage LLC/New Residential Mortgage FHT1 Excuss Owner LLC                                  | NRM FHT1 Excess Owner LLC                                                                                                                              | CUSIP: 64832EAA7<br>LEI: 549300FB4YR8GY21CA08 | Long             | ABS-O            | CORP              | US        |    764542 | PA      | $768460.83    | 0.23%             | 2032-03-25      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN BM4897                                                                                                                                              | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    934922 | PA      | $881920.04    | 0.26%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | FHR 5180 IP                                                                                                                                            | CUSIP: 3137H4VF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4883309 | PA      | $982887.04    | 0.29%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-3                                                                              | JPMMT 2024-3 AX1                                                                                                                                       | CUSIP: 46657QBB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  32634937 | PA      | $653733.27    | 0.19%             | 2054-05-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2024-SFR1 TRUST                                                                         | PROG 2024-SFR1 D                                                                                                                                       | CUSIP: 74331QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $958961.50    | 0.28%             | 2041-02-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2022-158 AL                                                                                                                                        | CUSIP: 38383YKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5790538 | PA      | $4107283.36   | 1.21%             | 2064-08-16      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2021-33 AI                                                                                                                                         | CUSIP: 3136BHUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1685344 | PA      | $226429.28    | 0.07%             | 2047-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2024-NQM5                                                                           | BRAVO 2024-NQM5 A3                                                                                                                                     | CUSIP: 105925AC5<br>LEI: 254900RBHU9OC1RNXD92 | Long             | ABS-O            | CORP              | US        |    621512 | PA      | $625184.15    | 0.18%             | 2064-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-117 IO                                                                                                                                        | CUSIP: 38380PX66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  12694832 | PA      | $754472.92    | 0.22%             | 2062-05-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FR SL3013                                                                                                                                              | CUSIP: 31427QK35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    772380 | PA      | $804132.25    | 0.24%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP TRUST 2007-9                                                                | SASC 2006-ARS1 A1                                                                                                                                      | CUSIP: 86358LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1347363 | PA      | $22933.73     | 0.01%             | 2036-02-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-216 NI                                                                                                                                        | CUSIP: 38383D7E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3633420 | PA      | $675069.17    | 0.20%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN BJ9257                                                                                                                                              | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394166 | PA      | $389273.54    | 0.12%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2018-BIOA                                                                       | BX 2026-VLT9 E                                                                                                                                         | CUSIP: 05618UAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    780000 | PA      | $773632.24    | 0.23%             | 2045-03-15      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNMA-30YR                                                                                                                                              | CUSIP: 01F032641<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7500000 | PA      | $6876588.08   | 2.03%             | 2056-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2014-1                                                                   | NRZT 2014-1A A                                                                                                                                         | CUSIP: 64828AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    299320 | PA      | $291400.87    | 0.09%             | 2054-01-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| CEDR Commercial Mortgage Trust 2022-SNAI                                                                     | CEDR 2022-SNAI D                                                                                                                                       | CUSIP: 12524AAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2205411.53   | 0.65%             | 2039-02-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| BLUE STREAM ISSUER LLC                                                                                       | BSTRM 2024-1A C                                                                                                                                        | CUSIP: 09606BAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1551076.50   | 0.46%             | 2054-11-20      | Fixed         | 8.71%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | SCRT 2016-1 M2                                                                                                                                         | CUSIP: 35563PAE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    696349 | PA      | $645637.26    | 0.19%             | 2055-09-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNA 2020-M16 X1                                                                                                                                        | CUSIP: 3136B9NK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  39360419 | PA      | $636623.28    | 0.19%             | 2032-04-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                                                                              | HERTZ 2023-4A C                                                                                                                                        | CUSIP: 42806MCG2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1824653.08   | 0.54%             | 2030-03-25      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 785944                                                                                                                                              | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2601645 | PA      | $2307866.25   | 0.68%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-47 MI                                                                                                                                         | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    380612 | PA      | $74286.40     | 0.02%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cars Db4 LP                                                                                                  | CAUTO 2023-1A A1                                                                                                                                       | CUSIP: 12510HAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1178100 | PA      | $1183253.72   | 0.35%             | 2053-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2023-179 IO                                                                                                                                        | CUSIP: 38381JZQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7772396 | PA      | $335567.77    | 0.10%             | 2063-09-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COMMERCIAL ASSET TRUST                                                                               | BVCLN 2024-EDU1 D                                                                                                                                      | CUSIP: 07336PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1335549 | PA      | $1353899.28   | 0.40%             | 2047-06-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 786107                                                                                                                                              | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    490354 | PA      | $433942.85    | 0.13%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHMS K143 X1                                                                                                                                           | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  66086282 | PA      | $1247338.91   | 0.37%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-H08 BI                                                                                                                                        | CUSIP: 38380L7G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6755792 | PA      | $269887.83    | 0.08%             | 2070-04-01      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 4980 KI                                                                                                                                            | CUSIP: 3137FTLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    850952 | PA      | $200228.59    | 0.06%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2016-156 PB                                                                                                                                        | CUSIP: 38380BB46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5417124 | PA      | $3905074.68   | 1.15%             | 2046-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN CB0470                                                                                                                                              | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    525879 | PA      | $475652.81    | 0.14%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNMA-30YR                                                                                                                                              | CUSIP: 01F040651<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $942937.70    | 0.28%             | 2056-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-H02 FG                                                                                                                                        | CUSIP: 38380LU50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    500658 | PA      | $500933.88    | 0.15%             | 2070-01-20      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2019-33 ZJ                                                                                                                                         | CUSIP: 3136B45U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2493617 | PA      | $1792066.47   | 0.53%             | 2049-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2022-57 BC                                                                                                                                         | CUSIP: 3136BN3N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    646271 | PA      | $617059.56    | 0.18%             | 2052-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS 2021-C LL                                                                          | CASL 2021-C D                                                                                                                                          | CUSIP: 19424WAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1274255 | PA      | $1199644.68   | 0.35%             | 2055-07-26      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Swch Commercial Mortgage Trust 2025-Data                                                                     | SWCH 2025-DATA E                                                                                                                                       | CUSIP: 78489CAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2216819.25   | 0.65%             | 2042-02-18      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | FHMS K742 X1                                                                                                                                           | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4585486 | PA      | $45767.74     | 0.01%             | 2028-03-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2021-91 IG                                                                                                                                         | CUSIP: 3136BK3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1717201 | PA      | $252251.29    | 0.07%             | 2052-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HUNTING HILL METROPOLITAN DISTRICT (CO)                                                                      | HACLN 2024-2 D                                                                                                                                         | CUSIP: 44644NAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    871213 | PA      | $869527.50    | 0.26%             | 2032-10-20      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2017-190 IO                                                                                                                                        | CUSIP: 38380JKP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1321281 | PA      | $48732.28     | 0.01%             | 2060-03-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2-30YR-Multi                                                                                                                                          | CUSIP: 21H020642<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8100000 | PA      | $6693257.77   | 1.98%             | 2056-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FR QY5002                                                                                                                                              | CUSIP: 31426PRY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1448148 | PA      | $1498167.12   | 0.44%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | FHMS K-1520 X1                                                                                                                                         | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  14794995 | PA      | $481137.66    | 0.14%             | 2036-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-125 IM                                                                                                                                        | CUSIP: 38382WKF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6646287 | PA      | $1164380.99   | 0.34%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN BR1001                                                                                                                                              | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132062 | PA      | $113836.72    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN FM6184                                                                                                                                              | CUSIP: 3140X92S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298177 | PA      | $245936.51    | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MSWF 2023-1                                                                                                  | MSWF 2023-1 E                                                                                                                                          | CUSIP: 55376CBN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1939000 | PA      | $1455821.56   | 0.43%             | 2056-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JG WENTWORTH XLI LLC SERIES 2018-1                                                                           | HENDR 2018-1A B                                                                                                                                        | CUSIP: 46651TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1546452 | PA      | $1364436.82   | 0.40%             | 2074-10-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems Inc                                                                             | CYH 6.875 04/15/29 144A                                                                                                                                | CUSIP: 12543DBJ8<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    270000 | PA      | $259920.31    | 0.08%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| WAVE 2019-1 LLC                                                                                              | WAAV 2019-1 A                                                                                                                                          | CUSIP: 94354KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261330 | PA      | $256502.80    | 0.08%             | 2044-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Full House Resorts Inc.                                                                                      | FLL 8.25 02/15/28 144A                                                                                                                                 | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1095000.00   | 0.32%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN FS8579                                                                                                                                              | CUSIP: 3140XQQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16698701 | PA      | $14595331.28  | 4.31%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK32                                                                                              | BANK 2021-BN32 XA                                                                                                                                      | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5733315 | PA      | $154038.12    | 0.05%             | 2054-04-17      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNMA-30YR                                                                                                                                              | CUSIP: 01F042640<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9000000 | PA      | $8687160.36   | 2.57%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-38 IO                                                                                                                                         | CUSIP: 38380PCQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6320993 | PA      | $363862.89    | 0.11%             | 2062-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Group                                                                                        | RCL 6.25 03/15/32 144A                                                                                                                                 | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    820000 | PA      | $838508.33    | 0.25%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 BM7534                                                                                                                                              | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    470052 | PA      | $431678.00    | 0.13%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2015-FL7                                                | JPMCC 2015-FL7 D                                                                                                                                       | CUSIP: 46644PAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2370417 | PA      | $2079674.96   | 0.61%             | 2028-05-15      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017-RPL3                                                                                         | CSMC 2017-RPL3 B3                                                                                                                                      | CUSIP: 12651YAS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1105713 | PA      | $1078009.95   | 0.32%             | 2057-08-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN FM7910                                                                                                                                              | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468813 | PA      | $405174.46    | 0.12%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 BS8546                                                                                                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57284 | PA      | $48873.97     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                                     | GNR 2020-181 WI                                                                                                                                        | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGSE             | US        |    935158 | PA      | $110464.85    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                                        | FNR 2021-3 NI                                                                                                                                          | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    609416 | PA      | $92173.06     | 0.03%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                                                     | AESOP 2023-6A D                                                                                                                                        | CUSIP: 05377RJU9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1230000 | PA      | $1250196.48   | 0.37%             | 2029-12-20      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| SESAC FINANCE LLC                                                                                            | SESAC 2024-1 A2                                                                                                                                        | CUSIP: 78396YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1372000 | PA      | $1377562.23   | 0.41%             | 2054-01-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-1                                                                            | VERUS 2022-1 B1                                                                                                                                        | CUSIP: 92538WAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $316535.00    | 0.09%             | 2067-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-158 IN                                                                                                                                        | CUSIP: 38382X4G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6377181 | PA      | $900919.01    | 0.27%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-RTL1                                                                | NRMLT 2024-RTL1 A2                                                                                                                                     | CUSIP: 64831PAB1<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-O            | CORP              | US        |   1455000 | PA      | $1457425.19   | 0.43%             | 2039-03-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                                        | FNR 2020-93 LI                                                                                                                                         | CUSIP: 3136BDVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4697540 | PA      | $688607.71    | 0.20%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                                        | FN MA1442                                                                                                                                              | CUSIP: 31418AS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1256208 | PA      | $1221021.97   | 0.36%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dividend Solar Loans 2018-1 LLC                                                                              | DIV 2018-1 B                                                                                                                                           | CUSIP: 255396AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396288 | PA      | $374650.97    | 0.11%             | 2038-07-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FH 841077                                                                                                                                              | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209659 | PA      | $216604.91    | 0.06%             | 2047-11-01      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP2                                                                           | GSMPS 2006-RP2 1AF1                                                                                                                                    | CUSIP: 36298XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    764229 | PA      | $659420.10    | 0.19%             | 2036-04-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2018-134 SM                                                                                                                                        | CUSIP: 38381ATU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1693421 | PA      | $182328.98    | 0.05%             | 2048-10-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| LA HIPOTECARIA MORTGAGE TRUST 2019-1                                                                         | LHIPO 2019-1A AAA                                                                                                                                      | CUSIP: 50346WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    981562 | PA      | $936950.05    | 0.28%             | 2046-09-29      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNMA-30YR                                                                                                                                              | CUSIP: 01F030645<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7700000 | PA      | $6764388.02   | 2.00%             | 2056-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNMA-30YR                                                                                                                                              | CUSIP: 01F052649<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22500000 | PA      | $22607148.60  | 6.68%             | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-5 IO                                                                                                                                          | CUSIP: 38380RSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1074229 | PA      | $84639.66     | 0.03%             | 2061-01-16      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Goodgreen 2020-1                                                                                             | GOODG 2020-1A C                                                                                                                                        | CUSIP: 38217TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1637982 | PA      | $1277317.90   | 0.38%             | 2055-04-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-121 CI                                                                                                                                        | CUSIP: 38382VNB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2429131 | PA      | $420223.33    | 0.12%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential 2024-SFR4 Trust                                                                           | TCN 2024-SFR4 D                                                                                                                                        | CUSIP: 895975AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1170000 | PA      | $1161221.02   | 0.34%             | 2041-11-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES                                       | GNR 2014-50 IO                                                                                                                                         | CUSIP: 38378NF99<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    904481 | PA      | $20642.96     | 0.01%             | 2055-09-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHMS K-1516 X1                                                                                                                                         | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4276510 | PA      | $441982.83    | 0.13%             | 2035-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                                             | Three-Month SOFR Futures, Dec-2026,ETH                                                                                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -206 | NC      | $267376.16    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Chimera Investment Corporation                                                                               | Chimera Investment Corporation 7.75% SER C FIXED TO FLOAT CUM RED PFD STOCK                                                                            | CUSIP: 16934Q505<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     61325 | NS      | $1209329.00   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2022-29 KZ                                                                                                                                         | CUSIP: 3136BMY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   6990372 | PA      | $5281834.74   | 1.56%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Huntington National Bank of Ohio                                                                             | HACLN 2025-1 D                                                                                                                                         | CUSIP: 446438TA1<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | ABS-O            | CORP              | US        |    728800 | PA      | $721561.71    | 0.21%             | 2033-03-21      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2015-C                                                                      | SMB 2015-C R                                                                                                                                           | CUSIP: 78448R106<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |      2751 | PA      | $775608.36    | 0.23%             | 2046-09-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 5113 NI                                                                                                                                            | CUSIP: 3137H0YV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1920192 | PA      | $238262.37    | 0.07%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                                                       | AHPT 2017-ATRM E                                                                                                                                       | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $946925.00    | 0.28%             | 2036-12-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| SMRT COMMERCIAL MORTGAGE TRUST 2022-MINI                                                                     | SMRT 2022-MINI F                                                                                                                                       | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1366648.08   | 0.40%             | 2039-01-18      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2-30YR-Multi                                                                                                                                          | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11700000 | PA      | $11776342.38  | 3.48%             | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                       | FHR 4808 SB                                                                                                                                            | CUSIP: 3137FGKF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    870007 | PA      | $108970.65    | 0.03%             | 2048-07-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FR ZT1107                                                                                                                                              | CUSIP: 3132ADGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    593217 | PA      | $558175.63    | 0.16%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| APPLEBEE'S FUNDING LLC                                                                                       | DIN 2025-1A A2                                                                                                                                         | CUSIP: 03789XAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760000 | PA      | $761155.35    | 0.22%             | 2055-06-05      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-61 CI                                                                                                                                         | CUSIP: 38382EG84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    870893 | PA      | $160868.84    | 0.05%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GN 784571                                                                                                                                              | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147011 | PA      | $138411.53    | 0.04%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1                                                               | MARM 2006-OA1 1A1                                                                                                                                      | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    208846 | PA      | $197137.70    | 0.06%             | 2046-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNA 2020-M31 X2                                                                                                                                        | CUSIP: 3136BASJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  16974578 | PA      | $743474.64    | 0.22%             | 2032-12-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                | SCRT 2016-1 XSIO                                                                                                                                       | CUSIP: 35563PAH2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  43467449 | PA      | $176651.71    | 0.05%             | 2055-09-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNMA-30YR                                                                                                                                              | CUSIP: 01F050643<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -6100000 | PA      | $-6016802.22  | -1.78%            | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GN AB2892                                                                                                                                              | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48641 | PA      | $44530.28     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2011-144 PT                                                                                                                                        | CUSIP: 3136A22Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    154688 | PA      | $191352.33    | 0.06%             | 2038-01-25      | Variable      | 11.81%                | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-1                                                                            | VERUS 2024-1 M1                                                                                                                                        | CUSIP: 92540EAD5<br>LEI: 984500A3F1D749452747 | Long             | ABS-O            | CORP              | US        |   1650000 | PA      | $1656171.00   | 0.49%             | 2069-01-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2020-74 EI                                                                                                                                         | CUSIP: 3136BCAY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    450414 | PA      | $76639.21     | 0.02%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust 2018-Bilt                                                                                           | BX 2025-SPOT E                                                                                                                                         | CUSIP: 12433FAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1178635 | PA      | $1180811.80   | 0.35%             | 2040-04-16      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2018-3 IO                                                                                                                                          | CUSIP: 3136B0UH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3164716 | PA      | $621111.87    | 0.18%             | 2048-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2024-175 CS                                                                                                                                        | CUSIP: 38384VTD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10959397 | PA      | $941664.29    | 0.28%             | 2054-10-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | FHR 5169 PW                                                                                                                                            | CUSIP: 3137H4HJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4700000 | PA      | $3294483.33   | 0.97%             | 2051-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GN 733600                                                                                                                                              | CUSIP: 3620AL7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90050 | PA      | $91979.75     | 0.03%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 MA6157                                                                                                                                              | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    507448 | PA      | $512557.40    | 0.15%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                                        | FNR 2021-54 KI                                                                                                                                         | CUSIP: 3136BGKD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    662434 | PA      | $88243.60     | 0.03%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 BS1742                                                                                                                                              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313408 | PA      | $296679.46    | 0.09%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FR QC0883                                                                                                                                              | CUSIP: 3133AJ6U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340538 | PA      | $280303.21    | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-128 IO                                                                                                                                        | CUSIP: 38381DZM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1179012 | PA      | $73824.10     | 0.02%             | 2061-06-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                                                       | NCMS 2019-FAME E                                                                                                                                       | CUSIP: 63873VAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2077000 | PA      | $796085.23    | 0.24%             | 2036-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                                        | FR QA9686                                                                                                                                              | CUSIP: 3133A4XP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144874 | PA      | $130888.86    | 0.04%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                       | FHMS K-155 X1                                                                                                                                          | CUSIP: 3137H9ZX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  21019249 | PA      | $393774.61    | 0.12%             | 2033-04-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN AB7928                                                                                                                                              | CUSIP: 31417EY21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2140809 | PA      | $1961222.24   | 0.58%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GN AB9109                                                                                                                                              | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121802 | PA      | $111233.45    | 0.03%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNS 417 C5                                                                                                                                             | CUSIP: 31395QC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2041211 | PA      | $340675.81    | 0.10%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BALBOA BAY LOAN FUNDING 2024-2 LTD                                                                           | BOBA 2024-2A E                                                                                                                                         | CUSIP: 05765BAA7<br>LEI: 254900FG1DS8PNX30R63 | Long             | ABS-CBDO         | CORP              | KY        |    790000 | PA      | $771129.27    | 0.23%             | 2038-01-20      | Variable      | 9.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FN BF0560                                                                                                                                              | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703164 | PA      | $579254.93    | 0.17%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHR 4995 QI                                                                                                                                            | CUSIP: 3137FUXW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9385957 | PA      | $1399754.02   | 0.41%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 786082                                                                                                                                              | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800909 | PA      | $707433.64    | 0.21%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PEAR LLC                                                                                                     | PEAR 2024-1 A                                                                                                                                          | CUSIP: 704933AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    559403 | PA      | $564067.34    | 0.17%             | 2036-02-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FR SD7563                                                                                                                                              | CUSIP: 3132DVML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300450 | PA      | $293902.42    | 0.09%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2011-59 NZ                                                                                                                                         | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     95533 | PA      | $98056.58     | 0.03%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | FHR 5178 CY                                                                                                                                            | CUSIP: 3137H53L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4400000 | PA      | $3113333.96   | 0.92%             | 2042-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2025-55 SD                                                                                                                                         | CUSIP: 38385D3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   9146199 | PA      | $791563.27    | 0.23%             | 2055-03-20      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-160 QI                                                                                                                                        | CUSIP: 38382KK44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4360400 | PA      | $741301.15    | 0.22%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 BX2423                                                                                                                                              | CUSIP: 3617Q6VQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1113413 | PA      | $982179.38    | 0.29%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                                                            | VENTGL 4.125 08/15/31 144A                                                                                                                             | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    930000 | PA      | $863133.47    | 0.26%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2006-8AR                                                                  | MSM 2006-8AR 1A2                                                                                                                                       | CUSIP: 61749LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28066 | PA      | $5399.87      | 0.00%             | 2036-06-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNA 2020-M24 X1                                                                                                                                        | CUSIP: 3136B9J99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4870024 | PA      | $378603.47    | 0.11%             | 2037-01-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| MFA 2024-RTL3 TRUST                                                                                          | MFRA 2024-RTL3 A1                                                                                                                                      | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1164881 | PA      | $1170231.67   | 0.35%             | 2039-11-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNR 2020-62 BI                                                                                                                                         | CUSIP: 3136BBYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1392906 | PA      | $158838.49    | 0.05%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | G2 785360                                                                                                                                              | CUSIP: 3622AAZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    284471 | PA      | $231683.88    | 0.07%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GN AB9207                                                                                                                                              | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105757 | PA      | $95403.43     | 0.03%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | FNMA-30YR                                                                                                                                              | CUSIP: 01F032641<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -2000000 | PA      | $-1833756.82  | -0.54%            | 2056-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AQUA FINANCE TRUST 2020-A                                                                                    | AQFIT 2020-AA C                                                                                                                                        | CUSIP: 038413AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1536598 | PA      | $1485587.56   | 0.44%             | 2046-07-17      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-14 AB                                                                                                                                         | CUSIP: 38380RRS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1095427 | PA      | $816822.38    | 0.24%             | 2063-06-16      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FHMS K-1510 X1                                                                                                                                         | CUSIP: 3137FL2N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  39502651 | PA      | $1053962.33   | 0.31%             | 2034-01-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2021-29 AG                                                                                                                                         | CUSIP: 38382NZ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    931407 | PA      | $919242.10    | 0.27%             | 2051-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2021-230P                                                                     | MSC 2021-230P B                                                                                                                                        | CUSIP: 61772WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1869992.20   | 0.55%             | 2038-12-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                       | FHR 5449 FQ                                                                                                                                            | CUSIP: 3137HFHU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    315515 | PA      | $317350.91    | 0.09%             | 2054-09-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2022-5 LI                                                                                                                                          | CUSIP: 38383FF40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3155522 | PA      | $589062.40    | 0.17%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                       | FHR 5408 GI                                                                                                                                            | CUSIP: 3137HCMV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2090157 | PA      | $345689.22    | 0.10%             | 2054-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                                     | GNR 2021-8 AQ                                                                                                                                          | CUSIP: 38382MTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGSE             | US        |    619382 | PA      | $610430.45    | 0.18%             | 2051-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                | SCRT 2016-1 BIO                                                                                                                                        | CUSIP: 35563PAG4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   6910946 | PA      | $810216.50    | 0.24%             | 2055-09-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| SOLRR AIRCRAFT 2021-1 LTD                                                                                    | SOLRR 2021-1 B                                                                                                                                         | CUSIP: 83438LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    865700 | PA      | $825640.80    | 0.24%             | 2046-10-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2021-A                                                                             | NSLT 2025-DA D                                                                                                                                         | CUSIP: 639931AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1773156.96   | 0.52%             | 2054-08-20      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-123 EI                                                                                                                                        | CUSIP: 38382HJ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3610063 | PA      | $542210.20    | 0.16%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HARDEE'S FUNDING LLC                                                                                         | HNGRY 2020-1A A2                                                                                                                                       | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1895000 | PA      | $1825962.88   | 0.54%             | 2050-12-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust 2006-4                                                                | NCSLT 2006-4 B                                                                                                                                         | CUSIP: 63543WAF8<br>LEI: 635400VHKJCABQGBTP36 | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $1244014.86   | 0.37%             | 2032-05-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| SIERRA TIMESHARE 2024-1 RECEIVABLES FUNDING LLC                                                              | SRFC 2024-1A D                                                                                                                                         | CUSIP: 826935AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    498202 | PA      | $509161.99    | 0.15%             | 2043-01-20      | Fixed         | 8.02%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01                                                      | MCAS 2020-01 CE                                                                                                                                        | CUSIP: 62548QAF8<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2332822.95   | 0.69%             | 2050-03-25      | Floating      | 11.28%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FR QC0885                                                                                                                                              | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62857 | PA      | $51325.73     | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOLRR AIRCRAFT 2021-1 LTD                                                                                    | SOLRR 2021-1 C                                                                                                                                         | CUSIP: 83438LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1097024 | PA      | $1068987.92   | 0.32%             | 2046-10-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| NRZ FHT EXCESS LLC                                                                                           | NZES 2024-FNT1 A                                                                                                                                       | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700881 | PA      | $704769.90    | 0.21%             | 2031-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-27

**Name of Applicant:** Legg Mason Partners Income Trust

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer