# EDGAR Filing Document

**Accession Number:** 0001478102
**File Stem:** 0001752724-25-203534
**Filing Date:** 2025-8
**Character Count:** 169570
**Document Hash:** 34b9ebc5b3a3c76204c42c8c696920e9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-203534.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-203534

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22369
- **FILM NUMBER:** 251253228

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-06-30

**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:** $260398927.52

**Total Liabilities:** $124549485.43

**Net Assets:** $135849442.09

**Delayed Delivery Securities:** $1930000.00

**Cash Not Reported:** $2278628.97

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3614.92000000 | **1-Year:** 997.11000000 | **5-Year:** 9609.51000000 | **10-Year:** 4747.31000000 | **30-Year:** 158.67000000

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

- **3-Month:** 184.37000000 | **1-Year:** 11227.18000000 | **5-Year:** 49468.27000000 | **10-Year:** 29100.90000000 | **30-Year:** 3551.79000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000000 | 0.16%                | 0.84%                | 3.34%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $119407.76               | $-2172220.07                               |
| Month 2  | $-595655.02              | $842899.63                                 |
| Month 3  | $233818.11               | $1840400.97                                |

### Schedule of Portfolio Investments

| Name                                                    | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -553000 | PA      | $-553000.00   | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                       | Jamestown CLO XVII Ltd                                                          | CUSIP: 47048UAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    280000 | PA      | $281050.00    | 0.21%             | 2035-01-25      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAV5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    750000 | PA      | $792828.00    | 0.58%             | N/A             | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                         | Lehman XS Trust 2006-19                                                         | CUSIP: 52523YAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    274580 | PA      | $265946.81    | 0.20%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2361000 | PA      | $-2361000.00  | -1.74%            |  |  |  | No            |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR 2023-SFR2 Trust                                                            | CUSIP: 00178YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1690000 | PA      | $1599775.13   | 1.18%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -959000 | PA      | $-959000.00   | -0.71%            |  |  |  | No            |                  2 | On Loan: No      |
| CUSHMAN & WAKEFIELD US                                  | Cushman & Wakefield US Borrower LLC                                             | CUSIP: 23166MAC7<br>LEI: 549300870CMN3WI5IF97 | Long             | DBT              | CORP              | US        |    130000 | PA      | $139699.94    | 0.10%             | 2031-09-01      | Fixed         | 8.88%                 | 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        |      8309 | PA      | $5194.69      | 0.00%             | 2035-10-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1                   | CUSIP: 35563PAH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 124612866 | PA      | $500819.11    | 0.37%             | 2055-09-25      | Variable      | 0.07%                 | 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      | $2481626.25   | 1.83%             | 2032-11-15      | Floating      | 9.06%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm                          | American Home Mortgage Investment Trust 2007-A                                  | CUSIP: 026933AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1692098 | PA      | $356496.09    | 0.26%             | 2046-07-25      | Floating      | 5.33%                 | 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        |     59000 | PA      | $58538.69     | 0.04%             | 2045-10-25      | Floating      | 5.41%                 | 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      | $49.69        | 0.00%             | 2036-12-15      | Floating      | 11.68%                | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                   | Toorak Mortgage Trust 2024-RRTL1                                                | CUSIP: 890938AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $649548.80    | 0.48%             | 2039-02-25      | Variable      | 10.33%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1099000 | PA      | $-1099000.00  | -0.81%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1174000 | PA      | $-1174000.00  | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2018-HQA2                                               | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |   1870000 | PA      | $2322775.99   | 1.71%             | 2048-10-25      | Floating      | 15.42%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -45000 | PA      | $-45000.00    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| DK Trust                                                | DK 2024-SPT1 Note Backed Trust                                                  | CUSIP: 23292KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848783 | PA      | $865786.35    | 0.64%             | 2066-04-28      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | NYMT Loan Trust Series 2024-BPL1                                                | CUSIP: 62956MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1620000 | PA      | $1632431.88   | 1.20%             | 2029-02-25      | Variable      | 8.62%                 | 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      | $1538319.00   | 1.13%             | 2040-01-25      | Floating      | 7.67%                 | 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        |     34857 | PA      | $2737.31      | 0.00%             | 2036-04-15      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                           | GS Mortgage-Backed Securities Trust 2021-GR2                                    | CUSIP: 36262JBR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  64989170 | PA      | $757663.24    | 0.56%             | 2052-02-25      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2509000 | PA      | $-2509000.00  | -1.85%            |  |  |  | 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        |  15446023 | PA      | $218508.71    | 0.16%             | 2059-09-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                         | SEB Funding LLC                                                                 | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1020000 | PA      | $1044451.03   | 0.77%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2025-RCF3 LLC                                                              | CUSIP: 69392PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $930699.90    | 0.69%             | 2055-07-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT                          | Golub Capital Partners CLO 77 B Ltd                                             | CUSIP: 38180TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $850163.03    | 0.63%             | 2038-01-25      | Floating      | 9.15%                 | 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        |     36245 | PA      | $26864.10     | 0.02%             | 2034-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                          | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $307566.98    | 0.23%             | 2034-09-15      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1509000 | PA      | $-1509000.00  | -1.11%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1369000 | PA      | $-1369000.00  | -1.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2019-FAME                          | CUSIP: 63873VAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $348086.85    | 0.26%             | 2036-08-15      | Variable      | 4.54%                 | 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        |    648278 | PA      | $588525.40    | 0.43%             | 2046-12-27      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| KNDR Trust 2021-KIND                                    | KIND Trust 2021-KIND                                                            | CUSIP: 482606AS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1299330 | PA      | $1283151.40   | 0.94%             | 2038-08-15      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust Series 2024-3                                          | CUSIP: 46657QBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20683317 | PA      | $423971.80    | 0.31%             | 2054-05-25      | Variable      | 0.33%                 | 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        |   1638652 | PA      | $110840.54    | 0.08%             | 2036-09-25      | Floating      | 0.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1843442 | PA      | $1956784.06   | 1.44%             | 2028-08-25      | Floating      | 16.17%                | 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      | $490365.02    | 0.36%             | 2036-08-15      | Variable      | 4.54%                 | 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      | $206241.74    | 0.15%             | 2045-09-15      | None          | 0.00%                 | 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        |    435250 | PA      | $411385.20    | 0.30%             | 2031-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2019-NQM4                                   | CUSIP: 64828EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1608000 | PA      | $1485696.16   | 1.09%             | 2059-09-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2022-LP2                                           | CUSIP: 05610HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    805000 | PA      | $804469.59    | 0.59%             | 2039-02-15      | Floating      | 8.42%                 | 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        |     95760 | PA      | $84796.00     | 0.06%             | 2035-10-25      | Variable      | 4.72%                 | 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        |     84340 | PA      | $70345.76     | 0.05%             | 2035-03-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -974000 | PA      | $-974000.00   | -0.72%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1198000 | PA      | $-1198000.00  | -0.88%            |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2024-AFC1 Trust                                                           | CUSIP: 69380WAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1451051.25   | 1.07%             | 2059-03-25      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1721000 | PA      | $-1721000.00  | -1.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2                   | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    681000 | PA      | $660600.65    | 0.49%             | 2058-08-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1076000 | PA      | $-1076000.00  | -0.79%            |  |  |  | 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        |     10178 | PA      | $4554.87      | 0.00%             | 2036-04-15      | None          | 0.00%                 | 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        |     87526 | PA      | $78771.16     | 0.06%             | 2035-10-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| NYT Mortgage Trust                                      | BF 2019-NYT Mortgage Trust                                                      | CUSIP: 62954PAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1440000 | PA      | $1288855.01   | 0.95%             | 2035-12-15      | Floating      | 7.11%                 | 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        |    167898 | PA      | $138813.72    | 0.10%             | 2037-03-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC                                  | Full House Resorts Inc                                                          | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1020987.66   | 0.75%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -205000 | PA      | $-205000.00   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2021-BNK35                                                                 | CUSIP: 06540CCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4703147 | PA      | $1535266.15   | 1.13%             | 2064-06-15      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| TWO HARBORS INV CORP                                    | Two Harbors Investment Corp                                                     | CUSIP: 90187BAB7<br>LEI: 549300ZUIBT6KH4HU823 | Long             | DBT              | CORP              | US        |   1835000 | PA      | $1804722.50   | 1.33%             | 2026-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -929000 | PA      | $-929000.00   | -0.68%            |  |  |  | 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        |     53626 | PA      | $41115.39     | 0.03%             | 2037-01-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -5657000 | PA      | $-5657000.00  | -4.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                          | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                   | CUSIP: 225470DY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183642 | PA      | $96091.17     | 0.07%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GREYSTONE SELECT FINANCI                                | Greystone Select Financial LLC                                                  | CUSIP: 39808KAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    977848 | PA      | $972958.84    | 0.72%             | 2028-06-19      | Floating      | 9.32%                 | No            |                  3 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1008000 | PA      | $-1008000.00  | -0.74%            |  |  |  | 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        |    104695 | PA      | $95108.78     | 0.07%             | 2036-05-25      | Floating      | 4.79%                 | 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        |   1358642 | PA      | $1352810.78   | 1.00%             | 2037-03-25      | Floating      | 5.33%                 | 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        |    648940 | PA      | $459608.54    | 0.34%             | 2048-01-20      | Fixed         | 3.50%                 | 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        |   5230933 | PA      | $2434312.59   | 1.79%             | 2037-04-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                   | Toorak Mortgage Trust 2024-RRTL1                                                | CUSIP: 89054YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $808889.60    | 0.60%             | 2039-02-25      | Variable      | 10.33%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -48000 | PA      | $-48000.00    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -25000 | PA      | $-25000.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves | Western Asset Premier Institutional Government Reserves                         | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |   5097838 | NS      | $5097838.31   | 3.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Atrium Hotel Portfolio Trust                            | Atrium Hotel Portfolio Trust 2017-ATRM                                          | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1388311 | PA      | $1283493.24   | 0.94%             | 2036-12-15      | Floating      | 7.66%                 | 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      | $82355.03     | 0.06%             | 2047-03-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1331000 | PA      | $-1331000.00  | -0.98%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1218000 | PA      | $-1218000.00  | -0.90%            |  |  |  | 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        |    302523 | PA      | $149948.59    | 0.11%             | 2036-03-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1056000 | PA      | $-1056000.00  | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1136000 | PA      | $-1136000.00  | -0.84%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2021-3                   | CUSIP: 35563P6W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1660612 | PA      | $958985.58    | 0.71%             | 2061-03-25      | Variable      | 9.58%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -646000 | PA      | $-646000.00   | -0.48%            |  |  |  | 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        |    131624 | PA      | $17871.65     | 0.01%             | 2036-04-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                           | Starwood Mortgage Residential Trust 2021-4                                      | CUSIP: 85573PAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $1885829.85   | 1.39%             | 2056-08-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3                   | CUSIP: 35563PGW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3283115 | PA      | $1182532.26   | 0.87%             | 2057-08-25      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -596000 | PA      | $-596000.00   | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -886000 | PA      | $-886000.00   | -0.65%            |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2023-AFC3 Trust                                                           | CUSIP: 693984AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220000 | PA      | $1219280.44   | 0.90%             | 2058-09-25      | Variable      | 7.77%                 | 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        |    137786 | PA      | $121414.38    | 0.09%             | 2036-07-27      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz                          | NRM FNT1 Excess LLC                                                             | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    779589 | PA      | $793252.66    | 0.58%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1                   | CUSIP: 35563PAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11999838 | PA      | $1730693.40   | 1.27%             | 2055-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJB6<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1420366.20   | 1.05%             | 2034-01-25      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                          | CWABS Revolving Home Equity Loan Trust Series 2004-L                            | CUSIP: 126673KQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9435 | PA      | $9113.68      | 0.01%             | 2034-02-15      | Floating      | 4.71%                 | 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   | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                           | UWM Mortgage Trust 2021-1                                                       | CUSIP: 91824NAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22621527 | PA      | $304354.55    | 0.22%             | 2051-06-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                       | Elevation CLO 2016-5 Ltd                                                        | CUSIP: 28623BAC7<br>LEI: 549300IH854FT1JLRT08 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $493959.80    | 0.36%             | 2038-01-25      | Floating      | 11.89%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1094000 | PA      | $-1094000.00  | -0.81%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Securitized Participation Interests Trust 2018-SPI4           | CUSIP: 3137G1DQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3693660 | PA      | $2658205.78   | 1.96%             | 2048-11-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -172000 | PA      | $-172000.00   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -230000 | PA      | $-230000.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1147000 | PA      | $-1147000.00  | -0.84%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1114000 | PA      | $-1114000.00  | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |   1640000 | PA      | $1743844.96   | 1.28%             | 2041-10-25      | Floating      | 11.81%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -885000 | PA      | $-885000.00   | -0.65%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1347000 | PA      | $-1347000.00  | -0.99%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1777000 | PA      | $-1777000.00  | -1.31%            |  |  |  | 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        |     92657 | PA      | $86068.25     | 0.06%             | 2036-05-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1589000 | PA      | $-1589000.00  | -1.17%            |  |  |  | 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      | $1956665.00   | 1.44%             | 2034-04-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential 2021-SFR4                                                  | CUSIP: 74333EAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    835000 | PA      | $818663.89    | 0.60%             | 2038-05-17      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -210000 | PA      | $-210000.00   | -0.15%            |  |  |  | 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        |    581464 | PA      | $504129.64    | 0.37%             | 2047-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -309000 | PA      | $-309000.00   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2024-KING                                          | CUSIP: 05612RAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1174537 | PA      | $1176593.12   | 0.87%             | 2034-05-15      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2015-GC32                                          | CUSIP: 36250PAM7<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $654308.55    | 0.48%             | 2048-07-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US ULTRA BOND CBT                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -20 | NC      | $-97653.12    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Popular ABS Mortgage Pass-Thro                          | Popular ABS Mortgage Pass-Through Trust 2005-5                                  | CUSIP: 73316PGW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1712272 | PA      | $1529791.90   | 1.13%             | 2035-11-25      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                          | RAMP Series 2004-RS4 Trust                                                      | CUSIP: 7609853J8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    795591 | PA      | $721676.05    | 0.53%             | 2034-04-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -636000 | PA      | $-636000.00   | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| Rialto Real Estate Fund LP                              | RIAL 2022-FL8 Issuer Ltd                                                        | CUSIP: 76243NAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1500000 | PA      | $1484304.30   | 1.09%             | 2037-01-19      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2023-AFC1 Trust                                                           | CUSIP: 693981AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480000 | PA      | $1496217.54   | 1.10%             | 2058-02-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                          | RALI Series 2005-QA3 Trust                                                      | CUSIP: 76110H2N8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    704332 | PA      | $321173.78    | 0.24%             | 2035-03-25      | Variable      | 4.08%                 | 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        |     30710 | PA      | $25292.21     | 0.02%             | 2035-09-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1907000 | PA      | $-1907000.00  | -1.40%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2023-V3 Mortgage Trust                                                | CUSIP: 08163VAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $972222.13    | 0.72%             | 2056-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1524000 | PA      | $-1524000.00  | -1.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Clover CLO                                              | Clover CLO 2021-3 LLC                                                           | CUSIP: 18915FAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    720000 | PA      | $722329.99    | 0.53%             | 2035-01-25      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -736000 | PA      | $-736000.00   | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1531000 | PA      | $-1531000.00  | -1.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                             | Balboa Bay Loan Funding 2023-1 Ltd                                              | CUSIP: 05766HAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    640000 | PA      | $643200.00    | 0.47%             | 2036-04-20      | Floating      | 0.01%                 | 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        |      3926 | PA      | $3855.59      | 0.00%             | 2035-10-20      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2019-4                                      | CUSIP: 64830WCK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2086159 | PA      | $1377175.28   | 1.01%             | 2058-12-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -20000 | PA      | $-20000.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E                          | FARM 2024-2 Mortgage Trust                                                      | CUSIP: 307910AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1009552 | PA      | $898240.66    | 0.66%             | 2054-08-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1656000 | PA      | $-1656000.00  | -1.22%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -29000 | PA      | $-29000.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp II                                                  | CUSIP: 36269JAN8<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   4420000 | PA      | $4447524.45   | 3.27%             | 2041-03-10      | Variable      | 10.33%                | 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        |   1215887 | PA      | $1089351.11   | 0.80%             | 2045-01-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1070000 | PA      | $-1070000.00  | -0.79%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -874000 | PA      | $-874000.00   | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA2                                         | CUSIP: 35565KBE7<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |   1166729 | PA      | $1281841.28   | 0.94%             | 2050-02-25      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-FTR3                                               | CUSIP: 35565EAE2<br>LEI: 5493009ZFZYH4FRCW638 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1311776.40   | 0.97%             | 2047-09-25      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| AGNC INVESTMENT CORP                                    | AGNC Investment Corp                                                            | CUSIP: 00123Q872<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     54778 | NS      | $1375475.58   | 1.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -230000 | PA      | $-230000.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| BFLD Trust                                              | BFLD Commercial Mortgage Trust 2024-UNIV                                        | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1172621.85   | 0.86%             | 2041-11-15      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1923434 | PA      | $2069630.80   | 1.52%             | 2028-10-25      | Floating      | 16.17%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -422000 | PA      | $-422000.00   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -703000 | PA      | $-703000.00   | -0.52%            |  |  |  | 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      | $28266.21     | 0.02%             | 2046-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -504000 | PA      | $-504000.00   | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF 2021-KF117 Mortgage Trust                                                 | CUSIP: 30320YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    560588 | PA      | $513340.50    | 0.38%             | 2031-07-25      | Floating      | 10.71%                | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg                          | Saluda Grade Alternative Mortgage Trust 2024-RTL4                               | CUSIP: 79584CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770000 | PA      | $1771124.30   | 1.30%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust 2006-3                                                    | CUSIP: 52520CAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3962266 | PA      | $369322.81    | 0.27%             | 2036-07-25      | Floating      | 0.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-HQA3                                               | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | CORP              | US        |   1680000 | PA      | $1904880.10   | 1.40%             | 2049-09-25      | Floating      | 11.92%                | 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        |     14387 | PA      | $14358.07     | 0.01%             | 2027-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2024-8                                               | CUSIP: 92540PAE8<br>LEI: 213800RZ8QGNZ38DSP77 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1753298.05   | 1.29%             | 2069-10-25      | Variable      | 7.03%                 | 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        |    615551 | PA      | $617792.83    | 0.45%             | 2037-03-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | STACR Trust 2018-HRP2                                                           | CUSIP: 35564ACC3<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |   3530000 | PA      | $4408890.22   | 3.25%             | 2047-02-25      | Floating      | 14.92%                | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-1                   | CUSIP: 35563PW21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1540000 | PA      | $1301166.02   | 0.96%             | 2063-11-25      | Variable      | 5.00%                 | 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        |     26541 | PA      | $24385.26     | 0.02%             | 2036-05-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                             | Home RE 2023-1 Ltd                                                              | CUSIP: 43731BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1073003.80   | 0.79%             | 2033-10-25      | Floating      | 10.31%                | No            |                  2 | On Loan: No      |
| BSREP Commercial Mortgage Trus                          | BSREP Commercial Mortgage Trust 2021-DC                                         | CUSIP: 05591UAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3013097 | PA      | $690376.11    | 0.51%             | 2038-08-15      | Floating      | 9.93%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                             | Balboa Bay Loan Funding 2024-2 Ltd                                              | CUSIP: 05765BAA7<br>LEI: 254900FG1DS8PNX30R63 | Long             | ABS-CBDO         | CORP              | KY        |    290000 | PA      | $293777.63    | 0.22%             | 2038-01-20      | Floating      | 10.07%                | No            |                  2 | On Loan: No      |
| Cent CLO LP                                             | Columbia Cent CLO 35 Ltd                                                        | CUSIP: 19739RAJ7<br>LEI: 2549006YWAD6BJI1C841 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501875.00    | 0.37%             | 2036-07-25      | Floating      | 0.01%                 | 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        |    222826 | PA      | $110025.72    | 0.08%             | 2036-12-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Stonepeak                                               | Stonepeak 2021-1 ABS                                                            | CUSIP: 78433XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    575998 | PA      | $549192.96    | 0.40%             | 2033-02-28      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2                   | CUSIP: 35563PFX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3366873 | PA      | $1330116.64   | 0.98%             | 2057-11-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1342000 | PA      | $-1342000.00  | -0.99%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1029000 | PA      | $-1029000.00  | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                          | IndyMac INDX Mortgage Loan Trust 2006-AR11                                      | CUSIP: 45661KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195229 | PA      | $151028.02    | 0.11%             | 2036-06-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                           | CAFL 2024-RTL1 Issuer LLC                                                       | CUSIP: 12770DAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1460000 | PA      | $1479102.64   | 1.09%             | 2031-11-28      | Variable      | 8.68%                 | 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      | $2938964.83   | 2.16%             | 2035-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                          | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3430000 | PA      | $3306508.00   | 2.43%             | 2034-09-15      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                          | Countrywide Asset-Backed Certificates                                           | CUSIP: 23248AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224821 | PA      | $186987.69    | 0.14%             | 2047-05-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -589000 | PA      | $-589000.00   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                          | Home Partners of America 2021-2 Trust                                           | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1430275 | PA      | $1378688.75   | 1.01%             | 2026-12-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1396000 | PA      | $-1396000.00  | -1.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                                     | Apex Credit CLO 2019-II Ltd                                                     | CUSIP: 03755CBJ2<br>LEI: 549300OKB854VBBC1981 | Long             | ABS-CBDO         | CORP              | KY        |    560000 | PA      | $555807.73    | 0.41%             | 2038-01-25      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1221000 | PA      | $-1221000.00  | -0.90%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-1                   | CUSIP: 35563PPP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4005557 | PA      | $1906668.88   | 1.40%             | 2059-08-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2023-5                                               | CUSIP: 924934AE2<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1206983.28   | 0.89%             | 2068-06-25      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| Hartwick Park CLO, Ltd.                                 | Hartwick Park CLO Ltd                                                           | CUSIP: 417402AE4<br>LEI: 2549003E1ZAWJG55NM75 | Long             | ABS-CBDO         | CORP              | JE        |    380000 | PA      | $372888.41    | 0.27%             | 2037-01-20      | Floating      | 9.12%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2021-ARIA                                                              | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1489554.75   | 1.10%             | 2036-10-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                          | Structured Asset Investment Loan Trust 2004-8                                   | CUSIP: 86358EMH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297405 | PA      | $225813.73    | 0.17%             | 2034-09-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                            | Eagle RE 2023-1 Ltd                                                             | CUSIP: 26982EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1290000 | PA      | $1370239.03   | 1.01%             | 2033-09-26      | Floating      | 9.51%                 | 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        |    525843 | PA      | $336575.67    | 0.25%             | 2036-01-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2274000 | PA      | $-2274000.00  | -1.67%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1181000 | PA      | $-1181000.00  | -0.87%            |  |  |  | No            |                  2 | On Loan: No      |
| CUSHMAN & WAKEFIELD US                                  | CUSHMAN & WAKEFIELD US                                                          | CUSIP: 23340DAU6<br>LEI: 549300870CMN3WI5IF97 | Long             | LON              | CORP              | US        |    486250 | PA      | $489490.86    | 0.36%             | 2030-01-31      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit                          | Freddie Mac Whole Loan Securities Trust 2015-SC01                               | CUSIP: 3137G1AG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2395084 | PA      | $1614216.26   | 1.19%             | 2045-05-25      | Variable      | 3.86%                 | 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        |     71759 | PA      | $28162.97     | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |    175630 | PA      | $145790.23    | 0.11%             | 2035-08-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| SOHO Trust 2021-SOHO                                    | Soho Trust 2021-SOHO                                                            | CUSIP: 83410JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $620327.60    | 0.46%             | 2038-08-10      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-2                   | CUSIP: 35563PJ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1337000 | PA      | $1226077.67   | 0.90%             | 2062-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                          | Structured Adjustable Rate Mortgage Loan Trust Series 2005-7                    | CUSIP: 863579PF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28899 | PA      | $26379.86     | 0.02%             | 2035-04-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AATJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    907715 | PA      | $106173.46    | 0.08%             | 2042-12-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| EASY 2025-RTL1                                          | Easy Street Mortgage Loan Trust 2025-RTL1                                       | CUSIP: 27786FAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010000 | PA      | $1015632.47   | 0.75%             | 2040-05-25      | Variable      | 8.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754KAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1575193.80   | 1.16%             | 2041-11-25      | Floating      | 10.51%                | 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        |    633086 | PA      | $397946.67    | 0.29%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                          | Bayview Opportunity Master Fund VII 2024-CAR1 LLC                               | CUSIP: 07336QAE2<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    810965 | PA      | $816058.27    | 0.60%             | 2031-12-26      | Floating      | 7.91%                 | 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        |    176325 | PA      | $88763.98     | 0.07%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |    106578 | PA      | $93148.20     | 0.07%             | 2036-05-25      | Variable      | 3.98%                 | 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      | $1040308.62   | 0.77%             | 2051-01-25      | Floating      | 12.06%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1248000 | PA      | $-1248000.00  | -0.92%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Securitized Participation Interests Trust 2017-SPI1           | CUSIP: 3137G1CG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736970 | PA      | $591767.29    | 0.44%             | 2047-09-25      | Variable      | 4.12%                 | 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        |    186611 | PA      | $36145.67     | 0.03%             | 2036-06-25      | Floating      | 4.57%                 | 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      | $590956.48    | 0.44%             | 2038-03-29      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-HQA4                                         | CUSIP: 35564KPP8<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1748187.54   | 1.29%             | 2041-12-25      | Floating      | 11.31%                | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co                           | Sierra Timeshare 2024-1 Receivables Funding LLC                                 | CUSIP: 826935AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    387115 | PA      | $395117.18    | 0.29%             | 2043-01-20      | Fixed         | 8.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KWG0<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1678146.00   | 1.24%             | 2042-04-25      | Floating      | 14.06%                | 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      | $659388.70    | 0.49%             | 2050-12-15      | Variable      | 2.80%                 | 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        |    117048 | PA      | $105291.70    | 0.08%             | 2034-12-25      | Variable      | 4.83%                 | 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      | $2542329.00   | 1.87%             | 2049-10-25      | Floating      | 13.17%                | 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      | $1615147.82   | 1.19%             | 2039-12-15      | Variable      | 3.57%                 | 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      | $272122.50    | 0.20%             | 2026-06-15      | Floating      | 11.93%                | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                          | Chase Mortgage Finance Trust Series 2006-S3                                     | CUSIP: 16162XAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122368 | PA      | $40767.25     | 0.03%             | 2021-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -450000 | PA      | $-450000.00   | -0.33%            |  |  |  | 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        |    197750 | PA      | $171638.07    | 0.13%             | 2036-06-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2124000 | PA      | $-2124000.00  | -1.56%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY TRUST INC                                  | Arbor Realty Trust Inc                                                          | CUSIP: 038923850<br>LEI: 549300ASFUWYQO0RW077 | Long             | EP               | CORP              | US        |     44004 | NS      | $893721.24    | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2005-11CB                                                | CUSIP: 12667GJT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    768592 | PA      | $42353.42     | 0.03%             | 2035-06-25      | Floating      | 0.57%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2023-7                                               | CUSIP: 92539YAE2<br>LEI: 213800W65K5FH3AI2J91 | Long             | ABS-MBS          | CORP              | US        |   1960000 | PA      | $1974793.30   | 1.45%             | 2068-10-25      | Variable      | 7.89%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2005000 | PA      | $-2005000.00  | -1.48%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -79 | NC      | $-234972.85   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2007-S2                                                | CUSIP: 46630WBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4875 | PA      | $4861.57      | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | 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        |    209692 | PA      | $187722.58    | 0.14%             | 2036-01-25      | Fixed         | 7.50%                 | 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        |   1291111 | PA      | $256023.16    | 0.19%             | 2037-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                          | SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC                                       | CUSIP: 83401B106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34000 | PA      | $278363.85    | 0.20%             | 2041-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -543000 | PA      | $-543000.00   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1052000 | PA      | $-1052000.00  | -0.77%            |  |  |  | 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      | $1604361.49   | 1.18%             | 2032-07-15      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                   | Anchor Mortgage Trust 2025-RTL1                                                 | CUSIP: 03290CAB2<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   1930000 | PA      | $1934793.93   | 1.42%             | 2040-05-25      | Variable      | 6.36%                 | 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        |   2238177 | PA      | $2030626.81   | 1.49%             | 2037-02-27      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                           | GS Mortgage-Backed Securities Trust 2022-NQM1                                   | CUSIP: 36264EBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1525410 | PA      | $1287949.15   | 0.95%             | 2062-05-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                          | Bayview Financing INV Trust 2021-6F                                             | CUSIP: 07290CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1322487 | PA      | $1266297.07   | 0.93%             | 2027-12-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -411000 | PA      | $-411000.00   | -0.30%            |  |  |  | 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        |     19453 | PA      | $19074.96     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust 2007-5                                                    | CUSIP: 52521RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2574134 | PA      | $433451.66    | 0.32%             | 2037-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2021-BNK35                                                                 | CUSIP: 06540CAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1860000 | PA      | $703289.25    | 0.52%             | 2064-06-15      | Variable      | 1.77%                 | 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        |     58539 | PA      | $53394.86     | 0.04%             | 2035-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2000-1                                        | CUSIP: 36228FCU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7068 | PA      | $718.17       | 0.00%             | 2023-03-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -677000 | PA      | $-677000.00   | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -80000 | PA      | $-80000.00    | -0.06%            |  |  |  | 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      | $1030231.68   | 0.76%             | 2062-04-20      | Fixed         | 4.38%                 | 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      | $1540394.05   | 1.13%             | 2057-07-25      | Variable      | 2.97%                 | 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        |     33890 | PA      | $33138.53     | 0.02%             | 2035-11-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1101000 | PA      | $-1101000.00  | -0.81%            |  |  |  | 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        |     62921 | PA      | $54936.83     | 0.04%             | 2036-02-20      | Floating      | 7.21%                 | 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  | -2.47%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-FTR2                                               | CUSIP: 35564WBE2<br>LEI: 5493008J93RJW7PJFN93 | Long             | ABS-MBS          | CORP              | US        |   1270000 | PA      | $1475814.68   | 1.09%             | 2048-11-25      | Floating      | 11.82%                | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                        | Whitebox Clo V Ltd                                                              | CUSIP: 96467NAA1<br>LEI: 254900XFXCOZ882U2O02 | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $693450.00    | 0.51%             | 2038-07-20      | Floating      | 0.01%                 | 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        |     20913 | PA      | $19029.64     | 0.01%             | 2035-01-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -599000 | PA      | $-599000.00   | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXXIX Ltd                                                             | CUSIP: 559923AE7<br>LEI: 529900728SHVCI48J015 | Long             | ABS-CBDO         | CORP              | KY        |    280000 | PA      | $276905.36    | 0.20%             | 2037-01-25      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                             | RAAC Series 2007-SP1 Trust                                                      | CUSIP: 74978AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1426481 | PA      | $1110037.20   | 0.82%             | 2037-03-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                     | BHMS 2018-MZB                                                                   | CUSIP: 05549GAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $648197.29    | 0.48%             | 2025-07-15      | Floating      | 11.25%                | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2025-SPOT                                          | CUSIP: 12433FAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1244535.13   | 0.92%             | 2040-04-15      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-INV2 Trust                                                            | CUSIP: 12659TBW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25803299 | PA      | $732901.42    | 0.54%             | 2056-11-25      | Variable      | 0.50%                 | 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        |    116468 | PA      | $73438.48     | 0.05%             | 2035-11-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                           | CAFL 2023-RTL1 Issuer LLC                                                       | CUSIP: 124762AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770000 | PA      | $1794573.09   | 1.32%             | 2030-12-28      | Variable      | 9.30%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -249000 | PA      | $-249000.00   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Renew Financial                                         | Renew 2024-2                                                                    | CUSIP: 75975DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    929630 | PA      | $900300.37    | 0.66%             | 2060-11-20      | Fixed         | 8.22%                 | 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        |    360318 | PA      | $309907.86    | 0.23%             | 2037-09-25      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2021-INV1                                                             | CUSIP: 12566PCU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  44145049 | PA      | $434488.81    | 0.32%             | 2051-07-01      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -327000 | PA      | $-327000.00   | -0.24%            |  |  |  | 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        |     56828 | PA      | $44316.44     | 0.03%             | 2036-01-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1358000 | PA      | $-1358000.00  | -1.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPR Trust                                               | BPR Trust 2021-TY                                                               | CUSIP: 05592AAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $991427.00    | 0.73%             | 2038-09-15      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas                          | FRESB 2018-SB48 Mortgage Trust                                                  | CUSIP: 30296RAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1083140 | PA      | $637612.19    | 0.47%             | 2038-02-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1291000 | PA      | $-1291000.00  | -0.95%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -467000 | PA      | $-467000.00   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1196000 | PA      | $-1196000.00  | -0.88%            |  |  |  | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Se                          | BCMSC Trust 1998-B                                                              | CUSIP: 09774XAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27887 | PA      | $27808.29     | 0.02%             | 2028-10-15      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E                          | FARM 21-1 Mortgage Trust                                                        | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1476445 | PA      | $1132699.25   | 0.83%             | 2051-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2008000 | PA      | $-2008000.00  | -1.48%            |  |  |  | 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  | -0.92%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2024-RTL1                                   | CUSIP: 64831PAF2<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |    870000 | PA      | $868016.66    | 0.64%             | 2039-03-25      | Variable      | 9.30%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                     | BWAY 2013-1515 Mortgage Trust                                                   | CUSIP: 05604FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $869068.60    | 0.64%             | 2033-03-10      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1532000 | PA      | $-1532000.00  | -1.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust 2021-J2                                           | CUSIP: 17329MDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  65746550 | PA      | $287312.42    | 0.21%             | 2051-07-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Trust 2017-CHOP                                                            | CUSIP: 12651QAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1509000 | PA      | $1460693.14   | 1.08%             | 2032-07-15      | Floating      | 11.79%                | No            |                  2 | On Loan: No      |
| (Sunnova) Aurora I Issuer, LLC                          | SUNNOVA HELIOS II ISSUER LLC 2018-1                                             | CUSIP: 86745JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    851866 | PA      | $672291.36    | 0.49%             | 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        |  -1604000 | PA      | $-1604000.00  | -1.18%            |  |  |  | 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        |    155616 | PA      | $91087.47     | 0.07%             | 2036-07-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GXX1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     47578 | PA      | $39406.23     | 0.03%             | 2035-08-25      | Variable      | 3.06%                 | 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        |     40465 | PA      | $41185.28     | 0.03%             | 2036-07-20      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2024-RTL1                                   | CUSIP: 64831PAC9<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $383514.96    | 0.28%             | 2039-03-25      | Variable      | 9.30%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1882000 | PA      | $-1882000.00  | -1.39%            |  |  |  | No            |                  2 | On Loan: No      |
| CHIMERA INVESTMENT CORP                                 | Chimera Investment Corp                                                         | CUSIP: 16934Q307<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     31752 | NS      | $706482.00    | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank                                                    | BANK 2022-BNK44                                                                 | CUSIP: 06540KBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    948000 | PA      | $728473.54    | 0.54%             | 2032-11-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| DRB PRIME STUDENT LOAN TRUST                            | DRB Prime Student Loan Trust 2017-A                                             | CUSIP: 23342K104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       429 | PA      | $846150.74    | 0.62%             | 2042-05-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                          | Credit-Based Asset Servicing and Securitization LLC                             | CUSIP: 14983AAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3379171 | PA      | $116555.05    | 0.09%             | 2036-09-25      | Floating      | 4.87%                 | 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        |    105705 | PA      | $97198.33     | 0.07%             | 2035-08-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta                          | Greystone CRE Notes 2024-HC3                                                    | CUSIP: 39808MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    610000 | PA      | $607777.65    | 0.45%             | 2041-03-15      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                        | Ocean Trails CLO XIV Ltd                                                        | CUSIP: 67515MAG3<br>LEI: 254900TWRKR5CRS1OX19 | Long             | ABS-CBDO         | CORP              | JE        |    600000 | PA      | $609808.92    | 0.45%             | 2038-01-20      | Floating      | 10.61%                | 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      | $1568518.80   | 1.15%             | 2050-03-25      | Floating      | 11.92%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2021-R01                                    | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320000 | PA      | $1379238.43   | 1.02%             | 2041-10-25      | Floating      | 10.31%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -82000 | PA      | $-82000.00    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -425000 | PA      | $-425000.00   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2023-3                                               | CUSIP: 92539GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1203096.24   | 0.89%             | 2068-03-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                    | LHOME Mortgage Trust 2024-RTL1                                                  | CUSIP: 50205DAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1110953.36   | 0.82%             | 2029-01-25      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-ADV                                                                   | CUSIP: 12660WAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1735.50      | 0.00%             | 2038-07-15      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1190000 | PA      | $-1190000.00  | -0.88%            |  |  |  | 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      | $1105530.88   | 0.81%             | 2044-11-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1939000 | PA      | $-1939000.00  | -1.43%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Series 2015-2R                                                             | CUSIP: 12649QBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2910283 | PA      | $2474870.83   | 1.82%             | 2036-08-27      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Hospitality Investors Trust                             | HIT Trust 2022-HI32                                                             | CUSIP: 40442AAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1690137 | PA      | $1713518.82   | 1.26%             | 2039-07-15      | Floating      | 11.54%                | No            |                  2 | On Loan: No      |
| FIVE POINT OP CO LP/FIVE                                | Five Point Operating Co LP / Five Point Capital Corp                            | CUSIP: 33834YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $610794.60    | 0.45%             | 2028-01-15      | Variable      | 10.50%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2019-HQA4                                         | CUSIP: 35565CBE5<br>LEI: 5493005LAQ76UDHPEE03 | Long             | ABS-MBS          | CORP              | US        |   1420000 | PA      | $1579504.77   | 1.16%             | 2049-11-25      | Floating      | 11.02%                | 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        |   1125964 | PA      | $1083409.93   | 0.80%             | 2046-10-15      | Fixed         | 5.68%                 | 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      | $938.60       | 0.00%             | 2036-12-15      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2022-INV2                                            | CUSIP: 924923AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1430000 | PA      | $1426942.80   | 1.05%             | 2067-10-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -709000 | PA      | $-709000.00   | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1355000 | PA      | $-1355000.00  | -1.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | STACR Trust 2018-HRP1                                                           | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | CORP              | US        |   5369659 | PA      | $6502383.15   | 4.79%             | 2043-05-25      | Floating      | 16.17%                | 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        |     10694 | PA      | $10618.06     | 0.01%             | 2034-09-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1498000 | PA      | $-1498000.00  | -1.10%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -367000 | PA      | $-367000.00   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -712000 | PA      | $-712000.00   | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2023-4                                               | CUSIP: 92539TAE3<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1177119.33   | 0.87%             | 2068-05-25      | Variable      | 8.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2018-DNA3                                               | CUSIP: 35563WBE3<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2313466.60   | 1.70%             | 2048-09-25      | Floating      | 12.17%                | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -44 | NC      | $-145361.92   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| ALLIANZ SE                                              | Allianz SE                                                                      | CUSIP: 018820AB6<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |    800000 | PA      | $702773.36    | 0.52%             | N/A             | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                               | HIH Trust 2024-61P                                                              | CUSIP: 40444VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1477881 | PA      | $1473973.60   | 1.09%             | 2041-10-15      | Floating      | 9.75%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -97000 | PA      | $-97000.00    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -721000 | PA      | $-721000.00   | -0.53%            |  |  |  | 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        |    180060 | PA      | $49462.17     | 0.04%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -673000 | PA      | $-673000.00   | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                                | Redwood Funding Trust 2025-2                                                    | CUSIP: 75806EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200633 | PA      | $1202558.11   | 0.89%             | 2055-05-27      | Variable      | 7.11%                 | 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        |   1755027 | PA      | $1741850.49   | 1.28%             | 2061-07-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -992000 | PA      | $-992000.00   | -0.73%            |  |  |  | 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        |   2935466 | PA      | $2108041.10   | 1.55%             | 2045-09-26      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                           | GS Mortgage-Backed Securities Trust 2021-PJ2                                    | CUSIP: 36264DAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  60069937 | PA      | $815281.20    | 0.60%             | 2051-07-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -423000 | PA      | $-423000.00   | -0.31%            |  |  |  | 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        |     41305 | PA      | $39524.87     | 0.03%             | 2047-04-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2022-BNK43                                                                 | CUSIP: 06541QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1021186.95   | 0.75%             | 2055-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1253000 | PA      | $-1253000.00  | -0.92%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1247000 | PA      | $-1247000.00  | -0.92%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1415000 | PA      | $-1415000.00  | -1.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                  | Conseco Finance Corp                                                            | CUSIP: 393505Z62<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10379562 | PA      | $2919442.89   | 2.15%             | 2031-05-01      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1261000 | PA      | $-1261000.00  | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust 2021-J2                                           | CUSIP: 17329MBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32114059 | PA      | $324030.86    | 0.24%             | 2051-07-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                          | MF1 2021-FL7 Ltd                                                                | CUSIP: 55284AAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1967432.80   | 1.45%             | 2036-10-16      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1021000 | PA      | $-1021000.00  | -0.75%            |  |  |  | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust                             | SMR 2022-IND Mortgage Trust                                                     | CUSIP: 78458MAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1831354 | PA      | $1646002.19   | 1.21%             | 2039-02-15      | Floating      | 11.81%                | 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        |     36582 | PA      | $35923.30     | 0.03%             | 2034-10-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                          | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RJU9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    670000 | PA      | $674696.95    | 0.50%             | 2029-12-20      | Fixed         | 7.37%                 | 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      | $1521686.42   | 1.12%             | 2032-01-26      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   3486456 | PA      | $3788499.40   | 2.79%             | 2029-04-25      | Floating      | 13.67%                | 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        |     83953 | PA      | $77140.03     | 0.06%             | 2046-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-FTR4                                               | CUSIP: 35565GAE7<br>LEI: 549300K0XW5MBR2WNZ55 | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1378703.50   | 1.01%             | 2047-11-25      | Floating      | 9.42%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1526000 | PA      | $-1526000.00  | -1.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                  | Conseco Finance Corp                                                            | CUSIP: 393505Z54<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4669141 | PA      | $1418011.67   | 1.04%             | 2031-05-01      | Variable      | 7.70%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2017-RPL1 Trust                                                            | CUSIP: 22945AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2910062 | PA      | $905477.45    | 0.67%             | 2057-07-25      | Variable      | 2.97%                 | 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   | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2022-RRI                           | CUSIP: 63875JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1272750 | PA      | $1270674.14   | 0.94%             | 2035-03-15      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -535000 | PA      | $-535000.00   | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                    | LHOME Mortgage Trust 2024-RTL5                                                  | CUSIP: 50205WAD9<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1481402.85   | 1.09%             | 2039-09-25      | Variable      | 8.18%                 | 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        |      2451 | PA      | $2377.78      | 0.00%             | 2034-10-25      | Variable      | 6.82%                 | 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        |    117357 | PA      | $104735.64    | 0.08%             | 2034-12-20      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                         | ChaseFlex Trust Series 2005-2                                                   | CUSIP: 16165TBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5434740 | PA      | $535490.91    | 0.39%             | 2035-06-25      | Floating      | 1.07%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                    | LHOME Mortgage Trust 2024-RTL2                                                  | CUSIP: 50205JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $767841.07    | 0.57%             | 2029-03-25      | Variable      | 8.90%                 | 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        |     33305 | PA      | $4101.13      | 0.00%             | 2036-04-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                          | Renaissance Home Equity Loan Trust 2006-1                                       | CUSIP: 759950GX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    516941 | PA      | $246340.78    | 0.18%             | 2036-05-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1                   | CUSIP: 35563PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19661957 | PA      | $2272869.09   | 1.67%             | 2055-09-25      | Variable      | 1.45%                 | 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        |    188813 | PA      | $136967.97    | 0.10%             | 2036-01-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2092000 | PA      | $-2092000.00  | -1.54%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -350000 | PA      | $-350000.00   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                          | IndyMac INDX Mortgage Loan Trust 2005-AR18                                      | CUSIP: 45660LVZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1511868 | PA      | $629972.12    | 0.46%             | 2036-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Bear Mountain Park CLO, Ltd                             | Bear Mountain Park CLO Ltd                                                      | CUSIP: 07403KAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $508892.35    | 0.37%             | 2037-07-15      | Floating      | 10.21%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Series 2014-11R                                                            | CUSIP: 12649FCL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2528263 | PA      | $1973157.42   | 1.45%             | 2036-10-27      | Floating      | 4.72%                 | 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        |      7761 | PA      | $6777.99      | 0.00%             | 2036-02-20      | Variable      | 5.12%                 | 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      | $2802538.20   | 2.06%             | 2039-01-15      | Floating      | 11.92%                | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust 2004-UST1                                         | CUSIP: 17307GKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4984 | PA      | $4726.56      | 0.00%             | 2034-08-25      | Variable      | 5.71%                 | 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        |     64249 | PA      | $16747.55     | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | 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        |     88005 | PA      | $69812.23     | 0.05%             | 2035-05-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2021-1                   | CUSIP: 35563PWQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1370620 | PA      | $1317813.68   | 0.97%             | 2060-09-25      | Fixed         | 4.25%                 | 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        |     36989 | PA      | $5584.27      | 0.00%             | 2036-04-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-FTR1                                               | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |   1855000 | PA      | $2210245.11   | 1.63%             | 2048-01-25      | Floating      | 12.77%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380PTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5789521 | PA      | $462436.84    | 0.34%             | 2062-04-16      | Variable      | 1.17%                 | 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        |     70637 | PA      | $60916.69     | 0.04%             | 2035-09-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| CHIMERA INVESTMENT CORP                                 | Chimera Investment Corp                                                         | CUSIP: 16934Q505<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     31276 | NS      | $705899.32    | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Greenwich Capital Acceptance I                          | RBS Acceptance Inc                                                              | CUSIP: 396782EG5<br>LEI: 213800OU9AJE7513ME91 | Long             | ABS-O            | CORP              | US        |   2191561 | PA      | $21.92        | 0.00%             | 2020-08-10      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -146000 | PA      | $-146000.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1740939.55   | 1.28%             | 2038-10-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                           | Starwood Mortgage Residential Trust 2020-3                                      | CUSIP: 85573MAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1490000 | PA      | $1230986.60   | 0.91%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1301000 | PA      | $-1301000.00  | -0.96%            |  |  |  | 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        |   2436654 | PA      | $1692029.73   | 1.25%             | 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        |   -563000 | PA      | $-563000.00   | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| MFA FINANCIAL INC                                       | MFA Financial Inc                                                               | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     70049 | NS      | $1647552.48   | 1.21%             |  |  |  | No            |                  1 | 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        |   1451448 | PA      | $575286.64    | 0.42%             | 2037-09-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| MIDOCEAN CREDIT CLO                                     | MIDOCEAN CREDIT CLO XVIII LLC                                                   | CUSIP: 59803MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $603000.00    | 0.44%             | 2035-10-18      | Floating      | 0.01%                 | 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        |    364472 | PA      | $208582.10    | 0.15%             | 2035-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -3825000 | PA      | $-3825000.00  | -2.82%            |  |  |  | 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        |    446953 | PA      | $386081.81    | 0.28%             | 2037-11-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-25

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

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer