# EDGAR Filing Document

**Accession Number:** 0001478102
**File Stem:** 0000940400-26-007256
**Filing Date:** 2026-2
**Character Count:** 176663
**Document Hash:** 89093473ebea644821f73ee7c985e125
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-007256.hdr.sgml**: 20260223

**ACCESSION NUMBER**: 0000940400-26-007256

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260223

**DATE AS OF CHANGE**: 20260223

**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:** 26664701

**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:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $258667461.29

**Total Liabilities:** $125180190.91

**Net Assets:** $133487270.38

**Cash Not Reported:** $1740934.67

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1620.62000000 | **1-Year:** 4286.35000000 | **5-Year:** 10295.31000000 | **10-Year:** 4197.07000000 | **30-Year:** 38.48000000

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

- **3-Month:** 612.99000000 | **1-Year:** 14734.53000000 | **5-Year:** 36538.36000000 | **10-Year:** 27394.36000000 | **30-Year:** 3334.87000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000000 | 3.09%                | -1.67%               | -3.78%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $321478.52               | $-266546.07                                |
| Month 2  | $-1132236.62             | $1495883.50                                |
| Month 3  | $-1194642.80             | $126471.81                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -79 | NC      | $26823.18     | 0.02%             |  |  |  | No            |                  1 | 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        |     34425 | PA      | $5143.38      | 0.00%             | 2036-04-15      | Variable      | 4.02%                 | 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        |     38586 | PA      | $38821.64     | 0.03%             | 2047-04-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                          | Home Partners of America 2021-2 Trust                                           | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1429648 | PA      | $1401968.78   | 1.05%             | 2026-12-17      | Fixed         | 3.80%                 | 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        |      9960 | PA      | $4335.93      | 0.00%             | 2036-04-15      | None          | 0.00%                 | 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        |      8020 | PA      | $5254.98      | 0.00%             | 2035-10-25      | Floating      | 8.95%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                    | New Mountain CLO 5 Ltd                                                          | CUSIP: 64754WAQ6<br>LEI: 2549000KVE2J1UOHZ207 | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $261216.49    | 0.20%             | 2036-07-20      | Floating      | 7.03%                 | 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      | $702078.05    | 0.53%             | 2035-01-25      | Floating      | 8.76%                 | 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        |     81101 | PA      | $68224.89     | 0.05%             | 2035-03-25      | Variable      | 4.23%                 | 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        |   3266274 | PA      | $943740.02    | 0.71%             | 2057-08-25      | Variable      | 2.19%                 | 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        |    201704 | PA      | $180443.55    | 0.14%             | 2036-01-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -45000 | PA      | $-45000.00    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY SR INC                                     | Arbor Realty SR Inc                                                             | CUSIP: 03881NAJ6<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1368229.18   | 1.02%             | 2030-07-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                          | Renaissance Home Equity Loan Trust 2007-3                                       | CUSIP: 75971FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1431967 | PA      | $554082.55    | 0.42%             | 2037-09-25      | Variable      | 7.24%                 | 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        |    585006 | PA      | $590532.74    | 0.44%             | 2037-03-25      | Floating      | 5.00%                 | 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      | $1288341.25   | 0.97%             | 2050-02-25      | Floating      | 8.79%                 | 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        |     23535 | PA      | $23707.08     | 0.02%             | 2036-07-20      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| AGNC INVESTMENT CORP                                    | AGNC Investment Corp                                                            | CUSIP: 00123Q872<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     52953 | NS      | $1299466.62   | 0.97%             |  |  |  | No            |                  1 | On Loan: No      |
| The Huntington National Bank                            | Huntington Bank Auto Credit-Linked Notes Series 2025-2                          | CUSIP: 44644NAR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    591589 | PA      | $594396.37    | 0.45%             | 2033-09-20      | Floating      | 7.17%                 | 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        |   1637464 | PA      | $979336.88    | 0.73%             | 2061-03-25      | Variable      | 7.76%                 | 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        |    112851 | PA      | $70118.96     | 0.05%             | 2035-11-25      | Variable      | 4.37%                 | 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      | $1757998.20   | 1.32%             | 2038-10-15      | Floating      | 7.75%                 | 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        |   1291221 | PA      | $1293931.91   | 0.97%             | 2037-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2017-RPL1 Trust                                                            | CUSIP: 22945AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2890337 | PA      | $1077715.04   | 0.81%             | 2057-07-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1841065 | PA      | $1868585.15   | 1.40%             | 2028-08-25      | Floating      | 15.74%                | 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      | $1713021.98   | 1.28%             | 2041-10-25      | Floating      | 11.37%                | 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      | $590301.52    | 0.44%             | 2038-08-15      | Floating      | 9.37%                 | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC                            | UWM Mortgage Trust 2021-1                                                       | CUSIP: 91824NAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22116413 | PA      | $257021.47    | 0.19%             | 2051-06-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust 2007-5                                                    | CUSIP: 52521RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2577502 | PA      | $397429.68    | 0.30%             | 2037-06-25      | Floating      | 4.18%                 | 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        |     17061 | PA      | $16956.42     | 0.01%             | 2034-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2577000 | PA      | $-2577000.00  | -1.93%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2                   | CUSIP: 35563PFX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3366448 | PA      | $1263917.77   | 0.95%             | 2057-11-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2021-R02                                    | CUSIP: 20754KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1555984.65   | 1.17%             | 2041-11-25      | Floating      | 10.07%                | 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        |    130518 | PA      | $115369.50    | 0.09%             | 2036-07-27      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                             | Extended Stay America Trust 2025-ESH                                            | CUSIP: 30227TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $332891.46    | 0.25%             | 2042-10-15      | Floating      | 6.35%                 | 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      | $747400.79    | 0.56%             | 2042-05-27      | Fixed         | 0.00%                 | 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      | $1177376.03   | 0.88%             | 2068-05-25      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1047000 | PA      | $-1047000.00  | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -604000 | PA      | $-604000.00   | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1513000 | PA      | $-1513000.00  | -1.13%            |  |  |  | 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        |   2124369 | NS      | $2124369.23   | 1.59%             |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1114000 | PA      | $-1114000.00  | -0.83%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1663000 | PA      | $-1663000.00  | -1.25%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -5621000 | PA      | $-5621000.00  | -4.21%            |  |  |  | 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      | $1558576.50   | 1.17%             | 2050-03-25      | Floating      | 11.49%                | 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        |  30586286 | PA      | $303110.09    | 0.23%             | 2051-07-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -408000 | PA      | $-408000.00   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -622000 | PA      | $-622000.00   | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1969000 | PA      | $-1969000.00  | -1.48%            |  |  |  | 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        |   1547064 | PA      | $1457298.82   | 1.09%             | 2032-01-26      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -169000 | PA      | $-169000.00   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1165000 | PA      | $-1165000.00  | -0.87%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -83000 | PA      | $-83000.00    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | STACR Trust 2018-HRP2                                                           | CUSIP: 35564ACC3<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |   3530000 | PA      | $4321908.90   | 3.24%             | 2047-02-25      | Floating      | 14.49%                | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                          | Residential Asset Securitization Trust 2007-A2                                  | CUSIP: 761120AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175426 | PA      | $87279.41     | 0.07%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1066000 | PA      | $-1066000.00  | -0.80%            |  |  |  | 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      | $1235291.87   | 0.93%             | 2062-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1523000 | PA      | $-1523000.00  | -1.14%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1323000 | PA      | $-1323000.00  | -0.99%            |  |  |  | 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  | -0.91%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -970000 | PA      | $-970000.00   | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -552000 | PA      | $-552000.00   | -0.41%            |  |  |  | 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   | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2110000 | PA      | $-2110000.00  | -1.58%            |  |  |  | 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        |    178102 | PA      | $90399.06     | 0.07%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -284000 | PA      | $-284000.00   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -3786000 | PA      | $-3786000.00  | -2.84%            |  |  |  | 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        |    192731 | PA      | $148089.25    | 0.11%             | 2036-06-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1343000 | PA      | $-1343000.00  | -1.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1426000 | PA      | $-1426000.00  | -1.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Hartwick Park CLO, Ltd.                                 | Hartwick Park CLO Ltd                                                           | CUSIP: 417402AE4<br>LEI: 2549003E1ZAWJG55NM75 | Long             | ABS-CBDO         | CORP              | JE        |    630000 | PA      | $624615.77    | 0.47%             | 2037-01-20      | Floating      | 8.73%                 | 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      | $1770853.70   | 1.33%             | 2069-10-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-INV2 Trust                                                            | CUSIP: 12659TBW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24959275 | PA      | $739792.90    | 0.55%             | 2056-11-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -701000 | PA      | $-701000.00   | -0.53%            |  |  |  | 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   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1269000 | PA      | $-1269000.00  | -0.95%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -956000 | PA      | $-956000.00   | -0.72%            |  |  |  | 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      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-ADV                                                                   | CUSIP: 12660WAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $141.00       | 0.00%             | 2038-07-15      | Floating      | 10.12%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2226000 | PA      | $-2226000.00  | -1.67%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -530000 | PA      | $-530000.00   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                         | ChaseFlex Trust Series 2005-2                                                   | CUSIP: 16165TBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5371071 | PA      | $536177.94    | 0.40%             | 2035-06-25      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1916575 | PA      | $1975793.33   | 1.48%             | 2028-10-25      | Floating      | 15.74%                | 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      | $1519099.50   | 1.14%             | 2039-09-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                               | HIH Trust 2024-61P                                                              | CUSIP: 40444VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1477881 | PA      | $1491182.48   | 1.12%             | 2041-10-15      | Floating      | 9.19%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -429000 | PA      | $-429000.00   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1646000 | PA      | $-1646000.00  | -1.23%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1258000 | PA      | $-1258000.00  | -0.94%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -512000 | PA      | $-512000.00   | -0.38%            |  |  |  | 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      | $539150.29    | 0.40%             | 2047-09-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -547000 | PA      | $-547000.00   | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1288000 | PA      | $-1288000.00  | -0.96%            |  |  |  | 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        |     86358 | PA      | $68732.92     | 0.05%             | 2035-05-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -81000 | PA      | $-81000.00    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -164000 | PA      | $-164000.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                     | BWAY 2013-1515 Mortgage Trust                                                   | CUSIP: 05604FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1278463.65   | 0.96%             | 2033-03-10      | Variable      | 3.93%                 | 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        |     87108 | PA      | $76544.54     | 0.06%             | 2035-10-25      | Variable      | 4.61%                 | 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      | $3391387.12   | 2.54%             | 2034-09-15      | Floating      | 6.20%                 | 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   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd                                   | Black Diamond CLO 2021-1 Ltd                                                    | CUSIP: 09204WAM6<br>LEI: 549300IEWA7GZ3ECTT90 | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $512506.24    | 0.38%             | 2034-11-22      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1557000 | PA      | $-1557000.00  | -1.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2005-11CB                                                | CUSIP: 12667GJT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735956 | PA      | $47252.66     | 0.04%             | 2035-06-25      | Floating      | 1.15%                 | 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      | $1210386.24   | 0.91%             | 2068-06-25      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                               | BPR Trust 2021-TY                                                               | CUSIP: 05592AAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $991762.10    | 0.74%             | 2038-09-15      | Floating      | 8.07%                 | 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        |      2664 | PA      | $2444.88      | 0.00%             | 2036-02-20      | Variable      | 4.98%                 | 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   | -0.41%            |  |  |  | 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        |     57244 | PA      | $52127.11     | 0.04%             | 2035-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1183000 | PA      | $-1183000.00  | -0.89%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -189000 | PA      | $-189000.00   | -0.14%            |  |  |  | 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  | -0.90%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1032000 | PA      | $-1032000.00  | -0.77%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | ULTRA U.S. TREASURY BOND                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -20 | NC      | $30590.40     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1246000 | PA      | $-1246000.00  | -0.93%            |  |  |  | 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        |    219382 | PA      | $110789.18    | 0.08%             | 2036-12-25      | Floating      | 4.05%                 | 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        |      6636 | PA      | $6460.97      | 0.00%             | 2034-02-15      | Floating      | 4.14%                 | 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      | $3064715.07   | 2.30%             | 2035-08-25      | Floating      | 4.58%                 | 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        |    593508 | PA      | $322999.66    | 0.24%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -891000 | PA      | $-891000.00   | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1720000 | PA      | $-1720000.00  | -1.29%            |  |  |  | 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      | $1528449.90   | 1.15%             | 2040-01-25      | Floating      | 7.24%                 | 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      | $1969967.20   | 1.48%             | 2036-10-16      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Easy Street Mortgage Loan Trus                          | Easy Street Mortgage Loan Trust 2025-RTL1                                       | CUSIP: 27786FAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010000 | PA      | $1023083.14   | 0.77%             | 2040-05-25      | Variable      | 8.30%                 | 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        |   1065494 | PA      | $1074373.86   | 0.80%             | 2055-10-25      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1771000 | PA      | $-1771000.00  | -1.33%            |  |  |  | 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        |    358801 | PA      | $202205.94    | 0.15%             | 2035-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2023-AFC1 Trust                                                           | CUSIP: 693981AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480000 | PA      | $1479998.96   | 1.11%             | 2058-02-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1313000 | PA      | $-1313000.00  | -0.98%            |  |  |  | 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      | $1313847.73   | 0.98%             | 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        |  -1673000 | PA      | $-1673000.00  | -1.25%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1592000 | PA      | $-1592000.00  | -1.19%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -388000 | PA      | $-388000.00   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC                                  | Full House Resorts Inc                                                          | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $916125.00    | 0.69%             | 2028-02-15      | Fixed         | 8.25%                 | 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        |   3991046 | PA      | $2100606.68   | 1.57%             | 2059-08-25      | Variable      | 4.47%                 | 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        |  58140710 | PA      | $770352.78    | 0.58%             | 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        |   -687000 | PA      | $-687000.00   | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -436000 | PA      | $-436000.00   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2020000 | PA      | $-2020000.00  | -1.51%            |  |  |  | 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  | -0.81%            |  |  |  | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer                          | MetroNet Infrastructure Issuer LLC                                              | CUSIP: 59170JBB3<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |    670000 | PA      | $689644.27    | 0.52%             | 2055-08-20      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -719000 | PA      | $-719000.00   | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -852000 | PA      | $-852000.00   | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -3273000 | PA      | $-3273000.00  | -2.45%            |  |  |  | No            |                  2 | On Loan: No      |
| BRES Commercial Mortgage Trust                          | BRES Commercial Mortgage Trust 2025-ATCAP                                       | CUSIP: 05619GAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2015162.20   | 1.51%             | 2042-11-15      | Floating      | 8.94%                 | 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      | $234179.33    | 0.18%             | 2034-09-25      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -529000 | PA      | $-529000.00   | -0.40%            |  |  |  | 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        |    425947 | PA      | $368424.07    | 0.28%             | 2037-11-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1185000 | PA      | $-1185000.00  | -0.89%            |  |  |  | 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        |     13134 | PA      | $12878.94     | 0.01%             | 2048-07-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                  | RR 18 Ltd                                                                       | CUSIP: 749737AJ1<br>LEI: 54930003V8ISBLDELD80 | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $525138.54    | 0.39%             | 2040-07-15      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -427000 | PA      | $-427000.00   | -0.32%            |  |  |  | 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        |      7585 | PA      | $7641.71      | 0.01%             | 2034-09-25      | Floating      | 2.46%                 | 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        |     25343 | PA      | $3603.53      | 0.00%             | 2036-04-15      | Variable      | 7.37%                 | 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        |  62875735 | PA      | $692834.02    | 0.52%             | 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        |   -687000 | PA      | $-687000.00   | -0.51%            |  |  |  | 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        |    964034 | PA      | $875703.61    | 0.66%             | 2054-08-01      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1260000 | PA      | $-1260000.00  | -0.94%            |  |  |  | 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      | $366477.99    | 0.27%             | 2036-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -333000 | PA      | $-333000.00   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                       | Elevation CLO 2016-5 Ltd                                                        | CUSIP: 28623BAC7<br>LEI: 549300IH854FT1JLRT08 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $504328.90    | 0.38%             | 2038-01-25      | Floating      | 11.44%                | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                          | Countrywide Asset-Backed Certificates                                           | CUSIP: 23248AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213479 | PA      | $196602.55    | 0.15%             | 2047-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1018000 | PA      | $-1018000.00  | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| Renew Financial                                         | Renew 2024-2                                                                    | CUSIP: 75975DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    828638 | PA      | $833322.39    | 0.62%             | 2060-11-20      | Fixed         | 8.22%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -754000 | PA      | $-754000.00   | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1189000 | PA      | $-1189000.00  | -0.89%            |  |  |  | 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        |     33135 | PA      | $32661.01     | 0.02%             | 2035-11-25      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1537000 | PA      | $-1537000.00  | -1.15%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1928000 | PA      | $-1928000.00  | -1.44%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1601000 | PA      | $-1601000.00  | -1.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Stonepeak                                               | Stonepeak 2021-1 ABS                                                            | CUSIP: 78433XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    534738 | PA      | $524148.57    | 0.39%             | 2033-02-28      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -553000 | PA      | $-553000.00   | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -579000 | PA      | $-579000.00   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                                | CHS/Community Health Systems Inc                                                | CUSIP: 12543DBJ8<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    710000 | PA      | $632574.50    | 0.47%             | 2029-04-15      | Fixed         | 6.88%                 | 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      | $1493030.80   | 1.12%             | 2048-11-25      | Floating      | 11.39%                | 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      | $605895.00    | 0.45%             | 2038-01-20      | Floating      | 10.22%                | 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      | $292854.64    | 0.22%             | 2038-01-20      | Floating      | 9.63%                 | 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      | $10066.82     | 0.01%             | 2021-11-25      | Fixed         | 5.50%                 | 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      | $1056070.32   | 0.79%             | 2062-04-20      | Fixed         | 4.38%                 | 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        |    181165 | PA      | $32609.35     | 0.02%             | 2036-06-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -846000 | PA      | $-846000.00   | -0.63%            |  |  |  | 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      | $1266738.80   | 0.95%             | 2035-03-15      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | ROYAL BANK OF CANADA                                                            | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -228000 | PA      | $-228000.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38380PTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5725883 | PA      | $463421.49    | 0.35%             | 2062-04-16      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381NUY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2881480 | PA      | $247418.55    | 0.19%             | 2055-06-20      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                                      | SUNNOVA HELIOS II ISSUER LLC 2018-1                                             | CUSIP: 86745JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    810165 | PA      | $718206.19    | 0.54%             | 2048-07-20      | Fixed         | 7.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381PWW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5727351 | PA      | $265910.58    | 0.20%             | 2055-07-20      | Floating      | 1.23%                 | 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      | $561708.73    | 0.42%             | 2038-01-25      | Floating      | 7.36%                 | 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        |    630500 | PA      | $572683.91    | 0.43%             | 2046-12-27      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                         | Lehman XS Trust 2006-19                                                         | CUSIP: 52523YAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255913 | PA      | $253271.38    | 0.19%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2024-AFC1 Trust                                                           | CUSIP: 69380WAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1465346.80   | 1.10%             | 2059-03-25      | Variable      | 8.40%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2022-BNK44                                                                 | CUSIP: 06540KBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    948000 | PA      | $749062.96    | 0.56%             | 2032-11-15      | Variable      | 4.00%                 | 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        |   1188001 | PA      | $1085707.74   | 0.81%             | 2045-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2021-BNK35                                                                 | CUSIP: 06540CAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1860000 | PA      | $739802.72    | 0.55%             | 2064-06-15      | Variable      | 1.66%                 | 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        |  62743280 | PA      | $288619.09    | 0.22%             | 2051-07-25      | Variable      | 0.08%                 | 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      | $807129.92    | 0.60%             | 2039-02-25      | Variable      | 10.33%                | 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        |     82127 | PA      | $77325.84     | 0.06%             | 2046-04-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2017-1                                      | CUSIP: 64829JBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2028080 | PA      | $1910945.42   | 1.43%             | 2057-02-25      | Variable      | 5.31%                 | 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        |    104667 | PA      | $94965.38     | 0.07%             | 2036-05-25      | Variable      | 3.98%                 | 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        |   1563716 | PA      | $114005.34    | 0.09%             | 2036-09-25      | Floating      | 1.55%                 | 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        |     26511 | PA      | $2370.61      | 0.00%             | 2036-04-15      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -170000 | PA      | $-170000.00   | -0.13%            |  |  |  | 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      | $1947166.58   | 1.46%             | 2040-05-25      | Variable      | 6.36%                 | 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      | $1881830.16   | 1.41%             | 2049-09-25      | Floating      | 11.49%                | 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      |
| Greystone Commercial Real Esta                          | Greystone CRE Notes 2024-HC3                                                    | CUSIP: 39808MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    610000 | PA      | $614419.08    | 0.46%             | 2041-03-15      | Floating      | 9.08%                 | No            |                  2 | On Loan: No      |
| MFA FINANCIAL INC                                       | MFA Financial Inc                                                               | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     70049 | NS      | $1598518.18   | 1.20%             |  |  |  | No            |                  1 | On Loan: No      |
| ALLIANZ SE                                              | Allianz SE                                                                      | CUSIP: 018820AB6<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |    800000 | PA      | $757206.64    | 0.57%             | N/A             | Fixed         | 3.20%                 | 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      | $1203895.68   | 0.90%             | 2068-03-25      | Variable      | 7.71%                 | 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      | $1649549.44   | 1.24%             | 2039-12-15      | Variable      | 3.45%                 | 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      | $2291974.60   | 1.72%             | 2048-09-25      | Floating      | 11.74%                | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2025-SPOT                                          | CUSIP: 12433FAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1133303 | PA      | $1142523.07   | 0.86%             | 2040-04-15      | Floating      | 7.44%                 | 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      | $598358.46    | 0.45%             | 2035-10-18      | Floating      | 9.72%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -670000 | PA      | $-670000.00   | -0.50%            |  |  |  | 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      | $1957544.40   | 1.47%             | 2034-04-15      | Floating      | 6.70%                 | 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        |     17019 | PA      | $16737.84     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                          | RALI Series 2006-QO2 Trust                                                      | CUSIP: 761118VY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165246 | PA      | $27445.81     | 0.02%             | 2046-02-25      | Floating      | 4.29%                 | 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      | $1181955.11   | 0.89%             | 2034-05-15      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AATJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829921 | PA      | $88262.74     | 0.07%             | 2042-12-25      | Floating      | 2.16%                 | 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      | $2475455.25   | 1.85%             | 2032-11-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -276000 | PA      | $-276000.00   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -453000 | PA      | $-453000.00   | -0.34%            |  |  |  | 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        |     25483 | PA      | $23817.84     | 0.02%             | 2036-05-20      | Variable      | 3.50%                 | 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      | $4466533.98   | 3.35%             | 2041-03-10      | Variable      | 10.00%                | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US LONG BOND(CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -44 | NC      | $54580.24     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Colony American Finance Ltd                             | CAFL 2024-RTL1 Issuer LLC                                                       | CUSIP: 12770DAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1460000 | PA      | $1495391.57   | 1.12%             | 2031-11-28      | Variable      | 8.68%                 | 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        |     52707 | PA      | $51070.45     | 0.04%             | 2045-10-25      | Floating      | 4.83%                 | 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      | $1114031.16   | 0.83%             | 2029-01-25      | Variable      | 9.16%                 | 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        |   1819979 | PA      | $1820700.33   | 1.36%             | 2061-07-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2007-S2                                                | CUSIP: 46630WBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4096 | PA      | $4087.56      | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | STACR Trust 2018-HRP1                                                           | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | CORP              | US        |   5357402 | PA      | $6359392.17   | 4.76%             | 2043-05-25      | Floating      | 15.74%                | 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        |     25082 | PA      | $22581.42     | 0.02%             | 2035-04-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta                          | Greystone CRE Notes 2025 HC-4 LLC                                               | CUSIP: 39809NAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1992797.80   | 1.49%             | 2042-10-15      | Floating      | 7.69%                 | 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        |   2099322 | PA      | $1395096.54   | 1.05%             | 2058-12-25      | Variable      | 4.49%                 | 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      | $644681.73    | 0.48%             | 2039-02-25      | Variable      | 10.33%                | 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      | $1682859.48   | 1.26%             | 2039-02-15      | Floating      | 11.25%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -470000 | PA      | $-470000.00   | -0.35%            |  |  |  | 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        |    102969 | PA      | $95243.40     | 0.07%             | 2036-05-25      | Floating      | 4.21%                 | 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        |     70331 | PA      | $60305.39     | 0.05%             | 2035-09-25      | Variable      | 3.73%                 | 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      | $854760.26    | 0.64%             | 2038-01-25      | Floating      | 8.71%                 | 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        |   1492763 | PA      | $605522.01    | 0.45%             | 2036-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CHIMERA INVESTMENT CORP                                 | Chimera Investment Corp                                                         | CUSIP: 16934Q307<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     31752 | NS      | $693463.68    | 0.52%             |  |  |  | No            |                  1 | 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      | $241019.60    | 0.18%             | 2036-05-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Series 2014-11R                                                            | CUSIP: 12649FCL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2320889 | PA      | $1840752.21   | 1.38%             | 2036-10-27      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Hospitality Investors Trust                             | HIT Trust 2022-HI32                                                             | CUSIP: 40442AAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1620657.44   | 1.21%             | 2039-07-15      | Floating      | 10.98%                | 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      | $1989066.60   | 1.49%             | 2068-10-25      | Variable      | 7.90%                 | 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        |    113492 | PA      | $102513.82    | 0.08%             | 2034-12-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                           | NYC Commercial Mortgage Trust 2025-28L                                          | CUSIP: 67123JAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1397827.34   | 1.05%             | 2038-11-05      | Variable      | 9.32%                 | 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      | $2322952.71   | 1.74%             | 2048-10-25      | Floating      | 14.99%                | No            |                  2 | On Loan: No      |
| Greenwich Capital Acceptance I                          | RBS Acceptance Inc                                                              | CUSIP: 396782EG5<br>LEI: 213800OU9AJE7513ME91 | Long             | ABS-O            | CORP              | US        |   2191561 | PA      | $21.92        | 0.00%             | 2020-08-10      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust Series 2024-3                                          | CUSIP: 46657QBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19608381 | PA      | $395378.48    | 0.30%             | 2054-05-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -73000 | PA      | $-73000.00    | -0.05%            |  |  |  | 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        |    287595 | PA      | $134117.71    | 0.10%             | 2036-03-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38384GXW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1311928 | PA      | $276634.82    | 0.21%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | ROYAL BANK OF CANADA                                                            | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -244000 | PA      | $-244000.00   | -0.18%            |  |  |  | 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      | $1624687.63   | 1.22%             | 2029-02-25      | Variable      | 8.62%                 | 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      | $870946.91    | 0.65%             | 2039-03-25      | Variable      | 9.30%                 | 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      | $349027.34    | 0.26%             | 2046-07-25      | Floating      | 4.75%                 | 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      | $1523602.51   | 1.14%             | 2059-09-25      | Variable      | 5.11%                 | 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      | $1308779.04   | 0.98%             | 2047-09-25      | Floating      | 8.99%                 | 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        |    168897 | PA      | $39451.51     | 0.03%             | 2036-03-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag                          | PRPM 2025-RCF3 LLC                                                              | CUSIP: 69392PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $984876.70    | 0.74%             | 2055-07-25      | Variable      | 5.25%                 | 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      | $1363566.73   | 1.02%             | 2041-10-25      | Floating      | 9.87%                 | 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      | $660177.50    | 0.49%             | 2050-12-15      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38381Q3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3177352 | PA      | $283081.38    | 0.21%             | 2055-08-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| CUSHMAN & WAKEFIELD US                                  | Cushman & Wakefield US Borrower LLC                                             | CUSIP: 23166MAC7<br>LEI: 549300870CMN3WI5IF97 | Long             | DBT              | CORP              | US        |    130000 | PA      | $139185.67    | 0.10%             | 2031-09-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HCN65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    709152 | PA      | $137845.60    | 0.10%             | 2054-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz                          | NRM FNT1 Excess LLC                                                             | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    695598 | PA      | $708609.85    | 0.53%             | 2031-11-25      | Variable      | 7.40%                 | 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        |   3661152 | PA      | $2777058.72   | 2.08%             | 2048-11-25      | Variable      | 4.51%                 | 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        |   1222525 | PA      | $1184791.25   | 0.89%             | 2060-09-25      | Fixed         | 4.25%                 | 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      | $466972.74    | 0.35%             | 2038-03-29      | Floating      | 5.81%                 | 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        |    131796 | PA      | $74863.64     | 0.06%             | 2036-07-25      | Variable      | 2.93%                 | 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        |  14034162 | PA      | $195092.40    | 0.15%             | 2059-09-25      | Variable      | 0.50%                 | 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      | $1932090.30   | 1.45%             | 2056-08-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                          | IndyMac INDX Mortgage Loan Trust 2004-AR13                                      | CUSIP: 45660N7J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20802 | PA      | $19136.75     | 0.01%             | 2035-01-25      | Variable      | 3.41%                 | 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      | $2569781.50   | 1.93%             | 2049-10-25      | Floating      | 12.74%                | 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        |     29460 | PA      | $23912.07     | 0.02%             | 2035-09-25      | Variable      | 3.98%                 | 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      | $1769639.27   | 1.33%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Series 2015-2R                                                             | CUSIP: 12649QBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2846970 | PA      | $2419548.72   | 1.81%             | 2036-08-27      | Variable      | 3.92%                 | 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      | $1175279.86   | 0.88%             | 2041-11-15      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -513000 | PA      | $-513000.00   | -0.38%            |  |  |  | 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      | $1451054.85   | 1.09%             | 2032-07-15      | Floating      | 11.04%                | 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      | $1438894.92   | 1.08%             | 2034-01-25      | Floating      | 9.37%                 | 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        |     13037 | PA      | $13049.11     | 0.01%             | 2027-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2                   | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    644342 | PA      | $629642.64    | 0.47%             | 2058-08-25      | Variable      | 4.75%                 | 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        |   3367724 | PA      | $111673.40    | 0.08%             | 2036-09-25      | Floating      | 4.29%                 | 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      | $382160.45    | 0.29%             | 2039-03-25      | Variable      | 9.30%                 | No            |                  2 | On Loan: No      |
| CHIMERA INVESTMENT CORP                                 | Chimera Investment Corp                                                         | CUSIP: 16934Q505<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     31276 | NS      | $667117.08    | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust 2006-3                                                    | CUSIP: 52520CAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3963600 | PA      | $429230.49    | 0.32%             | 2036-07-25      | Floating      | 1.55%                 | 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        |    353750 | PA      | $308210.47    | 0.23%             | 2037-09-25      | Floating      | 13.02%                | 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      | $2202001.12   | 1.65%             | 2048-01-25      | Floating      | 12.34%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1704000 | PA      | $-1704000.00  | -1.28%            |  |  |  | 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        |   2427190 | PA      | $1718279.52   | 1.29%             | 2037-09-25      | Variable      | 5.90%                 | 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      | $1367021.00   | 1.02%             | 2033-09-26      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limite                          | DK 2024-SPT1 Note Backed Trust                                                  | CUSIP: 23292KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    836754 | PA      | $856360.74    | 0.64%             | 2066-04-28      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                         | SEB Funding LLC                                                                 | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1020000 | PA      | $1044438.28   | 0.78%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2025-R1                                              | CUSIP: 92541AAE0<br>LEI: 213800UBQ9UM61L7TB84 | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1447994.65   | 1.08%             | 2065-05-25      | Variable      | 6.40%                 | 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        |    757981 | PA      | $694469.37    | 0.52%             | 2034-04-25      | Floating      | 4.92%                 | 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      | $1729951.25   | 1.30%             | 2041-12-25      | Floating      | 10.87%                | 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        |    516036 | PA      | $321861.96    | 0.24%             | 2036-01-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                              | ROCK Trust 2024-CNTR                                                            | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1706949.76   | 1.28%             | 2041-11-13      | Fixed         | 8.82%                 | 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        |      2377 | PA      | $2333.12      | 0.00%             | 2034-10-25      | Variable      | 6.17%                 | 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      | $635684.10    | 0.48%             | 2036-04-20      | Floating      | 9.28%                 | 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        |     34980 | PA      | $25253.34     | 0.02%             | 2034-08-25      | Fixed         | 7.50%                 | 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        |    891999 | PA      | $864954.66    | 0.65%             | 2046-10-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit                           | Freddie Mac Mscr Trust Mn1                                                      | CUSIP: 35563FAC5<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |    950000 | PA      | $1050348.88   | 0.79%             | 2051-01-25      | Floating      | 11.62%                | 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        |    102612 | PA      | $95835.94     | 0.07%             | 2035-08-25      | Variable      | 4.24%                 | 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        |     84334 | PA      | $86772.07     | 0.07%             | 2035-10-25      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2021-INV1                                                             | CUSIP: 12566PCU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  43038395 | PA      | $376947.48    | 0.28%             | 2051-07-01      | Variable      | 0.19%                 | 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        |    590190 | PA      | $596967.51    | 0.45%             | 2031-12-26      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                          | IndyMac INDX Mortgage Loan Trust 2006-AR7                                       | CUSIP: 45661EDE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91849 | PA      | $85782.83     | 0.06%             | 2036-05-25      | Variable      | 3.93%                 | 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        |    185137 | PA      | $160104.87    | 0.12%             | 2036-06-25      | Variable      | 3.40%                 | 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        |     52334 | PA      | $39674.03     | 0.03%             | 2037-01-25      | Variable      | 4.98%                 | 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      | $312569.57    | 0.23%             | 2034-09-15      | Floating      | 6.90%                 | 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        |    122330 | PA      | $16284.22     | 0.01%             | 2036-04-15      | Variable      | 3.92%                 | 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   | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -727000 | PA      | $-727000.00   | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2030000 | PA      | $-2030000.00  | -1.52%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1306000 | PA      | $-1306000.00  | -0.98%            |  |  |  | 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        |   2120593 | PA      | $1946857.30   | 1.46%             | 2037-02-27      | Variable      | 5.52%                 | 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      | $1612513.33   | 1.21%             | 2032-07-15      | Floating      | 8.04%                 | 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      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -221000 | PA      | $-221000.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -99000 | PA      | $-99000.00    | -0.07%            |  |  |  | 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      | $806004.80    | 0.60%             | 2039-02-15      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -379000 | PA      | $-379000.00   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -217000 | PA      | $-217000.00   | -0.16%            |  |  |  | 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        |     56280 | PA      | $43891.07     | 0.03%             | 2036-01-25      | Variable      | 3.66%                 | 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        |   5257265 | PA      | $2395452.70   | 1.79%             | 2037-04-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -219000 | PA      | $-219000.00   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1286000 | PA      | $-1286000.00  | -0.96%            |  |  |  | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXXIX Ltd                                                             | CUSIP: 559923AE7<br>LEI: 529900728SHVCI48J015 | Long             | ABS-CBDO         | CORP              | KY        |    280000 | PA      | $279207.88    | 0.21%             | 2037-01-25      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                            | Atrium Hotel Portfolio Trust 2017-ATRM                                          | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1388311 | PA      | $1283493.52   | 0.96%             | 2036-12-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                  | Conseco Finance Corp                                                            | CUSIP: 393505Z54<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4595673 | PA      | $1231999.25   | 0.92%             | 2031-05-01      | Variable      | 7.70%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2022-BNK43                                                                 | CUSIP: 06541QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1035125.70   | 0.78%             | 2055-08-15      | Fixed         | 3.00%                 | 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        |    173989 | PA      | $143319.92    | 0.11%             | 2035-08-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit                           | Freddie Mac Mscr Trust Mn7                                                      | CUSIP: 35563QAC1<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-MBS          | USGSE             | US        |   2200000 | PA      | $2516891.08   | 1.89%             | 2043-09-25      | Floating      | 12.72%                | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                          | First Horizon Alternative Mortgage Securities Trust 2006-FA6                    | CUSIP: 32052FAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64242 | PA      | $16133.13     | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | 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        |   1506764 | PA      | $1315465.21   | 0.99%             | 2062-05-25      | Variable      | 4.08%                 | 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      | $1376170.25   | 1.03%             | 2047-11-25      | Floating      | 8.99%                 | 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        |      4706 | PA      | $4504.82      | 0.00%             | 2034-08-25      | Variable      | 5.59%                 | 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      | $502101.05    | 0.38%             | 2037-07-15      | Floating      | 9.85%                 | 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        |     70645 | PA      | $26296.16     | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |    185504 | PA      | $133628.23    | 0.10%             | 2036-01-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                             | RAAC Series 2007-SP1 Trust                                                      | CUSIP: 74978AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1429840 | PA      | $1201957.29   | 0.90%             | 2037-03-25      | Floating      | 5.35%                 | 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        |      3586 | PA      | $3512.64      | 0.00%             | 2035-10-20      | Variable      | 6.71%                 | 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        |    113301 | PA      | $102080.29    | 0.08%             | 2034-12-20      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                      | Whitebox Clo V Ltd                                                              | CUSIP: 96467NAA1<br>LEI: 254900XFXCOZ882U2O02 | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $696726.88    | 0.52%             | 2038-07-20      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137HKRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3648752 | PA      | $652675.18    | 0.49%             | 2055-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -245000 | PA      | $-245000.00   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -236000 | PA      | $-236000.00   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                  | Conseco Finance Corp                                                            | CUSIP: 393505Z62<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10216241 | PA      | $2534550.27   | 1.90%             | 2031-05-01      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                                        | CUSIP: 38384WFF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2874692 | PA      | $262000.00    | 0.20%             | 2054-09-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | ROYAL BANK OF CANADA                                                            | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -253000 | PA      | $-253000.00   | -0.19%            |  |  |  | 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      | $330583.15    | 0.25%             | 2036-08-15      | Variable      | 4.40%                 | 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        |  11958075 | PA      | $1812813.02   | 1.36%             | 2055-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -424000 | PA      | $-424000.00   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                                | Redwood Funding Trust 2025-3                                                    | CUSIP: 75806GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1110313.71   | 0.83%             | 2056-12-27      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1105000 | PA      | $-1105000.00  | -0.83%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1050000 | PA      | $-1050000.00  | -0.79%            |  |  |  | No            |                  2 | On Loan: No      |
| CUSHMAN & WAKEFIELD US                                  | CUSHMAN & WAKEFIELD US BORROWER LLC                                             | CUSIP: 23340DAW2<br>LEI: 549300870CMN3WI5IF97 | Long             | LON              | CORP              | US        |    423750 | PA      | $426811.59    | 0.32%             | 2030-01-31      | Floating      | 6.48%                 | 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        |    296920 | PA      | $303973.70    | 0.23%             | 2043-01-20      | Fixed         | 8.02%                 | 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        |  19126454 | PA      | $2243691.81   | 1.68%             | 2055-09-25      | Variable      | 1.49%                 | 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        |   2753493 | PA      | $1963277.24   | 1.47%             | 2045-09-26      | Floating      | 3.85%                 | 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      | $1314152.06   | 0.98%             | 2035-12-15      | Floating      | 6.55%                 | 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      | $1361595.62   | 1.02%             | 2063-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1180000 | PA      | $-1180000.00  | -0.88%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2349000 | PA      | $-2349000.00  | -1.76%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1024000 | PA      | $-1024000.00  | -0.77%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | ROYAL BANK OF CANADA                                                            | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -473000 | PA      | $-473000.00   | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1294000 | PA      | $-1294000.00  | -0.97%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1499000 | PA      | $-1499000.00  | -1.12%            |  |  |  | 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        |   1279095 | PA      | $247734.44    | 0.19%             | 2037-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2080000 | PA      | $-2080000.00  | -1.56%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1837000 | PA      | $-1837000.00  | -1.38%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1123000 | PA      | $-1123000.00  | -0.84%            |  |  |  | No            |                  2 | On Loan: No      |
| Easy Street Mortgage Loan Trus                          | Easy Street Mortgage Loan Trust 2025-RTL2                                       | CUSIP: 27786YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2259051.75   | 1.69%             | 2040-10-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2023-AFC3 Trust                                                           | CUSIP: 693984AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220000 | PA      | $1233042.04   | 0.92%             | 2058-09-25      | Variable      | 7.77%                 | 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        | 120653209 | PA      | $488645.50    | 0.37%             | 2055-09-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -936000 | PA      | $-936000.00   | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                          | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RJU9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    670000 | PA      | $689161.87    | 0.52%             | 2029-12-20      | Fixed         | 7.37%                 | 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      | $767567.02    | 0.58%             | 2029-03-25      | Variable      | 8.90%                 | 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      | $988199.63    | 0.74%             | 2056-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY TRUST INC                                  | Arbor Realty Trust Inc                                                          | CUSIP: 038923850<br>LEI: 549300ASFUWYQO0RW077 | Long             | EP               | CORP              | US        |     44004 | NS      | $957527.04    | 0.72%             |  |  |  | No            |                  1 | 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        |   2169099 | PA      | $1457071.38   | 1.09%             | 2045-05-25      | Variable      | 3.86%                 | 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        |    163489 | PA      | $142667.37    | 0.11%             | 2037-03-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -567000 | PA      | $-567000.00   | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                                | Redwood Funding Trust 2025-3                                                    | CUSIP: 75806GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    839532 | PA      | $847726.34    | 0.64%             | 2056-12-27      | Fixed         | 6.23%                 | 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  | -1.03%            |  |  |  | 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      | $1288944.72   | 0.97%             | 2038-08-15      | Floating      | 7.82%                 | 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      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -31000 | PA      | $-31000.00    | -0.02%            |  |  |  | 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      | $2307077.50   | 1.73%             | 2039-01-15      | Floating      | 11.36%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1562000 | PA      | $-1562000.00  | -1.17%            |  |  |  | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                           | NYC Commercial Mortgage Trust 2025-28L                                          | CUSIP: 67123JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $606345.72    | 0.45%             | 2038-11-05      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -994000 | PA      | $-994000.00   | -0.74%            |  |  |  | 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      | $81015.26     | 0.06%             | 2047-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1522000 | PA      | $-1522000.00  | -1.14%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                   | Nomura Securities Inc                                                           | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1134000 | PA      | $-1134000.00  | -0.85%            |  |  |  | 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        |   1028071 | PA      | $612339.70    | 0.46%             | 2038-02-25      | Variable      | 4.35%                 | 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      | $280974.82    | 0.21%             | 2035-01-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2021-BNK35                                                                 | CUSIP: 06540CCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4703147 | PA      | $1750020.78   | 1.31%             | 2064-06-15      | Variable      | 1.66%                 | 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        |    406196 | PA      | $390205.37    | 0.29%             | 2031-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GREYSTONE SELECT FINANCI                                | Greystone Select Financial LLC                                                  | CUSIP: 39808KAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    971519 | PA      | $964232.57    | 0.72%             | 2028-06-19      | Floating      | 8.85%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, In                          | RALI Series 2005-QA3 Trust                                                      | CUSIP: 76110H2N8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    686075 | PA      | $317435.31    | 0.24%             | 2035-03-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF 2021-KF117 Mortgage Trust                                                 | CUSIP: 30320YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    539301 | PA      | $497323.28    | 0.37%             | 2031-07-25      | Floating      | 10.41%                | 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        |    530157 | PA      | $483653.61    | 0.36%             | 2047-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   3484915 | PA      | $3685927.25   | 2.76%             | 2029-04-25      | Floating      | 13.24%                | No            |                  2 | On Loan: No      |
| ARBOR REALTY SR INC                                     | Arbor Realty SR Inc                                                             | CUSIP: 03881NAL1<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              | CORP              | US        |    400000 | PA      | $398531.14    | 0.30%             | 2028-12-15      | Fixed         | 8.50%                 | 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      | $502762.95    | 0.38%             | 2036-07-25      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                             | CAFL 2023-RTL1 Issuer LLC                                                       | CUSIP: 124762AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770000 | PA      | $1770000.00   | 1.33%             | 2030-12-28      | Variable      | 9.30%                 | 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      | $1073429.20   | 0.80%             | 2033-10-25      | Floating      | 9.87%                 | 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        |     59192 | PA      | $55919.65     | 0.04%             | 2036-02-20      | Floating      | 6.45%                 | 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        |    615053 | PA      | $393977.77    | 0.30%             | 2048-01-20      | Fixed         | 3.50%                 | 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      | $725549.50    | 0.54%             | 2038-08-10      | Variable      | 2.70%                 | 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        |   1429438 | PA      | $1123173.53   | 0.84%             | 2051-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-21

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

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer