# EDGAR Filing Document

**Accession Number:** 0001478102
**File Stem:** 0001752724-23-046446
**Filing Date:** 2023-2
**Character Count:** 147909
**Document Hash:** a8242c757e10493712419b45e484d343
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046446.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046446

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Western Asset Mortgage Opportunity Fund Inc.
- **CENTRAL INDEX KEY:** 0001478102
- **IRS NUMBER:** 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:** 23682464

**BUSINESS ADDRESS:**
- **STREET 1:** 620 EIGHTH AVENUE
- **STREET 2:** 47TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018
- **BUSINESS PHONE:** (888) 777-0102

**MAIL ADDRESS:**
- **STREET 1:** 620 EIGHTH AVENUE
- **STREET 2:** 47TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

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

## 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:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-30

**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:** $162561433.82

**Total Liabilities:** $24437475.22

**Net Assets:** $138123958.60

**Stand-by Commitments:** $15913984.38

**Cash Not Reported:** $571404.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -433.06000000 | **1-Year:** -5515.36000000 | **5-Year:** 4474.54000000 | **10-Year:** 418.47000000 | **30-Year:** 0.00000000

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

- **3-Month:** 52.70000000 | **1-Year:** 15360.39000000 | **5-Year:** 53379.90000000 | **10-Year:** 23033.80000000 | **30-Year:** 16010.67000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000000 | -3.53%               | 5.28%                | -1.90%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-250236.98              | $-4588059.74                               |
| Month 2  | $60766.28                | $60473.69                                  |
| Month 3  | $-442127.48              | $-1274345.12                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| REDWOOD FUNDING TRUST 2019-1                            | Redwood Funding Trust 2019-1                                                    | CUSIP: 75806BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2105580 | PA      | $2092630.25   | 1.52%             | 2024-09-27      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| MBRT 2019 MBR                                           | MBRT 2019-MBR                                                                   | CUSIP: 55282DBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1908328.80   | 1.38%             | 2036-11-15      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G1CG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    747410 | PA      | $645903.83    | 0.47%             | 2047-09-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1500000 | PA      | $-1500000.00  | -1.09%            |  |  |  | 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        |    254606 | PA      | $126949.50    | 0.09%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2005-11                                         | CUSIP: 12669GUX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37184 | PA      | $25761.83     | 0.02%             | 2035-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2032402.74   | 1.47%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru                          | Tharaldson Hotel Portfolio Trust 2018-THPT                                      | CUSIP: 88327HAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    769576 | PA      | $724793.92    | 0.52%             | 2034-11-11      | Floating      | 8.47%                 | 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        |     76378 | PA      | $65223.59     | 0.05%             | 2036-02-20      | Floating      | 5.51%                 | 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        |   1373826 | PA      | $1064346.44   | 0.77%             | 2045-01-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1316000 | PA      | $-1316000.00  | -0.95%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -564000 | PA      | $-564000.00   | -0.41%            |  |  |  | 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        |    221737 | PA      | $173918.21    | 0.13%             | 2036-06-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -3361000 | PA      | $-3361000.00  | -2.43%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2017-4                                      | CUSIP: 64829NAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2076559 | PA      | $1864386.38   | 1.35%             | 2057-05-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -378000 | PA      | $-378000.00   | -0.27%            |  |  |  | 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        |     73478 | PA      | $63170.03     | 0.05%             | 2035-11-25      | Floating      | 5.29%                 | 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      | $2799864.87   | 2.03%             | 2035-08-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                                      | SUNNOVA HELIOS II ISSUER LLC 2018-1                                             | CUSIP: 86745JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    991287 | PA      | $822526.10    | 0.60%             | 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        |  -2370000 | PA      | $-2370000.00  | -1.72%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                          | Structured Asset Mortgage Investments II Trust 2006-AR5                         | CUSIP: 86360JAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    416065 | PA      | $124554.59    | 0.09%             | 2046-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -489000 | PA      | $-489000.00   | -0.35%            |  |  |  | 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        |     37998 | PA      | $31363.67     | 0.02%             | 2035-09-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas                          | FRESB 2018-SB48 Mortgage Trust                                                  | CUSIP: 30296RAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3512853 | PA      | $2880267.67   | 2.09%             | 2038-02-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   2609294 | PA      | $2724231.30   | 1.97%             | 2029-01-25      | Floating      | 14.64%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1869000 | PA      | $-1869000.00  | -1.35%            |  |  |  | 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        |    189606 | PA      | $25437.12     | 0.02%             | 2036-04-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2253000 | PA      | $-2253000.00  | -1.63%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -485000 | PA      | $-485000.00   | -0.35%            |  |  |  | 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        |     75472 | PA      | $34480.37     | 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        |   -519000 | PA      | $-519000.00   | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust 2006-3                                                    | CUSIP: 52520CAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3998835 | PA      | $445608.58    | 0.32%             | 2036-07-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2016-1                               | CUSIP: 35563PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21985374 | PA      | $2551143.21   | 1.85%             | 2055-09-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Hawaii Hotel Trust 2019-MAUI                            | Hawaii Hotel Trust 2019-MAUI                                                    | CUSIP: 41975AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1697000 | PA      | $1546019.78   | 1.12%             | 2038-05-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -715000 | PA      | $-715000.00   | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| Hospitality Investors Trust                             | HIT Trust 2022-HI32                                                             | CUSIP: 40442AAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1960128.20   | 1.42%             | 2024-07-15      | Floating      | 11.56%                | 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        |    286081 | PA      | $230331.35    | 0.17%             | 2036-06-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2018-3                               | CUSIP: 35563PGW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3338746 | PA      | $1160047.46   | 0.84%             | 2057-08-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | STACR Trust 2018-DNA3                                                           | CUSIP: 35563WBE3<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1991125.00   | 1.44%             | 2048-09-25      | Floating      | 12.14%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -677000 | PA      | $-677000.00   | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2339000 | PA      | $-2339000.00  | -1.69%            |  |  |  | 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      | $657524.80    | 0.48%             | 2050-12-15      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | STACR Trust 2018-HRP1                                                           | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | CORP              | US        |   5472185 | PA      | $5706207.76   | 4.13%             | 2043-05-25      | Floating      | 16.14%                | No            |                  2 | On Loan: No      |
| Home Equity Mortgage Trust                              | Home Equity Mortgage Trust 2006-1                                               | CUSIP: 225470XL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3246328.75   | 2.35%             | 2036-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -5119000 | PA      | $-5119000.00  | -3.71%            |  |  |  | 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        |   2661216 | PA      | $1515550.49   | 1.10%             | 2037-09-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -373000 | PA      | $-373000.00   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2017-RPL1 Trust                                                            | CUSIP: 22945AAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3501991 | PA      | $2252018.00   | 1.63%             | 2057-07-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                          | BCAP LLC 2011-RR2 Trust                                                         | CUSIP: 05533TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2504968 | PA      | $1194927.67   | 0.87%             | 2036-07-26      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2017-RPL1 Trust                                                            | CUSIP: 22945AAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2977486 | PA      | $1685048.95   | 1.22%             | 2057-07-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                           | RFMSI Series 2006-S8 Trust                                                      | CUSIP: 74957XAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2048889 | PA      | $115700.58    | 0.08%             | 2036-09-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -905000 | PA      | $-905000.00   | -0.66%            |  |  |  | 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        |    123664 | PA      | $37539.35     | 0.03%             | 2021-11-25      | Fixed         | 5.50%                 | 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      | $1324590.30   | 0.96%             | 2039-12-15      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2021-1                               | CUSIP: 35563PWQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1291835.55   | 0.94%             | 2060-09-25      | Fixed         | 4.25%                 | 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        |    836507 | PA      | $574926.12    | 0.42%             | 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        |  -1652000 | PA      | $-1652000.00  | -1.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-NQM6                                                                  | CUSIP: 12662KAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370000 | PA      | $694442.45    | 0.50%             | 2066-07-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2016-1                               | CUSIP: 35563PAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 142339067 | PA      | $628284.64    | 0.45%             | 2055-09-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2022-NQM9 Trust                                                             | CUSIP: 67118LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1502748 | PA      | $1466468.49   | 1.06%             | 2062-09-25      | Variable      | 6.45%                 | 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        |   1011432 | PA      | $38861.32     | 0.03%             | 2035-06-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Series 2014-11R                                                            | CUSIP: 12649FCL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3007544 | PA      | $2211267.64   | 1.60%             | 2036-10-27      | Floating      | 4.30%                 | 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        |    577778 | PA      | $511326.02    | 0.37%             | 2031-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                          | RAMP Series 2004-RS4 Trust                                                      | CUSIP: 7609853J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    925330 | PA      | $772765.40    | 0.56%             | 2034-04-25      | Floating      | 4.54%                 | 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   | -0.68%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                                | American Airlines Inc/AAdvantage Loyalty IP Ltd                                 | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   1060000 | PA      | $970706.49    | 0.70%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -294000 | PA      | $-294000.00   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| TWO HARBORS INV CORP                                    | Two Harbors Investment Corp                                                     | CUSIP: 90187BAB7<br>LEI: 549300ZUIBT6KH4HU823 | Long             | DBT              | CORP              | US        |   1615000 | PA      | $1394041.84   | 1.01%             | 2026-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHMZ                | CUSIP: 46650BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $30.00        | 0.00%             | 2035-06-15      | Floating      | 12.83%                | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2022-LP2                                           | CUSIP: 05610HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1067648 | PA      | $983785.87    | 0.71%             | 2039-02-15      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1736000 | PA      | $-1736000.00  | -1.26%            |  |  |  | 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        |    134437 | PA      | $111740.41    | 0.08%             | 2036-05-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                           | UBS Commercial Mortgage Trust 2018-NYCH                                         | CUSIP: 90266HAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    962000 | PA      | $882151.21    | 0.64%             | 2032-02-15      | Floating      | 9.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   2332878 | PA      | $2576183.23   | 1.87%             | 2028-09-25      | Floating      | 16.64%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2197000 | PA      | $-2197000.00  | -1.59%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2019-SMP                                      | CUSIP: 36259NAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1396008.60   | 1.01%             | 2032-08-15      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Pass Through Ce                          | RBSGC Mortgage Loan Trust 2007-A                                                | CUSIP: 74927WAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2682711 | PA      | $696957.24    | 0.50%             | 2037-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1560000 | PA      | $-1560000.00  | -1.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust                           | Nomura Resecuritization Trust 2015-4R                                           | CUSIP: 65540WCA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705372 | PA      | $676084.06    | 0.49%             | 2037-03-26      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2016-1                               | CUSIP: 35563PAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12054316 | PA      | $1722870.39   | 1.25%             | 2055-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST                  | CUSIP: 46652DAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1033000 | PA      | $264909.85    | 0.19%             | 2036-12-15      | Floating      | 11.32%                | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GKZ0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      6212 | PA      | $5692.04      | 0.00%             | 2034-08-25      | Variable      | 4.17%                 | 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        |    303781 | PA      | $257012.23    | 0.19%             | 2037-11-25      | Variable      | 3.32%                 | 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        |   1765659 | PA      | $1788943.75   | 1.30%             | 2037-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                         | Lehman XS Trust 2006-19                                                         | CUSIP: 52523YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379369 | PA      | $318373.41    | 0.23%             | 2036-12-25      | Floating      | 4.73%                 | 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        |    145598 | PA      | $127887.23    | 0.09%             | 2034-12-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                          | Starwood Retail Property Trust 2014-STAR                                        | CUSIP: 85571XAS6<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $3208.00      | 0.00%             | 2027-11-15      | Floating      | 8.72%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                        | Bellemeade Re 2018-1 Ltd                                                        | CUSIP: 078768AE8<br>LEI: 549300O2GEH6GH9NO762 | Long             | ABS-MBS          | CORP              | BM        |    243030 | PA      | $242601.23    | 0.18%             | 2028-04-25      | Floating      | 7.29%                 | No            |                  2 | 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        |      7442 | PA      | $7049.01      | 0.01%             | 2035-10-20      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2017-2                               | CUSIP: 35563PBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11102691 | PA      | $1694887.99   | 1.23%             | 2056-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust 2006-7                                                    | CUSIP: 52520QAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2493657 | PA      | $1200653.14   | 0.87%             | 2036-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Tru                          | ML-CFC Commercial Mortgage Trust 2007-5                                         | CUSIP: 55312YAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44426 | PA      | $11458.04     | 0.01%             | 2048-08-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1208000 | PA      | $-1208000.00  | -0.87%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2017-2                               | CUSIP: 35563PBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18760273 | PA      | $2013855.29   | 1.46%             | 2056-08-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                  | CVS Pass-Through Trust                                                          | CUSIP: 336249AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    479444 | PA      | $480067.57    | 0.35%             | 2023-01-10      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                              | NCMF Trust 2022-MFP                                                             | CUSIP: 628870AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2101261.80   | 1.52%             | 2039-03-15      | Floating      | 9.46%                 | No            |                  2 | On Loan: No      |
| AFC Home Equity Loan Trust                              | AFC Trust Series 2000-3                                                         | CUSIP: 00105HEL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591954 | PA      | $555551.20    | 0.40%             | 2030-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1940450.08   | 1.40%             | 2053-01-15      | Fixed         | 4.50%                 | 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        |    107290 | PA      | $93058.61     | 0.07%             | 2035-10-25      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579PF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38158 | PA      | $35395.53     | 0.03%             | 2035-04-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FARM 2021-1 Mortgage Trust                              | FARM 21-1 Mortgage Trust                                                        | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250402 | PA      | $846189.98    | 0.61%             | 2051-07-25      | Variable      | 3.24%                 | 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        |    185778 | PA      | $164707.20    | 0.12%             | 2037-03-25      | Variable      | 3.70%                 | 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        |    385524 | PA      | $352169.96    | 0.25%             | 2037-09-25      | Floating      | 10.85%                | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                          | Starwood Retail Property Trust 2014-STAR                                        | CUSIP: 85571XAQ0<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $40000.00     | 0.03%             | 2027-11-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                          | Residential Asset Securitization Trust 2006-A1                                  | CUSIP: 45660L6N4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1280218 | PA      | $434645.57    | 0.31%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -198 | NC      | $51355.86     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2340000 | PA      | $-2340000.00  | -1.69%            |  |  |  | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Se                          | BCMSC Trust 1999-A                                                              | CUSIP: 09774XAU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13335 | PA      | $13285.34     | 0.01%             | 2029-03-15      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | VOYA CLO 2017-2                                                                 | CUSIP: 92915XAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $339491.22    | 0.25%             | 2030-06-07      | Floating      | 10.10%                | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                          | Ellington Financial Mortgage Trust 2020-1                                       | CUSIP: 31574PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1550000 | PA      | $1257090.92   | 0.91%             | 2065-05-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST                  | CUSIP: 46652DAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    988000 | PA      | $354087.44    | 0.26%             | 2036-12-15      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAS8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2720000 | PA      | $1382533.84   | 1.00%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GXX1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     83435 | PA      | $66927.46     | 0.05%             | 2035-08-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -539000 | PA      | $-539000.00   | -0.39%            |  |  |  | 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        |     10534 | PA      | $10366.39     | 0.01%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                          | CWABS Asset-Backed Notes Trust 2006-SD2                                         | CUSIP: 23244AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163963 | PA      | $159578.12    | 0.12%             | 2036-07-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2106000 | PA      | $-2106000.00  | -1.52%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1950000 | PA      | $-1950000.00  | -1.41%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1217000 | PA      | $-1217000.00  | -0.88%            |  |  |  | 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        |     22240 | PA      | $21932.40     | 0.02%             | 2027-03-25      | Fixed         | 6.00%                 | 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      | $2335897.50   | 1.69%             | 2049-10-25      | Floating      | 13.14%                | No            |                  2 | On Loan: No      |
| SOHO Trust 2021-SOHO                                    | Soho Trust 2021-SOHO                                                            | CUSIP: 83410JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $968029.95    | 0.70%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| PENNYMAC CORP                                           | PennyMac Corp                                                                   | CUSIP: 70932AAF0<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1270031.25   | 0.92%             | 2026-03-15      | Fixed         | 5.50%                 | 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        |    114238 | PA      | $91064.37     | 0.07%             | 2036-05-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -2000000 | PA      | $-1940450.08  | -1.40%            | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2007-GG10                                          | CUSIP: 36246LAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1221681 | PA      | $319698.48    | 0.23%             | 2045-08-10      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1794000 | PA      | $-1794000.00  | -1.30%            |  |  |  | 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        |      9863 | PA      | $7078.89      | 0.01%             | 2035-10-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -759000 | PA      | $-759000.00   | -0.55%            |  |  |  | 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        |     84505 | PA      | $67173.37     | 0.05%             | 2035-09-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1319000 | PA      | $-1319000.00  | -0.95%            |  |  |  | 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        |    799956 | PA      | $863922.78    | 0.63%             | 2037-03-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G0PS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1765710 | PA      | $1802172.16   | 1.30%             | 2029-10-25      | Floating      | 15.64%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2007-IQ16                                        | CUSIP: 61756UAH4<br>LEI: 549300XYOVNMTJWOZ135 | Long             | ABS-MBS          | CORP              | US        |     84324 | PA      | $41328.02     | 0.03%             | 2049-12-12      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1929962 | PA      | $2079543.39   | 1.51%             | 2028-10-25      | Floating      | 16.14%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1122000 | PA      | $-1122000.00  | -0.81%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2005-11                                         | CUSIP: 12669GUP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210434 | PA      | $153690.15    | 0.11%             | 2035-04-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1514000 | PA      | $-1514000.00  | -1.10%            |  |  |  | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm                          | American Home Mortgage Investment Trust 2007-A                                  | CUSIP: 026933AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1739322 | PA      | $519748.93    | 0.38%             | 2046-07-25      | Floating      | 5.29%                 | 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        |   1929181 | PA      | $1790529.36   | 1.30%             | 2039-02-15      | Floating      | 11.84%                | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Thro                          | Popular ABS Mortgage Pass-Through Trust 2005-5                                  | CUSIP: 73316PGW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2075060 | PA      | $1843089.75   | 1.33%             | 2035-11-25      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust                                    | CUSIP: 63875JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1697000 | PA      | $1605478.24   | 1.16%             | 2035-03-15      | Floating      | 9.53%                 | 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        |     99696 | PA      | $72486.86     | 0.05%             | 2035-05-25      | Variable      | 2.89%                 | 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      | $3130249.85   | 2.27%             | 2039-01-15      | Floating      | 11.79%                | 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        |    105397 | PA      | $83950.87     | 0.06%             | 2035-03-25      | Variable      | 3.51%                 | 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      | $1397067.45   | 1.01%             | 2050-03-25      | Floating      | 11.89%                | 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      | $1869396.80   | 1.35%             | 2034-04-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1860749 | PA      | $1993763.93   | 1.44%             | 2028-08-25      | Floating      | 16.14%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Trust 2017-CHOP                                                            | CUSIP: 12651QAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2459000 | PA      | $2236541.16   | 1.62%             | 2032-07-15      | Floating      | 11.67%                | 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        |    277594 | PA      | $240782.53    | 0.17%             | 2036-01-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AATJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1196464 | PA      | $129292.07    | 0.09%             | 2042-12-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                          | RALI Series 2007-QA2 Trust                                                      | CUSIP: 74922PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3884 | PA      | $8931.81      | 0.01%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| NewRez Warehouse Securitizatio                          | NewRez Warehouse Securitization Trust 2021-1                                    | CUSIP: 65246PAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2460000 | PA      | $2350981.90   | 1.70%             | 2055-05-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Stonepeak                                               | Stonepeak 2021-1 ABS                                                            | CUSIP: 78433XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1459135 | PA      | $1260179.92   | 0.91%             | 2033-02-28      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN                   | CUSIP: 46652BAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174062 | PA      | $157612.63    | 0.11%             | 2037-01-16      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2021-3                               | CUSIP: 35563P6W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1698640 | PA      | $872320.78    | 0.63%             | 2061-03-25      | Variable      | 5.37%                 | 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        |    174348 | PA      | $220700.59    | 0.16%             | 2036-07-27      | Floating      | 7.46%                 | 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-MBS          | CORP              | US        |     26506 | PA      | $25055.90     | 0.02%             | 2034-02-15      | Floating      | 4.60%                 | No            |                  2 | 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        |     31362 | PA      | $27061.05     | 0.02%             | 2036-05-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                          | WFRBS Commercial Mortgage Trust 2014-C19                                        | CUSIP: 92938VAA3<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |    825000 | PA      | $752848.64    | 0.55%             | 2047-03-15      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1620000 | PA      | $-1620000.00  | -1.17%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -3096000 | PA      | $-3096000.00  | -2.24%            |  |  |  | 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        |  23412800 | PA      | $380710.86    | 0.28%             | 2059-09-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Tru                          | ML-CFC Commercial Mortgage Trust 2007-9                                         | CUSIP: 60688CAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16636 | PA      | $16355.07     | 0.01%             | 2049-09-12      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2010245.70   | 1.46%             | 2053-02-15      | Fixed         | 5.50%                 | 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        |   1900000 | PA      | $1627622.08   | 1.18%             | 2036-08-15      | Variable      | 4.40%                 | 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        |    104769 | PA      | $95743.79     | 0.07%             | 2034-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Lt                          | LSTAR Securities Investment Ltd 2019-4                                          | CUSIP: 54912JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2013851 | PA      | $2022142.96   | 1.46%             | 2024-05-01      | Floating      | 7.62%                 | 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        |    254988 | PA      | $188996.50    | 0.14%             | 2036-01-25      | Variable      | 4.42%                 | 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        |     26826 | PA      | $25874.76     | 0.02%             | 2034-09-25      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-4SZN                                                                  | CUSIP: 12663FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1700196.40   | 1.23%             | 2023-11-15      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -8 | NC      | $4381.82      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Residential Accredit Loans, In                          | RALI Series 2005-QA3 Trust                                                      | CUSIP: 76110H2N8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    836325 | PA      | $368248.51    | 0.27%             | 2035-03-25      | Variable      | 3.43%                 | 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        |     97008 | PA      | $12837.48     | 0.01%             | 2036-04-15      | Variable      | 7.89%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1263000 | PA      | $-1263000.00  | -0.91%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2020-DNA3                                         | CUSIP: 35565WBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1195862 | PA      | $1247114.88   | 0.90%             | 2050-06-25      | Floating      | 9.49%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1426000 | PA      | $-1426000.00  | -1.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -429000 | PA      | $-429000.00   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640000 | PA      | $1402776.30   | 1.02%             | 2041-10-25      | Floating      | 11.43%                | 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        |   1522390 | PA      | $714429.94    | 0.52%             | 2037-09-25      | Variable      | 7.24%                 | 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        |    632449 | PA      | $423739.41    | 0.31%             | 2036-01-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1562000 | PA      | $-1562000.00  | -1.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2022-2                               | CUSIP: 35563PJ59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1337000 | PA      | $1040831.37   | 0.75%             | 2062-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2019-2                               | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    681000 | PA      | $584021.45    | 0.42%             | 2058-08-25      | Variable      | 4.75%                 | 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        |    194059 | PA      | $175241.36    | 0.13%             | 2034-12-20      | Variable      | 3.86%                 | 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        |       -62 | NC      | $13366.44     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FirstFed Corp Manufactured Hou                          | Firstfed Corp Manufactured Housing Contract                                     | CUSIP: 33761SAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121324 | PA      | $12.38        | 0.00%             | 2024-05-15      | Fixed         | 8.11%                 | No            |                  2 | On Loan: No      |
| Hawaii Hotel Trust 2019-MAUI                            | Hawaii Hotel Trust 2019-MAUI                                                    | CUSIP: 41975AAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $952865.50    | 0.69%             | 2038-05-15      | Floating      | 7.07%                 | 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        |    766557 | PA      | $474229.04    | 0.34%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MED Trust                                               | Med Trust 2021-MDLN                                                             | CUSIP: 58403YBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $1907548.23   | 1.38%             | 2038-11-15      | Floating      | 9.57%                 | 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      | $1166166.16   | 0.84%             | 2038-03-29      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $947075.04    | 0.69%             | 2034-01-25      | Floating      | 9.43%                 | 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      | $1197985.81   | 0.87%             | 2026-06-15      | Floating      | 11.57%                | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GJX7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     27100 | PA      | $24044.22     | 0.02%             | 2034-09-25      | Variable      | 3.54%                 | 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        |   1395385 | PA      | $380573.79    | 0.28%             | 2037-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust 2006-7                                                    | CUSIP: 52520QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3367003 | PA      | $328596.58    | 0.24%             | 2036-11-25      | Floating      | 0.96%                 | 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        |   5369750 | PA      | $2238699.40   | 1.62%             | 2037-04-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                           | Radnor RE 2020-1 Ltd                                                            | CUSIP: 750493AE8<br>LEI: 254900YVLP8CB4GC2O97 | Long             | ABS-MBS          | CORP              | BM        |   2345000 | PA      | $2197048.79   | 1.59%             | 2030-01-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 2 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       144 | NC      | $57327.84     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -848000 | PA      | $-848000.00   | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                  | GSAA Resecuritization Mortgage Trust 2005-R1                                    | CUSIP: 36242D3S0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265961 | PA      | $39309.83     | 0.03%             | 2035-04-25      | Floating      | 4.91%                 | 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        |    222603 | PA      | $191586.25    | 0.14%             | 2035-08-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                           | Radnor RE 2021-1 Ltd                                                            | CUSIP: 75279YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1225000 | PA      | $1145309.95   | 0.83%             | 2033-12-27      | Floating      | 6.63%                 | 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        |     33227 | PA      | $32873.89     | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -581000 | PA      | $-581000.00   | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                          | Countrywide Asset-Backed Certificates                                           | CUSIP: 23248AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282452 | PA      | $214904.82    | 0.16%             | 2047-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2360000 | PA      | $-2360000.00  | -1.71%            |  |  |  | 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      | $741503.79    | 0.54%             | 2036-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                         | ChaseFlex Trust Series 2005-2                                                   | CUSIP: 16165TBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5737757 | PA      | $623090.58    | 0.45%             | 2035-06-25      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| Greenwich Capital Acceptance I                          | RBS Acceptance Inc                                                              | CUSIP: 396782EG5<br>LEI: 213800OU9AJE7513ME91 | Long             | ABS-O            | CORP              | US        |   2191561 | PA      | $65.75        | 0.00%             | 2020-08-10      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi                          | BankAmerica Manufactured Housing Contract Trust                                 | CUSIP: 065910AH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7866000 | PA      | $318437.70    | 0.23%             | 2026-10-10      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2316788 | PA      | $2110532.85   | 1.53%             | 2038-10-15      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -905000 | PA      | $-905000.00   | -0.66%            |  |  |  | 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        |     88751 | PA      | $81695.31     | 0.06%             | 2045-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1103000 | PA      | $-1103000.00  | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1893000 | PA      | $-1893000.00  | -1.37%            |  |  |  | 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        |     41365 | PA      | $35144.36     | 0.03%             | 2035-11-25      | Floating      | 3.75%                 | 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        |   4562552 | NS      | $4562552.20   | 3.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -2000000 | PA      | $-2032402.74  | -1.47%            | 2053-01-15      | Fixed         | 6.00%                 | 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      | $35872.39     | 0.03%             | 2046-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Thrust Engine Leasing                                   | Thrust Engine Leasing 2021 DAC                                                  | CUSIP: 88603UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1609371 | PA      | $1186871.57   | 0.86%             | 2040-07-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -660000 | PA      | $-660000.00   | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1724000 | PA      | $-1724000.00  | -1.25%            |  |  |  | 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        |   3750000 | PA      | $2785912.50   | 2.02%             | 2045-09-26      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                        | Bellemeade Re 2017-1 Ltd                                                        | CUSIP: 078767AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1070000 | PA      | $1071023.88   | 0.78%             | 2027-10-25      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                          | Residential Asset Securitization Trust 2006-A1                                  | CUSIP: 45660L6P9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2653301 | PA      | $276797.94    | 0.20%             | 2036-04-25      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Tru                          | ML-CFC Commercial Mortgage Trust 2007-9                                         | CUSIP: 60688CAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3876 | PA      | $3810.44      | 0.00%             | 2049-09-12      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-DNA3                                               | CUSIP: 35564TBD1<br>LEI: 549300KB1O80CETXGJ21 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1752624.65   | 1.27%             | 2049-07-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| KNDR Trust 2021-KIND                                    | KIND Trust 2021-KIND                                                            | CUSIP: 482606AS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1797012 | PA      | $1600025.32   | 1.16%             | 2038-08-15      | Floating      | 8.27%                 | 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      | $1066572.91   | 0.77%             | 2044-11-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Series 2015-2R                                                             | CUSIP: 12649QBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3432271 | PA      | $2594168.06   | 1.88%             | 2036-08-27      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| mrcd 2019-prkc mortgage trust                           | MRCD 2019-PRKC Mortgage Trust                                                   | CUSIP: 55348UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2048000 | PA      | $1497898.60   | 1.08%             | 2036-12-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp II                                                  | CUSIP: 36228FCU8<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |      8661 | PA      | $8678.12      | 0.01%             | 2023-03-20      | Floating      | 3.34%                 | 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        |    174336 | PA      | $127729.32    | 0.09%             | 2035-11-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| River Haus 2021 A-2                                     | River Haus 2021 A-2                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1499555.55   | 1.09%             | 2024-08-15      | Floating      | 6.95%                 | No            |                  3 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G0LK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1571969 | PA      | $1534862.59   | 1.11%             | 2029-03-25      | Floating      | 12.99%                | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2005-S3                                                | CUSIP: 466247ZN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    610143 | PA      | $331987.61    | 0.24%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -799000 | PA      | $-799000.00   | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit                           | Freddie Mac Multifamily Structured Credit Risk                                  | CUSIP: 35563FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    950000 | PA      | $895828.91    | 0.65%             | 2051-01-25      | Floating      | 11.30%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   3508594 | PA      | $3544302.88   | 2.57%             | 2029-04-25      | Floating      | 13.64%                | No            |                  2 | On Loan: No      |
| Access Group Inc                                        | AccessLex Institute                                                             | CUSIP: 00432CBK6<br>LEI: 635400C9RW3TYNTIJP57 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $95102.50     | 0.07%             | 2039-07-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                          | Renaissance Home Equity Loan Trust 2007-2                                       | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445054 | PA      | $137327.08    | 0.10%             | 2037-06-25      | Variable      | 5.67%                 | 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      | $1401860.40   | 1.01%             | 2040-01-25      | Floating      | 7.64%                 | 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        |     93420 | PA      | $85958.72     | 0.06%             | 2036-07-20      | Variable      | 3.31%                 | 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        |     52762 | PA      | $7593.02      | 0.01%             | 2036-04-15      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | STACR Trust 2018-HRP2                                                           | CUSIP: 35564ACC3<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |   3530000 | PA      | $3737500.46   | 2.71%             | 2047-02-25      | Floating      | 14.89%                | 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        |   1710000 | PA      | $1307402.90   | 0.95%             | 2032-01-26      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -523000 | PA      | $-523000.00   | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1098000 | PA      | $-1098000.00  | -0.79%            |  |  |  | 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        |    175334 | PA      | $101412.11    | 0.07%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |    132508 | PA      | $113260.41    | 0.08%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Rialto Real Estate Fund LP                              | RIAL 2022-FL8 Issuer Ltd                                                        | CUSIP: 76243NAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1500000 | PA      | $1462495.50   | 1.06%             | 2037-01-19      | Floating      | 9.82%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                               | BPR Trust 2021-TY                                                               | CUSIP: 05592AAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $905567.90    | 0.66%             | 2038-09-15      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-ADV                                                                   | CUSIP: 12660WAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2080000 | PA      | $1790973.81   | 1.30%             | 2038-07-15      | Floating      | 10.57%                | No            |                  2 | 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        |    377859 | PA      | $207528.93    | 0.15%             | 2036-03-25      | Variable      | 2.74%                 | 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        |    190626 | PA      | $110893.16    | 0.08%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2019-RIO                                                                   | CUSIP: 12597HAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2975040 | PA      | $2967712.33   | 2.15%             | 2022-12-15      | Floating      | 11.32%                | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust                  | CUSIP: 92925GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108374 | PA      | $93219.06     | 0.07%             | 2036-12-25      | Variable      | 3.41%                 | 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        |    465459 | PA      | $314417.75    | 0.23%             | 2035-10-25      | Floating      | 4.89%                 | 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        |    792224 | PA      | $683638.43    | 0.49%             | 2046-12-27      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T                          | New Century Home Equity Loan Trust 2004-3                                       | CUSIP: 64352VHX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115431 | PA      | $113663.82    | 0.08%             | 2034-11-25      | Floating      | 5.45%                 | 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        |   1775850 | PA      | $1374551.87   | 1.00%             | 2046-10-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1060000 | PA      | $-1060000.00  | -0.77%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2017-RPL1 Trust                                                            | CUSIP: 22945AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3042894 | PA      | $579966.45    | 0.42%             | 2057-07-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Asset Trust                           | Bayview Financial Asset Trust 2007-SSR1                                         | CUSIP: 07325QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450281 | PA      | $1389170.50   | 1.01%             | 2037-03-25      | Floating      | 5.19%                 | 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        |      8293 | PA      | $7909.99      | 0.01%             | 2034-10-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2020-1                               | CUSIP: 35563PPP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4058333 | PA      | $1413309.28   | 1.02%             | 2059-08-25      | Variable      | 4.07%                 | 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        |   2678184 | PA      | $2315798.76   | 1.68%             | 2037-02-27      | Variable      | 3.18%                 | 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        |     12628 | PA      | $7202.45      | 0.01%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -314000 | PA      | $-314000.00   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1982083.44   | 1.44%             | 2053-01-15      | Fixed         | 5.00%                 | 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        |    175971 | PA      | $106430.40    | 0.08%             | 2036-07-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF 2021-KF117 Mortgage Trust                                                 | CUSIP: 30320YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1474805 | PA      | $1417465.59   | 1.03%             | 2031-07-25      | Floating      | 10.13%                | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                          | Wells Fargo Alternative Loan 2007-PA1 Trust                                     | CUSIP: 94984TAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1185307 | PA      | $47213.61     | 0.03%             | 2037-03-25      | Floating      | 1.07%                 | 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        |     66574 | PA      | $49702.27     | 0.04%             | 2037-01-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                             | Hertz Vehicle Financing LLC                                                     | CUSIP: 42806MBG3<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1573675.72   | 1.14%             | 2026-09-25      | Fixed         | 6.56%                 | 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        |     66893 | PA      | $24937.44     | 0.02%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru                          | Tharaldson Hotel Portfolio Trust 2018-THPT                                      | CUSIP: 88327HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1012600 | PA      | $949083.15    | 0.69%             | 2034-11-11      | Floating      | 7.70%                 | 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  | -1.51%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -962000 | PA      | $-962000.00   | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1507000 | PA      | $-1507000.00  | -1.09%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US ULTRA TREASURY BOND                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -6 | NC      | $10489.62     | 0.01%             |  |  |  | No            |                  1 | 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      | $461743.97    | 0.33%             | 2041-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust                  | CUSIP: 92922F6C7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504394 | PA      | $268548.53    | 0.19%             | 2045-11-25      | Floating      | 5.19%                 | 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      | $2324698.75   | 1.68%             | 2032-11-15      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2020-DNA5                                         | CUSIP: 35566ABD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1026044.20   | 0.74%             | 2050-10-25      | Floating      | 8.73%                 | 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  | -0.90%            |  |  |  | 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      | $120965.08    | 0.09%             | 2047-03-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2014-A                                         | CUSIP: 784456105<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |      6875 | PA      | $566615.15    | 0.41%             | 2045-09-15      | None          | 0.00%                 | 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        |    127869 | PA      | $108131.29    | 0.08%             | 2035-10-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -623000 | PA      | $-623000.00   | -0.45%            |  |  |  | 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        |    193723 | PA      | $43750.14     | 0.03%             | 2036-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust 2007-5                                                    | CUSIP: 52521RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2595600 | PA      | $416010.35    | 0.30%             | 2037-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                               | GSMPS Mortgage Loan Trust 2005-RP1                                              | CUSIP: 36242DXL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39108 | PA      | $39298.30     | 0.03%             | 2035-01-25      | Fixed         | 8.50%                 | 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        |     62029 | PA      | $48127.83     | 0.03%             | 2036-01-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2007-S3                                                | CUSIP: 46631NAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1914474 | PA      | $691889.32    | 0.50%             | 2037-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                          | HarborView Mortgage Loan Trust 2006-2                                           | CUSIP: 41161PJ38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13653 | PA      | $4460.39      | 0.00%             | 2036-02-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -444000 | PA      | $-444000.00   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -902000 | PA      | $-902000.00   | -0.65%            |  |  |  | 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        |   3536000 | PA      | $2925533.11   | 2.12%             | 2038-08-15      | Floating      | 9.82%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                          | Banc of America Funding 2015-R4 Trust                                           | CUSIP: 05990RAM3<br>LEI: 549300R847L762RQF071 | Long             | ABS-MBS          | CORP              | US        |  14794986 | PA      | $4931805.04   | 3.57%             | 2030-01-27      | Variable      | 7.65%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1330000 | PA      | $-1330000.00  | -0.96%            |  |  |  | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                          | PMT Credit Risk Transfer Trust 2019-2R                                          | CUSIP: 69345WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1633500 | PA      | $1569277.29   | 1.14%             | 2023-05-27      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -2000000 | PA      | $-1982083.44  | -1.44%            | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                           | RFMSI Series 2007-S6 Trust                                                      | CUSIP: 762009AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    972919 | PA      | $652081.83    | 0.47%             | 2037-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Se                          | BCMSC Trust 1998-B                                                              | CUSIP: 09774XAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207614 | PA      | $201995.23    | 0.15%             | 2028-10-15      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2017-RPL1 Trust                                                            | CUSIP: 22945AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3052442 | PA      | $1957447.72   | 1.42%             | 2057-07-25      | Variable      | 2.95%                 | 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        |   1640000 | PA      | $1353813.93   | 0.98%             | 2061-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1935000 | PA      | $-1935000.00  | -1.40%            |  |  |  | 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        |    101707 | PA      | $8911.57      | 0.01%             | 2036-04-15      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -758000 | PA      | $-758000.00   | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1972000 | PA      | $-1972000.00  | -1.43%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2017-2                               | CUSIP: 35563PBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 365808372 | PA      | $1499448.52   | 1.09%             | 2056-08-25      | Variable      | 0.07%                 | 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        |    190362 | PA      | $55660.87     | 0.04%             | 2036-03-25      | Floating      | 4.89%                 | 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        |    109736 | PA      | $94539.55     | 0.07%             | 2046-04-25      | Floating      | 4.60%                 | 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        |     25429 | PA      | $24256.13     | 0.02%             | 2035-01-25      | Variable      | 3.17%                 | 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        |     16623 | PA      | $13240.17     | 0.01%             | 2036-02-20      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G1CW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1793912 | PA      | $1290495.52   | 0.93%             | 2048-05-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -235000 | PA      | $-235000.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G0JZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    493842 | PA      | $510289.68    | 0.37%             | 2028-10-25      | Floating      | 14.89%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G0KV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1026137 | PA      | $1082776.61   | 0.78%             | 2028-12-25      | Floating      | 15.64%                | 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      | $1475786.95   | 1.07%             | 2032-07-15      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                          | RAMP Series 2005-SL2 Trust                                                      | CUSIP: 76112BUZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239965 | PA      | $121008.51    | 0.09%             | 2031-10-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust 2006-7                                                    | CUSIP: 52520QAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4893824 | PA      | $622994.56    | 0.45%             | 2036-11-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                          | Banc of America Funding 2015-R2 Trust                                           | CUSIP: 05990TBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3316822 | PA      | $2775125.71   | 2.01%             | 2036-03-27      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2990000 | PA      | $-2990000.00  | -2.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                          | Structured Asset Investment Loan Trust 2004-8                                   | CUSIP: 86358EMH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    297405 | PA      | $278845.99    | 0.20%             | 2034-09-25      | Floating      | 8.14%                 | 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-MBS          | CORP              | US        |   3503686 | PA      | $227834.55    | 0.16%             | 2036-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                                      | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $4056680.48   | 2.94%             | 2053-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -894000 | PA      | $-894000.00   | -0.65%            |  |  |  | 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        |    748159 | PA      | $600267.16    | 0.43%             | 2047-06-25      | Floating      | 4.75%                 | 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        |    519120 | PA      | $265247.77    | 0.19%             | 2036-05-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2632000 | PA      | $-2632000.00  | -1.91%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                           | RFMSI Series 2007-S6 Trust                                                      | CUSIP: 762009AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    972919 | PA      | $62428.61     | 0.05%             | 2037-06-25      | Floating      | 1.11%                 | 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      | $903097.08    | 0.65%             | 2062-04-20      | Fixed         | 4.38%                 | 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        |     44681 | PA      | $35942.53     | 0.03%             | 2034-08-25      | Fixed         | 7.50%                 | 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        |     51318 | PA      | $50191.61     | 0.04%             | 2047-04-25      | Floating      | 4.52%                 | 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        |    150719 | PA      | $134548.14    | 0.10%             | 2035-08-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G1DQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   3708477 | PA      | $2574328.89   | 1.86%             | 2048-11-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2005-2                                          | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42544 | PA      | $37862.85     | 0.03%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12                 | CUSIP: 46632HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70526 | PA      | $62888.13     | 0.05%             | 2051-02-15      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

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

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer