# EDGAR Filing Document

**Accession Number:** 0001478102
**File Stem:** 0000940400-25-010420
**Filing Date:** 2025-11
**Character Count:** 273478
**Document Hash:** 1dfed992877b281b4592c083eac8aa37
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-010420.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0000940400-25-010420

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Western Asset Mortgage Opportunity Fund Inc.
- **CENTRAL INDEX KEY:** 0001478102

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** NY
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22369
- **FILM NUMBER:** 251519700

**BUSINESS ADDRESS:**
- **STREET 1:** C/O FRANKLIN TEMPLETON, MITCHELL O'BRIEN
- **STREET 2:** 280 PARK AVENUE, 8TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** (888) 777-0102

**MAIL ADDRESS:**
- **STREET 1:** C/O FRANKLIN TEMPLETON, MITCHELL O'BRIEN
- **STREET 2:** 280 PARK AVENUE, 8TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Western Asset Mortgage Defined Opportunity Fund Inc.
- **DATE OF NAME CHANGE:** 20091204

## Nport-Ex

Schedule of Investments (unaudited)

September 30, 2025

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity <br>Date<br>| Face <br>Amount<br>| Value |
| **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— 115.2%** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— 115.2%** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— 115.2%** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— 115.2%** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— 115.2%** |
| &nbsp;&nbsp;&nbsp; Adjustable Rate Mortgage Trust, 2005-5 1A1 | &nbsp;&nbsp; 3.768% | &nbsp;&nbsp; 9/25/35 | &nbsp;&nbsp; $70333 | &nbsp;&nbsp;&nbsp; $60498<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Adjustable Rate Mortgage Trust, 2005-7 2A21 | &nbsp;&nbsp; 4.711% | &nbsp;&nbsp; 10/25/35 | &nbsp;&nbsp; 94420 | &nbsp;&nbsp;&nbsp; 83580<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Adjustable Rate Mortgage Trust, 2005-12 5A1 (1 mo. Term SOFR + 0.614%) | &nbsp;&nbsp; 4.772% | &nbsp;&nbsp; 3/25/36 | &nbsp;&nbsp; 176978 | &nbsp;&nbsp;&nbsp; 46736<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Aegis Asset-Backed Securities Trust, 2005-3 M3 (1 mo. Term SOFR + <br> 0.849%) | &nbsp;&nbsp; 5.007% | &nbsp;&nbsp; 8/25/35 | &nbsp;&nbsp; 3460000 | &nbsp;&nbsp;&nbsp; 3013152<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2005-11CB 3A3, IO (-1.000 x 1 mo. Term SOFR + <br> 4.886%) | &nbsp;&nbsp; 0.728% | &nbsp;&nbsp; 6/25/35 | &nbsp;&nbsp; 756234 | &nbsp;&nbsp;&nbsp; 43893<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2005-14 3A1 | &nbsp;&nbsp; 3.464% | &nbsp;&nbsp; 5/25/35 | &nbsp;&nbsp; 87209 | &nbsp;&nbsp;&nbsp; 69456<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2005-36 4A1 | &nbsp;&nbsp; 4.254% | &nbsp;&nbsp; 8/25/35 | &nbsp;&nbsp; 104201 | &nbsp;&nbsp;&nbsp; 97168<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2005-J10 1A1 (1 mo. Term SOFR + 0.614%) | &nbsp;&nbsp; 4.772% | &nbsp;&nbsp; 10/25/35 | &nbsp;&nbsp; 360977 | &nbsp;&nbsp;&nbsp; 204737<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2006-HY10 1A1 | &nbsp;&nbsp; 3.981% | &nbsp;&nbsp; 5/25/36 | &nbsp;&nbsp; 105620 | &nbsp;&nbsp;&nbsp; 93078<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2006-J8 A5 | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 2/25/37 | &nbsp;&nbsp; 70607 | &nbsp;&nbsp;&nbsp; 26791<br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2007-3T1 2A1 | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 3/25/27 | &nbsp;&nbsp; 13517 | &nbsp;&nbsp;&nbsp; 13523<br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2007-23CB A8 (-4.000 x 1 mo. Term SOFR + <br> 27.942%) | &nbsp;&nbsp; 11.310% | &nbsp;&nbsp; 9/25/37 | &nbsp;&nbsp; 358242 | &nbsp;&nbsp;&nbsp; 312040<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2007-OA8 1A1 (1 mo. Term SOFR + 0.474%) | &nbsp;&nbsp; 4.632% | &nbsp;&nbsp; 6/25/47 | &nbsp;&nbsp; 548009 | &nbsp;&nbsp;&nbsp; 480113<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; American Home Mortgage Assets Trust, 2005-2 2A1A | &nbsp;&nbsp; 3.368% | &nbsp;&nbsp; 1/25/36 | &nbsp;&nbsp; 525192 | &nbsp;&nbsp;&nbsp; 333056<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; American Home Mortgage Investment Trust, 2007-2 2A (1 mo. Term SOFR + <br> 0.914%) | &nbsp;&nbsp; 5.072% | &nbsp;&nbsp; 3/25/47 | &nbsp;&nbsp; 12735445 | &nbsp;&nbsp;&nbsp; 81508<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; American Home Mortgage Investment Trust, 2007-A 4A (1 mo. Term SOFR + <br> 1.014%) | &nbsp;&nbsp; 5.172% | &nbsp;&nbsp; 7/25/46 | &nbsp;&nbsp; 1692098 | &nbsp;&nbsp;&nbsp; 350630<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Anchor Mortgage Trust, 2025-RTL1 A2 | &nbsp;&nbsp; 6.358% | &nbsp;&nbsp; 5/25/40 | &nbsp;&nbsp; 1930000 | &nbsp;&nbsp;&nbsp; 1941456<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Corp., 2015-R3 2A2 | &nbsp;&nbsp; 3.373% | &nbsp;&nbsp; 2/27/37 | &nbsp;&nbsp; 2176852 | &nbsp;&nbsp;&nbsp; 1988489<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust, 2004-C 3A1 | &nbsp;&nbsp; 5.104% | &nbsp;&nbsp; 12/20/34 | &nbsp;&nbsp; 115261 | &nbsp;&nbsp;&nbsp; 103262<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust, 2006-D 2A1 | &nbsp;&nbsp; 3.499% | &nbsp;&nbsp; 5/20/36 | &nbsp;&nbsp; 26012 | &nbsp;&nbsp;&nbsp; 24204<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust, 2006-F 1A1 | &nbsp;&nbsp; 6.392% | &nbsp;&nbsp; 7/20/36 | &nbsp;&nbsp; 23944 | &nbsp;&nbsp;&nbsp; 24152<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust, 2014-R5 1A2 (6 mo. Term SOFR + 1.928%) | &nbsp;&nbsp; 3.913% | &nbsp;&nbsp; 9/26/45 | &nbsp;&nbsp; 2827078 | &nbsp;&nbsp;&nbsp; 2023377<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bayview Financial Asset Trust, 2007-SR1A M2 (1 mo. Term SOFR + 1.014%) | &nbsp;&nbsp; 5.172% | &nbsp;&nbsp; 3/25/37 | &nbsp;&nbsp; 1330094 | &nbsp;&nbsp;&nbsp; 1330297<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bayview Financial Asset Trust, 2007-SR1A M3 (1 mo. Term SOFR + 1.264%) | &nbsp;&nbsp; 5.422% | &nbsp;&nbsp; 3/25/37 | &nbsp;&nbsp; 602618 | &nbsp;&nbsp;&nbsp; 607331<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bayview Financing INV Trust, 2021-6F A1 | &nbsp;&nbsp; 2.750% | &nbsp;&nbsp; 12/30/27 | &nbsp;&nbsp; 1263176 | &nbsp;&nbsp;&nbsp; 1223441<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bear Stearns ALT-A Trust, 2005-9 25A1 | &nbsp;&nbsp; 4.475% | &nbsp;&nbsp; 11/25/35 | &nbsp;&nbsp; 115276 | &nbsp;&nbsp;&nbsp; 72384<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset-Backed Securities Trust, 2005-CL1 A1 (1 mo. Term SOFR <br> + 0.614%) | &nbsp;&nbsp; 2.709% | &nbsp;&nbsp; 9/25/34 | &nbsp;&nbsp; 9231 | &nbsp;&nbsp;&nbsp; 9248<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; CAFL Issuer LLC, 2023-RTL1 A2 | &nbsp;&nbsp; 9.300% | &nbsp;&nbsp; 12/28/30 | &nbsp;&nbsp; 1770000 | &nbsp;&nbsp;&nbsp; 1784568<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CAFL Issuer LLC, 2024-RTL1 A2 | &nbsp;&nbsp; 8.680% | &nbsp;&nbsp; 11/28/31 | &nbsp;&nbsp; 1460000 | &nbsp;&nbsp;&nbsp; 1494622<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Chase Mortgage Finance Trust, 2006-S3 2A1 | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 11/1/36 | &nbsp;&nbsp; 122368 | &nbsp;&nbsp;&nbsp; 10180<br>|
| &nbsp;&nbsp;&nbsp; ChaseFlex Trust, 2005-2 3A3, IO (-1.000 x 1 mo. Term SOFR + 5.386%) | &nbsp;&nbsp; 1.228% | &nbsp;&nbsp; 6/25/35 | &nbsp;&nbsp; 5371483 | &nbsp;&nbsp;&nbsp; 546721<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Chevy Chase Funding LLC Mortgage-Backed Certificates, 2006-2A A1 (1 mo. <br> Term SOFR + 0.244%) | &nbsp;&nbsp; 4.402% | &nbsp;&nbsp; 4/25/47 | &nbsp;&nbsp; 39108 | &nbsp;&nbsp;&nbsp; 38026<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust, 2005-18 A7 (-2.750 x 1 mo. Term SOFR + <br> 19.210%) | &nbsp;&nbsp; 7.776% | &nbsp;&nbsp; 10/25/35 | &nbsp;&nbsp; 8272 | &nbsp;&nbsp;&nbsp; 5216<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust, 2005-HY10 1A1 | &nbsp;&nbsp; 5.116% | &nbsp;&nbsp; 2/20/36 | &nbsp;&nbsp; 7654 | &nbsp;&nbsp;&nbsp; 6691<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust, 2005-HYB9 1A1 (12 mo. Term SOFR + <br> 2.465%) | &nbsp;&nbsp; 6.449% | &nbsp;&nbsp; 2/20/36 | &nbsp;&nbsp; 62123 | &nbsp;&nbsp;&nbsp; 54524<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; CIM Trust, 2021-INV1 AXS, IO | &nbsp;&nbsp; 0.190% | &nbsp;&nbsp; 7/1/51 | &nbsp;&nbsp; 43558261 | &nbsp;&nbsp;&nbsp; 415629<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citicorp Mortgage Securities Trust, 2007-8 B1 | &nbsp;&nbsp; 5.982% | &nbsp;&nbsp; 9/25/37 | &nbsp;&nbsp; 2455170 | &nbsp;&nbsp;&nbsp; 1728170<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, 2004-UST1 A2 | &nbsp;&nbsp; 5.717% | &nbsp;&nbsp; 8/25/34 | &nbsp;&nbsp; 4846 | &nbsp;&nbsp;&nbsp; 4636<br> <sup>(b)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, 2006-AR5 2A1A | &nbsp;&nbsp; 3.976% | &nbsp;&nbsp; 7/25/36 | &nbsp;&nbsp; $153738 | &nbsp;&nbsp;&nbsp; $90068<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, 2008-3 A3 | &nbsp;&nbsp; 6.100% | &nbsp;&nbsp; 4/25/37 | &nbsp;&nbsp; 5259125 | &nbsp;&nbsp;&nbsp; 2433081<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, 2021-J2 A4I2, IO | &nbsp;&nbsp; 0.180% | &nbsp;&nbsp; 7/25/51 | &nbsp;&nbsp; 31150132 | &nbsp;&nbsp;&nbsp; 310255<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, 2021-J2 AIOS, IO | &nbsp;&nbsp; 0.080% | &nbsp;&nbsp; 7/25/51 | &nbsp;&nbsp; 63858197 | &nbsp;&nbsp;&nbsp; 285446<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Countrywide Asset-Backed Certificates Trust, 2007-SEA1 1A1 (1 mo. Term <br> SOFR + 1.214%) | &nbsp;&nbsp; 5.372% | &nbsp;&nbsp; 5/25/47 | &nbsp;&nbsp; 215912 | &nbsp;&nbsp;&nbsp; 182838<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Credit-Based Asset Servicing & Securitization LLC, 2006-SL1 A3 (1 mo. <br> Term SOFR + 0.554%) | &nbsp;&nbsp; 4.712% | &nbsp;&nbsp; 9/25/36 | &nbsp;&nbsp; 3375149 | &nbsp;&nbsp;&nbsp; 114230<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSFB Mortgage-Backed Pass-Through Certificates, 2005-10 3A3 | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 11/25/35 | &nbsp;&nbsp; 183642 | &nbsp;&nbsp;&nbsp; 95545<br>|
| &nbsp;&nbsp;&nbsp; CSMC Resecuritization Trust, 2006-1R 1A2 (-2.750 x 1 mo. Term SOFR + <br> 19.210%) | &nbsp;&nbsp; 7.755% | &nbsp;&nbsp; 7/27/36 | &nbsp;&nbsp; 132707 | &nbsp;&nbsp;&nbsp; 117640<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2014-11R 9A2 (1 mo. Term SOFR + 0.254%) | &nbsp;&nbsp; 4.717% | &nbsp;&nbsp; 10/27/36 | &nbsp;&nbsp; 2394892 | &nbsp;&nbsp;&nbsp; 1892345<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2015-2R 7A2 | &nbsp;&nbsp; 4.062% | &nbsp;&nbsp; 8/27/36 | &nbsp;&nbsp; 2868346 | &nbsp;&nbsp;&nbsp; 2441666<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2017-RPL1 B4 | &nbsp;&nbsp; 2.972% | &nbsp;&nbsp; 7/25/57 | &nbsp;&nbsp; 2890337 | &nbsp;&nbsp;&nbsp; 917728<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2021-INV2 A3X, IO | &nbsp;&nbsp; 0.500% | &nbsp;&nbsp; 11/25/56 | &nbsp;&nbsp; 25367161 | &nbsp;&nbsp;&nbsp; 761228<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CWABS Revolving Home Equity Loan Trust, 2004-L 2A (1 mo. Term SOFR + <br> 0.394%) | &nbsp;&nbsp; 4.545% | &nbsp;&nbsp; 2/15/34 | &nbsp;&nbsp; 8141 | &nbsp;&nbsp;&nbsp; 7895<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 2PO, PO | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 4/15/36 | &nbsp;&nbsp; 10069 | &nbsp;&nbsp;&nbsp; 4446<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS1, <br> IO | &nbsp;&nbsp; 4.384% | &nbsp;&nbsp; 4/15/36 | &nbsp;&nbsp; 29579 | &nbsp;&nbsp;&nbsp; 2292<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS2, <br> IO | &nbsp;&nbsp; 6.553% | &nbsp;&nbsp; 4/15/36 | &nbsp;&nbsp; 28268 | &nbsp;&nbsp;&nbsp; 3453<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS1, <br> IO | &nbsp;&nbsp; 3.333% | &nbsp;&nbsp; 4/15/36 | &nbsp;&nbsp; 35581 | &nbsp;&nbsp;&nbsp; 5429<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS3, <br> IO | &nbsp;&nbsp; 3.549% | &nbsp;&nbsp; 4/15/36 | &nbsp;&nbsp; 126471 | &nbsp;&nbsp;&nbsp; 17180<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; DK Note Backed Trust, 2024-SPT1 A | &nbsp;&nbsp; 7.086% | &nbsp;&nbsp; 4/28/66 | &nbsp;&nbsp; 842823 | &nbsp;&nbsp;&nbsp; 863182<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Eagle RE Ltd., 2023-1 M2 (30 Day Average SOFR + 5.200%) | &nbsp;&nbsp; 9.556% | &nbsp;&nbsp; 9/26/33 | &nbsp;&nbsp; 1290000 | &nbsp;&nbsp;&nbsp; 1366824<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Easy Street Mortgage Loan Trust, 2025-RTL1 A2 | &nbsp;&nbsp; 8.299% | &nbsp;&nbsp; 5/25/40 | &nbsp;&nbsp; 1010000 | &nbsp;&nbsp;&nbsp; 1020689<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; FARM Mortgage Trust, 2021-1 B | &nbsp;&nbsp; 3.231% | &nbsp;&nbsp; 7/25/51 | &nbsp;&nbsp; 1448948 | &nbsp;&nbsp;&nbsp; 1136774<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; FARM Mortgage Trust, 2024-2 B | &nbsp;&nbsp; 5.591% | &nbsp;&nbsp; 8/1/54 | &nbsp;&nbsp; 980753 | &nbsp;&nbsp;&nbsp; 884539<br> <sup>(b)(d)</sup><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; 802994 | &nbsp;&nbsp;&nbsp; 153509<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; 3774905 | &nbsp;&nbsp;&nbsp; 683090<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency <br> Credit Risk Trust, 2019-HQA4 B2 (30 Day Average SOFR + 6.714%) | &nbsp;&nbsp; 11.071% | &nbsp;&nbsp; 11/25/49 | &nbsp;&nbsp; 1420000 | &nbsp;&nbsp;&nbsp; 1576719<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency <br> Credit Risk Trust, 2020-DNA2 B2 (30 Day Average SOFR + 4.914%) | &nbsp;&nbsp; 9.271% | &nbsp;&nbsp; 2/25/50 | &nbsp;&nbsp; 1166729 | &nbsp;&nbsp;&nbsp; 1276261<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency <br> Credit Risk Trust, 2021-DNA5 B2 (30 Day Average SOFR + 5.500%) | &nbsp;&nbsp; 9.856% | &nbsp;&nbsp; 1/25/34 | &nbsp;&nbsp; 1200000 | &nbsp;&nbsp;&nbsp; 1428725<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency <br> Credit Risk Trust, 2021-DNA6 B2 (30 Day Average SOFR + 7.500%) | &nbsp;&nbsp; 11.856% | &nbsp;&nbsp; 10/25/41 | &nbsp;&nbsp; 1640000 | &nbsp;&nbsp;&nbsp; 1722604<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency <br> Credit Risk Trust, 2021-HQA4 B2 (30 Day Average SOFR + 7.000%) | &nbsp;&nbsp; 11.356% | &nbsp;&nbsp; 12/25/41 | &nbsp;&nbsp; 1650000 | &nbsp;&nbsp;&nbsp; 1737967<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency <br> Credit Risk Trust, 2022-DNA3 B2 (30 Day Average SOFR + 9.750%) | &nbsp;&nbsp; 14.106% | &nbsp;&nbsp; 4/25/42 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 1664427<br> <sup>(b)(c)(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; 11974419 | &nbsp;&nbsp;&nbsp; 1801003<br> <sup>(c)(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2025 Quarterly Report

------

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | |
|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>|
| **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2016-1 BIO, IO | &nbsp;&nbsp; 1.470% | &nbsp;&nbsp; 9/25/55 | &nbsp;&nbsp; $19374218<br> &nbsp;&nbsp;&nbsp; $2269572<br> <sup>(b)(c)(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; 122399446<br> &nbsp;&nbsp;&nbsp; 490087<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2018-2 BX | &nbsp;&nbsp; 2.391% | &nbsp;&nbsp; 11/25/57 | &nbsp;&nbsp; 3366448<br> &nbsp;&nbsp;&nbsp; 1368802<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2018-3 BX  | &nbsp;&nbsp; 2.153% | &nbsp;&nbsp; 8/25/57 | &nbsp;&nbsp; 3267993<br> &nbsp;&nbsp;&nbsp; 997740<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2019-2 M | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 8/25/58 | &nbsp;&nbsp; 674107<br> &nbsp;&nbsp;&nbsp; 656046<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2020-1 BXS | &nbsp;&nbsp; 4.554% | &nbsp;&nbsp; 8/25/59 | &nbsp;&nbsp; 3997828<br> &nbsp;&nbsp;&nbsp; 1945268<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2021-1 M | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 9/25/60 | &nbsp;&nbsp; 1310096<br> &nbsp;&nbsp;&nbsp; 1265002<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2021-3 BXS | &nbsp;&nbsp; 10.980% | &nbsp;&nbsp; 3/25/61 | &nbsp;&nbsp; 1624847<br> &nbsp;&nbsp;&nbsp; 951916<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2022-2 M | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 4/25/62 | &nbsp;&nbsp; 1337000<br> &nbsp;&nbsp;&nbsp; 1233871<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2024-1 M | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 11/25/63 | &nbsp;&nbsp; 1540000<br> &nbsp;&nbsp;&nbsp; 1318242<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Securitized Participation Interests Trust, 2017-SPI1 B | &nbsp;&nbsp; 4.116% | &nbsp;&nbsp; 9/25/47 | &nbsp;&nbsp; 736478<br> &nbsp;&nbsp;&nbsp; 629814<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Securitized Participation Interests Trust, 2018-SPI4 B | &nbsp;&nbsp; 4.511% | &nbsp;&nbsp; 11/25/48 | &nbsp;&nbsp; 3672290<br> &nbsp;&nbsp;&nbsp; 2733180<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2018-DNA3 B2 (30 Day Average SOFR + 7.864%) | &nbsp;&nbsp; 12.221% | &nbsp;&nbsp; 9/25/48 | &nbsp;&nbsp; 2000000<br> &nbsp;&nbsp;&nbsp; 2314520<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2018-HQA2 B2 (30 Day Average SOFR + 11.114%) | &nbsp;&nbsp; 15.471% | &nbsp;&nbsp; 10/25/48 | &nbsp;&nbsp; 1870000<br> &nbsp;&nbsp;&nbsp; 2324367<br> <sup>(b)(c)(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; 16.221% | &nbsp;&nbsp; 5/25/43 | &nbsp;&nbsp; 5361958<br> &nbsp;&nbsp;&nbsp; 6429700<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2018-HRP2 B2 (30 Day Average SOFR + 10.614%) | &nbsp;&nbsp; 14.971% | &nbsp;&nbsp; 2/25/47 | &nbsp;&nbsp; 3530000<br> &nbsp;&nbsp;&nbsp; 4330906<br> <sup>(b)(c)(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; 12.821% | &nbsp;&nbsp; 1/25/48 | &nbsp;&nbsp; 1855000<br> &nbsp;&nbsp;&nbsp; 2212770<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2019-FTR2 B2 (30 Day Average SOFR + 7.514%) | &nbsp;&nbsp; 11.871% | &nbsp;&nbsp; 11/25/48 | &nbsp;&nbsp; 1270000<br> &nbsp;&nbsp;&nbsp; 1500087<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2019-FTR3 B2 (30 Day Average SOFR + 4.914%) | &nbsp;&nbsp; 9.263% | &nbsp;&nbsp; 9/25/47 | &nbsp;&nbsp; 1200000<br> &nbsp;&nbsp;&nbsp; 1294624<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2019-FTR4 B2 (30 Day Average SOFR + 5.114%) | &nbsp;&nbsp; 9.471% | &nbsp;&nbsp; 11/25/47 | &nbsp;&nbsp; 1250000<br> &nbsp;&nbsp;&nbsp; 1364708<br> <sup>(b)(c)(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; 11.971% | &nbsp;&nbsp; 9/25/49 | &nbsp;&nbsp; 1680000<br> &nbsp;&nbsp;&nbsp; 1892014<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Whole Loan Securities Trust, <br> 2015-SC01 B | &nbsp;&nbsp; 3.861% | &nbsp;&nbsp; 5/25/45 | &nbsp;&nbsp; 2313288<br> &nbsp;&nbsp;&nbsp; 1552914<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2016-C01 1B (30 <br> Day Average SOFR + 11.864%) | &nbsp;&nbsp; 16.221% | &nbsp;&nbsp; 8/25/28 | &nbsp;&nbsp; 1843286<br> &nbsp;&nbsp;&nbsp; 1915513<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2016-C03 1B (30 <br> Day Average SOFR + 11.864%) | &nbsp;&nbsp; 16.221% | &nbsp;&nbsp; 10/25/28 | &nbsp;&nbsp; 1923120<br> &nbsp;&nbsp;&nbsp; 2025532<br> <sup>(b)(c)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2016-C06 1B (30 <br> Day Average SOFR + 9.364%) | &nbsp;&nbsp; 13.721% | &nbsp;&nbsp; 4/25/29 | &nbsp;&nbsp; $3486301 | &nbsp;&nbsp;&nbsp; $3739127<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2020-R01 1B1 (30 <br> Day Average SOFR + 3.364%) | &nbsp;&nbsp; 7.721% | &nbsp;&nbsp; 1/25/40 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 1539903<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2021-R01 1B2 (30 <br> Day Average SOFR + 6.000%) | &nbsp;&nbsp; 10.356% | &nbsp;&nbsp; 10/25/41 | &nbsp;&nbsp; 1320000 | &nbsp;&nbsp;&nbsp; 1370833<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2021-R02 2B2 (30 <br> Day Average SOFR + 6.200%) | &nbsp;&nbsp; 10.556% | &nbsp;&nbsp; 11/25/41 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 1564598<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-134 LS, IO <br> (-1.000 x 30 Day Average SOFR + 6.036%) | &nbsp;&nbsp; 1.679% | &nbsp;&nbsp; 12/25/42 | &nbsp;&nbsp; 892837 | &nbsp;&nbsp;&nbsp; 97165<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Horizon Alternative Mortgage Securities Trust, 2005-AA6 3A1 | &nbsp;&nbsp; 4.601% | &nbsp;&nbsp; 8/25/35 | &nbsp;&nbsp; 174815 | &nbsp;&nbsp;&nbsp; 144491<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Horizon Alternative Mortgage Securities Trust, 2006-FA6 2A1, PAC | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 11/25/36 | &nbsp;&nbsp; 64242 | &nbsp;&nbsp;&nbsp; 16242<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2023-184 HI, IO | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 12/20/53 | &nbsp;&nbsp; 1351159 | &nbsp;&nbsp;&nbsp; 287021<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2024-151 KS, IO <br> (-1.000 x 30 Day Average SOFR + 6.050%) | &nbsp;&nbsp; 1.661% | &nbsp;&nbsp; 9/20/54 | &nbsp;&nbsp; 3065862 | &nbsp;&nbsp;&nbsp; 309826<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-108 SC, IO <br> (-1.000 x 30 Day Average SOFR + 5.880%) | &nbsp;&nbsp; 1.491% | &nbsp;&nbsp; 6/20/55 | &nbsp;&nbsp; 2985846 | &nbsp;&nbsp;&nbsp; 285696<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-114 WS, IO <br> (-1.000 x 30 Day Average SOFR + 5.150%) | &nbsp;&nbsp; 0.761% | &nbsp;&nbsp; 7/20/55 | &nbsp;&nbsp; 5780330 | &nbsp;&nbsp;&nbsp; 268329<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-141 SE, IO <br> (-1.000 x 30 Day Average SOFR + 5.850%) | &nbsp;&nbsp; 1.461% | &nbsp;&nbsp; 8/20/55 | &nbsp;&nbsp; 3196794 | &nbsp;&nbsp;&nbsp; 299679<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, 2000-1A A (1 mo. Term SOFR + <br> 0.464%) | &nbsp;&nbsp; 4.789% | &nbsp;&nbsp; 3/20/26 | &nbsp;&nbsp; 7068 | &nbsp;&nbsp;&nbsp; 718<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, 2021-GR2 AIOS, IO | &nbsp;&nbsp; 0.190% | &nbsp;&nbsp; 2/25/52 | &nbsp;&nbsp; 63811644 | &nbsp;&nbsp;&nbsp; 715195<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, 2021-PJ2 AIOS, IO | &nbsp;&nbsp; 0.220% | &nbsp;&nbsp; 7/25/51 | &nbsp;&nbsp; 58946644 | &nbsp;&nbsp;&nbsp; 757476<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, 2022-NQM1 B4 | &nbsp;&nbsp; 4.083% | &nbsp;&nbsp; 5/25/62 | &nbsp;&nbsp; 1516158 | &nbsp;&nbsp;&nbsp; 1294044<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GSMPS Mortgage Loan Trust, 2006-RP1 1A2 | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 1/25/36 | &nbsp;&nbsp; 205629 | &nbsp;&nbsp;&nbsp; 183904<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Home RE Ltd., 2023-1 M2 (30 Day Average SOFR + 6.000%) | &nbsp;&nbsp; 10.356% | &nbsp;&nbsp; 10/25/33 | &nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp; 1070304<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HSI Asset Loan Obligation Trust, 2007-AR1 4A1 | &nbsp;&nbsp; 4.990% | &nbsp;&nbsp; 1/25/37 | &nbsp;&nbsp; 53303 | &nbsp;&nbsp;&nbsp; 40690<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Impac CMB Trust, 2004-8 1A (1 mo. Term SOFR + 0.834%) | &nbsp;&nbsp; 4.992% | &nbsp;&nbsp; 10/25/34 | &nbsp;&nbsp; 18525 | &nbsp;&nbsp;&nbsp; 18358<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDA Mortgage Loan Trust, 2005-AR2 1A1 | &nbsp;&nbsp; 3.804% | &nbsp;&nbsp; 1/25/36 | &nbsp;&nbsp; 56532 | &nbsp;&nbsp;&nbsp; 44080<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2004-AR13 1A1 | &nbsp;&nbsp; 3.509% | &nbsp;&nbsp; 1/25/35 | &nbsp;&nbsp; 20802 | &nbsp;&nbsp;&nbsp; 18823<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2005-AR15 A2 | &nbsp;&nbsp; 4.049% | &nbsp;&nbsp; 9/25/35 | &nbsp;&nbsp; 30092 | &nbsp;&nbsp;&nbsp; 24711<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2005-AR18 1A1 (1 mo. Term SOFR + <br> 0.734%) | &nbsp;&nbsp; 4.892% | &nbsp;&nbsp; 10/25/36 | &nbsp;&nbsp; 1497129 | &nbsp;&nbsp;&nbsp; 642935<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2006-AR7 5A1 | &nbsp;&nbsp; 3.931% | &nbsp;&nbsp; 5/25/36 | &nbsp;&nbsp; 91849 | &nbsp;&nbsp;&nbsp; 85346<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2006-AR9 3A3 | &nbsp;&nbsp; 3.462% | &nbsp;&nbsp; 6/25/36 | &nbsp;&nbsp; 194261 | &nbsp;&nbsp;&nbsp; 168452<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2006-AR11 1A1 | &nbsp;&nbsp; 4.421% | &nbsp;&nbsp; 6/25/36 | &nbsp;&nbsp; 194424 | &nbsp;&nbsp;&nbsp; 150102<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Alternative Loan Trust, 2007-A1 3A1 | &nbsp;&nbsp; 4.157% | &nbsp;&nbsp; 3/25/37 | &nbsp;&nbsp; 164593 | &nbsp;&nbsp;&nbsp; 143358<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2007-S2 3A2 | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 6/25/37 | &nbsp;&nbsp; 18398 | &nbsp;&nbsp;&nbsp; 18078<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2007-S2 3A3 | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 6/25/37 | &nbsp;&nbsp; 4511 | &nbsp;&nbsp;&nbsp; 4506<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2024-3 AX1, IO | &nbsp;&nbsp; 0.331% | &nbsp;&nbsp; 5/25/54 | &nbsp;&nbsp; 20192305 | &nbsp;&nbsp;&nbsp; 398781<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Legacy Mortgage Asset Trust, 2021-GS3 A2 | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 7/25/61 | &nbsp;&nbsp; 1787029 | &nbsp;&nbsp;&nbsp; 1785991<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lehman Mortgage Trust, 2006-3 1A7, IO (-1.000 x 1 mo. Term SOFR + <br> 5.286%) | &nbsp;&nbsp; 1.128% | &nbsp;&nbsp; 7/25/36 | &nbsp;&nbsp; 3962074 | &nbsp;&nbsp;&nbsp; 395313<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lehman Mortgage Trust, 2007-5 2A3 (1 mo. Term SOFR + 0.444%) | &nbsp;&nbsp; 4.602% | &nbsp;&nbsp; 6/25/37 | &nbsp;&nbsp; 2586491 | &nbsp;&nbsp;&nbsp; 416554<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lehman XS Trust, 2006-19 A4 (1 mo. Term SOFR + 0.454%) | &nbsp;&nbsp; 4.612% | &nbsp;&nbsp; 12/25/36 | &nbsp;&nbsp; 263035 | &nbsp;&nbsp;&nbsp; 257507<br> <sup>(b)(c)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2025 Quarterly Report

------

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | |
|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>|
| **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust, 2024-RTL1 A2 | &nbsp;&nbsp; 9.165% | &nbsp;&nbsp; 1/25/29 | &nbsp;&nbsp; $1100000<br> &nbsp;&nbsp;&nbsp; $1114283<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust, 2024-RTL2 A2 | &nbsp;&nbsp; 8.897% | &nbsp;&nbsp; 3/25/29 | &nbsp;&nbsp; 760000<br> &nbsp;&nbsp;&nbsp; 768447<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust, 2024-RTL5 M2 | &nbsp;&nbsp; 8.180% | &nbsp;&nbsp; 9/25/39 | &nbsp;&nbsp; 1500000<br> &nbsp;&nbsp;&nbsp; 1490942<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust, 2004-12 5A1 | &nbsp;&nbsp; 6.169% | &nbsp;&nbsp; 10/25/34 | &nbsp;&nbsp; 2415<br> &nbsp;&nbsp;&nbsp; 2372<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. Term SOFR <br> + 0.324%) | &nbsp;&nbsp; 4.482% | &nbsp;&nbsp; 4/25/46 | &nbsp;&nbsp; 83397<br> &nbsp;&nbsp;&nbsp; 77299<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; MASTR Reperforming Loan Trust, 2005-1 1A4 | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 8/25/34 | &nbsp;&nbsp; 35652<br> &nbsp;&nbsp;&nbsp; 26141<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust, 2006-A1 2A1 | &nbsp;&nbsp; 4.440% | &nbsp;&nbsp; 3/25/36 | &nbsp;&nbsp; 302523<br> &nbsp;&nbsp;&nbsp; 148789<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust, 2006-8AR 1A2 (1 mo. Term SOFR + <br> 0.254%) | &nbsp;&nbsp; 4.412% | &nbsp;&nbsp; 6/25/36 | &nbsp;&nbsp; 181849<br> &nbsp;&nbsp;&nbsp; 32667<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust, 2007-5AX 2A3 (1 mo. Term SOFR + <br> 0.574%) | &nbsp;&nbsp; 4.732% | &nbsp;&nbsp; 2/25/37 | &nbsp;&nbsp; 1280594<br> &nbsp;&nbsp;&nbsp; 248294<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust, 2007-15AR 4A1 | &nbsp;&nbsp; 3.600% | &nbsp;&nbsp; 11/25/37 | &nbsp;&nbsp; 431159<br> &nbsp;&nbsp;&nbsp; 371952<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Re-REMIC Trust, 2015-R2 1B (12 mo. Moving Treasury <br> Average + 0.710%) | &nbsp;&nbsp; 4.068% | &nbsp;&nbsp; 12/27/46 | &nbsp;&nbsp; 635251<br> &nbsp;&nbsp;&nbsp; 576948<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2017-1A B6 | &nbsp;&nbsp; 5.343% | &nbsp;&nbsp; 2/25/57 | &nbsp;&nbsp; 2014929<br> &nbsp;&nbsp;&nbsp; 1889274<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2019-4A B6 | &nbsp;&nbsp; 4.507% | &nbsp;&nbsp; 12/25/58 | &nbsp;&nbsp; 2103781<br> &nbsp;&nbsp;&nbsp; 1397979<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2019-6A A1IB, IO | &nbsp;&nbsp; 0.500% | &nbsp;&nbsp; 9/25/59 | &nbsp;&nbsp; 14669296<br> &nbsp;&nbsp;&nbsp; 205744<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2019-NQM4 B2 | &nbsp;&nbsp; 5.143% | &nbsp;&nbsp; 9/25/59 | &nbsp;&nbsp; 1608000<br> &nbsp;&nbsp;&nbsp; 1509925<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2024-RTL1 M1 | &nbsp;&nbsp; 9.298% | &nbsp;&nbsp; 3/25/39 | &nbsp;&nbsp; 380000<br> &nbsp;&nbsp;&nbsp; 383392<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2024-RTL1 M2 | &nbsp;&nbsp; 9.298% | &nbsp;&nbsp; 3/25/39 | &nbsp;&nbsp; 870000<br> &nbsp;&nbsp;&nbsp; 870706<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; NYMT Loan Trust, 2024-BPL1 A2 | &nbsp;&nbsp; 8.617% | &nbsp;&nbsp; 2/25/29 | &nbsp;&nbsp; 1620000<br> &nbsp;&nbsp;&nbsp; 1630310<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; PRKCM Trust, 2023-AFC1 M1 | &nbsp;&nbsp; 7.420% | &nbsp;&nbsp; 2/25/58 | &nbsp;&nbsp; 1480000<br> &nbsp;&nbsp;&nbsp; 1489887<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; PRKCM Trust, 2023-AFC3 B1 | &nbsp;&nbsp; 7.647% | &nbsp;&nbsp; 9/25/58 | &nbsp;&nbsp; 1220000<br> &nbsp;&nbsp;&nbsp; 1233101<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; PRKCM Trust, 2024-AFC1 B2 | &nbsp;&nbsp; 8.420% | &nbsp;&nbsp; 3/25/59 | &nbsp;&nbsp; 1450000<br> &nbsp;&nbsp;&nbsp; 1467046<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Provident Home Equity Loan Trust, 2000-2 A1 (1 mo. Term SOFR + 0.654%) | &nbsp;&nbsp; 4.812% | &nbsp;&nbsp; 8/25/31 | &nbsp;&nbsp; 419345<br> &nbsp;&nbsp;&nbsp; 400033<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; PRPM LLC, 2025-RCF3 M1B | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 7/25/55 | &nbsp;&nbsp; 1000000<br> &nbsp;&nbsp;&nbsp; 978806<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; RAAC Trust, 2007-SP1 M3 (1 mo. Term SOFR + 1.614%) | &nbsp;&nbsp; 5.772% | &nbsp;&nbsp; 3/25/37 | &nbsp;&nbsp; 1426481<br> &nbsp;&nbsp;&nbsp; 1206543<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; RALI Trust, 2005-QA3 CB4 | &nbsp;&nbsp; 4.077% | &nbsp;&nbsp; 3/25/35 | &nbsp;&nbsp; 700168<br> &nbsp;&nbsp;&nbsp; 319051<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; RALI Trust, 2006-QA1 A11 | &nbsp;&nbsp; 5.080% | &nbsp;&nbsp; 1/25/36 | &nbsp;&nbsp; 187156<br> &nbsp;&nbsp;&nbsp; 135393<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; RALI Trust, 2006-QA4 A (1 mo. Term SOFR + 0.474%) | &nbsp;&nbsp; 4.632% | &nbsp;&nbsp; 5/25/36 | &nbsp;&nbsp; 103633<br> &nbsp;&nbsp;&nbsp; 94953<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; RALI Trust, 2006-QO2 A1 (1 mo. Term SOFR + 0.554%) | &nbsp;&nbsp; 4.712% | &nbsp;&nbsp; 2/25/46 | &nbsp;&nbsp; 165246<br> &nbsp;&nbsp;&nbsp; 27357<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; RAMP Trust, 2004-RS4 MII2 (1 mo. Term SOFR + 1.464%) | &nbsp;&nbsp; 4.944% | &nbsp;&nbsp; 4/25/34 | &nbsp;&nbsp; 778911<br> &nbsp;&nbsp;&nbsp; 708016<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Redwood Funding Trust, 2025-2 A | &nbsp;&nbsp; 7.112% | &nbsp;&nbsp; 10/25/55 | &nbsp;&nbsp; 1129649<br> &nbsp;&nbsp;&nbsp; 1140211<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Redwood Funding Trust, 2025-3 A | &nbsp;&nbsp; 6.231% | &nbsp;&nbsp; 12/27/56 | &nbsp;&nbsp; 885425<br> &nbsp;&nbsp;&nbsp; 887594<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Redwood Funding Trust, 2025-3 B | &nbsp;&nbsp; 7.749% | &nbsp;&nbsp; 12/27/56 | &nbsp;&nbsp; 1100000<br> &nbsp;&nbsp;&nbsp; 1102778<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust, 2006-1 AF5 | &nbsp;&nbsp; 6.166% | &nbsp;&nbsp; 5/25/36 | &nbsp;&nbsp; 516941<br> &nbsp;&nbsp;&nbsp; 251660<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust, 2007-3 AF3 | &nbsp;&nbsp; 7.238% | &nbsp;&nbsp; 9/25/37 | &nbsp;&nbsp; 1442271<br> &nbsp;&nbsp;&nbsp; 568067<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Residential Asset Securitization Trust, 2007-A2 1A1 | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 4/25/37 | &nbsp;&nbsp; 175426<br> &nbsp;&nbsp;&nbsp; 87509<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; RFMSI Trust, 2006-S8 A12, IO (-1.000 x 1 mo. Term SOFR + 5.286%) | &nbsp;&nbsp; 1.128% | &nbsp;&nbsp; 9/25/36 | &nbsp;&nbsp; 1587004<br> &nbsp;&nbsp;&nbsp; 111663<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Saluda Grade Alternative Mortgage Trust, 2024-RTL4 A2 | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 2/25/30 | &nbsp;&nbsp; 1770000<br> &nbsp;&nbsp;&nbsp; 1773500<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Starwood Mortgage Residential Trust, 2020-3 B2 | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 4/25/65 | &nbsp;&nbsp; 1490000<br> &nbsp;&nbsp;&nbsp; 1261779<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Starwood Mortgage Residential Trust, 2021-4 B31 | &nbsp;&nbsp; 4.678% | &nbsp;&nbsp; 8/25/56 | &nbsp;&nbsp; 2700000<br> &nbsp;&nbsp;&nbsp; 1911934<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Adjustable Rate Mortgage Loan Trust, 2004-18 1A2 | &nbsp;&nbsp; 4.817% | &nbsp;&nbsp; 12/25/34 | &nbsp;&nbsp; 115267<br> &nbsp;&nbsp;&nbsp; 104209<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Adjustable Rate Mortgage Loan Trust, 2005-4 1A1 | &nbsp;&nbsp; 4.275% | &nbsp;&nbsp; 3/25/35 | &nbsp;&nbsp; 82022<br> &nbsp;&nbsp;&nbsp; 68298<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Adjustable Rate Mortgage Loan Trust, 2005-7 1A3 | &nbsp;&nbsp; 4.521% | &nbsp;&nbsp; 4/25/35 | &nbsp;&nbsp; 26557<br> &nbsp;&nbsp;&nbsp; 24304<br> <sup>(b)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Structured Asset Investment Loan Trust, 2004-8 M9 (1 mo. Term SOFR + <br> 3.864%) | &nbsp;&nbsp; 8.022% | &nbsp;&nbsp; 9/25/34 | &nbsp;&nbsp; $297405 | &nbsp;&nbsp;&nbsp; $229918<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Toorak Mortgage Trust, 2024-RRTL1 B1 | &nbsp;&nbsp; 10.335% | &nbsp;&nbsp; 2/25/39 | &nbsp;&nbsp; 800000 | &nbsp;&nbsp;&nbsp; 807049<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Toorak Mortgage Trust, 2024-RRTL1 B2 | &nbsp;&nbsp; 10.335% | &nbsp;&nbsp; 2/25/39 | &nbsp;&nbsp; 640000 | &nbsp;&nbsp;&nbsp; 647354<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UWM Mortgage Trust, 2021-1 AX4, IO | &nbsp;&nbsp; 0.250% | &nbsp;&nbsp; 6/25/51 | &nbsp;&nbsp; 22390907 | &nbsp;&nbsp;&nbsp; 292423<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2022-INV2 M1 | &nbsp;&nbsp; 6.761% | &nbsp;&nbsp; 10/25/67 | &nbsp;&nbsp; 1430000 | &nbsp;&nbsp;&nbsp; 1425378<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2023-3 B1 | &nbsp;&nbsp; 7.727% | &nbsp;&nbsp; 3/25/68 | &nbsp;&nbsp; 1200000 | &nbsp;&nbsp;&nbsp; 1205384<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2023-4 B1 | &nbsp;&nbsp; 8.056% | &nbsp;&nbsp; 5/25/68 | &nbsp;&nbsp; 1170000 | &nbsp;&nbsp;&nbsp; 1177451<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2023-5 B1 | &nbsp;&nbsp; 7.999% | &nbsp;&nbsp; 6/25/68 | &nbsp;&nbsp; 1200000 | &nbsp;&nbsp;&nbsp; 1210446<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2023-7 B1 | &nbsp;&nbsp; 7.886% | &nbsp;&nbsp; 10/25/68 | &nbsp;&nbsp; 1960000 | &nbsp;&nbsp;&nbsp; 1988442<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2024-8 B1 | &nbsp;&nbsp; 7.032% | &nbsp;&nbsp; 10/25/69 | &nbsp;&nbsp; 1750000 | &nbsp;&nbsp;&nbsp; 1773693<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2025-R1 B1 | &nbsp;&nbsp; 6.400% | &nbsp;&nbsp; 5/25/65 | &nbsp;&nbsp; 1450000 | &nbsp;&nbsp;&nbsp; 1436923<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wachovia Mortgage Loan Trust LLC, 2005-B 2A2 | &nbsp;&nbsp; 7.177% | &nbsp;&nbsp; 10/20/35 | &nbsp;&nbsp; 3665 | &nbsp;&nbsp;&nbsp; 3592<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-8 1A6 (-3.667 x 1 <br> mo. Term SOFR + 22.864%) | &nbsp;&nbsp; 7.618% | &nbsp;&nbsp; 10/25/35 | &nbsp;&nbsp; 86386 | &nbsp;&nbsp;&nbsp; 79425<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-9 5A4 (-7.333 x 1 <br> mo. Term SOFR + 35.094%) | &nbsp;&nbsp; 4.602% | &nbsp;&nbsp; 11/25/35 | &nbsp;&nbsp; 33510 | &nbsp;&nbsp;&nbsp; 33837<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-10 2A3 (1 mo. Term <br> SOFR + 1.014%) | &nbsp;&nbsp; 5.172% | &nbsp;&nbsp; 11/25/35 | &nbsp;&nbsp; 57892 | &nbsp;&nbsp;&nbsp; 53002<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-AR2 B1 (1 mo. Term <br> SOFR + 0.909%) | &nbsp;&nbsp; 5.067% | &nbsp;&nbsp; 1/25/45 | &nbsp;&nbsp; 1200109 | &nbsp;&nbsp;&nbsp; 1082942<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-AR13 A1C3 (1 mo. <br> Term SOFR + 1.094%) | &nbsp;&nbsp; 5.252% | &nbsp;&nbsp; 10/25/45 | &nbsp;&nbsp; 56154 | &nbsp;&nbsp;&nbsp; 55157<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2006-AR10 A1 (1 mo. <br> Term SOFR + 0.314%) | &nbsp;&nbsp; 4.472% | &nbsp;&nbsp; 12/25/36 | &nbsp;&nbsp; 221468 | &nbsp;&nbsp;&nbsp; 109250<br> <sup>(b)(c)</sup><br>|
| **Total Residential Mortgage-Backed Securities (Cost — $147,785,202)** | **Total Residential Mortgage-Backed Securities (Cost — $147,785,202)** | **Total Residential Mortgage-Backed Securities (Cost — $147,785,202)** | **Total Residential Mortgage-Backed Securities (Cost — $147,785,202)** | &nbsp;&nbsp; **155031814** |
| **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— 43.9%** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— 43.9%** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— 43.9%** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— 43.9%** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— 43.9%** |
| &nbsp;&nbsp;&nbsp; 280 Park Avenue Mortgage Trust, 2017-280P E (1 mo. Term SOFR + 2.419%) | &nbsp;&nbsp; 6.637% | &nbsp;&nbsp; 9/15/34 | &nbsp;&nbsp; 3430000 | &nbsp;&nbsp;&nbsp; 3327040<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; 280 Park Avenue Mortgage Trust, 2017-280P F (1 mo. Term SOFR + 3.127%) | &nbsp;&nbsp; 7.345% | &nbsp;&nbsp; 9/15/34 | &nbsp;&nbsp; 320000 | &nbsp;&nbsp;&nbsp; 309653<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Atrium Hotel Portfolio Trust, 2017-ATRM E (1 mo. Term SOFR + 3.347%) | &nbsp;&nbsp; 7.498% | &nbsp;&nbsp; 12/15/36 | &nbsp;&nbsp; 1388311 | &nbsp;&nbsp;&nbsp; 1290262<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BANK, 2021-BN35 H | &nbsp;&nbsp; 1.767% | &nbsp;&nbsp; 6/15/64 | &nbsp;&nbsp; 1860000 | &nbsp;&nbsp;&nbsp; 721053<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BANK, 2021-BN35 K | &nbsp;&nbsp; 1.767% | &nbsp;&nbsp; 6/15/64 | &nbsp;&nbsp; 4703147 | &nbsp;&nbsp;&nbsp; 1670707<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BANK, 2022-BNK43 E | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 8/15/55 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 1047756<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BANK, 2022-BNK44 D | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 11/15/32 | &nbsp;&nbsp; 948000 | &nbsp;&nbsp;&nbsp; 744491<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Benchmark Mortgage Trust, 2023-V3 D | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 7/15/56 | &nbsp;&nbsp; 1100000 | &nbsp;&nbsp;&nbsp; 979718<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BF Mortgage Trust, 2019-NYT E (1 mo. Term SOFR + 2.797%) | &nbsp;&nbsp; 6.948% | &nbsp;&nbsp; 12/15/35 | &nbsp;&nbsp; 1440000 | &nbsp;&nbsp;&nbsp; 1316528<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BFLD Commercial Mortgage Trust, 2024-UNIV E (1 mo. Term SOFR + <br> 3.640%) | &nbsp;&nbsp; 7.790% | &nbsp;&nbsp; 11/15/41 | &nbsp;&nbsp; 1170000 | &nbsp;&nbsp;&nbsp; 1175373<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BPR Trust, 2021-TY F (1 mo. Term SOFR + 4.314%) | &nbsp;&nbsp; 8.465% | &nbsp;&nbsp; 9/15/38 | &nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp; 988965<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BSREP Commercial Mortgage Trust, 2021-DC HRR (1 mo. Term SOFR + <br> 5.614%) | &nbsp;&nbsp; 9.765% | &nbsp;&nbsp; 8/15/38 | &nbsp;&nbsp; 3013097 | &nbsp;&nbsp;&nbsp; 601524<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BWAY Mortgage Trust, 2013-1515 F | &nbsp;&nbsp; 4.058% | &nbsp;&nbsp; 3/10/33 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 1259711<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2019-IMC F (1 mo. Term SOFR + 2.946%) | &nbsp;&nbsp; 7.096% | &nbsp;&nbsp; 4/15/34 | &nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp; 1950211<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2021-XL2 J (1 mo. Term SOFR + 4.004%) | &nbsp;&nbsp; 8.154% | &nbsp;&nbsp; 10/15/38 | &nbsp;&nbsp; 1750000 | &nbsp;&nbsp;&nbsp; 1756214<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%) | &nbsp;&nbsp; 8.256% | &nbsp;&nbsp; 2/15/39 | &nbsp;&nbsp; 805000 | &nbsp;&nbsp;&nbsp; 804994<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2024-KING E (1 mo. Term SOFR + 3.688%) | &nbsp;&nbsp; 7.838% | &nbsp;&nbsp; 5/15/34 | &nbsp;&nbsp; 1174537 | &nbsp;&nbsp;&nbsp; 1182880<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2025-SPOT E (1 mo. Term SOFR + 3.690%) | &nbsp;&nbsp; 7.840% | &nbsp;&nbsp; 4/15/40 | &nbsp;&nbsp; 1247914 | &nbsp;&nbsp;&nbsp; 1252098<br> <sup>(b)(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2025 Quarterly Report

------

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; BX Trust, 2021-ARIA G (1 mo. Term SOFR + 3.257%) | &nbsp;&nbsp; 7.407% | &nbsp;&nbsp; 10/15/36 | &nbsp;&nbsp; $1500000 | &nbsp;&nbsp;&nbsp; $1493836<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2017-CHOP F (PRIME + 1.294%) | &nbsp;&nbsp; 8.794% | &nbsp;&nbsp; 7/15/32 | &nbsp;&nbsp; 1620000 | &nbsp;&nbsp;&nbsp; 1612713<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2017-CHOP H (PRIME + 4.294%) | &nbsp;&nbsp; 11.794% | &nbsp;&nbsp; 7/15/32 | &nbsp;&nbsp; 1509000 | &nbsp;&nbsp;&nbsp; 1443945<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2021-ADV G (1 mo. Term SOFR + 6.364%) | &nbsp;&nbsp; 10.515% | &nbsp;&nbsp; 7/15/38 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 251<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Extended Stay America Trust, 2025-ESH D (1 mo. Term SOFR + 2.600%) | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 10/15/42 | &nbsp;&nbsp; 330000 | &nbsp;&nbsp;&nbsp; 332268<br> <sup>(b)(d)(e)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Credit <br> Risk, 2021-MN1 B1 (30 Day Average SOFR + 7.750%) | &nbsp;&nbsp; 12.106% | &nbsp;&nbsp; 1/25/51 | &nbsp;&nbsp; 950000 | &nbsp;&nbsp;&nbsp; 1052252<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust, 2021-F117 CS (30 Day Average SOFR + 6.400%) | &nbsp;&nbsp; 10.755% | &nbsp;&nbsp; 7/25/31 | &nbsp;&nbsp; 560588 | &nbsp;&nbsp;&nbsp; 540659<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; FRESB Mortgage Trust, 2018-SB48 B | &nbsp;&nbsp; 4.660% | &nbsp;&nbsp; 2/25/38 | &nbsp;&nbsp; 1030840 | &nbsp;&nbsp;&nbsp; 608546<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-89 IA, IO | &nbsp;&nbsp; 1.169% | &nbsp;&nbsp; 4/16/62 | &nbsp;&nbsp; 5757823 | &nbsp;&nbsp;&nbsp; 467852<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Greystone CRE Notes, 2024-HC3 D (1 mo. Term SOFR + 5.333%) | &nbsp;&nbsp; 9.483% | &nbsp;&nbsp; 3/15/41 | &nbsp;&nbsp; 610000 | &nbsp;&nbsp;&nbsp; 608056<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Greystone CRE Notes LLC, 2025-HC4 D (1 mo. Term SOFR + 3.940%) | &nbsp;&nbsp; 8.069% | &nbsp;&nbsp; 10/15/42 | &nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp; 1995000<br> <sup>(d)(e)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp., 2024-70P HRR | &nbsp;&nbsp; 10.333% | &nbsp;&nbsp; 3/10/41 | &nbsp;&nbsp; 4420000 | &nbsp;&nbsp;&nbsp; 4453315<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. Term SOFR + <br> 4.747%) | &nbsp;&nbsp; 8.897% | &nbsp;&nbsp; 11/15/32 | &nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp; 2489696<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust, 2015-GC32 D | &nbsp;&nbsp; 3.345% | &nbsp;&nbsp; 7/10/48 | &nbsp;&nbsp; 50736 | &nbsp;&nbsp;&nbsp; 49651<br>|
| &nbsp;&nbsp;&nbsp; HIH Trust, 2024-61P F (1 mo. Term SOFR + 5.437%) | &nbsp;&nbsp; 9.587% | &nbsp;&nbsp; 10/15/41 | &nbsp;&nbsp; 1477881 | &nbsp;&nbsp;&nbsp; 1491582<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HIT Trust, 2022-HI32 G (1 mo. Term SOFR + 7.228%) | &nbsp;&nbsp; 11.378% | &nbsp;&nbsp; 7/15/39 | &nbsp;&nbsp; 1600000 | &nbsp;&nbsp;&nbsp; 1621683<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYMZ M (1 <br> mo. Term SOFR + 7.614%) | &nbsp;&nbsp; 11.765% | &nbsp;&nbsp; 6/15/26 | &nbsp;&nbsp; 1250000 | &nbsp;&nbsp;&nbsp; 271255<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; KIND Trust, 2021-KIND F (1 mo. Term SOFR + 4.064%) | &nbsp;&nbsp; 8.220% | &nbsp;&nbsp; 8/15/38 | &nbsp;&nbsp; 1299330 | &nbsp;&nbsp;&nbsp; 1279496<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MF1 Ltd., 2021-FL7 E (1 mo. Term SOFR + 2.914%) | &nbsp;&nbsp; 7.050% | &nbsp;&nbsp; 10/16/36 | &nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp; 1968327<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Multifamily CAS Trust, 2019-1 CE (30 Day Average SOFR + 8.864%) | &nbsp;&nbsp; 13.221% | &nbsp;&nbsp; 10/25/49 | &nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp; 2569405<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Multifamily CAS Trust, 2020-1 CE (30 Day Average SOFR + 7.614%) | &nbsp;&nbsp; 11.971% | &nbsp;&nbsp; 3/25/50 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 1558750<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Natixis Commercial Mortgage Securities Trust, 2019-FAME D | &nbsp;&nbsp; 4.544% | &nbsp;&nbsp; 8/15/36 | &nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp; 326661<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Natixis Commercial Mortgage Securities Trust, 2019-FAME E | &nbsp;&nbsp; 4.544% | &nbsp;&nbsp; 8/15/36 | &nbsp;&nbsp; 950000 | &nbsp;&nbsp;&nbsp; 366530<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Natixis Commercial Mortgage Securities Trust, 2022-JERI G (1 mo. Term <br> SOFR + 7.608%) | &nbsp;&nbsp; 11.758% | &nbsp;&nbsp; 1/15/39 | &nbsp;&nbsp; 3500000 | &nbsp;&nbsp;&nbsp; 2245554<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Natixis Commercial Mortgage Securities Trust, 2022-RRI E (1 mo. Term <br> SOFR + 5.193%) | &nbsp;&nbsp; 9.343% | &nbsp;&nbsp; 3/15/35 | &nbsp;&nbsp; 1272750 | &nbsp;&nbsp;&nbsp; 1268067<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMR Mortgage Trust, 2022-IND G (1 mo. Term SOFR + 7.500%) | &nbsp;&nbsp; 11.650% | &nbsp;&nbsp; 2/15/39 | &nbsp;&nbsp; 1831354 | &nbsp;&nbsp;&nbsp; 1669191<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Soho Trust, 2021-SOHO D | &nbsp;&nbsp; 2.786% | &nbsp;&nbsp; 8/10/38 | &nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp; 641953<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2017-C42 D | &nbsp;&nbsp; 2.800% | &nbsp;&nbsp; 12/15/50 | &nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp; 673194<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2022-JS2 G | &nbsp;&nbsp; 3.569% | &nbsp;&nbsp; 12/15/39 | &nbsp;&nbsp; 2200000 | &nbsp;&nbsp;&nbsp; 1635010<br> <sup>(b)(d)</sup><br>|
| **Total Commercial Mortgage-Backed Securities (Cost — $66,104,625)** | **Total Commercial Mortgage-Backed Securities (Cost — $66,104,625)** | **Total Commercial Mortgage-Backed Securities (Cost — $66,104,625)** | **Total Commercial Mortgage-Backed Securities (Cost — $66,104,625)** | &nbsp;&nbsp; **59113876** |
|  |  |  | Face <br>Amount/ <br>Units<br>|  |
| **Asset-Backed Securities — 21.3%** | **Asset-Backed Securities — 21.3%** | **Asset-Backed Securities — 21.3%** | **Asset-Backed Securities — 21.3%** | **Asset-Backed Securities — 21.3%** |
| &nbsp;&nbsp;&nbsp; Apex Credit CLO Ltd., 2019-2A D1NR (3 mo. Term SOFR + 3.500%) | &nbsp;&nbsp; 7.818% | &nbsp;&nbsp; 1/25/38 | &nbsp;&nbsp; $560000 | &nbsp;&nbsp;&nbsp; 556531<br> <sup>(b)(c)(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; 670000 | &nbsp;&nbsp;&nbsp; 690733<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Balboa Bay Loan Funding Ltd., 2024-2A E (3 mo. Term SOFR + 5.750%) | &nbsp;&nbsp; 10.075% | &nbsp;&nbsp; 1/20/38 | &nbsp;&nbsp; 290000 | &nbsp;&nbsp;&nbsp; 293738<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Balboa Bay Loan Funding Ltd., 2023-1A ERR (3 mo. Term SOFR + 5.400%) | &nbsp;&nbsp; 9.725% | &nbsp;&nbsp; 4/20/36 | &nbsp;&nbsp; 640000 | &nbsp;&nbsp;&nbsp; 641640<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bayview Opportunity Master Fund LLC, 2024-CAR1 E (30 Day Average SOFR <br> + 3.600%) | &nbsp;&nbsp; 7.956% | &nbsp;&nbsp; 12/26/31 | &nbsp;&nbsp; 695208 | &nbsp;&nbsp;&nbsp; 703503<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BCMSC Trust, 1998-B A | &nbsp;&nbsp; 6.530% | &nbsp;&nbsp; 10/15/28 | &nbsp;&nbsp; 12432 | &nbsp;&nbsp;&nbsp; 12408<br> <sup>(b)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| 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; Bear Mountain Park CLO Ltd., 2022-1A ER (3 mo. Term SOFR + 5.950%) | &nbsp;&nbsp; 10.268% | &nbsp;&nbsp; 7/15/37 | &nbsp;&nbsp; $500000 | &nbsp;&nbsp;&nbsp; $505020<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Black Diamond CLO Ltd., 2021-1A CR (3 mo. Term SOFR + 3.900%) | &nbsp;&nbsp; 8.219% | &nbsp;&nbsp; 11/22/34 | &nbsp;&nbsp; 510000 | &nbsp;&nbsp;&nbsp; 511223<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cascade MH Asset Trust, 2019-MH1 M | &nbsp;&nbsp; 5.985% | &nbsp;&nbsp; 11/25/44 | &nbsp;&nbsp; 1150000 | &nbsp;&nbsp;&nbsp; 1114576<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Clover CLO LLC, 2021-3A ER (3 mo. Term SOFR + 4.900%) | &nbsp;&nbsp; 9.218% | &nbsp;&nbsp; 1/25/35 | &nbsp;&nbsp; 720000 | &nbsp;&nbsp;&nbsp; 721953<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Columbia Cent CLO Ltd., 2025-35A D1A (3 mo. Term SOFR + 3.500%) | &nbsp;&nbsp; 7.822% | &nbsp;&nbsp; 7/25/36 | &nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp; 501042<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Conseco Finance Corp., 1999-4 A8 | &nbsp;&nbsp; 7.700% | &nbsp;&nbsp; 5/1/31 | &nbsp;&nbsp; 4636532 | &nbsp;&nbsp;&nbsp; 1328893<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Conseco Finance Corp., 1999-4 A9 | &nbsp;&nbsp; 7.020% | &nbsp;&nbsp; 5/1/31 | &nbsp;&nbsp; 10307070 | &nbsp;&nbsp;&nbsp; 2735282<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; DRB Prime Student Loan Trust, 2017-A R | &nbsp;&nbsp; 20.948% | &nbsp;&nbsp; 5/27/42 | &nbsp;&nbsp; 429 | &nbsp;&nbsp;&nbsp; 802867<br> <sup>(d)(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Elevation CLO Ltd., 2016-5A ERR (3 mo. Term SOFR + 7.580%) | &nbsp;&nbsp; 11.898% | &nbsp;&nbsp; 1/25/38 | &nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp; 502370<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Golub Capital Partners CLO Ltd., 2024-77A E (3 mo. Term SOFR + 4.850%) | &nbsp;&nbsp; 9.168% | &nbsp;&nbsp; 1/25/38 | &nbsp;&nbsp; 850000 | &nbsp;&nbsp;&nbsp; 855721<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Hartwick Park CLO Ltd., 2023-1A ER (3 mo. Term SOFR + 4.850%) | &nbsp;&nbsp; 9.175% | &nbsp;&nbsp; 1/20/37 | &nbsp;&nbsp; 630000 | &nbsp;&nbsp;&nbsp; 628126<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Home Partners of America Trust, 2021-2 F | &nbsp;&nbsp; 3.799% | &nbsp;&nbsp; 12/17/26 | &nbsp;&nbsp; 1429649 | &nbsp;&nbsp;&nbsp; 1393822<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Huntington Bank Auto Credit-Linked Notes, 2025-2 D (30 Day Average SOFR <br> + 3.250%) | &nbsp;&nbsp; 7.639% | &nbsp;&nbsp; 9/20/33 | &nbsp;&nbsp; 649367 | &nbsp;&nbsp;&nbsp; 650592<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jamestown CLO Ltd., 2021-17A DR (3 mo. Term SOFR + 3.500%) | &nbsp;&nbsp; 7.818% | &nbsp;&nbsp; 1/25/35 | &nbsp;&nbsp; 280000 | &nbsp;&nbsp;&nbsp; 282255<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Loanpal Solar Loan Ltd., 2020-3GS C | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 12/20/47 | &nbsp;&nbsp; 616645 | &nbsp;&nbsp;&nbsp; 331540<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Loanpal Solar Loan Ltd., 2021-1GS C | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 1/20/48 | &nbsp;&nbsp; 631614 | &nbsp;&nbsp;&nbsp; 430500<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; 985999 | &nbsp;&nbsp;&nbsp; 952180<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Magnetite Ltd., 2023-39A E1R (3 mo. Term SOFR + 4.900%) | &nbsp;&nbsp; 9.218% | &nbsp;&nbsp; 1/25/37 | &nbsp;&nbsp; 280000 | &nbsp;&nbsp;&nbsp; 277014<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MetroNet Infrastructure Issuer LLC, 2025-2A C | &nbsp;&nbsp; 7.830% | &nbsp;&nbsp; 8/20/55 | &nbsp;&nbsp; 670000 | &nbsp;&nbsp;&nbsp; 681195<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MidOcean Credit CLO LLC, 2025-18A E (3 mo. Term SOFR + 5.400%) | &nbsp;&nbsp; 9.718% | &nbsp;&nbsp; 10/18/35 | &nbsp;&nbsp; 600000 | &nbsp;&nbsp;&nbsp; 597544<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; National Collegiate Class A-3L Commutation Trust, 2007-4VI O (1 mo. USD <br> LIBOR + 0.850%) | &nbsp;&nbsp; 5.810% | &nbsp;&nbsp; 3/29/38 | &nbsp;&nbsp; 5942187 | &nbsp;&nbsp;&nbsp; 543128<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; National Collegiate Student Loan Trust, 2006-3 B (1 mo. Term SOFR + <br> 0.474%) | &nbsp;&nbsp; 4.632% | &nbsp;&nbsp; 1/26/32 | &nbsp;&nbsp; 1688774 | &nbsp;&nbsp;&nbsp; 1598797<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Nelnet Student Loan Trust, 2021-DA D | &nbsp;&nbsp; 4.380% | &nbsp;&nbsp; 4/20/62 | &nbsp;&nbsp; 1200000 | &nbsp;&nbsp;&nbsp; 1047536<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Mountain CLO Ltd., 5A D1R (3 mo. Term SOFR + 3.150%) | &nbsp;&nbsp; 7.475% | &nbsp;&nbsp; 7/20/36 | &nbsp;&nbsp; 260000 | &nbsp;&nbsp;&nbsp; 261299<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; NRM Excess LLC, 2024-FNT1 A | &nbsp;&nbsp; 7.398% | &nbsp;&nbsp; 11/25/31 | &nbsp;&nbsp; 736442 | &nbsp;&nbsp;&nbsp; 750236<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ocean Trails CLO Ltd., 2023-14A ER (3 mo. Term SOFR + 6.340%) | &nbsp;&nbsp; 10.665% | &nbsp;&nbsp; 1/20/38 | &nbsp;&nbsp; 600000 | &nbsp;&nbsp;&nbsp; 606044<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; RBS Acceptance Inc., 1995-BA1 B2 | &nbsp;&nbsp; 9.000% | &nbsp;&nbsp; 12/10/25 | &nbsp;&nbsp; 2191561 | &nbsp;&nbsp;&nbsp; 22<br>|
| &nbsp;&nbsp;&nbsp; Renew Financial, 2024-2A B | &nbsp;&nbsp; 8.223% | &nbsp;&nbsp; 11/20/60 | &nbsp;&nbsp; 929630 | &nbsp;&nbsp;&nbsp; 936056<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; RR Ltd., 2021-18A DR (3 mo. Term SOFR + 4.900%) | &nbsp;&nbsp; 9.140% | &nbsp;&nbsp; 7/15/40 | &nbsp;&nbsp; 520000 | &nbsp;&nbsp;&nbsp; 526471<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SEB Funding LLC, 2024-1A A2 | &nbsp;&nbsp; 7.386% | &nbsp;&nbsp; 4/30/54 | &nbsp;&nbsp; 1020000 | &nbsp;&nbsp;&nbsp; 1044395<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, 2024-1A D | &nbsp;&nbsp; 8.020% | &nbsp;&nbsp; 1/20/43 | &nbsp;&nbsp; 338345 | &nbsp;&nbsp;&nbsp; 347556<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SoFi Professional Loan Program LLC, 2017-F R1 | &nbsp;&nbsp; 27.152% | &nbsp;&nbsp; 1/25/41 | &nbsp;&nbsp; 34000 | &nbsp;&nbsp;&nbsp; 280518<br> <sup>(d)(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Stonepeak, 2021-1A B | &nbsp;&nbsp; 3.821% | &nbsp;&nbsp; 2/28/33 | &nbsp;&nbsp; 553815 | &nbsp;&nbsp;&nbsp; 537680<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sunnova Hellios II Issuer LLC, 2018-1A B | &nbsp;&nbsp; 7.710% | &nbsp;&nbsp; 7/20/48 | &nbsp;&nbsp; 810166 | &nbsp;&nbsp;&nbsp; 732283<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Whitebox CLO Ltd., 2025-5A E (3 mo. Term SOFR + 5.250%) | &nbsp;&nbsp; 9.504% | &nbsp;&nbsp; 7/20/38 | &nbsp;&nbsp; 690000 | &nbsp;&nbsp;&nbsp; 687809<br> <sup>(b)(d)</sup><br>|
| **Total Asset-Backed Securities (Cost — $31,219,538)** | **Total Asset-Backed Securities (Cost — $31,219,538)** | **Total Asset-Backed Securities (Cost — $31,219,538)** | **Total Asset-Backed Securities (Cost — $31,219,538)** | &nbsp;&nbsp; **28602098** |
|  |  |  | Shares |  |
| **Preferred Stocks — 4.0%** | **Preferred Stocks — 4.0%** | **Preferred Stocks — 4.0%** | **Preferred Stocks — 4.0%** | **Preferred Stocks — 4.0%** |
| **Financials — 4.0%** | **Financials — 4.0%** | **Financials — 4.0%** | **Financials — 4.0%** | **Financials — 4.0%** |
| *Mortgage Real Estate Investment Trusts (REITs) — 4.0%* | *Mortgage Real Estate Investment Trusts (REITs) — 4.0%* | *Mortgage Real Estate Investment Trusts (REITs) — 4.0%* | *Mortgage Real Estate Investment Trusts (REITs) — 4.0%* | *Mortgage Real Estate Investment Trusts (REITs) — 4.0%* |
| &nbsp;&nbsp;&nbsp; AGNC Investment Corp., Non Voting Shares (3 mo. Term SOFR + 4.959%) | &nbsp;&nbsp; 9.276% |  | &nbsp;&nbsp; 52953 | &nbsp;&nbsp;&nbsp; 1342888<br> <sup>(b)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2025 Quarterly Report

------

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security |  | Rate |  | Shares | Value |
| *Mortgage Real Estate Investment Trusts (REITs) — continued* | *Mortgage Real Estate Investment Trusts (REITs) — continued* | *Mortgage Real Estate Investment Trusts (REITs) — continued* | *Mortgage Real Estate Investment Trusts (REITs) — continued* | *Mortgage Real Estate Investment Trusts (REITs) — continued* | *Mortgage Real Estate Investment Trusts (REITs) — continued* |
| &nbsp;&nbsp;&nbsp; Arbor Realty Trust Inc., Non Voting Shares (6.250% to 10/12/26 then 3 mo. <br> Term SOFR + 5.440%) | &nbsp;&nbsp;&nbsp; Arbor Realty Trust Inc., Non Voting Shares (6.250% to 10/12/26 then 3 mo. <br> Term SOFR + 5.440%) | &nbsp;&nbsp; 6.250% |  | &nbsp;&nbsp; 44004 | &nbsp;&nbsp;&nbsp; $994490<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Chimera Investment Corp., Non Voting Shares | &nbsp;&nbsp;&nbsp; Chimera Investment Corp., Non Voting Shares | &nbsp;&nbsp; 8.000% |  | &nbsp;&nbsp; 31752 | &nbsp;&nbsp;&nbsp; 702672<br>|
| &nbsp;&nbsp;&nbsp; Chimera Investment Corp., Non Voting Shares (3 mo. Term SOFR + 5.005%) | &nbsp;&nbsp;&nbsp; Chimera Investment Corp., Non Voting Shares (3 mo. Term SOFR + 5.005%) | &nbsp;&nbsp; 8.981% |  | &nbsp;&nbsp; 31276 | &nbsp;&nbsp;&nbsp; 722475<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; MFA Financial Inc., Non Voting Shares (3 mo. Term SOFR + 5.607%) | &nbsp;&nbsp;&nbsp; MFA Financial Inc., Non Voting Shares (3 mo. Term SOFR + 5.607%) | &nbsp;&nbsp; 9.583% |  | &nbsp;&nbsp; 70049 | &nbsp;&nbsp;&nbsp; 1672070<br> <sup>(b)</sup><br>|
| **Total Preferred Stocks (Cost — $5,196,873)** |  |  |  |  | &nbsp;&nbsp; **5434595** |
|  |  |  | Maturity <br>Date<br>| Face <br>Amount<br>|  |
| **Convertible Bonds & Notes — 1.4%** | **Convertible Bonds & Notes — 1.4%** | **Convertible Bonds & Notes — 1.4%** | **Convertible Bonds & Notes — 1.4%** | **Convertible Bonds & Notes — 1.4%** | **Convertible Bonds & Notes — 1.4%** |
| **Financials — 1.4%** | **Financials — 1.4%** | **Financials — 1.4%** | **Financials — 1.4%** | **Financials — 1.4%** | **Financials — 1.4%** |
| *Mortgage Real Estate Investment Trusts (REITs) — 1.4%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.4%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.4%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.4%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.4%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.4%* |
| &nbsp;&nbsp;&nbsp; Two Harbors Investment Corp., Senior Notes (Cost — <br> $1,807,904)<br>|  | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 1/15/26 | &nbsp;&nbsp; $1835000 | &nbsp;&nbsp;&nbsp; **1835001**<br>|
|  | Counterparty | Expiration <br>Date<br>| Contracts | Notional <br>Amount<br>|  |
| **Purchased Options — 0.0%††** | **Purchased Options — 0.0%††** | **Purchased Options — 0.0%††** | **Purchased Options — 0.0%††** | **Purchased Options — 0.0%††** | **Purchased Options — 0.0%††** |
| **OTC Purchased Options — 0.0%††** | **OTC Purchased Options — 0.0%††** | **OTC Purchased Options — 0.0%††** | **OTC Purchased Options — 0.0%††** | **OTC Purchased Options — 0.0%††** | **OTC Purchased Options — 0.0%††** |
| &nbsp;&nbsp;&nbsp; Credit default swaption to buy protection on Markit <br> CDX.NA.HY.44 Index, Put @ 106.000<sup>bps</sup>, 500.000<sup>bps</sup> <br> quarterly payments made by the Fund, maturing on <br> 6/20/30 (Cost — $60,300)<br>| JPMorgan Chase & <br> Co.<br>| &nbsp;&nbsp; 10/15/25 | &nbsp;&nbsp; 6700000 | &nbsp;&nbsp; $6700000 | &nbsp;&nbsp;&nbsp; **2402**<br>|
|  |  | Rate | Maturity <br>Date<br>| Face <br>Amount<br>|  |
| **Corporate Bonds & Notes — 3.5%** | **Corporate Bonds & Notes — 3.5%** | **Corporate Bonds & Notes — 3.5%** | **Corporate Bonds & Notes — 3.5%** | **Corporate Bonds & Notes — 3.5%** | **Corporate Bonds & Notes — 3.5%** |
| **Consumer Discretionary — 0.7%** | **Consumer Discretionary — 0.7%** | **Consumer Discretionary — 0.7%** | **Consumer Discretionary — 0.7%** | **Consumer Discretionary — 0.7%** | **Consumer Discretionary — 0.7%** |
| *Hotels, Restaurants & Leisure — 0.7%* | *Hotels, Restaurants & Leisure — 0.7%* | *Hotels, Restaurants & Leisure — 0.7%* | *Hotels, Restaurants & Leisure — 0.7%* | *Hotels, Restaurants & Leisure — 0.7%* | *Hotels, Restaurants & Leisure — 0.7%* |
| &nbsp;&nbsp;&nbsp; Full House Resorts Inc., Senior Secured Notes | &nbsp;&nbsp;&nbsp; Full House Resorts Inc., Senior Secured Notes | &nbsp;&nbsp; 8.250% | &nbsp;&nbsp; 2/15/28 | &nbsp;&nbsp; $1050000 | &nbsp;&nbsp;&nbsp;&nbsp; **975459**<br> <sup>(d)</sup><br>|
| **Financials — 2.3%** | **Financials — 2.3%** | **Financials — 2.3%** | **Financials — 2.3%** | **Financials — 2.3%** | **Financials — 2.3%** |
| *Banks — 0.6%* | *Banks — 0.6%* | *Banks — 0.6%* | *Banks — 0.6%* | *Banks — 0.6%* | *Banks — 0.6%* |
| &nbsp;&nbsp;&nbsp; Lloyds Banking Group PLC, Junior Subordinated Notes (8.000% to 3/27/30 <br> then 5 year Treasury Constant Maturity Rate + 3.913%) | &nbsp;&nbsp;&nbsp; Lloyds Banking Group PLC, Junior Subordinated Notes (8.000% to 3/27/30 <br> then 5 year Treasury Constant Maturity Rate + 3.913%) | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 9/27/29 | &nbsp;&nbsp; 750000 | &nbsp;&nbsp;&nbsp;&nbsp; *812221*<br> <sup>(b)(g)</sup><br>|
| *Insurance — 0.6%* | *Insurance — 0.6%* | *Insurance — 0.6%* | *Insurance — 0.6%* | *Insurance — 0.6%* | *Insurance — 0.6%* |
| &nbsp;&nbsp;&nbsp; Allianz SE, Junior Subordinated Notes (3.200% to 4/30/28 then 5 year <br> Treasury Constant Maturity Rate + 2.165%) | &nbsp;&nbsp;&nbsp; Allianz SE, Junior Subordinated Notes (3.200% to 4/30/28 then 5 year <br> Treasury Constant Maturity Rate + 2.165%) | &nbsp;&nbsp; 3.200% | &nbsp;&nbsp; 10/30/27 | &nbsp;&nbsp; 800000 | &nbsp;&nbsp;&nbsp;&nbsp; *752865*<br> <sup>(b)(d)(g)</sup><br>|
| *Mortgage Real Estate Investment Trusts (REITs) — 1.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.1%* |
| &nbsp;&nbsp;&nbsp; Arbor Realty SR Inc., Senior Notes | &nbsp;&nbsp;&nbsp; Arbor Realty SR Inc., Senior Notes | &nbsp;&nbsp; 7.875% | &nbsp;&nbsp; 7/15/30 | &nbsp;&nbsp; 1430000 | &nbsp;&nbsp;&nbsp;&nbsp; *1504177*<br> <sup>(d)</sup><br>|
| **Total Financials** | **Total Financials** | **Total Financials** | **Total Financials** | **Total Financials** | &nbsp;&nbsp; **3069263** |
| **Health Care — 0.4%** | **Health Care — 0.4%** | **Health Care — 0.4%** | **Health Care — 0.4%** | **Health Care — 0.4%** | **Health Care — 0.4%** |
| *Health Care Providers & Services — 0.4%* | *Health Care Providers & Services — 0.4%* | *Health Care Providers & Services — 0.4%* | *Health Care Providers & Services — 0.4%* | *Health Care Providers & Services — 0.4%* | *Health Care Providers & Services — 0.4%* |
| &nbsp;&nbsp;&nbsp; CHS/Community Health Systems Inc., Secured Notes | &nbsp;&nbsp;&nbsp; CHS/Community Health Systems Inc., Secured Notes | &nbsp;&nbsp; 6.875% | &nbsp;&nbsp; 4/15/29 | &nbsp;&nbsp; 710000 | &nbsp;&nbsp;&nbsp;&nbsp; **565103**<br> <sup>(d)</sup><br>|
| **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** |
| *Real Estate Management & Development — 0.1%* | *Real Estate Management & Development — 0.1%* | *Real Estate Management & Development — 0.1%* | *Real Estate Management & Development — 0.1%* | *Real Estate Management & Development — 0.1%* | *Real Estate Management & Development — 0.1%* |
| &nbsp;&nbsp;&nbsp; Cushman & Wakefield US Borrower LLC, Senior Secured Notes | &nbsp;&nbsp;&nbsp; Cushman & Wakefield US Borrower LLC, Senior Secured Notes | &nbsp;&nbsp; 8.875% | &nbsp;&nbsp; 9/1/31 | &nbsp;&nbsp; 130000 | &nbsp;&nbsp;&nbsp;&nbsp; **138855**<br> <sup>(d)</sup><br>|
| **Total Corporate Bonds & Notes (Cost — $4,436,296)** | **Total Corporate Bonds & Notes (Cost — $4,436,296)** | **Total Corporate Bonds & Notes (Cost — $4,436,296)** | **Total Corporate Bonds & Notes (Cost — $4,436,296)** | **Total Corporate Bonds & Notes (Cost — $4,436,296)** | &nbsp;&nbsp; **4748680** |

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| **Senior Loans — 1.1%** | **Senior Loans — 1.1%** | **Senior Loans — 1.1%** | **Senior Loans — 1.1%** | **Senior Loans — 1.1%** |
| **Financials — 0.7%** | **Financials — 0.7%** | **Financials — 0.7%** | **Financials — 0.7%** | **Financials — 0.7%** |
| *Financial Services — 0.7%* | *Financial Services — 0.7%* | *Financial Services — 0.7%* | *Financial Services — 0.7%* | *Financial Services — 0.7%* |
| &nbsp;&nbsp;&nbsp; Greystone Select Holdings LLC, Term Loan B (3 mo. Term SOFR + 5.262%) | &nbsp;&nbsp; 9.594% | &nbsp;&nbsp; 6/16/28 | &nbsp;&nbsp; $971519 | &nbsp;&nbsp;&nbsp;&nbsp; **$973948**<br> <sup>(b)(h)(i)(j)</sup><br>|
| **Real Estate — 0.4%** | **Real Estate — 0.4%** | **Real Estate — 0.4%** | **Real Estate — 0.4%** | **Real Estate — 0.4%** |
| *Real Estate Management & Development — 0.4%* | *Real Estate Management & Development — 0.4%* | *Real Estate Management & Development — 0.4%* | *Real Estate Management & Development — 0.4%* | *Real Estate Management & Development — 0.4%* |
| &nbsp;&nbsp;&nbsp; Cushman & Wakefield US Borrower LLC, 2025 Term Loan (1 mo. Term SOFR <br> + 2.750%) | &nbsp;&nbsp; 6.913% | &nbsp;&nbsp; 1/31/30 | &nbsp;&nbsp; 473750 | &nbsp;&nbsp;&nbsp;&nbsp; **475529**<br> <sup>(b)(h)(i)</sup><br>|
| **Total Senior Loans (Cost — $1,430,483)** | **Total Senior Loans (Cost — $1,430,483)** | **Total Senior Loans (Cost — $1,430,483)** | **Total Senior Loans (Cost — $1,430,483)** | &nbsp;&nbsp; **1449477** |
| **Total Investments before Short-Term Investments (Cost — $258,041,221)** | **Total Investments before Short-Term Investments (Cost — $258,041,221)** | **Total Investments before Short-Term Investments (Cost — $258,041,221)** | **Total Investments before Short-Term Investments (Cost — $258,041,221)** | &nbsp;&nbsp; **256217943** |
|  |  |  | Shares |  |
| **Short-Term Investments — 1.5%** | **Short-Term Investments — 1.5%** | **Short-Term Investments — 1.5%** | **Short-Term Investments — 1.5%** | **Short-Term Investments — 1.5%** |
| &nbsp;&nbsp;&nbsp; Western Asset Premier Institutional Government Reserves, Premium Shares <br> (Cost — $2,079,882) | &nbsp;&nbsp; 4.101% |  | &nbsp;&nbsp; 2079882 | &nbsp;&nbsp;&nbsp;&nbsp; **2079882**<br> <sup>(k)(l)</sup><br>|
| **Total Investments — 191.9% (Cost — $260,121,103)** | **Total Investments — 191.9% (Cost — $260,121,103)** | **Total Investments — 191.9% (Cost — $260,121,103)** | **Total Investments — 191.9% (Cost — $260,121,103)** | &nbsp;&nbsp; **258297825** |
| &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (91.9)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (91.9)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (91.9)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (91.9)% | &nbsp;&nbsp;&nbsp; (123693296)<br>|
| **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | &nbsp;&nbsp; **$134604529** |

---

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

---

| | |
|:---|:---|
| †† | Represents less than 0.1%. |
| <sup>(a)</sup> | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct <br> 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 <br> more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit.<br>|
| <sup>(b)</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 <br> 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 <br> reference rate and spread in their description above.<br>|
| <sup>(c)</sup> | All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements. |
| <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 <br> registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. <br>|
| <sup>(e)</sup> | Securities traded on a when-issued or delayed delivery basis. |
| <sup>(f)</sup> | Rate shown is the current yield based on income received over the trailing twelve months. |
| <sup>(g)</sup> | Security has no maturity date. The date shown represents the next call date. |
| <sup>(h)</sup> | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
| <sup>(i)</sup> | Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower <br> prior to the disposition of a senior loan. <br>|
| <sup>(j)</sup> | Security is valued using significant unobservable inputs (Note 1). |
| <sup>(k)</sup> | Rate shown is one-day yield as of the end of the reporting period.  |
| <sup>(l)</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 <br> voting securities of an issuer, or a company which is under common ownership or control with the Fund. At September 30, 2025, the total market value of <br> investments in Affiliated Companies was $2,079,882 and the cost was $2,079,882 (Note 2).<br>|

---

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

---

| | |
|:---|:---|
| **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** |
| bps | basis points (100 basis points = 1.00%) |
| CAS | Connecticut Avenue Securities |
| CLO | Collateralized Loan Obligation |
| IO | Interest Only |
| LIBOR | London Interbank Offered Rate |
| PAC | Planned Amortization Class |
| PO | Principal Only |
| REMIC | Real Estate Mortgage Investment Conduit |
| Re-REMIC | Resecuritization of Real Estate Mortgage Investment Conduit |

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2025 Quarterly Report

------

 **Western Asset Mortgage Opportunity Fund Inc.**

SOFR — Secured Overnight Financing Rate <br> USD — United States Dollar

At September 30, 2025, the Fund had the following open reverse repurchase agreements:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Counterparty  | Rate | &nbsp;&nbsp;&nbsp; Effective <br>Date<br>| &nbsp;&nbsp;&nbsp;&nbsp; Maturity <br>Date<br>| &nbsp;&nbsp;&nbsp; Face Amount <br>of Reverse <br>Repurchase <br>Agreements<br>| &nbsp;&nbsp;&nbsp;&nbsp; Asset Class <br>of Collateral<sup>\*</sup> <br>| &nbsp;&nbsp;&nbsp; Collateral <br>Value\*\*<br>|
| Nomura <br> Securities Inc.<br>| &nbsp;&nbsp;&nbsp;&nbsp; 6.015% | &nbsp;&nbsp;&nbsp;&nbsp; 9/22/2025 | 2/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; $2010000 | &nbsp;&nbsp;&nbsp;&nbsp; Residential Mortgage-Backed Securities <br>Asset-Backed Securities<br>| &nbsp;&nbsp;&nbsp; $1022086 <br>1311479<br>|
| Nomura <br> Securities Inc.<br>| &nbsp;&nbsp;&nbsp;&nbsp; 6.183% | &nbsp;&nbsp;&nbsp;&nbsp; 9/3/2025 | 2/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2507000 | &nbsp;&nbsp;&nbsp;&nbsp; Residential Mortgage-Backed Securities <br>Asset-Backed Securities<br>| &nbsp;&nbsp;&nbsp; 2239486 <br>654089<br>|
| Nomura <br> Securities Inc.<br>| &nbsp;&nbsp;&nbsp;&nbsp; 6.329% | &nbsp;&nbsp;&nbsp;&nbsp; 7/15/2025 | 2/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 116674000 | &nbsp;&nbsp;&nbsp;&nbsp; Residential Mortgage-Backed Securities <br>Asset-Backed Securities<br>| &nbsp;&nbsp;&nbsp; 130654818 <br>6105268<br>|
|  |  |  |  | &nbsp;&nbsp;&nbsp; **$121191000** |  | &nbsp;&nbsp;&nbsp; **$141987226** |

---

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

\* Refer to the Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements. <br> \*\* Including accrued interest.

At September 30, 2025, the Fund had the following open written options contracts:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **OTC Written Options** | **OTC Written Options** | **OTC Written Options** | **OTC Written Options** | **OTC Written Options** | **OTC Written Options** | **OTC Written Options** |
| Security | Counterparty | Expiration <br>Date<br>| Strike <br>Price<br>| Contracts | &nbsp;&nbsp; Notional <br>Amount<br>| Value |
| Credit default swaption to sell protection <br> on Markit CDX.NA.HY.44 Index, Put, <br> 500.000<sup>bps</sup> quarterly payments received by <br> the Fund, maturing on 6/20/30 <br>(Premiums received — $24,120)<br>| JPMorgan Chase & Co. | &nbsp;&nbsp; 10/15/25 | 103.000 <br><sup>bps</sup><br>| &nbsp;&nbsp;&nbsp; 6700000 | &nbsp;&nbsp;&nbsp; 6,700,000<br> ‡<br>| &nbsp;&nbsp; **$(470)**<br>|

---

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

‡ In the event an option is exercised and a credit event occurs as defined under the
 terms of the swap agreement, the notional amount is the maximum potential amount that could be required to be paid as a seller of credit protection
 or received as a buyer of credit protection.

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

---

| | |
|:---|:---|
| **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** |
| bps | basis points (100 basis points = 1.00%) |

---

At September 30, 2025, 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>Depreciation<br>|
| **Contracts to Sell:** |  |  |  |  |  |
| U.S. Treasury Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; $5035862 | &nbsp;&nbsp;&nbsp;&nbsp; $5130125 | &nbsp;&nbsp;&nbsp;&nbsp; $(94263) |
| U.S. Treasury Ultra 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 8992368 | &nbsp;&nbsp;&nbsp;&nbsp; 9091172 | &nbsp;&nbsp;&nbsp;&nbsp; (98804) |
| U.S. Treasury Ultra Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 2337968 | &nbsp;&nbsp;&nbsp;&nbsp; 2401250 | &nbsp;&nbsp;&nbsp;&nbsp; (63282) |
| **Net unrealized depreciation on open futures contracts** | **Net unrealized depreciation on open futures contracts** | **Net unrealized depreciation on open futures contracts** | **Net unrealized depreciation on open futures contracts** | **Net unrealized depreciation on open futures contracts** | &nbsp;&nbsp;&nbsp; **$(256349)** |

---

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 Opportunity Fund Inc. 2025 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 Opportunity Fund Inc. (the "Fund") was incorporated in Maryland on December 11, 2009, and is registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"). The Fund's primary investment objective is to provide current income. As a secondary investment objective, the Fund will seek capital appreciation. The Fund seeks to achieve its investment objectives by investing primarily in a diverse portfolio of mortgage-backed securities ("MBS") and mortgage whole loans. Investments in MBS consist primarily of non-agency residential mortgage-backed securities ("RMBS") and commercial mortgage-backed securities ("CMBS").

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 Directors (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.

------

Western Asset Mortgage Opportunity Fund Inc. 2025 Quarterly Report

------

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.

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; Residential Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; $155031814 | &nbsp;&nbsp; — | &nbsp;&nbsp; $155031814 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 59113876 | &nbsp;&nbsp; — | &nbsp;&nbsp; 59113876 |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 28602098 | &nbsp;&nbsp; — | &nbsp;&nbsp; 28602098 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks | &nbsp;&nbsp; $5434595 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 5434595 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds & Notes | &nbsp;&nbsp; — | &nbsp;&nbsp; 4748680 | &nbsp;&nbsp; — | &nbsp;&nbsp; 4748680 |
| &nbsp;&nbsp;&nbsp; Convertible Bonds & Notes | &nbsp;&nbsp; — | &nbsp;&nbsp; 1835001 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1835001 |
| &nbsp;&nbsp;&nbsp; Senior Loans: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financials | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $973948 | &nbsp;&nbsp; 973948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Real Estate | &nbsp;&nbsp; — | &nbsp;&nbsp; 475529 | &nbsp;&nbsp; — | &nbsp;&nbsp; 475529 |
| &nbsp;&nbsp;&nbsp; Purchased Options | &nbsp;&nbsp; — | &nbsp;&nbsp; 2402 | &nbsp;&nbsp; — | &nbsp;&nbsp; 2402 |
| Total Long-Term Investments | &nbsp;&nbsp; 5434595 | &nbsp;&nbsp; 249809400 | &nbsp;&nbsp; 973948 | &nbsp;&nbsp; 256217943 |
| Short-Term Investments† | &nbsp;&nbsp; 2079882 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 2079882 |
| **Total Investments** | &nbsp;&nbsp; **$7514477** | &nbsp;&nbsp; **$249809400** | &nbsp;&nbsp; **$973948** | &nbsp;&nbsp; **$258297825** |
| **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; Written Options | &nbsp;&nbsp; — | &nbsp;&nbsp; $470 | &nbsp;&nbsp; — | &nbsp;&nbsp; $470 |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; $256349 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 256349 |
| **Total** | &nbsp;&nbsp; **$256349** | &nbsp;&nbsp; **$470** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$256819** |

---

&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 September 30, 2025. The following transactions were

------

Western Asset Mortgage Opportunity Fund Inc. 2025 Quarterly Report

------

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

effected in such company for the period ended September 30, 2025. <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>2024 | 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>2024 | Cost | Shares | Proceeds | Shares |
| Western Asset Premier <br> Institutional Government <br> Reserves, Premium <br> Shares<br>| $595663 | $59158938 | 59158938 | $57674719 | 57674719 |

---

&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>| Net Increase <br>(Decrease) in <br>Unrealized <br>Appreciation <br>(Depreciation)<br>| Affiliate <br>Value at <br>September 30, <br>2025<br>|
| Western Asset Premier <br> Institutional Government <br> Reserves, Premium Shares<br>|  | $116744 |  | $2079882 |

---

------

Western Asset Mortgage Opportunity Fund Inc. 2025 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:** Western Asset Mortgage Opportunity Fund Inc.

- **b. Investment Company Act file number:** 811-22369

- **c. CIK number of Registrant:** 0001478102

- **d. LEI of Registrant:** 549300COBGR840ANRS47

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

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

  - **Telephone number:** 1-888-777-0102

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

- **a. Name of Series:** Western Asset Mortgage Opportunity Fund Inc.

- **c. LEI of Series:** 549300COBGR840ANRS47

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-09-30

**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:** $259698448.11

**Total Liabilities:** $125097197.44

**Net Assets:** $134601250.67

**Delayed Delivery Securities:** $330000.00

**Cash Not Reported:** $1341358.39

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3738.03000000 | **1-Year:** 3763.07000000 | **5-Year:** 10651.33000000 | **10-Year:** 3911.45000000 | **30-Year:** 6.61000000

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

- **3-Month:** 48.98000000 | **1-Year:** 11128.45000000 | **5-Year:** 50163.52000000 | **10-Year:** 33587.95000000 | **30-Year:** 3225.99000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000000 | 0.33%                | 1.51%                | -0.43%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1687215.80             | $2064779.83                                |
| Month 2  | $-2411001.99             | $3209992.43                                |
| Month 3  | $103892.24               | $-746517.10                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities International                                                 | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -166000 | PA      | $-166000.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2250000 | PA      | $-2250000.00  | -1.67%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2022-BNK44                                                                 | CUSIP: 06540KBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    948000 | PA      | $744491.04    | 0.55%             | 2032-11-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1928000 | PA      | $-1928000.00  | -1.43%            |  |  |  | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                             | Legacy Mortgage Asset Trust 2021-GS3                                            | CUSIP: 52474XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1787029 | PA      | $1785991.40   | 1.33%             | 2061-07-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd                                   | Black Diamond CLO 2021-1 Ltd                                                    | CUSIP: 09204WAM6<br>LEI: 549300IEWA7GZ3ECTT90 | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $511222.88    | 0.38%             | 2034-11-22      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                          | Adjustable Rate Mortgage Trust 2005-12                                          | CUSIP: 2254W0MM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176978 | PA      | $46736.05     | 0.03%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38384GXW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1351159 | PA      | $287020.70    | 0.21%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities International                                                 | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -522000 | PA      | $-522000.00   | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KWG0<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1664427.15   | 1.24%             | 2042-04-25      | Floating      | 14.11%                | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2023-3                                               | CUSIP: 92539GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1205383.92   | 0.90%             | 2068-03-25      | Variable      | 7.73%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2023-7                                               | CUSIP: 92539YAE2<br>LEI: 213800W65K5FH3AI2J91 | Long             | ABS-MBS          | CORP              | US        |   1960000 | PA      | $1988441.56   | 1.48%             | 2068-10-25      | Variable      | 7.89%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Se                          | BCMSC Trust 1998-B                                                              | CUSIP: 09774XAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12432 | PA      | $12408.30     | 0.01%             | 2028-10-15      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust                             | SMR 2022-IND Mortgage Trust                                                     | CUSIP: 78458MAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1831354 | PA      | $1669190.98   | 1.24%             | 2039-02-15      | Floating      | 11.65%                | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                           | GS Mortgage-Backed Securities Trust 2022-NQM1                                   | CUSIP: 36264EBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1516158 | PA      | $1294044.20   | 0.96%             | 2062-05-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2018-LUAU                                     | CUSIP: 36256AAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2489696.25   | 1.85%             | 2032-11-15      | Floating      | 8.90%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -306000 | PA      | $-306000.00   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1004000 | PA      | $-1004000.00  | -0.75%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | STACR Trust 2018-HRP1                                                           | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | CORP              | US        |   5361958 | PA      | $6429700.42   | 4.78%             | 2043-05-25      | Floating      | 16.22%                | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2023-V3 Mortgage Trust                                                | CUSIP: 08163VAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $979718.41    | 0.73%             | 2056-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2                   | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    674107 | PA      | $656045.72    | 0.49%             | 2058-08-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CHIMERA INVESTMENT CORP                                 | Chimera Investment Corp                                                         | CUSIP: 16934Q307<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     31752 | NS      | $702671.76    | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage-Backed Securities                           | GS Mortgage-Backed Securities Trust 2021-PJ2                                    | CUSIP: 36264DAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  58946644 | PA      | $757476.16    | 0.56%             | 2051-07-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -413000 | PA      | $-413000.00   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HKRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3774905 | PA      | $683089.74    | 0.51%             | 2055-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                             | Balboa Bay Loan Funding 2024-2 Ltd                                              | CUSIP: 05765BAA7<br>LEI: 254900FG1DS8PNX30R63 | Long             | ABS-CBDO         | CORP              | KY        |    290000 | PA      | $293738.10    | 0.22%             | 2038-01-20      | Floating      | 10.08%                | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                | Bear Stearns ALT-A Trust 2005-9                                                 | CUSIP: 07386HYF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115276 | PA      | $72384.38     | 0.05%             | 2035-11-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -236000 | PA      | $-236000.00   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                          | Credit-Based Asset Servicing and Securitization LLC                             | CUSIP: 14983AAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3375149 | PA      | $114229.88    | 0.08%             | 2036-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Greenwich Capital Acceptance I                          | RBS Acceptance Inc                                                              | CUSIP: 396782EG5<br>LEI: 213800OU9AJE7513ME91 | Long             | ABS-O            | CORP              | US        |   2191561 | PA      | $21.92        | 0.00%             | 2020-08-10      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp II                                                  | CUSIP: 36269JAN8<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   4420000 | PA      | $4453314.65   | 3.31%             | 2041-03-10      | Variable      | 10.33%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2007-23CB                                                | CUSIP: 02151EAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    358242 | PA      | $312040.46    | 0.23%             | 2037-09-25      | Floating      | 11.31%                | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2021-1                   | CUSIP: 35563PWQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1310096 | PA      | $1265002.09   | 0.94%             | 2060-09-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381PWW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5780330 | PA      | $268328.70    | 0.20%             | 2055-07-20      | Floating      | 0.76%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1118000 | PA      | $-1118000.00  | -0.83%            |  |  |  | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2019-FAME                          | CUSIP: 63873VAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $326660.55    | 0.24%             | 2036-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -368000 | PA      | $-368000.00   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                           | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1            | CUSIP: 25157GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10069 | PA      | $4446.12      | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                          | Structured Adjustable Rate Mortgage Loan Trust Series 2005-7                    | CUSIP: 863579PF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26557 | PA      | $24304.10     | 0.02%             | 2035-04-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1414000 | PA      | $-1414000.00  | -1.05%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1469000 | PA      | $-1469000.00  | -1.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-ADV                                                                   | CUSIP: 12660WAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $250.50       | 0.00%             | 2038-07-15      | Floating      | 10.52%                | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                          | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3430000 | PA      | $3327040.32   | 2.47%             | 2034-09-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1524000 | PA      | $-1524000.00  | -1.13%            |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAV5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    750000 | PA      | $812220.75    | 0.60%             | N/A             | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                             | Balboa Bay Loan Funding 2023-1 Ltd                                              | CUSIP: 05766HAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    640000 | PA      | $641640.00    | 0.48%             | 2036-04-20      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -97000 | PA      | $-97000.00    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                          | SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC                                       | CUSIP: 83401B106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34000 | PA      | $280517.92    | 0.21%             | 2041-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1674000 | PA      | $-1674000.00  | -1.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HCN65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    802994 | PA      | $153509.10    | 0.11%             | 2054-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust                   | CUSIP: 92922FD96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200109 | PA      | $1082941.84   | 0.80%             | 2045-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| KNDR Trust 2021-KIND                                    | KIND Trust 2021-KIND                                                            | CUSIP: 482606AS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1299330 | PA      | $1279496.12   | 0.95%             | 2038-08-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue                          | Multifamily Connecticut Avenue Securities Trust 2019-01                         | CUSIP: 62547NAD1<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2569405.00   | 1.91%             | 2049-10-25      | Floating      | 13.22%                | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2021-BNK35                                                                 | CUSIP: 06540CCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4703147 | PA      | $1670707.37   | 1.24%             | 2064-06-15      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves | Western Asset Premier Institutional Government Reserves                         | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |   2470286 | NS      | $2470285.78   | 1.84%             |  |  |  | No            |                  1 | On Loan: No      |
| DK Trust                                                | DK 2024-SPT1 Note Backed Trust                                                  | CUSIP: 23292KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    842823 | PA      | $863181.58    | 0.64%             | 2066-04-28      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2021-ARIA                                                              | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1493836.05   | 1.11%             | 2036-10-15      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C                          | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-2              | CUSIP: 16678WAA4<br>LEI: 5493002S53YJRKTJK143 | Long             | ABS-MBS          | CORP              | US        |     39108 | PA      | $38026.01     | 0.03%             | 2047-04-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                          | Countrywide Asset-Backed Certificates                                           | CUSIP: 23248AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215912 | PA      | $182838.18    | 0.14%             | 2047-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1                   | CUSIP: 35563PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19374218 | PA      | $2269571.51   | 1.69%             | 2055-09-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1181000 | PA      | $-1181000.00  | -0.88%            |  |  |  | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                  | Conseco Finance Corp                                                            | CUSIP: 393505Z54<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4636532 | PA      | $1328892.54   | 0.99%             | 2031-05-01      | Variable      | 7.70%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                                | Redwood Funding Trust 2025-3                                                    | CUSIP: 75806GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    885425 | PA      | $887593.73    | 0.66%             | 2056-12-27      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE                          | Multifamily Connecticut Avenue Securities Trust 2020-01                         | CUSIP: 62548QAF8<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1558749.60   | 1.16%             | 2050-03-25      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities International                                                 | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -560000 | PA      | $-560000.00   | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| Hospitality Investors Trust                             | HIT Trust 2022-HI32                                                             | CUSIP: 40442AAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1621682.88   | 1.20%             | 2039-07-15      | Floating      | 11.38%                | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust | CUSIP: 93934FGB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57892 | PA      | $53002.19     | 0.04%             | 2035-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                               | GSMPS Mortgage Loan Trust 2006-RP1                                              | CUSIP: 3623413E7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205629 | PA      | $183904.00    | 0.14%             | 2036-01-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GREYSTONE SELECT FINANCI                                | Greystone Select Financial LLC                                                  | CUSIP: 39808KAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    974684 | PA      | $977120.23    | 0.73%             | 2028-06-19      | Floating      | 9.19%                 | No            |                  3 | On Loan: No      |
| Banc of America Funding Corpor                          | Banc of America Funding 2006-D Trust                                            | CUSIP: 058933AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26012 | PA      | $24204.25     | 0.02%             | 2036-05-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2005-14                                                  | CUSIP: 12667GCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87209 | PA      | $69456.34     | 0.05%             | 2035-05-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| BSREP Commercial Mortgage Trus                          | BSREP Commercial Mortgage Trust 2021-DC                                         | CUSIP: 05591UAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3013097 | PA      | $601523.50    | 0.45%             | 2038-08-15      | Floating      | 9.77%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit                           | Freddie Mac Mscr Trust Mn1                                                      | CUSIP: 35563FAC5<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |    950000 | PA      | $1052251.73   | 0.78%             | 2051-01-25      | Floating      | 12.11%                | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                          | MASTR Adjustable Rate Mortgages Trust 2006-OA1                                  | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83397 | PA      | $77298.51     | 0.06%             | 2046-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                       | Elevation CLO 2016-5 Ltd                                                        | CUSIP: 28623BAC7<br>LEI: 549300IH854FT1JLRT08 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502370.05    | 0.37%             | 2038-01-25      | Floating      | 11.90%                | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                          | Banc of America Funding 2014-R5 Trust                                           | CUSIP: 05990PAB1<br>LEI: 549300LENCFK8RITKD65 | Long             | ABS-MBS          | CORP              | US        |   2827078 | PA      | $2023377.23   | 1.50%             | 2045-09-26      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2005-HY10                                       | CUSIP: 126694VH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7654 | PA      | $6691.21      | 0.00%             | 2036-02-20      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust  | CUSIP: 93934FCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86386 | PA      | $79424.72     | 0.06%             | 2035-10-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38384WFF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3065862 | PA      | $309825.86    | 0.23%             | 2054-09-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1094000 | PA      | $-1094000.00  | -0.81%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1283000 | PA      | $-1283000.00  | -0.95%            |  |  |  | No            |                  2 | On Loan: No      |
| Provident Bank Home Equity Loa                          | Provident Home Equity Loan Trust 2000-2                                         | CUSIP: 743844DA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419345 | PA      | $400033.06    | 0.30%             | 2031-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                   | Toorak Mortgage Trust 2024-RRTL1                                                | CUSIP: 890938AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $647353.92    | 0.48%             | 2039-02-25      | Variable      | 10.33%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities International                                                 | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -438000 | PA      | $-438000.00   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| National Collegiate Student Lo                          | National Collegiate Student Loan Trust 2006-3                                   | CUSIP: 63543VAG8<br>LEI: 635400CI2B1FTO6YXF12 | Long             | ABS-O            | CORP              | US        |   1688774 | PA      | $1598797.17   | 1.19%             | 2032-01-26      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                    | LHOME Mortgage Trust 2024-RTL5                                                  | CUSIP: 50205WAD9<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1490941.95   | 1.11%             | 2039-09-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -854000 | PA      | $-854000.00   | -0.63%            |  |  |  | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                           | American Home Mortgage Assets Trust 2005-2                                      | CUSIP: 02660VBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525192 | PA      | $333055.61    | 0.25%             | 2036-01-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2017-C42                                  | CUSIP: 95001GAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $673194.00    | 0.50%             | 2050-12-15      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -991000 | PA      | $-991000.00   | -0.74%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2022-LP2                                           | CUSIP: 05610HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    805000 | PA      | $804993.64    | 0.60%             | 2039-02-15      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   3486301 | PA      | $3739126.53   | 2.78%             | 2029-04-25      | Floating      | 13.72%                | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                           | CAFL 2023-RTL1 Issuer LLC                                                       | CUSIP: 124762AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770000 | PA      | $1784567.63   | 1.33%             | 2030-12-28      | Variable      | 9.30%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1174000 | PA      | $-1174000.00  | -0.87%            |  |  |  | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm                          | American Home Mortgage Investment Trust 2007-A                                  | CUSIP: 026933AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1692098 | PA      | $350630.26    | 0.26%             | 2046-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                                | Redwood Funding Trust 2025-3                                                    | CUSIP: 75806GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1102778.49   | 0.82%             | 2056-12-27      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                           | Starwood Mortgage Residential Trust 2021-4                                      | CUSIP: 85573PAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $1911933.99   | 1.42%             | 2056-08-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2023-AFC1 Trust                                                           | CUSIP: 693981AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480000 | PA      | $1489887.14   | 1.11%             | 2058-02-25      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                       | Jamestown CLO XVII Ltd                                                          | CUSIP: 47048UAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    280000 | PA      | $282254.87    | 0.21%             | 2035-01-25      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2509000 | PA      | $-2509000.00  | -1.86%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                          | Chase Mortgage Finance Trust Series 2006-S3                                     | CUSIP: 16162XAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122368 | PA      | $10179.97     | 0.01%             | 2021-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2005-18                                         | CUSIP: 126694EP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8272 | PA      | $5216.48      | 0.00%             | 2035-10-25      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -458000 | PA      | $-458000.00   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2021-R02                                    | CUSIP: 20754KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1564597.80   | 1.16%             | 2041-11-25      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                          | Banc of America Funding 2004-C Trust                                            | CUSIP: 05946XLZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115261 | PA      | $103261.93    | 0.08%             | 2034-12-20      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                          | RALI Series 2006-QA1 Trust                                                      | CUSIP: 761118SZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187156 | PA      | $135392.79    | 0.10%             | 2036-01-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -540000 | PA      | $-540000.00   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |   1640000 | PA      | $1722603.85   | 1.28%             | 2041-10-25      | Floating      | 11.86%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -461000 | PA      | $-461000.00   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                     | BWAY 2013-1515 Mortgage Trust                                                   | CUSIP: 05604FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1259711.40   | 0.94%             | 2033-03-10      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                          | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RJU9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    670000 | PA      | $690732.88    | 0.51%             | 2029-12-20      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1420000 | PA      | $-1420000.00  | -1.05%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1196000 | PA      | $-1196000.00  | -0.89%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                          | RAMP Series 2004-RS4 Trust                                                      | CUSIP: 7609853J8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    778911 | PA      | $708015.80    | 0.53%             | 2034-04-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust 2021-J2                                           | CUSIP: 17329MDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  63858197 | PA      | $285446.14    | 0.21%             | 2051-07-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MFA FINANCIAL INC                                       | MFA Financial Inc                                                               | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     70049 | NS      | $1672069.63   | 1.24%             |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1553000 | PA      | $-1553000.00  | -1.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                          | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                   | CUSIP: 225470DY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183642 | PA      | $95544.81     | 0.07%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA2                                         | CUSIP: 35565KBE7<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |   1166729 | PA      | $1276260.82   | 0.95%             | 2050-02-25      | Floating      | 9.27%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                         | Lehman XS Trust 2006-19                                                         | CUSIP: 52523YAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    263035 | PA      | $257506.54    | 0.19%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1070000 | PA      | $-1070000.00  | -0.79%            |  |  |  | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                                | CHS/Community Health Systems Inc                                                | CUSIP: 12543DBJ8<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    710000 | PA      | $565103.20    | 0.42%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US LONG BOND(CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -44 | NC      | $-94263.40    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Golub Capital Partners CLO, LT                          | Golub Capital Partners CLO 77 B Ltd                                             | CUSIP: 38180TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $855720.50    | 0.64%             | 2038-01-25      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -627000 | PA      | $-627000.00   | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -936000 | PA      | $-936000.00   | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                    | LHOME Mortgage Trust 2024-RTL2                                                  | CUSIP: 50205JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $768447.25    | 0.57%             | 2029-03-25      | Variable      | 8.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-FTR4                                               | CUSIP: 35565GAE7<br>LEI: 549300K0XW5MBR2WNZ55 | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1364707.75   | 1.01%             | 2047-11-25      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                           | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1            | CUSIP: 25157GAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28268 | PA      | $3453.03      | 0.00%             | 2036-04-15      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                          | Renaissance Home Equity Loan Trust 2007-3                                       | CUSIP: 75971FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1442271 | PA      | $568067.19    | 0.42%             | 2037-09-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| Bear Mountain Park CLO, Ltd                             | Bear Mountain Park CLO Ltd                                                      | CUSIP: 07403KAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $505020.00    | 0.38%             | 2037-07-15      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1347000 | PA      | $-1347000.00  | -1.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -478000 | PA      | $-478000.00   | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| Home Re Ltd                                             | Home RE 2023-1 Ltd                                                              | CUSIP: 43731BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1070304.30   | 0.80%             | 2033-10-25      | Floating      | 10.36%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -544000 | PA      | $-544000.00   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-INV2 Trust                                                            | CUSIP: 12659TBW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25367161 | PA      | $761227.90    | 0.57%             | 2056-11-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1108000 | PA      | $-1108000.00  | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                          | Renaissance Home Equity Loan Trust 2006-1                                       | CUSIP: 759950GX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    516941 | PA      | $251659.84    | 0.19%             | 2036-05-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2019-NQM4                                   | CUSIP: 64828EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1608000 | PA      | $1509925.19   | 1.12%             | 2059-09-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust 2008-3                                            | CUSIP: 17314TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5259125 | PA      | $2433081.33   | 1.81%             | 2037-04-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2024-KING                                          | CUSIP: 05612RAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1174537 | PA      | $1182879.71   | 0.88%             | 2034-05-15      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2022-RRI                           | CUSIP: 63875JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1272750 | PA      | $1268066.79   | 0.94%             | 2035-03-15      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1536000 | PA      | $-1536000.00  | -1.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | STACR Trust 2018-HRP2                                                           | CUSIP: 35564ACC3<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |   3530000 | PA      | $4330905.82   | 3.22%             | 2047-02-25      | Floating      | 14.97%                | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1                   | CUSIP: 35563PAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11974419 | PA      | $1801002.89   | 1.34%             | 2055-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2018-DNA3                                               | CUSIP: 35563WBE3<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2314520.20   | 1.72%             | 2048-09-25      | Floating      | 12.22%                | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2021-BNK35                                                                 | CUSIP: 06540CAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1860000 | PA      | $721053.18    | 0.54%             | 2064-06-15      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas                          | FRESB 2018-SB48 Mortgage Trust                                                  | CUSIP: 30296RAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1030841 | PA      | $608546.32    | 0.45%             | 2038-02-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz                          | NRM FNT1 Excess LLC                                                             | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    736442 | PA      | $750236.40    | 0.56%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -82000 | PA      | $-82000.00    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                          | Structured Adjustable Rate Mortgage Loan Trust Series 2004-18                   | CUSIP: 863579FR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115267 | PA      | $104209.45    | 0.08%             | 2034-12-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1313000 | PA      | $-1313000.00  | -0.98%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF 2021-KF117 Mortgage Trust                                                 | CUSIP: 30320YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    560588 | PA      | $540658.50    | 0.40%             | 2031-07-25      | Floating      | 10.75%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1117000 | PA      | $-1117000.00  | -0.83%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2020-R01                                    | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1539903.15   | 1.14%             | 2040-01-25      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit                          | Freddie Mac Whole Loan Securities Trust 2015-SC01                               | CUSIP: 3137G1AG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2313288 | PA      | $1552913.96   | 1.15%             | 2045-05-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | NYMT Loan Trust Series 2024-BPL1                                                | CUSIP: 62956MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1620000 | PA      | $1630310.00   | 1.21%             | 2029-02-25      | Variable      | 8.62%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1301000 | PA      | $-1301000.00  | -0.97%            |  |  |  | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                          | Adjustable Rate Mortgage Trust 2005-5                                           | CUSIP: 007036LG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70333 | PA      | $60498.38     | 0.04%             | 2035-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2080000 | PA      | $-2080000.00  | -1.55%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust 2006-AR5                                          | CUSIP: 17309FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153738 | PA      | $90067.78     | 0.07%             | 2036-07-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities International                                                 | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1259000 | PA      | $-1259000.00  | -0.94%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2017-1                                      | CUSIP: 64829JBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2014929 | PA      | $1889274.01   | 1.40%             | 2057-02-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                          | IndyMac INDX Mortgage Loan Trust 2004-AR13                                      | CUSIP: 45660N7J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20802 | PA      | $18822.56     | 0.01%             | 2035-01-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities                           | Aegis Asset Backed Securities Trust 2005-3                                      | CUSIP: 00764MFT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3460000 | PA      | $3013151.73   | 2.24%             | 2035-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                         | ChaseFlex Trust Series 2005-2                                                   | CUSIP: 16165TBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5371483 | PA      | $546721.32    | 0.41%             | 2035-06-25      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1029000 | PA      | $-1029000.00  | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2023-AFC3 Trust                                                           | CUSIP: 693984AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220000 | PA      | $1233100.60   | 0.92%             | 2058-09-25      | Variable      | 7.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2022-JS2                                  | CUSIP: 95003GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $1635010.08   | 1.21%             | 2039-12-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                            | Huntington Bank Auto Credit-Linked Notes Series 2025-2                          | CUSIP: 44644NAR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    649367 | PA      | $650592.28    | 0.48%             | 2033-09-20      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                          | Adjustable Rate Mortgage Trust 2005-7                                           | CUSIP: 007036MT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94420 | PA      | $83580.47     | 0.06%             | 2035-10-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1000000 | PA      | $-1000000.00  | -0.74%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                          | Banc of America Funding 2006-F Trust                                            | CUSIP: 05950HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23944 | PA      | $24152.35     | 0.02%             | 2036-07-20      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -712000 | PA      | $-712000.00   | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -230000 | PA      | $-230000.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1901000 | PA      | $-1901000.00  | -1.41%            |  |  |  | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                           | UWM Mortgage Trust 2021-1                                                       | CUSIP: 91824NAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22390907 | PA      | $292423.00    | 0.22%             | 2051-06-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY TRUST INC                                  | Arbor Realty Trust Inc                                                          | CUSIP: 038923850<br>LEI: 549300ASFUWYQO0RW077 | Long             | EP               | CORP              | US        |     44004 | NS      | $994490.40    | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Wachovia Mortgage Loan Trust,                           | Wachovia Mortgage Loan Trust LLC Series 2005-B Trust                            | CUSIP: 92977YBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3665 | PA      | $3591.91      | 0.00%             | 2035-10-20      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-2                   | CUSIP: 35563PJ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1337000 | PA      | $1233870.64   | 0.92%             | 2062-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                   | Anchor Mortgage Trust 2025-RTL1                                                 | CUSIP: 03290CAB2<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   1930000 | PA      | $1941455.90   | 1.44%             | 2040-05-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC                                  | Full House Resorts Inc                                                          | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $975459.24    | 0.72%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2005-J10                                                 | CUSIP: 12667G4G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360977 | PA      | $204737.46    | 0.15%             | 2035-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -419000 | PA      | $-419000.00   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1378000 | PA      | $-1378000.00  | -1.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2023-4                                               | CUSIP: 92539TAE3<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1177450.68   | 0.87%             | 2068-05-25      | Variable      | 8.06%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1697000 | PA      | $-1697000.00  | -1.26%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -689000 | PA      | $-689000.00   | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| CUSHMAN & WAKEFIELD US                                  | Cushman & Wakefield US Borrower LLC                                             | CUSIP: 23166MAC7<br>LEI: 549300870CMN3WI5IF97 | Long             | DBT              | CORP              | US        |    130000 | PA      | $138854.56    | 0.10%             | 2031-09-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                         | Renew 2024-2                                                                    | CUSIP: 75975DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    929630 | PA      | $936055.42    | 0.70%             | 2060-11-20      | Fixed         | 8.22%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYMZ                  | CUSIP: 46654GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $271255.00    | 0.20%             | 2026-06-15      | Floating      | 11.77%                | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                          | Washington Mutual Mortgage Pass-Through Certificates WMALT Ser 2006-AR10 Trust  | CUSIP: 93935YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221468 | PA      | $109249.53    | 0.08%             | 2036-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Cent CLO LP                                             | Columbia Cent CLO 35 Ltd                                                        | CUSIP: 19739RAJ7<br>LEI: 2549006YWAD6BJI1C841 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501041.80    | 0.37%             | 2036-07-25      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Stonepeak                                               | Stonepeak 2021-1 ABS                                                            | CUSIP: 78433XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    553815 | PA      | $537680.39    | 0.40%             | 2033-02-28      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2007-3T1                                                 | CUSIP: 02149VAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13517 | PA      | $13522.98     | 0.01%             | 2027-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHIMERA INVESTMENT CORP                                 | Chimera Investment Corp                                                         | CUSIP: 16934Q505<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     31276 | NS      | $722475.60    | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities International                                                 | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -884000 | PA      | $-884000.00   | -0.66%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -937000 | PA      | $-937000.00   | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                           | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1            | CUSIP: 25157GBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35581 | PA      | $5429.23      | 0.00%             | 2036-04-15      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E                          | FARM 21-1 Mortgage Trust                                                        | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1448948 | PA      | $1136773.90   | 0.84%             | 2051-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Trust 2017-CHOP                                                            | CUSIP: 12651QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1620000 | PA      | $1612713.40   | 1.20%             | 2032-07-15      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -79 | NC      | $-98803.40    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust 2007-5                                                    | CUSIP: 52521RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2586491 | PA      | $416554.42    | 0.31%             | 2037-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                             | Extended Stay America Trust 2025-ESH                                            | CUSIP: 30227TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $332268.35    | 0.25%             | 2042-10-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                          | RALI Series 2006-QO2 Trust                                                      | CUSIP: 761118VY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165246 | PA      | $27357.04     | 0.02%             | 2046-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                              | Allianz SE                                                                      | CUSIP: 018820AB6<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |    800000 | PA      | $752865.68    | 0.56%             | N/A             | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer                          | MetroNet Infrastructure Issuer LLC                                              | CUSIP: 59170JBB3<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |    670000 | PA      | $681195.30    | 0.51%             | 2055-08-20      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2005-11CB                                                | CUSIP: 12667GJT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    756234 | PA      | $43893.34     | 0.03%             | 2035-06-25      | Floating      | 0.73%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                           | Starwood Mortgage Residential Trust 2020-3                                      | CUSIP: 85573MAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1490000 | PA      | $1261779.38   | 0.94%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                         | SEB Funding LLC                                                                 | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1020000 | PA      | $1044395.34   | 0.78%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1052000 | PA      | $-1052000.00  | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -423000 | PA      | $-423000.00   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                           | Citicorp Mortgage Securities Trust Series 2007-8                                | CUSIP: 17312DAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2455170 | PA      | $1728169.57   | 1.28%             | 2037-09-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                            | Morgan Stanley Resecuritization Trust 2015-R2                                   | CUSIP: 61690HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635251 | PA      | $576948.00    | 0.43%             | 2046-12-27      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -3825000 | PA      | $-3825000.00  | -2.84%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380PTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5757823 | PA      | $467852.47    | 0.35%             | 2062-04-16      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1094000 | PA      | $-1094000.00  | -0.81%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2024-RTL1                                   | CUSIP: 64831PAC9<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $383392.41    | 0.28%             | 2039-03-25      | Variable      | 9.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION               | SWOP CDS CDX.NA.HY.44.V1                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |   6700000 | NC      | $2402.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AGNC INVESTMENT CORP                                    | AGNC Investment Corp                                                            | CUSIP: 00123Q872<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     52953 | NS      | $1342888.08   | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Merrill Lynch Mortgage Investo                          | Merrill Lynch Mortgage Investors Trust Series 2006-A1                           | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302523 | PA      | $148789.24    | 0.11%             | 2036-03-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -710000 | PA      | $-710000.00   | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -597000 | PA      | $-597000.00   | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                           | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1            | CUSIP: 25157GAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29579 | PA      | $2291.95      | 0.00%             | 2036-04-15      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                  | Conseco Finance Corp                                                            | CUSIP: 393505Z62<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10307070 | PA      | $2735282.08   | 2.03%             | 2031-05-01      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                  | RR 18 Ltd                                                                       | CUSIP: 749737AJ1<br>LEI: 54930003V8ISBLDELD80 | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $526470.88    | 0.39%             | 2040-07-15      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                             | RAAC Series 2007-SP1 Trust                                                      | CUSIP: 74978AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1426481 | PA      | $1206542.76   | 0.90%             | 2037-03-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -976000 | PA      | $-976000.00   | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2024-RTL1                                   | CUSIP: 64831PAF2<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |    870000 | PA      | $870706.09    | 0.65%             | 2039-03-25      | Variable      | 9.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-HQA4                                         | CUSIP: 35564KPP8<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1737966.78   | 1.29%             | 2041-12-25      | Floating      | 11.36%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -721000 | PA      | $-721000.00   | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co                           | Sierra Timeshare 2024-1 Receivables Funding LLC                                 | CUSIP: 826935AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    338344 | PA      | $347555.96    | 0.26%             | 2043-01-20      | Fixed         | 8.02%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2043000 | PA      | $-2043000.00  | -1.52%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2007-S2                                                | CUSIP: 46630WBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4511 | PA      | $4506.12      | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                          | RALI Series 2005-QA3 Trust                                                      | CUSIP: 76110H2N8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700168 | PA      | $319050.56    | 0.24%             | 2035-03-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION               | SWOP CDS CDX.NA.HY.44.V1                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |  -6700000 | NC      | $-470.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2019-IMC                                           | CUSIP: 05608BAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1950210.60   | 1.45%             | 2034-04-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -901000 | PA      | $-901000.00   | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                          | First Horizon Alternative Mortgage Securities Trust 2005-AA6                    | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174815 | PA      | $144491.28    | 0.11%             | 2035-08-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan 2020-3 Ltd                           | Loanpal Solar Loan Ltd                                                          | CUSIP: 53948NAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    616645 | PA      | $331539.83    | 0.25%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1756213.73   | 1.30%             | 2038-10-15      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381Q3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3196794 | PA      | $299679.33    | 0.22%             | 2055-08-20      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                           | MASTR Reperforming Loan Trust 2005-1                                            | CUSIP: 576436AU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35652 | PA      | $26140.65     | 0.02%             | 2034-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2019-FAME                          | CUSIP: 63873VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950000 | PA      | $366530.05    | 0.27%             | 2036-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                          | MASTR Adjustable Rate Mortgages Trust 2004-12                                   | CUSIP: 576433UC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2415 | PA      | $2371.53      | 0.00%             | 2034-10-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                          | IndyMac INDX Mortgage Loan Trust 2006-AR9                                       | CUSIP: 45661EGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194261 | PA      | $168452.05    | 0.13%             | 2036-06-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                          | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $309653.25    | 0.23%             | 2034-09-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| CUSHMAN & WAKEFIELD US                                  | CUSHMAN & WAKEFIELD US BORROWER LLC                                             | CUSIP: 23340DAW2<br>LEI: 549300870CMN3WI5IF97 | Long             | LON              | CORP              | US        |    473750 | PA      | $475528.93    | 0.35%             | 2030-01-31      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -553000 | PA      | $-553000.00   | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1774000 | PA      | $-1774000.00  | -1.32%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -25000 | PA      | $-25000.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2022-INV2                                            | CUSIP: 924923AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1430000 | PA      | $1425378.38   | 1.06%             | 2067-10-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1523000 | PA      | $-1523000.00  | -1.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                          | Residential Asset Securitization Trust 2007-A2                                  | CUSIP: 761120AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175426 | PA      | $87508.85     | 0.07%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                        | Whitebox Clo V Ltd                                                              | CUSIP: 96467NAA1<br>LEI: 254900XFXCOZ882U2O02 | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $687809.04    | 0.51%             | 2038-07-20      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                          | Morgan Stanley Mortgage Loan Trust 2006-8AR                                     | CUSIP: 61749LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181849 | PA      | $32667.20     | 0.02%             | 2036-06-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                          | Morgan Stanley Mortgage Loan Trust 2007-15AR                                    | CUSIP: 61756XBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431159 | PA      | $371951.50    | 0.28%             | 2037-11-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                               | Nelnet Student Loan Trust 2021-D                                                | CUSIP: 64034YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1047536.28   | 0.78%             | 2062-04-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-FTR3                                               | CUSIP: 35565EAE2<br>LEI: 5493009ZFZYH4FRCW638 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1294624.32   | 0.96%             | 2047-09-25      | Floating      | 9.26%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Asset Trust                           | Bayview Financial Asset Trust 2007-SSR1                                         | CUSIP: 07325QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1330094 | PA      | $1330297.00   | 0.99%             | 2037-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Trust 2017-CHOP                                                            | CUSIP: 12651QAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1509000 | PA      | $1443945.50   | 1.07%             | 2032-07-15      | Floating      | 11.79%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1221000 | PA      | $-1221000.00  | -0.91%            |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                          | Bayview Financing INV Trust 2021-6F                                             | CUSIP: 07290CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1263176 | PA      | $1223440.97   | 0.91%             | 2027-12-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Securitized Participation Interests Trust 2018-SPI4           | CUSIP: 3137G1DQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3672290 | PA      | $2733179.70   | 2.03%             | 2048-11-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                    | New Mountain CLO 5 Ltd                                                          | CUSIP: 64754WAQ6<br>LEI: 2549000KVE2J1UOHZ207 | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $261299.25    | 0.19%             | 2036-07-20      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2005-36                                                  | CUSIP: 12667GA29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104201 | PA      | $97168.03     | 0.07%             | 2035-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust 2004-UST1                                         | CUSIP: 17307GKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4846 | PA      | $4636.14      | 0.00%             | 2034-08-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru                          | IndyMac INDA Mortgage Loan Trust 2005-AR2                                       | CUSIP: 45660LY60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56532 | PA      | $44079.77     | 0.03%             | 2036-01-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                               | BPR Trust 2021-TY                                                               | CUSIP: 05592AAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $988964.60    | 0.73%             | 2038-09-15      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2000-1                                        | CUSIP: 36228FCU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7068 | PA      | $718.17       | 0.00%             | 2023-03-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                          | CWABS Revolving Home Equity Loan Trust Series 2004-L                            | CUSIP: 126673KQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8141 | PA      | $7895.20      | 0.01%             | 2034-02-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1632000 | PA      | $-1632000.00  | -1.21%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1136000 | PA      | $-1136000.00  | -0.84%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1253000 | PA      | $-1253000.00  | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -148000 | PA      | $-148000.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -350000 | PA      | $-350000.00   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2025-R1                                              | CUSIP: 92541AAE0<br>LEI: 213800UBQ9UM61L7TB84 | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1436923.03   | 1.07%             | 2065-05-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2024-8                                               | CUSIP: 92540PAE8<br>LEI: 213800RZ8QGNZ38DSP77 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1773693.43   | 1.32%             | 2069-10-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| SOLRR Aircraft 2021-1 Limited                           | Lunar 2021-1 Structured Aircraft Portfolio Notes                                | CUSIP: 83438LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |    985999 | PA      | $952179.69    | 0.71%             | 2046-10-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                          | Structured Adjustable Rate Mortgage Loan Trust Series 2005-4                    | CUSIP: 863579MP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82022 | PA      | $68297.74     | 0.05%             | 2035-03-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1718000 | PA      | $-1718000.00  | -1.28%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1021000 | PA      | $-1021000.00  | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T                          | JP Morgan Alternative Loan Trust 2007-A1                                        | CUSIP: 466287AR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164593 | PA      | $143358.17    | 0.11%             | 2037-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1120000 | PA      | $-1120000.00  | -0.83%            |  |  |  | No            |                  2 | On Loan: No      |
| National Collegiate Commutatio                          | National Collegiate VI 2007-4 Class A-3L Commutation Trust                      | CUSIP: 63546VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5942187 | PA      | $543127.81    | 0.40%             | 2038-03-29      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                  | Cascade MH Asset Trust 2019-MH1                                                 | CUSIP: 14732FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1114576.21   | 0.83%             | 2044-11-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2                   | CUSIP: 35563PFX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3366448 | PA      | $1368802.49   | 1.02%             | 2057-11-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-1                   | CUSIP: 35563PW21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1540000 | PA      | $1318241.54   | 0.98%             | 2063-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2021-R01                                    | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320000 | PA      | $1370832.94   | 1.02%             | 2041-10-25      | Floating      | 10.36%                | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                          | IndyMac INDX Mortgage Loan Trust 2005-AR18                                      | CUSIP: 45660LVZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1497129 | PA      | $642934.64    | 0.48%             | 2036-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                                | Redwood Funding Trust 2025-2                                                    | CUSIP: 75806EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1129649 | PA      | $1140210.58   | 0.85%             | 2055-10-25      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1269000 | PA      | $-1269000.00  | -0.94%            |  |  |  | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                   | Toorak Mortgage Trust 2024-RRTL1                                                | CUSIP: 89054YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $807048.80    | 0.60%             | 2039-02-25      | Variable      | 10.33%                | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2019-6                                      | CUSIP: 64828GAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14669296 | PA      | $205744.21    | 0.15%             | 2059-09-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2019-HQA4                                         | CUSIP: 35565CBE5<br>LEI: 5493005LAQ76UDHPEE03 | Long             | ABS-MBS          | CORP              | US        |   1420000 | PA      | $1576719.44   | 1.17%             | 2049-11-25      | Floating      | 11.07%                | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                           | GS Mortgage-Backed Securities Trust 2021-GR2                                    | CUSIP: 36262JBR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  63811644 | PA      | $715194.53    | 0.53%             | 2052-02-25      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -594000 | PA      | $-594000.00   | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -20000 | PA      | $-20000.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1923120 | PA      | $2025531.83   | 1.50%             | 2028-10-25      | Floating      | 16.22%                | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                          | IndyMac INDX Mortgage Loan Trust 2005-AR15                                      | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30092 | PA      | $24711.16     | 0.02%             | 2035-09-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1250000 | PA      | $-1250000.00  | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                  | CUSIP: 92922F4V7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56154 | PA      | $55157.19     | 0.04%             | 2045-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Securitized Participation Interests Trust 2017-SPI1           | CUSIP: 3137G1CG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736478 | PA      | $629813.85    | 0.47%             | 2047-09-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2023-5                                               | CUSIP: 924934AE2<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1210445.88   | 0.90%             | 2068-06-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg                          | Saluda Grade Alternative Mortgage Trust 2024-RTL4                               | CUSIP: 79584CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770000 | PA      | $1773500.35   | 1.32%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                            | Eagle RE 2023-1 Ltd                                                             | CUSIP: 26982EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1290000 | PA      | $1366824.14   | 1.02%             | 2033-09-26      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2006-HY10                                                | CUSIP: 12668BUF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105620 | PA      | $93077.52     | 0.07%             | 2036-05-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -588000 | PA      | $-588000.00   | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2090000 | PA      | $-2090000.00  | -1.55%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust Series 2024-3                                          | CUSIP: 46657QBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20192305 | PA      | $398780.86    | 0.30%             | 2054-05-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2022-JERI                          | CUSIP: 63875LAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $2245554.50   | 1.67%             | 2039-01-15      | Floating      | 11.76%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -883000 | PA      | $-883000.00   | -0.66%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1517000 | PA      | $-1517000.00  | -1.13%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2025-SPOT                                          | CUSIP: 12433FAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1247914 | PA      | $1252098.14   | 0.93%             | 2040-04-15      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust 2021-J2                                           | CUSIP: 17329MBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31150132 | PA      | $310255.31    | 0.23%             | 2051-07-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                          | First Horizon Alternative Mortgage Securities Trust 2006-FA6                    | CUSIP: 32052FAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64242 | PA      | $16241.98     | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                                     | Apex Credit CLO 2019-II Ltd                                                     | CUSIP: 03755CBJ2<br>LEI: 549300OKB854VBBC1981 | Long             | ABS-CBDO         | CORP              | KY        |    560000 | PA      | $556531.14    | 0.41%             | 2038-01-25      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1531000 | PA      | $-1531000.00  | -1.14%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1331000 | PA      | $-1331000.00  | -0.99%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2006-J8                                                  | CUSIP: 23245LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70607 | PA      | $26790.64     | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1056000 | PA      | $-1056000.00  | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -504000 | PA      | $-504000.00   | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1156000 | PA      | $-1156000.00  | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -636000 | PA      | $-636000.00   | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-FTR1                                               | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |   1855000 | PA      | $2212770.14   | 1.64%             | 2048-01-25      | Floating      | 12.82%                | No            |                  2 | On Loan: No      |
| SOHO Trust 2021-SOHO                                    | Soho Trust 2021-SOHO                                                            | CUSIP: 83410JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $641952.50    | 0.48%             | 2038-08-10      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                          | Bear Stearns Asset Backed Securities I Trust 2005-CL1                           | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9231 | PA      | $9248.49      | 0.01%             | 2034-09-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1211000 | PA      | $-1211000.00  | -0.90%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -749000 | PA      | $-749000.00   | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2007-S2                                                | CUSIP: 46630WBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18398 | PA      | $18078.25     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-FTR2                                               | CUSIP: 35564WBE2<br>LEI: 5493008J93RJW7PJFN93 | Long             | ABS-MBS          | CORP              | US        |   1270000 | PA      | $1500086.92   | 1.11%             | 2048-11-25      | Floating      | 11.87%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Series 2014-11R                                                            | CUSIP: 12649FCL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2394892 | PA      | $1892345.20   | 1.41%             | 2036-10-27      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2024-AFC1 Trust                                                           | CUSIP: 69380WAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1467046.20   | 1.09%             | 2059-03-25      | Variable      | 8.42%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                          | RALI Series 2006-QA4 Trust                                                      | CUSIP: 748939AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103633 | PA      | $94952.97     | 0.07%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1358000 | PA      | $-1358000.00  | -1.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-HQA3                                               | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | CORP              | US        |   1680000 | PA      | $1892014.32   | 1.41%             | 2049-09-25      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US ULTRA BOND CBT                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -20 | NC      | $-63281.74    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Residential Funding Mtg Sec I                           | RFMSI Series 2006-S8 Trust                                                      | CUSIP: 74957XAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1587004 | PA      | $111662.89    | 0.08%             | 2036-09-25      | Floating      | 1.13%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -214000 | PA      | $-214000.00   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Resecuritization Trust 2006-1R                                             | CUSIP: 12638FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132707 | PA      | $117639.99    | 0.09%             | 2036-07-27      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1843286 | PA      | $1915513.21   | 1.42%             | 2028-08-25      | Floating      | 16.22%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2018-HQA2                                               | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |   1870000 | PA      | $2324366.62   | 1.73%             | 2048-10-25      | Floating      | 15.47%                | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2021-3                   | CUSIP: 35563P6W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1624847 | PA      | $951916.19    | 0.71%             | 2061-03-25      | Variable      | 10.98%                | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                          | Structured Asset Investment Loan Trust 2004-8                                   | CUSIP: 86358EMH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297405 | PA      | $229917.77    | 0.17%             | 2034-09-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                     | MidOcean Credit CLO XVIII LLC                                                   | CUSIP: 59803MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $597544.32    | 0.44%             | 2035-10-18      | Floating      | 9.72%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -30000 | PA      | $-30000.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1                   | CUSIP: 35563PAH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 122399446 | PA      | $490087.38    | 0.36%             | 2055-09-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust  | CUSIP: 93934FFE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33510 | PA      | $33836.55     | 0.03%             | 2035-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -3359000 | PA      | $-3359000.00  | -2.50%            |  |  |  | No            |                  2 | On Loan: No      |
| DRB PRIME STUDENT LOAN TRUST                            | DRB Prime Student Loan Trust 2017-A                                             | CUSIP: 23342K104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       429 | PA      | $802867.00    | 0.60%             | 2042-05-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                          | Bayview Opportunity Master Fund VII 2024-CAR1 LLC                               | CUSIP: 07336QAE2<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    695208 | PA      | $703502.76    | 0.52%             | 2031-12-26      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -333000 | PA      | $-333000.00   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2007-OA8                                                 | CUSIP: 02148GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    548009 | PA      | $480112.91    | 0.36%             | 2047-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm                          | American Home Mortgage Investment Trust 2007-2                                  | CUSIP: 02660CAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12735445 | PA      | $81508.12     | 0.06%             | 2047-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                            | Atrium Hotel Portfolio Trust 2017-ATRM                                          | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1388311 | PA      | $1290261.54   | 0.96%             | 2036-12-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -45000 | PA      | $-45000.00    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2017-RPL1 Trust                                                            | CUSIP: 22945AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2890337 | PA      | $917728.24    | 0.68%             | 2057-07-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-1                   | CUSIP: 35563PPP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3997828 | PA      | $1945268.31   | 1.45%             | 2059-08-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3                   | CUSIP: 35563PGW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3267993 | PA      | $997739.90    | 0.74%             | 2057-08-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AATJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    892837 | PA      | $97165.45     | 0.07%             | 2042-12-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -5647000 | PA      | $-5647000.00  | -4.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                                 | Loanpal Solar Loan 2021-1 Ltd                                                   | CUSIP: 53948PAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    631614 | PA      | $430499.91    | 0.32%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -418000 | PA      | $-418000.00   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Financial Asset Trust                           | Bayview Financial Asset Trust 2007-SSR1                                         | CUSIP: 07325QAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    602618 | PA      | $607330.70    | 0.45%             | 2037-03-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1532000 | PA      | $-1532000.00  | -1.14%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation                               | HSI Asset Loan Obligation Trust 2007-AR1                                        | CUSIP: 40431LAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53303 | PA      | $40689.58     | 0.03%             | 2037-01-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Hartwick Park CLO, Ltd.                                 | Hartwick Park CLO Ltd                                                           | CUSIP: 417402AE4<br>LEI: 2549003E1ZAWJG55NM75 | Long             | ABS-CBDO         | CORP              | JE        |    630000 | PA      | $628125.81    | 0.47%             | 2037-01-20      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2021-INV1                                                             | CUSIP: 12566PCU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  43558261 | PA      | $415628.57    | 0.31%             | 2051-07-01      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY SR INC                                     | Arbor Realty SR Inc                                                             | CUSIP: 03881NAJ6<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1504176.82   | 1.12%             | 2030-07-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                          | Home Partners of America 2021-2 Trust                                           | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1429648 | PA      | $1393822.36   | 1.04%             | 2026-12-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381NUY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2985846 | PA      | $285695.92    | 0.21%             | 2055-06-20      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -224000 | PA      | $-224000.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| EASY 2025-RTL1                                          | Easy Street Mortgage Loan Trust 2025-RTL1                                       | CUSIP: 27786FAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010000 | PA      | $1020689.03   | 0.76%             | 2040-05-25      | Variable      | 8.30%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust 2006-3                                                    | CUSIP: 52520CAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3962074 | PA      | $395312.79    | 0.29%             | 2036-07-25      | Floating      | 1.13%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2022-BNK43                                                                 | CUSIP: 06541QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1047755.55   | 0.78%             | 2055-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXXIX Ltd                                                             | CUSIP: 559923AE7<br>LEI: 529900728SHVCI48J015 | Long             | ABS-CBDO         | CORP              | KY        |    280000 | PA      | $277014.11    | 0.21%             | 2037-01-25      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                          | MF1 2021-FL7 Ltd                                                                | CUSIP: 55284AAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1968327.20   | 1.46%             | 2036-10-16      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2005-HYB9                                       | CUSIP: 126670JP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62123 | PA      | $54523.51     | 0.04%             | 2036-02-20      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                        | Ocean Trails CLO XIV Ltd                                                        | CUSIP: 67515MAG3<br>LEI: 254900TWRKR5CRS1OX19 | Long             | ABS-CBDO         | CORP              | JE        |    600000 | PA      | $606044.34    | 0.45%             | 2038-01-20      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                    | LHOME Mortgage Trust 2024-RTL1                                                  | CUSIP: 50205DAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1114282.84   | 0.83%             | 2029-01-25      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| TWO HARBORS INV CORP                                    | Two Harbors Investment Corp                                                     | CUSIP: 90187BAB7<br>LEI: 549300ZUIBT6KH4HU823 | Long             | DBT              | CORP              | US        |   1835000 | PA      | $1835000.72   | 1.36%             | 2026-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities International                                                 | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -688000 | PA      | $-688000.00   | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2025-RCF3 LLC                                                              | CUSIP: 69392PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $978805.90    | 0.73%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2362000 | PA      | $-2362000.00  | -1.75%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -47000 | PA      | $-47000.00    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                          | Banc of America Funding Corp                                                    | CUSIP: 05990QAE3<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |   2215718 | PA      | $2023991.94   | 1.50%             | 2037-02-27      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -673000 | PA      | $-673000.00   | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -573000 | PA      | $-573000.00   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| Clover CLO                                              | Clover CLO 2021-3 LLC                                                           | CUSIP: 18915FAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    720000 | PA      | $721952.86    | 0.54%             | 2035-01-25      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                           | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1            | CUSIP: 25157GCA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126471 | PA      | $17180.01     | 0.01%             | 2036-04-15      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                          | IndyMac INDX Mortgage Loan Trust 2006-AR7                                       | CUSIP: 45661EDE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91849 | PA      | $85346.09     | 0.06%             | 2036-05-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -209000 | PA      | $-209000.00   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                           | CAFL 2024-RTL1 Issuer LLC                                                       | CUSIP: 12770DAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1460000 | PA      | $1494622.44   | 1.11%             | 2031-11-28      | Variable      | 8.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                          | Morgan Stanley Mortgage Loan Trust 2007-5AX                                     | CUSIP: 61751GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1280594 | PA      | $248293.81    | 0.18%             | 2037-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                              | BFLD Commercial Mortgage Trust 2024-UNIV                                        | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1175372.87   | 0.87%             | 2041-11-15      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| (Sunnova) Aurora I Issuer, LLC                          | SUNNOVA HELIOS II ISSUER LLC 2018-1                                             | CUSIP: 86745JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    810165 | PA      | $732282.65    | 0.54%             | 2048-07-20      | Fixed         | 7.71%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -81000 | PA      | $-81000.00    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Series 2015-2R                                                             | CUSIP: 12649QBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2868346 | PA      | $2441666.02   | 1.81%             | 2036-08-27      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2019-4                                      | CUSIP: 64830WCK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2103781 | PA      | $1397979.14   | 1.04%             | 2058-12-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                         | Impac CMB Trust Series 2004-8                                                   | CUSIP: 45254NKQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18525 | PA      | $18357.91     | 0.01%             | 2034-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                               | HIH Trust 2024-61P                                                              | CUSIP: 40444VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1477881 | PA      | $1491582.10   | 1.11%             | 2041-10-15      | Floating      | 9.59%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E                          | FARM 2024-2 Mortgage Trust                                                      | CUSIP: 307910AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    980753 | PA      | $884538.63    | 0.66%             | 2054-08-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1269000 | PA      | $-1269000.00  | -0.94%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJB6<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1428725.40   | 1.06%             | 2034-01-25      | Floating      | 9.86%                 | No            |                  2 | On Loan: No      |
| NYT Mortgage Trust                                      | BF 2019-NYT Mortgage Trust                                                      | CUSIP: 62954PAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1440000 | PA      | $1316527.92   | 0.98%             | 2035-12-15      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2005000 | PA      | $-2005000.00  | -1.49%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -167000 | PA      | $-167000.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta                          | Greystone CRE Notes 2024-HC3                                                    | CUSIP: 39808MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    610000 | PA      | $608056.48    | 0.45%             | 2041-03-15      | Floating      | 9.48%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2015-GC32                                          | CUSIP: 36250PAM7<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |     50736 | PA      | $49651.42     | 0.04%             | 2048-07-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1881000 | PA      | $-1881000.00  | -1.40%            |  |  |  | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                          | IndyMac INDX Mortgage Loan Trust 2006-AR11                                      | CUSIP: 45661KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194424 | PA      | $150102.15    | 0.11%             | 2036-06-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-25

**Name of Applicant:** Western Asset Mortgage Opportunity Fund Inc.

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer