# EDGAR Filing Document

**Accession Number:** 0000764624
**File Stem:** 0000940400-25-010365
**Filing Date:** 2025-11
**Character Count:** 338294
**Document Hash:** 7618dd37984629536d0764e6f62b6f16
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-010365.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0000940400-25-010365

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04254
- **FILM NUMBER:** 251519296

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

Schedule of Investments (unaudited)

September 30, 2025

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity <br>Date<br>| &nbsp;&nbsp; Face <br>Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(a)</sup> **— 57.1%** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— 57.1%** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— 57.1%** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— 57.1%** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— 57.1%** |
| &nbsp;&nbsp;&nbsp; 280 Park Avenue Mortgage Trust, 2017-280P F (1 mo. Term SOFR + 3.127%) | &nbsp;&nbsp; 7.345% | &nbsp;&nbsp; 9/15/34 | &nbsp;&nbsp; $2500000<br>| &nbsp;&nbsp;&nbsp; $2419166<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2006-OA9 2A1B (1 mo. Term SOFR + 0.514%) | &nbsp;&nbsp; 4.650% | &nbsp;&nbsp; 7/20/46 | &nbsp;&nbsp; 58545<br>| &nbsp;&nbsp;&nbsp; 50210<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; AOA Mortgage Trust, 2021-1177 A (1 mo. Term SOFR + 0.989%) | &nbsp;&nbsp; 5.140% | &nbsp;&nbsp; 10/15/38 | &nbsp;&nbsp; 670000<br>| &nbsp;&nbsp;&nbsp; 669999<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Atrium Hotel Portfolio Trust, 2017-ATRM E (1 mo. Term SOFR + 3.347%) | &nbsp;&nbsp; 7.498% | &nbsp;&nbsp; 12/15/36 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 929375<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BANK, 2021-BN32 XA, IO | &nbsp;&nbsp; 0.869% | &nbsp;&nbsp; 4/15/54 | &nbsp;&nbsp; 6032675<br>| &nbsp;&nbsp;&nbsp; 178653<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Benchmark Mortgage Trust, 2021-B25 XA, IO | &nbsp;&nbsp; 1.190% | &nbsp;&nbsp; 4/15/54 | &nbsp;&nbsp; 16586374<br>| &nbsp;&nbsp;&nbsp; 733544<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BFLD Commercial Mortgage Trust, 2024-UNIV E (1 mo. Term SOFR + <br> 3.640%) | &nbsp;&nbsp; 7.790% | &nbsp;&nbsp; 11/15/41 | &nbsp;&nbsp; 1170000<br>| &nbsp;&nbsp;&nbsp; 1175373<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BMP Trust, 2024-MF23 E (1 mo. Term SOFR + 3.389%) | &nbsp;&nbsp; 7.539% | &nbsp;&nbsp; 6/15/41 | &nbsp;&nbsp; 1420000<br>| &nbsp;&nbsp;&nbsp; 1423782<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BOCA Commercial Mortgage Trust, 2024-BOCA E (1 mo. Term SOFR + <br> 4.437%) | &nbsp;&nbsp; 8.587% | &nbsp;&nbsp; 8/15/41 | &nbsp;&nbsp; 920000<br>| &nbsp;&nbsp;&nbsp; 933387<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BRAVO Residential Funding Trust, 2024-NQM5 A3 | &nbsp;&nbsp; 6.158% | &nbsp;&nbsp; 6/25/64 | &nbsp;&nbsp; 753044<br>| &nbsp;&nbsp;&nbsp; 759243<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2019-IMC G (1 mo. Term SOFR + 3.646%) | &nbsp;&nbsp; 7.796% | &nbsp;&nbsp; 4/15/34 | &nbsp;&nbsp; 1500000<br>| &nbsp;&nbsp;&nbsp; 1444058<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2024-BIO2 D | &nbsp;&nbsp; 7.970% | &nbsp;&nbsp; 8/13/41 | &nbsp;&nbsp; 1020000<br>| &nbsp;&nbsp;&nbsp; 1018394<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2025-SPOT E (1 mo. Term SOFR + 3.690%) | &nbsp;&nbsp; 7.840% | &nbsp;&nbsp; 4/15/40 | &nbsp;&nbsp; 1297831<br>| &nbsp;&nbsp;&nbsp; 1302182<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Trust, 2021-ARIA G (1 mo. Term SOFR + 3.257%) | &nbsp;&nbsp; 7.407% | &nbsp;&nbsp; 10/15/36 | &nbsp;&nbsp; 1070000<br>| &nbsp;&nbsp;&nbsp; 1065603<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Trust, 2024-VLT4 E (1 mo. Term SOFR + 2.889%) | &nbsp;&nbsp; 7.040% | &nbsp;&nbsp; 6/15/41 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1204244<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BXHPP Trust, 2021-FILM C (1 mo. Term SOFR + 1.214%) | &nbsp;&nbsp; 5.364% | &nbsp;&nbsp; 8/15/36 | &nbsp;&nbsp; 2207000<br>| &nbsp;&nbsp;&nbsp; 2020973<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; CAFL Issuer LLC, 2023-RTL1 A2 | &nbsp;&nbsp; 9.300% | &nbsp;&nbsp; 12/28/30 | &nbsp;&nbsp; 1140000<br>| &nbsp;&nbsp;&nbsp; 1149383<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; CIM Trust, 2021-INV1 AXS, IO | &nbsp;&nbsp; 0.190% | &nbsp;&nbsp; 7/1/51 | &nbsp;&nbsp; 75321666<br>| &nbsp;&nbsp;&nbsp; 718712<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Commercial Mortgage Trust, 2015-GC29 D | &nbsp;&nbsp; 3.110% | &nbsp;&nbsp; 4/10/48 | &nbsp;&nbsp; 1700000<br>| &nbsp;&nbsp;&nbsp; 1215381<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities Corp., 2002-10 2A1 | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 5/25/32 | &nbsp;&nbsp; 100943<br>| &nbsp;&nbsp;&nbsp; 106846<br>|
| &nbsp;&nbsp;&nbsp; CSAIL Commercial Mortgage Trust, 2015-C3 C | &nbsp;&nbsp; 4.205% | &nbsp;&nbsp; 8/15/48 | &nbsp;&nbsp; 460000<br>| &nbsp;&nbsp;&nbsp; 395980<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2017-RPL3 B3 | &nbsp;&nbsp; 4.408% | &nbsp;&nbsp; 8/1/57 | &nbsp;&nbsp; 1163930<br>| &nbsp;&nbsp;&nbsp; 1141271<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; DK Note Backed Trust, 2024-SPT1 A | &nbsp;&nbsp; 7.086% | &nbsp;&nbsp; 4/28/66 | &nbsp;&nbsp; 591625<br>| &nbsp;&nbsp;&nbsp; 605916<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Extended Stay America Trust, 2021-ESH F (1 mo. Term SOFR + 3.814%) | &nbsp;&nbsp; 7.964% | &nbsp;&nbsp; 7/15/38 | &nbsp;&nbsp; 1264914<br>| &nbsp;&nbsp;&nbsp; 1267818<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Extended Stay America Trust, 2025-ESH D (1 mo. Term SOFR + 2.600%) | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 10/15/42 | &nbsp;&nbsp; 900000<br>| &nbsp;&nbsp;&nbsp; 906186<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily PC REMIC Trust, <br> 2019-RR01 X, IO | &nbsp;&nbsp; 1.534% | &nbsp;&nbsp; 6/25/28 | &nbsp;&nbsp; 2400000<br>| &nbsp;&nbsp;&nbsp; 81164<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, K110 X1, IO | &nbsp;&nbsp; 1.756% | &nbsp;&nbsp; 4/25/30 | &nbsp;&nbsp; 1210521<br>| &nbsp;&nbsp;&nbsp; 72829<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, K115 X1, IO | &nbsp;&nbsp; 1.417% | &nbsp;&nbsp; 6/25/30 | &nbsp;&nbsp; 1278422<br>| &nbsp;&nbsp;&nbsp; 66654<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, K116 X1, IO | &nbsp;&nbsp; 1.517% | &nbsp;&nbsp; 7/25/30 | &nbsp;&nbsp; 1074965<br>| &nbsp;&nbsp;&nbsp; 58584<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, K132 X1, IO | &nbsp;&nbsp; 0.606% | &nbsp;&nbsp; 8/25/31 | &nbsp;&nbsp; 11366444<br>| &nbsp;&nbsp;&nbsp; 288420<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, K141 X1, IO | &nbsp;&nbsp; 0.407% | &nbsp;&nbsp; 2/25/32 | &nbsp;&nbsp; 34151648<br>| &nbsp;&nbsp;&nbsp; 617974<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, K142 X1, IO | &nbsp;&nbsp; 0.403% | &nbsp;&nbsp; 3/25/32 | &nbsp;&nbsp; 17054805<br>| &nbsp;&nbsp;&nbsp; 296928<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, K143 X1, IO | &nbsp;&nbsp; 0.451% | &nbsp;&nbsp; 4/25/55 | &nbsp;&nbsp; 66169351<br>| &nbsp;&nbsp;&nbsp; 1346877<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, K148 X1, IO | &nbsp;&nbsp; 0.391% | &nbsp;&nbsp; 7/25/32 | &nbsp;&nbsp; 25446357<br>| &nbsp;&nbsp;&nbsp; 436377<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, K155 X1, IO | &nbsp;&nbsp; 0.421% | &nbsp;&nbsp; 4/25/33 | &nbsp;&nbsp; 21035776<br>| &nbsp;&nbsp;&nbsp; 419611<br> <sup>(c)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, K162 X1, IO | &nbsp;&nbsp; 0.570% | &nbsp;&nbsp; 12/25/33 | &nbsp;&nbsp; $25676923<br>| &nbsp;&nbsp;&nbsp; $725943<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, K742 X1, IO | &nbsp;&nbsp; 0.857% | &nbsp;&nbsp; 3/25/28 | &nbsp;&nbsp; 6088054<br>| &nbsp;&nbsp;&nbsp; 62706<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, K1510 X1, IO | &nbsp;&nbsp; 0.635% | &nbsp;&nbsp; 1/25/34 | &nbsp;&nbsp; 39625615<br>| &nbsp;&nbsp;&nbsp; 1139213<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, K1516 X1, IO | &nbsp;&nbsp; 1.623% | &nbsp;&nbsp; 5/25/35 | &nbsp;&nbsp; 4290585<br>| &nbsp;&nbsp;&nbsp; 467114<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, K1520 X1, IO | &nbsp;&nbsp; 0.576% | &nbsp;&nbsp; 2/25/36 | &nbsp;&nbsp; 14846749<br>| &nbsp;&nbsp;&nbsp; 507775<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured <br> Pass-Through Certificates, KG06 X1, IO | &nbsp;&nbsp; 0.626% | &nbsp;&nbsp; 10/25/31 | &nbsp;&nbsp; 14658784<br>| &nbsp;&nbsp;&nbsp; 383673<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 2525 AM | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 4/15/32 | &nbsp;&nbsp; 28747<br>| &nbsp;&nbsp;&nbsp; 28905<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3397 GS, IO (-1.000 x <br> 30 Day Average SOFR + 6.886%) | &nbsp;&nbsp; 2.513% | &nbsp;&nbsp; 12/15/37 | &nbsp;&nbsp; 157806<br>| &nbsp;&nbsp;&nbsp; 16920<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4085 IO, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 6/15/27 | &nbsp;&nbsp; 54120<br>| &nbsp;&nbsp;&nbsp; 350<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4114 LI, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 10/15/32 | &nbsp;&nbsp; 997603<br>| &nbsp;&nbsp;&nbsp; 75584<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4134 IM, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 11/15/42 | &nbsp;&nbsp; 2143921<br>| &nbsp;&nbsp;&nbsp; 355961<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4144 GI, IO, PAC-1 | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 12/15/32 | &nbsp;&nbsp; 608034<br>| &nbsp;&nbsp;&nbsp; 33822<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4147 IN, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 12/15/32 | &nbsp;&nbsp; 1046601<br>| &nbsp;&nbsp;&nbsp; 73863<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4170 PI, IO, PAC-1 | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/15/33 | &nbsp;&nbsp; 635714<br>| &nbsp;&nbsp;&nbsp; 27238<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4210 Z | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 5/15/43 | &nbsp;&nbsp; 3548791<br>| &nbsp;&nbsp;&nbsp; 2981965<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4377 UZ | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 8/15/44 | &nbsp;&nbsp; 2618039<br>| &nbsp;&nbsp;&nbsp; 2144731<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4808 SB, IO (-1.000 x <br> 30 Day Average SOFR + 6.086%) | &nbsp;&nbsp; 1.713% | &nbsp;&nbsp; 7/15/48 | &nbsp;&nbsp; 923674<br>| &nbsp;&nbsp;&nbsp; 121906<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4813 CJ | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 8/15/48 | &nbsp;&nbsp; 277063<br>| &nbsp;&nbsp;&nbsp; 246325<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4882 S, IO, PAC <br> (-1.000 x 30 Day Average SOFR + 5.936%) | &nbsp;&nbsp; 1.563% | &nbsp;&nbsp; 5/15/49 | &nbsp;&nbsp; 1264916<br>| &nbsp;&nbsp;&nbsp; 149807<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4921 SN, IO (-1.000 x <br> 30 Day Average SOFR + 5.936%) | &nbsp;&nbsp; 1.579% | &nbsp;&nbsp; 10/25/49 | &nbsp;&nbsp; 2503251<br>| &nbsp;&nbsp;&nbsp; 349437<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4931 DZ, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 11/25/49 | &nbsp;&nbsp; 3502058<br>| &nbsp;&nbsp;&nbsp; 2619941<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4962 SP, IO, PAC <br> (-1.000 x 30 Day Average SOFR + 5.936%) | &nbsp;&nbsp; 1.579% | &nbsp;&nbsp; 3/25/50 | &nbsp;&nbsp; 1311919<br>| &nbsp;&nbsp;&nbsp; 161264<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4980 KI, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/25/50 | &nbsp;&nbsp; 897189<br>| &nbsp;&nbsp;&nbsp; 204202<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4981 YI, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/25/50 | &nbsp;&nbsp; 4854436<br>| &nbsp;&nbsp;&nbsp; 1138195<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4988 AZ | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 7/25/50 | &nbsp;&nbsp; 3776086<br>| &nbsp;&nbsp;&nbsp; 2325161<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4995 IQ, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 7/25/50 | &nbsp;&nbsp; 1898168<br>| &nbsp;&nbsp;&nbsp; 281875<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4995 QI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 7/25/50 | &nbsp;&nbsp; 9769984<br>| &nbsp;&nbsp;&nbsp; 1478425<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5040 IB, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 11/25/50 | &nbsp;&nbsp; 119409<br>| &nbsp;&nbsp;&nbsp; 16451<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5050 IE, IO, PAC | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 12/25/50 | &nbsp;&nbsp; 4509478<br>| &nbsp;&nbsp;&nbsp; 554082<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5056 PI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/25/50 | &nbsp;&nbsp; 2650650<br>| &nbsp;&nbsp;&nbsp; 358038<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5058 IL, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 1/25/51 | &nbsp;&nbsp; 1876179<br>| &nbsp;&nbsp;&nbsp; 275277<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5059 IB, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 1/25/51 | &nbsp;&nbsp; 1047943<br>| &nbsp;&nbsp;&nbsp; 181670<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5070 NI, IO | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 2/25/51 | &nbsp;&nbsp; 4079108<br>| &nbsp;&nbsp;&nbsp; 578437<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5078 EI, IO | &nbsp;&nbsp; 1.500% | &nbsp;&nbsp; 1/25/51 | &nbsp;&nbsp; 4774201<br>| &nbsp;&nbsp;&nbsp; 502572<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5085 IK, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 3/25/51 | &nbsp;&nbsp; 15475683<br>| &nbsp;&nbsp;&nbsp; 2571077<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5092 IU, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 2/25/51 | &nbsp;&nbsp; 6754733<br>| &nbsp;&nbsp;&nbsp; 820312<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5113 NI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 6/25/51 | &nbsp;&nbsp; $1996240<br>| &nbsp;&nbsp;&nbsp; $251066<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5134 KI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 7/25/48 | &nbsp;&nbsp; 6918524<br>| &nbsp;&nbsp;&nbsp; 960999<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5135 DI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 5/25/48 | &nbsp;&nbsp; 6406368<br>| &nbsp;&nbsp;&nbsp; 905873<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5140 NI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 5/25/49 | &nbsp;&nbsp; 6944098<br>| &nbsp;&nbsp;&nbsp; 1027764<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5149 NI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 1/25/51 | &nbsp;&nbsp; 862070<br>| &nbsp;&nbsp;&nbsp; 131946<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5160 IU, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 11/25/50 | &nbsp;&nbsp; 4689235<br>| &nbsp;&nbsp;&nbsp; 661650<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5169 PW, PAC | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 9/25/51 | &nbsp;&nbsp; 4700000<br>| &nbsp;&nbsp;&nbsp; 3303728<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5178 CY | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 1/25/42 | &nbsp;&nbsp; 4400000<br>| &nbsp;&nbsp;&nbsp; 3084533<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5180 IP, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/25/52 | &nbsp;&nbsp; 2974275<br>| &nbsp;&nbsp;&nbsp; 611349<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5202 IN, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/25/47 | &nbsp;&nbsp; 4108177<br>| &nbsp;&nbsp;&nbsp; 545549<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5202 NI, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 8/25/46 | &nbsp;&nbsp; 1502191<br>| &nbsp;&nbsp;&nbsp; 193391<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5209 EQ | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 4/25/52 | &nbsp;&nbsp; 2800000<br>| &nbsp;&nbsp;&nbsp; 2124513<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5408 GI, IO, PAC | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 4/25/54 | &nbsp;&nbsp; 2524857<br>| &nbsp;&nbsp;&nbsp; 495429<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5408 PI, IO, PAC | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 3/25/54 | &nbsp;&nbsp; 1159880<br>| &nbsp;&nbsp;&nbsp; 221735<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5482 FC (30 Day <br> Average SOFR + 1.300%) | &nbsp;&nbsp; 5.656% | &nbsp;&nbsp; 12/25/54 | &nbsp;&nbsp; 397596<br>| &nbsp;&nbsp;&nbsp; 398747<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5483 FD (30 Day <br> Average SOFR + 1.300%) | &nbsp;&nbsp; 5.656% | &nbsp;&nbsp; 12/25/54 | &nbsp;&nbsp; 359226<br>| &nbsp;&nbsp;&nbsp; 361119<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5523 IQ, IO, PAC | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 4/25/55 | &nbsp;&nbsp; 5517168<br>| &nbsp;&nbsp;&nbsp; 998362<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency <br> Credit Risk Trust, 2019-HQA4 B2 (30 Day Average SOFR + 6.714%) | &nbsp;&nbsp; 11.071% | &nbsp;&nbsp; 11/25/49 | &nbsp;&nbsp; 1240000<br>| &nbsp;&nbsp;&nbsp; 1376854<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency <br> Credit Risk Trust, 2021-HQA4 B2 (30 Day Average SOFR + 7.000%) | &nbsp;&nbsp; 11.356% | &nbsp;&nbsp; 12/25/41 | &nbsp;&nbsp; 2240000<br>| &nbsp;&nbsp;&nbsp; 2359422<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency <br> Credit Risk Trust, 2025-DNA1 M2 (30 Day Average SOFR + 1.350%) | &nbsp;&nbsp; 5.706% | &nbsp;&nbsp; 1/25/45 | &nbsp;&nbsp; 920000<br>| &nbsp;&nbsp;&nbsp; 917724<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2016-1 B, PO | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 9/25/55 | &nbsp;&nbsp; 4379358<br>| &nbsp;&nbsp;&nbsp; 658674<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2016-1 BIO, IO | &nbsp;&nbsp; 1.470% | &nbsp;&nbsp; 9/25/55 | &nbsp;&nbsp; 7087731<br>| &nbsp;&nbsp;&nbsp; 830284<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2016-1 M2 | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 9/25/55 | &nbsp;&nbsp; 741878<br>| &nbsp;&nbsp;&nbsp; 683088<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2016-1 XSIO, IO | &nbsp;&nbsp; 0.075% | &nbsp;&nbsp; 9/25/55 | &nbsp;&nbsp; 44780057<br>| &nbsp;&nbsp;&nbsp; 179299<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 328 S4, IO | &nbsp;&nbsp; 1.962% | &nbsp;&nbsp; 2/15/38 | &nbsp;&nbsp; 155969<br>| &nbsp;&nbsp;&nbsp; 8232<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Securitized Participation Interests Trust, 2017-SPI1 B | &nbsp;&nbsp; 4.116% | &nbsp;&nbsp; 9/25/47 | &nbsp;&nbsp; 1787305<br>| &nbsp;&nbsp;&nbsp; 1528451<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2018-HRP1 B2 (30 Day Average SOFR + 11.864%) | &nbsp;&nbsp; 16.221% | &nbsp;&nbsp; 5/25/43 | &nbsp;&nbsp; 2039977<br>| &nbsp;&nbsp;&nbsp; 2446204<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2019-FTR1 B2 (30 Day Average SOFR + 8.464%) | &nbsp;&nbsp; 12.821% | &nbsp;&nbsp; 1/25/48 | &nbsp;&nbsp; 2810000<br>| &nbsp;&nbsp;&nbsp; 3351959<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2019-HQA3 B2 (30 Day Average SOFR + 7.614%) | &nbsp;&nbsp; 11.971% | &nbsp;&nbsp; 9/25/49 | &nbsp;&nbsp; 860000<br>| &nbsp;&nbsp;&nbsp; 968531<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2021-R01 1B2 (30 <br> Day Average SOFR + 6.000%) | &nbsp;&nbsp; 10.356% | &nbsp;&nbsp; 10/25/41 | &nbsp;&nbsp; 1190000<br>| &nbsp;&nbsp;&nbsp; 1235827<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2024-R01 1B2 (30 <br> Day Average SOFR + 4.000%) | &nbsp;&nbsp; 8.356% | &nbsp;&nbsp; 1/25/44 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 1047450<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2025-R02 1B1 (30 <br> Day Average SOFR + 1.950%) | &nbsp;&nbsp; 6.306% | &nbsp;&nbsp; 2/25/45 | &nbsp;&nbsp; 600000<br>| &nbsp;&nbsp;&nbsp; 602392<br> <sup>(b)(c)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2019-M11 X1, IO | &nbsp;&nbsp; 1.161% | &nbsp;&nbsp; 6/25/29 | &nbsp;&nbsp; $10719562<br>| &nbsp;&nbsp;&nbsp; $309648<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M11 IO, IO | &nbsp;&nbsp; 1.892% | &nbsp;&nbsp; 1/25/29 | &nbsp;&nbsp; 5935604<br>| &nbsp;&nbsp;&nbsp; 258604<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M16 X1, IO | &nbsp;&nbsp; 0.536% | &nbsp;&nbsp; 4/25/32 | &nbsp;&nbsp; 39543475<br>| &nbsp;&nbsp;&nbsp; 704329<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M24 X1, IO | &nbsp;&nbsp; 1.704% | &nbsp;&nbsp; 1/25/37 | &nbsp;&nbsp; 4969259<br>| &nbsp;&nbsp;&nbsp; 405548<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2020-M31 X2, IO | &nbsp;&nbsp; 1.313% | &nbsp;&nbsp; 12/25/32 | &nbsp;&nbsp; 17046465<br>| &nbsp;&nbsp;&nbsp; 830933<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2003-22 IO, IO | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 4/25/33 | &nbsp;&nbsp; 31549<br>| &nbsp;&nbsp;&nbsp; 4421<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2009-59 LB | &nbsp;&nbsp; 4.600% | &nbsp;&nbsp; 8/25/39 | &nbsp;&nbsp; 177172<br>| &nbsp;&nbsp;&nbsp; 179081<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2009-74 TX, PAC | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 9/25/39 | &nbsp;&nbsp; 456135<br>| &nbsp;&nbsp;&nbsp; 465968<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2010-2 AI, IO | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 2/25/40 | &nbsp;&nbsp; 162191<br>| &nbsp;&nbsp;&nbsp; 21331<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2010-84 SK, IO <br> (-1.000 x 30 Day Average SOFR + 6.446%) | &nbsp;&nbsp; 2.089% | &nbsp;&nbsp; 8/25/40 | &nbsp;&nbsp; 435649<br>| &nbsp;&nbsp;&nbsp; 36880<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2011-59 NZ | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 7/25/41 | &nbsp;&nbsp; 104876<br>| &nbsp;&nbsp;&nbsp; 108746<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2011-144 PT | &nbsp;&nbsp; 12.061% | &nbsp;&nbsp; 1/25/38 | &nbsp;&nbsp; 166322<br>| &nbsp;&nbsp;&nbsp; 209184<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-28 B | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 6/25/39 | &nbsp;&nbsp; 15816<br>| &nbsp;&nbsp;&nbsp; 16228<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-51 B | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 5/25/42 | &nbsp;&nbsp; 117908<br>| &nbsp;&nbsp;&nbsp; 128087<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-75 NS, IO <br> (-1.000 x 30 Day Average SOFR + 6.486%) | &nbsp;&nbsp; 2.129% | &nbsp;&nbsp; 7/25/42 | &nbsp;&nbsp; 762501<br>| &nbsp;&nbsp;&nbsp; 104494<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2012-149 AI, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/25/28 | &nbsp;&nbsp; 330980<br>| &nbsp;&nbsp;&nbsp; 5354<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2013-9 BC | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 7/25/42 | &nbsp;&nbsp; 114180<br>| &nbsp;&nbsp;&nbsp; 121227<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2013-9 CB | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 4/25/42 | &nbsp;&nbsp; 845216<br>| &nbsp;&nbsp;&nbsp; 872983<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2014-47 AI, IO | &nbsp;&nbsp; 1.941% | &nbsp;&nbsp; 8/25/44 | &nbsp;&nbsp; 447283<br>| &nbsp;&nbsp;&nbsp; 26607<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2014-47 IA, IO | &nbsp;&nbsp; 1.745% | &nbsp;&nbsp; 8/25/44 | &nbsp;&nbsp; 793893<br>| &nbsp;&nbsp;&nbsp; 52328<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2014-49 KS, IO | &nbsp;&nbsp; 1.748% | &nbsp;&nbsp; 8/25/44 | &nbsp;&nbsp; 697959<br>| &nbsp;&nbsp;&nbsp; 48493<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2016-48 IA, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/25/38 | &nbsp;&nbsp; 3629541<br>| &nbsp;&nbsp;&nbsp; 452971<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2018-3 IO, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 2/25/48 | &nbsp;&nbsp; 3357726<br>| &nbsp;&nbsp;&nbsp; 672716<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2018-74 AB | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 10/25/48 | &nbsp;&nbsp; 1175902<br>| &nbsp;&nbsp;&nbsp; 1096853<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2019-33 ZJ | &nbsp;&nbsp; 2.750% | &nbsp;&nbsp; 7/25/49 | &nbsp;&nbsp; 2459603<br>| &nbsp;&nbsp;&nbsp; 1775651<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2019-38 SH, IO <br> (-1.000 x 30 Day Average SOFR + 5.936%) | &nbsp;&nbsp; 1.587% | &nbsp;&nbsp; 7/25/49 | &nbsp;&nbsp; 2808243<br>| &nbsp;&nbsp;&nbsp; 368242<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2019-44 SM, IO <br> (-1.000 x 30 Day Average SOFR + 5.936%) | &nbsp;&nbsp; 1.579% | &nbsp;&nbsp; 8/25/49 | &nbsp;&nbsp; 1524137<br>| &nbsp;&nbsp;&nbsp; 182978<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2019-45 BS, IO <br> (-1.000 x 30 Day Average SOFR + 5.936%) | &nbsp;&nbsp; 1.579% | &nbsp;&nbsp; 8/25/49 | &nbsp;&nbsp; 1597394<br>| &nbsp;&nbsp;&nbsp; 177851<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2019-58 HS, IO <br> (-1.000 x 30 Day Average SOFR + 5.886%) | &nbsp;&nbsp; 1.529% | &nbsp;&nbsp; 10/25/49 | &nbsp;&nbsp; 1479050<br>| &nbsp;&nbsp;&nbsp; 172417<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2019-59 SH, IO <br> (-1.000 x 30 Day Average SOFR + 5.886%) | &nbsp;&nbsp; 1.529% | &nbsp;&nbsp; 10/25/49 | &nbsp;&nbsp; 3190593<br>| &nbsp;&nbsp;&nbsp; 405192<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-47 GZ | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 7/25/50 | &nbsp;&nbsp; 1221675<br>| &nbsp;&nbsp;&nbsp; 750142<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-62 BI, IO | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 9/25/50 | &nbsp;&nbsp; 1439694<br>| &nbsp;&nbsp;&nbsp; 170908<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-63 KI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 9/25/50 | &nbsp;&nbsp; 1361617<br>| &nbsp;&nbsp;&nbsp; 88968<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-74 EI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/25/50 | &nbsp;&nbsp; 134148<br>| &nbsp;&nbsp;&nbsp; 23118<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-88 GI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/25/50 | &nbsp;&nbsp; 1703800<br>| &nbsp;&nbsp;&nbsp; 272615<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-89 DI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/25/50 | &nbsp;&nbsp; 904883<br>| &nbsp;&nbsp;&nbsp; 143342<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-93 LI, IO, PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 1/25/51 | &nbsp;&nbsp; 4853491<br>| &nbsp;&nbsp;&nbsp; 709994<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-3 NI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 2/25/51 | &nbsp;&nbsp; 633071<br>| &nbsp;&nbsp;&nbsp; 96806<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-33 AI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 5/25/47 | &nbsp;&nbsp; 832412<br>| &nbsp;&nbsp;&nbsp; 110250<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-42 NI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 11/25/48 | &nbsp;&nbsp; 7268826<br>| &nbsp;&nbsp;&nbsp; 1020875<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-46 BI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/25/48 | &nbsp;&nbsp; $4858387<br>| &nbsp;&nbsp;&nbsp; $698374<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-49 GI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/25/48 | &nbsp;&nbsp; 3142412<br>| &nbsp;&nbsp;&nbsp; 444796<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-52 CI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/25/47 | &nbsp;&nbsp; 7816675<br>| &nbsp;&nbsp;&nbsp; 1111064<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-54 KI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 5/25/49 | &nbsp;&nbsp; 692265<br>| &nbsp;&nbsp;&nbsp; 99031<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-59 TI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 9/25/51 | &nbsp;&nbsp; 5694507<br>| &nbsp;&nbsp;&nbsp; 835610<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-61 KI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 4/25/49 | &nbsp;&nbsp; 957071<br>| &nbsp;&nbsp;&nbsp; 144158<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-63 QI, IO, <br> PAC | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 6/25/51 | &nbsp;&nbsp; 737789<br>| &nbsp;&nbsp;&nbsp; 96563<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-74 IO, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/25/51 | &nbsp;&nbsp; 10793794<br>| &nbsp;&nbsp;&nbsp; 1896673<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-91 IG, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 1/25/52 | &nbsp;&nbsp; 1785301<br>| &nbsp;&nbsp;&nbsp; 265877<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2022-29 KZ | &nbsp;&nbsp; 1.500% | &nbsp;&nbsp; 6/25/42 | &nbsp;&nbsp; 6938173<br>| &nbsp;&nbsp;&nbsp; 5181388<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2022-57 BC | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 9/25/52 | &nbsp;&nbsp; 695359<br>| &nbsp;&nbsp;&nbsp; 666548<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2024-22 IC, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/25/51 | &nbsp;&nbsp; 9588852<br>| &nbsp;&nbsp;&nbsp; 1296799<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 362 6, IO | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 8/25/35 | &nbsp;&nbsp; 353564<br>| &nbsp;&nbsp;&nbsp; 43508<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 364 13, IO | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 9/25/35 | &nbsp;&nbsp; 28361<br>| &nbsp;&nbsp;&nbsp; 3616<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 383 18, IO | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 1/25/38 | &nbsp;&nbsp; 39425<br>| &nbsp;&nbsp;&nbsp; 6440<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 383 20, IO | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 7/25/37 | &nbsp;&nbsp; 29497<br>| &nbsp;&nbsp;&nbsp; 4571<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 406 2, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 2/25/41 | &nbsp;&nbsp; 1096358<br>| &nbsp;&nbsp;&nbsp; 183671<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 407 42, IO | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 1/25/38 | &nbsp;&nbsp; 14680<br>| &nbsp;&nbsp;&nbsp; 2250<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 417 C5, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 2/25/43 | &nbsp;&nbsp; 2150018<br>| &nbsp;&nbsp;&nbsp; 366520<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 418 C15, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 8/25/43 | &nbsp;&nbsp; 5074662<br>| &nbsp;&nbsp;&nbsp; 878924<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 435 C28, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 9/25/52 | &nbsp;&nbsp; 1488747<br>| &nbsp;&nbsp;&nbsp; 275318<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) STRIPS, 440 C50, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 10/25/53 | &nbsp;&nbsp; 3937150<br>| &nbsp;&nbsp;&nbsp; 884947<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2004-81 SK, IO <br> (-1.000 x 1 mo. Term SOFR + 6.086%) | &nbsp;&nbsp; 1.939% | &nbsp;&nbsp; 10/16/34 | &nbsp;&nbsp; 220872<br>| &nbsp;&nbsp;&nbsp; 3284<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2007-45 QB, IO <br> (-1.000 x 1 mo. Term SOFR + 6.486%) | &nbsp;&nbsp; 2.350% | &nbsp;&nbsp; 7/20/37 | &nbsp;&nbsp; 260484<br>| &nbsp;&nbsp;&nbsp; 16036<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2009-H01 FA (1 mo. <br> Term SOFR + 1.264%) | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 11/20/59 | &nbsp;&nbsp; 50409<br>| &nbsp;&nbsp;&nbsp; 50876<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2010-4 SI, IO (-1.000 <br> x 1 mo. Term SOFR + 5.986%) | &nbsp;&nbsp; 1.839% | &nbsp;&nbsp; 11/16/34 | &nbsp;&nbsp; 432415<br>| &nbsp;&nbsp;&nbsp; 1811<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2010-59 SM, IO <br> (-1.000 x 1 mo. Term SOFR + 5.886%) | &nbsp;&nbsp; 1.739% | &nbsp;&nbsp; 5/16/40 | &nbsp;&nbsp; 172454<br>| &nbsp;&nbsp;&nbsp; 9604<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2010-H02 FA (1 mo. <br> Term SOFR + 0.794%) | &nbsp;&nbsp; 5.109% | &nbsp;&nbsp; 2/20/60 | &nbsp;&nbsp; 189918<br>| &nbsp;&nbsp;&nbsp; 190473<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2011-40 EI, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 12/16/25 | &nbsp;&nbsp; 22<br>| &nbsp;&nbsp;&nbsp; 0<br> <sup>(e)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2011-142 IO, IO | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 9/16/46 | &nbsp;&nbsp; 2286983<br>| &nbsp;&nbsp;&nbsp; 23<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2012-13 SK, IO <br> (-1.000 x 1 mo. Term SOFR + 6.536%) | &nbsp;&nbsp; 2.400% | &nbsp;&nbsp; 2/20/41 | &nbsp;&nbsp; 139241<br>| &nbsp;&nbsp;&nbsp; 10586<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-72 IO, IO | &nbsp;&nbsp; 0.566% | &nbsp;&nbsp; 11/16/47 | &nbsp;&nbsp; 7007380<br>| &nbsp;&nbsp;&nbsp; 142621<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-82 TI, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 5/20/43 | &nbsp;&nbsp; 5351501<br>| &nbsp;&nbsp;&nbsp; 677146<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-90 PI, IO, PAC-1 | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 10/20/41 | &nbsp;&nbsp; 1197524<br>| &nbsp;&nbsp;&nbsp; 31221<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-142 IO, IO | &nbsp;&nbsp; 0.980% | &nbsp;&nbsp; 9/16/51 | &nbsp;&nbsp; 1614010<br>| &nbsp;&nbsp;&nbsp; 26789<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-2 CI, IO | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 1/20/44 | &nbsp;&nbsp; 700859<br>| &nbsp;&nbsp;&nbsp; 146466<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-50 IO, IO | &nbsp;&nbsp; 0.588% | &nbsp;&nbsp; 9/16/55 | &nbsp;&nbsp; 916833<br>| &nbsp;&nbsp;&nbsp; 21117<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-118 HS, IO <br> (-1.000 x 1 mo. Term SOFR + 6.086%) | &nbsp;&nbsp; 1.950% | &nbsp;&nbsp; 8/20/44 | &nbsp;&nbsp; 407751<br>| &nbsp;&nbsp;&nbsp; 49523<br> <sup>(c)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2015-20 PI, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 2/20/45 | &nbsp;&nbsp; $616605<br>| &nbsp;&nbsp;&nbsp; $104004<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2015-167 OI, IO | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 4/16/45 | &nbsp;&nbsp; 1526738<br>| &nbsp;&nbsp;&nbsp; 300781<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2016-51 NS, IO <br> (-1.000 x 1 mo. Term SOFR + 5.936%) | &nbsp;&nbsp; 1.800% | &nbsp;&nbsp; 4/20/46 | &nbsp;&nbsp; 1326029<br>| &nbsp;&nbsp;&nbsp; 154734<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2016-156 PB, PAC | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 11/20/46 | &nbsp;&nbsp; 5417124<br>| &nbsp;&nbsp;&nbsp; 3930307<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-21 IO, IO | &nbsp;&nbsp; 0.590% | &nbsp;&nbsp; 10/16/58 | &nbsp;&nbsp; 7026267<br>| &nbsp;&nbsp;&nbsp; 225376<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-26 IQ, IO | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/20/40 | &nbsp;&nbsp; 2742818<br>| &nbsp;&nbsp;&nbsp; 567257<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-41 IO, IO | &nbsp;&nbsp; 0.498% | &nbsp;&nbsp; 7/16/58 | &nbsp;&nbsp; 324565<br>| &nbsp;&nbsp;&nbsp; 7744<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2017-190 IO, IO | &nbsp;&nbsp; 0.618% | &nbsp;&nbsp; 3/16/60 | &nbsp;&nbsp; 1351790<br>| &nbsp;&nbsp;&nbsp; 51733<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2018-134 SM, IO <br> (-1.000 x 1 mo. Term SOFR + 6.086%) | &nbsp;&nbsp; 1.950% | &nbsp;&nbsp; 10/20/48 | &nbsp;&nbsp; 1763225<br>| &nbsp;&nbsp;&nbsp; 212353<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2018-168 PA, PAC-1 | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 8/20/48 | &nbsp;&nbsp; 769930<br>| &nbsp;&nbsp;&nbsp; 737893<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2019-18 TP, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 2/20/49 | &nbsp;&nbsp; 560614<br>| &nbsp;&nbsp;&nbsp; 510935<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2019-137 PI, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 11/20/49 | &nbsp;&nbsp; 2465616<br>| &nbsp;&nbsp;&nbsp; 476476<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-29 JI, IO | &nbsp;&nbsp; 0.932% | &nbsp;&nbsp; 1/16/60 | &nbsp;&nbsp; 8699831<br>| &nbsp;&nbsp;&nbsp; 517782<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-33 SD, IO <br> (-1.000 x 1 mo. Term SOFR + 6.036%) | &nbsp;&nbsp; 1.900% | &nbsp;&nbsp; 7/20/47 | &nbsp;&nbsp; 716567<br>| &nbsp;&nbsp;&nbsp; 100692<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-38 IO, IO | &nbsp;&nbsp; 0.819% | &nbsp;&nbsp; 4/16/62 | &nbsp;&nbsp; 6386276<br>| &nbsp;&nbsp;&nbsp; 379292<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-47 MI, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/20/50 | &nbsp;&nbsp; 401374<br>| &nbsp;&nbsp;&nbsp; 69946<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-47 NI, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/20/50 | &nbsp;&nbsp; 170844<br>| &nbsp;&nbsp;&nbsp; 32105<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-61 CI, IO, PAC | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 3/20/50 | &nbsp;&nbsp; 936525<br>| &nbsp;&nbsp;&nbsp; 173669<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-85 CI, IO, PAC | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/20/50 | &nbsp;&nbsp; 1054701<br>| &nbsp;&nbsp;&nbsp; 199194<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-89 IA, IO | &nbsp;&nbsp; 1.169% | &nbsp;&nbsp; 4/16/62 | &nbsp;&nbsp; 11515646<br>| &nbsp;&nbsp;&nbsp; 935705<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-109 AI, IO | &nbsp;&nbsp; 0.836% | &nbsp;&nbsp; 5/16/60 | &nbsp;&nbsp; 4399064<br>| &nbsp;&nbsp;&nbsp; 249087<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-116 GI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 8/20/50 | &nbsp;&nbsp; 5555280<br>| &nbsp;&nbsp;&nbsp; 843299<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-122 IM, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 8/20/50 | &nbsp;&nbsp; 2001219<br>| &nbsp;&nbsp;&nbsp; 287399<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-123 EI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 8/20/50 | &nbsp;&nbsp; 3803060<br>| &nbsp;&nbsp;&nbsp; 560578<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-129 IE, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 9/20/50 | &nbsp;&nbsp; 127778<br>| &nbsp;&nbsp;&nbsp; 18980<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-160 QI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/20/50 | &nbsp;&nbsp; 4461292<br>| &nbsp;&nbsp;&nbsp; 781951<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-160 VI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/20/50 | &nbsp;&nbsp; 196955<br>| &nbsp;&nbsp;&nbsp; 29091<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-181 WI, IO | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 12/20/50 | &nbsp;&nbsp; 979105<br>| &nbsp;&nbsp;&nbsp; 110470<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-191 IX, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/20/50 | &nbsp;&nbsp; 3567148<br>| &nbsp;&nbsp;&nbsp; 613273<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H02 FG (1 mo. <br> Term SOFR + 0.714%) | &nbsp;&nbsp; 5.066% | &nbsp;&nbsp; 1/20/70 | &nbsp;&nbsp; 613802<br>| &nbsp;&nbsp;&nbsp; 613376<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H08 BI, IO | &nbsp;&nbsp; 0.920% | &nbsp;&nbsp; 4/1/70 | &nbsp;&nbsp; 6576119<br>| &nbsp;&nbsp;&nbsp; 282118<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H12 F (1 mo. <br> Term SOFR + 0.614%) | &nbsp;&nbsp; 4.966% | &nbsp;&nbsp; 7/20/70 | &nbsp;&nbsp; 47572<br>| &nbsp;&nbsp;&nbsp; 47156<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H13 FA (1 mo. <br> Term SOFR + 0.564%) | &nbsp;&nbsp; 4.916% | &nbsp;&nbsp; 7/20/70 | &nbsp;&nbsp; 669906<br>| &nbsp;&nbsp;&nbsp; 660886<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-7 TI, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 1/16/51 | &nbsp;&nbsp; 4263135<br>| &nbsp;&nbsp;&nbsp; 745606<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-8 AQ | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 1/20/51 | &nbsp;&nbsp; 639841<br>| &nbsp;&nbsp;&nbsp; 637816<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-14 AB | &nbsp;&nbsp; 1.340% | &nbsp;&nbsp; 6/16/63 | &nbsp;&nbsp; 1108586<br>| &nbsp;&nbsp;&nbsp; 823816<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-21 AH | &nbsp;&nbsp; 1.400% | &nbsp;&nbsp; 6/16/63 | &nbsp;&nbsp; 2832020<br>| &nbsp;&nbsp;&nbsp; 2198367<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-29 AG | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/20/51 | &nbsp;&nbsp; 962175<br>| &nbsp;&nbsp;&nbsp; 960518<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-60 IO, IO | &nbsp;&nbsp; 0.826% | &nbsp;&nbsp; 5/16/63 | &nbsp;&nbsp; 4506698<br>| &nbsp;&nbsp;&nbsp; 276718<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-68 IO, IO | &nbsp;&nbsp; 0.877% | &nbsp;&nbsp; 10/16/62 | &nbsp;&nbsp; 4493173<br>| &nbsp;&nbsp;&nbsp; 286041<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-97 TI, IO, PAC | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 8/20/50 | &nbsp;&nbsp; 9488825<br>| &nbsp;&nbsp;&nbsp; 1291627<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-121 CI, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 7/20/51 | &nbsp;&nbsp; $2544672<br>| &nbsp;&nbsp;&nbsp; $435305<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-125 IM, IO | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 7/20/51 | &nbsp;&nbsp; 6881249<br>| &nbsp;&nbsp;&nbsp; 1227358<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-139 IE, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 8/20/51 | &nbsp;&nbsp; 2756707<br>| &nbsp;&nbsp;&nbsp; 524625<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-156 IE, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 9/20/51 | &nbsp;&nbsp; 4203834<br>| &nbsp;&nbsp;&nbsp; 658709<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-158 IN, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 9/20/51 | &nbsp;&nbsp; 6629199<br>| &nbsp;&nbsp;&nbsp; 983423<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-158 XB, IO | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 9/20/51 | &nbsp;&nbsp; 4421231<br>| &nbsp;&nbsp;&nbsp; 658296<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-180 IO, IO | &nbsp;&nbsp; 0.915% | &nbsp;&nbsp; 11/16/63 | &nbsp;&nbsp; 2238759<br>| &nbsp;&nbsp;&nbsp; 156360<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2021-216 NI, IO, <br> PAC-1 | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 12/20/51 | &nbsp;&nbsp; 3728370<br>| &nbsp;&nbsp;&nbsp; 684931<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-5 LI, IO | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 1/20/52 | &nbsp;&nbsp; 3286087<br>| &nbsp;&nbsp;&nbsp; 612347<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-54 Z | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 10/16/63 | &nbsp;&nbsp; 1930402<br>| &nbsp;&nbsp;&nbsp; 798615<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-86 C | &nbsp;&nbsp; 2.250% | &nbsp;&nbsp; 10/16/63 | &nbsp;&nbsp; 800000<br>| &nbsp;&nbsp;&nbsp; 423476<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-139 AL | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 7/20/51 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1095017<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-147 B | &nbsp;&nbsp; 2.200% | &nbsp;&nbsp; 10/16/63 | &nbsp;&nbsp; 6500000<br>| &nbsp;&nbsp;&nbsp; 4487512<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-158 AL | &nbsp;&nbsp; 2.100% | &nbsp;&nbsp; 8/16/64 | &nbsp;&nbsp; 5830509<br>| &nbsp;&nbsp;&nbsp; 4127099<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2023-92 AH | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 6/16/64 | &nbsp;&nbsp; 2866012<br>| &nbsp;&nbsp;&nbsp; 2166522<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2023-92 IA, IO | &nbsp;&nbsp; 0.610% | &nbsp;&nbsp; 6/16/64 | &nbsp;&nbsp; 1976560<br>| &nbsp;&nbsp;&nbsp; 106531<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2023-179 IO, IO | &nbsp;&nbsp; 0.611% | &nbsp;&nbsp; 9/16/63 | &nbsp;&nbsp; 7895995<br>| &nbsp;&nbsp;&nbsp; 333593<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2023-184 HI, IO | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 12/20/53 | &nbsp;&nbsp; 1891623<br>| &nbsp;&nbsp;&nbsp; 401829<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2024-175 CS, IO <br> (-1.000 x 30 Day Average SOFR + 6.020%) | &nbsp;&nbsp; 1.631% | &nbsp;&nbsp; 10/20/54 | &nbsp;&nbsp; 11797445<br>| &nbsp;&nbsp;&nbsp; 1178880<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-55 SD, IO <br> (-1.000 x 30 Day Average SOFR + 5.950%) | &nbsp;&nbsp; 1.561% | &nbsp;&nbsp; 3/20/55 | &nbsp;&nbsp; 9876243<br>| &nbsp;&nbsp;&nbsp; 962422<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-159 GS, IO <br> (-1.000 x 30 Day Average SOFR + 6.570%) | &nbsp;&nbsp; 2.230% | &nbsp;&nbsp; 9/20/55 | &nbsp;&nbsp; 15200000<br>| &nbsp;&nbsp;&nbsp; 1583953<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Greystone CRE Notes LLC, 2025-HC4 D (1 mo. Term SOFR + 3.940%) | &nbsp;&nbsp; 8.069% | &nbsp;&nbsp; 10/15/42 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 997500<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. II, 2024-70P E | &nbsp;&nbsp; 9.263% | &nbsp;&nbsp; 3/10/41 | &nbsp;&nbsp; 2015000<br>| &nbsp;&nbsp;&nbsp; 2090894<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. Term SOFR + <br> 4.747%) | &nbsp;&nbsp; 8.897% | &nbsp;&nbsp; 11/15/32 | &nbsp;&nbsp; 1070000<br>| &nbsp;&nbsp;&nbsp; 1065590<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, 2021-IP A (1 mo. Term SOFR + 1.064%) | &nbsp;&nbsp; 5.215% | &nbsp;&nbsp; 10/15/36 | &nbsp;&nbsp; 360000<br>| &nbsp;&nbsp;&nbsp; 358560<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust, 2019-GC39 XA, IO | &nbsp;&nbsp; 1.238% | &nbsp;&nbsp; 5/10/52 | &nbsp;&nbsp; 34163541<br>| &nbsp;&nbsp;&nbsp; 1143771<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust, 2020-GC47 XA, IO | &nbsp;&nbsp; 1.237% | &nbsp;&nbsp; 5/12/53 | &nbsp;&nbsp; 16863336<br>| &nbsp;&nbsp;&nbsp; 699151<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, 2022-NQM1 B4 | &nbsp;&nbsp; 4.083% | &nbsp;&nbsp; 5/25/62 | &nbsp;&nbsp; 1432954<br>| &nbsp;&nbsp;&nbsp; 1223030<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; GSMPS Mortgage Loan Trust, 2006-RP2 1AF1 (1 mo. Term SOFR + 0.514%) | &nbsp;&nbsp; 4.672% | &nbsp;&nbsp; 4/25/36 | &nbsp;&nbsp; 812169<br>| &nbsp;&nbsp;&nbsp; 701667<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMDB Commercial Mortgage Securities Trust, 2017-C7 B | &nbsp;&nbsp; 3.985% | &nbsp;&nbsp; 10/15/50 | &nbsp;&nbsp; 420000<br>| &nbsp;&nbsp;&nbsp; 393560<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust, 2015-FL7 D <br> (PRIME + 0.693%) | &nbsp;&nbsp; 8.193% | &nbsp;&nbsp; 5/15/28 | &nbsp;&nbsp; 2873012<br>| &nbsp;&nbsp;&nbsp; 2378997<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust, 2019-COR5 XA, <br> IO | &nbsp;&nbsp; 1.594% | &nbsp;&nbsp; 6/13/52 | &nbsp;&nbsp; 14333086<br>| &nbsp;&nbsp;&nbsp; 549254<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2021-14 AX4, IO | &nbsp;&nbsp; 0.500% | &nbsp;&nbsp; 5/25/52 | &nbsp;&nbsp; 20516818<br>| &nbsp;&nbsp;&nbsp; 616169<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2024-3 AX1, IO | &nbsp;&nbsp; 0.331% | &nbsp;&nbsp; 5/25/54 | &nbsp;&nbsp; 34208655<br>| &nbsp;&nbsp;&nbsp; 675592<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; La Hipotecaria El Salvadorian Mortgage Trust, 2019-1A AAA | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 9/29/46 | &nbsp;&nbsp; 1042405<br>| &nbsp;&nbsp;&nbsp; 1000177<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. Term <br> SOFR + 0.324%) | &nbsp;&nbsp; 4.482% | &nbsp;&nbsp; 4/25/46 | &nbsp;&nbsp; 213398<br>| &nbsp;&nbsp;&nbsp; 197793<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; MF1 Ltd., 2022-FL8 D (1 mo. Term SOFR + 2.650%) | &nbsp;&nbsp; 6.784% | &nbsp;&nbsp; 2/19/37 | &nbsp;&nbsp; 1100000<br>| &nbsp;&nbsp;&nbsp; 1095097<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; MF1 Trust, 2024-FL16 A (1 mo. Term SOFR + 1.541%) | &nbsp;&nbsp; 5.677% | &nbsp;&nbsp; 11/18/39 | &nbsp;&nbsp; 1980000<br>| &nbsp;&nbsp;&nbsp; 1986054<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; MFA Trust, 2024-RTL3 A1 | &nbsp;&nbsp; 5.913% | &nbsp;&nbsp; 11/25/39 | &nbsp;&nbsp; 1170000<br>| &nbsp;&nbsp;&nbsp; 1181559<br> <sup>(b)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital I Trust, 2021-230P B (1 mo. Term SOFR + 1.563%) | &nbsp;&nbsp; 5.714% | &nbsp;&nbsp; 12/15/38 | &nbsp;&nbsp; $2000000<br>| &nbsp;&nbsp;&nbsp; $1855293<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust, 2006-8AR 1A2 (1 mo. Term SOFR + <br> 0.254%) | &nbsp;&nbsp; 4.412% | &nbsp;&nbsp; 6/25/36 | &nbsp;&nbsp; 28218<br>| &nbsp;&nbsp;&nbsp; 5069<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; MSWF Commercial Mortgage Trust, 2023-1 E | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 5/15/56 | &nbsp;&nbsp; 1939000<br>| &nbsp;&nbsp;&nbsp; 1430083<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Multifamily CAS Trust, 2020-1 CE (30 Day Average SOFR + 7.614%) | &nbsp;&nbsp; 11.971% | &nbsp;&nbsp; 3/25/50 | &nbsp;&nbsp; 2250000<br>| &nbsp;&nbsp;&nbsp; 2338124<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Multifamily Trust, 2016-1 B | &nbsp;&nbsp; 9.625% | &nbsp;&nbsp; 4/25/46 | &nbsp;&nbsp; 554579<br>| &nbsp;&nbsp;&nbsp; 552287<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Natixis Commercial Mortgage Securities Trust, 2019-FAME D | &nbsp;&nbsp; 4.544% | &nbsp;&nbsp; 8/15/36 | &nbsp;&nbsp; 1450000<br>| &nbsp;&nbsp;&nbsp; 947316<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Natixis Commercial Mortgage Securities Trust, 2019-FAME E | &nbsp;&nbsp; 4.544% | &nbsp;&nbsp; 8/15/36 | &nbsp;&nbsp; 2077000<br>| &nbsp;&nbsp;&nbsp; 801350<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2014-1A A | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 1/25/54 | &nbsp;&nbsp; 332684<br>| &nbsp;&nbsp;&nbsp; 324073<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2017-1A B6 | &nbsp;&nbsp; 5.343% | &nbsp;&nbsp; 2/25/57 | &nbsp;&nbsp; 902987<br>| &nbsp;&nbsp;&nbsp; 846675<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2024-RTL1 A2 | &nbsp;&nbsp; 7.101% | &nbsp;&nbsp; 3/25/39 | &nbsp;&nbsp; 1250000<br>| &nbsp;&nbsp;&nbsp; 1260443<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; NRM FHT1 Excess Owner LLC, 2025-FHT1 A | &nbsp;&nbsp; 6.545% | &nbsp;&nbsp; 3/25/32 | &nbsp;&nbsp; 833634<br>| &nbsp;&nbsp;&nbsp; 842011<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; NYMT Loan Trust, 2024-BPL1 A1 | &nbsp;&nbsp; 7.154% | &nbsp;&nbsp; 2/25/29 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 1006489<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; ONNI Commercial Mortgage Trust, 2024-APT D | &nbsp;&nbsp; 7.237% | &nbsp;&nbsp; 7/15/39 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1241868<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Redwood Funding Trust, 2025-3 A | &nbsp;&nbsp; 6.231% | &nbsp;&nbsp; 12/27/56 | &nbsp;&nbsp; 1377328<br>| &nbsp;&nbsp;&nbsp; 1380701<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Redwood Funding Trust, 2025-3 B | &nbsp;&nbsp; 7.749% | &nbsp;&nbsp; 12/27/56 | &nbsp;&nbsp; 900000<br>| &nbsp;&nbsp;&nbsp; 902273<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; RIDE, 2025-SHRE D | &nbsp;&nbsp; 6.972% | &nbsp;&nbsp; 2/14/47 | &nbsp;&nbsp; 370000<br>| &nbsp;&nbsp;&nbsp; 378890<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Saluda Grade Alternative Mortgage Trust, 2024-RTL4 A2 | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 2/25/30 | &nbsp;&nbsp; 1140000<br>| &nbsp;&nbsp;&nbsp; 1142254<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMRT, 2022-MINI F (1 mo. Term SOFR + 3.350%) | &nbsp;&nbsp; 7.501% | &nbsp;&nbsp; 1/15/39 | &nbsp;&nbsp; 1400000<br>| &nbsp;&nbsp;&nbsp; 1367134<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Starwood Mortgage Residential Trust, 2021-4 B31 | &nbsp;&nbsp; 4.678% | &nbsp;&nbsp; 8/25/56 | &nbsp;&nbsp; 1490000<br>| &nbsp;&nbsp;&nbsp; 1055104<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Starwood Retail Property Trust, 2014-STAR C | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 11/15/27 | &nbsp;&nbsp; 2324000<br>| &nbsp;&nbsp;&nbsp; 75530<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments II Trust, 2006-AR6 1A1 (1 mo. Term <br> SOFR + 0.474%) | &nbsp;&nbsp; 4.632% | &nbsp;&nbsp; 7/25/46 | &nbsp;&nbsp; 58539<br>| &nbsp;&nbsp;&nbsp; 50804<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2022-1 B1 | &nbsp;&nbsp; 4.007% | &nbsp;&nbsp; 1/25/67 | &nbsp;&nbsp; 400000<br>| &nbsp;&nbsp;&nbsp; 303911<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2024-1 M1 | &nbsp;&nbsp; 6.668% | &nbsp;&nbsp; 1/25/69 | &nbsp;&nbsp; 1650000<br>| &nbsp;&nbsp;&nbsp; 1667157<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2024-3 A3 | &nbsp;&nbsp; 6.845% | &nbsp;&nbsp; 4/25/69 | &nbsp;&nbsp; 463888<br>| &nbsp;&nbsp;&nbsp; 470595<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2003-AR5 A7 | &nbsp;&nbsp; 5.771% | &nbsp;&nbsp; 6/25/33 | &nbsp;&nbsp; 12619<br>| &nbsp;&nbsp;&nbsp; 12651<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2019-C51 A4 | &nbsp;&nbsp; 3.311% | &nbsp;&nbsp; 6/15/52 | &nbsp;&nbsp; 1370000<br>| &nbsp;&nbsp;&nbsp; 1297739<br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2021-C59 XA, IO | &nbsp;&nbsp; 1.620% | &nbsp;&nbsp; 4/15/54 | &nbsp;&nbsp; 12179649<br>| &nbsp;&nbsp;&nbsp; 717711<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2024-C63 A5 | &nbsp;&nbsp; 5.309% | &nbsp;&nbsp; 8/15/57 | &nbsp;&nbsp; 280000<br>| &nbsp;&nbsp;&nbsp; 290405<br>|
| **Total Collateralized Mortgage Obligations (Cost — $218,335,566)** | **Total Collateralized Mortgage Obligations (Cost — $218,335,566)** | **Total Collateralized Mortgage Obligations (Cost — $218,335,566)** | **Total Collateralized Mortgage Obligations (Cost — $218,335,566)** | &nbsp;&nbsp; **205851352** |
| **Mortgage-Backed Securities — 44.2%** | **Mortgage-Backed Securities — 44.2%** | **Mortgage-Backed Securities — 44.2%** | **Mortgage-Backed Securities — 44.2%** | **Mortgage-Backed Securities — 44.2%** |
| *FHLMC — 5.8%* | *FHLMC — 5.8%* | *FHLMC — 5.8%* | *FHLMC — 5.8%* | *FHLMC — 5.8%* |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 4/1/41- <br>9/1/41<br>| &nbsp;&nbsp; 2088693 | &nbsp;&nbsp;&nbsp; 1876273<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 9/1/41- <br>4/1/51<br>| &nbsp;&nbsp; 1092578 | &nbsp;&nbsp;&nbsp; 921328<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 3/1/43 | &nbsp;&nbsp; 632596<br>| &nbsp;&nbsp;&nbsp; 597886<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 7/1/49- <br>7/1/53<br>| &nbsp;&nbsp; 2365423 | &nbsp;&nbsp;&nbsp; 2339942<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 5/1/50 | &nbsp;&nbsp; 147579<br>| &nbsp;&nbsp;&nbsp; 133166<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 10/1/52 | &nbsp;&nbsp; 2665022<br>| &nbsp;&nbsp;&nbsp; 2675517<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR <br> Consumer Cash Fallbacks + 1.620%) | &nbsp;&nbsp; 4.369% | &nbsp;&nbsp; 11/1/47 | &nbsp;&nbsp; 239611<br>| &nbsp;&nbsp;&nbsp; 245793<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR <br> Consumer Cash Fallbacks + 1.621%) | &nbsp;&nbsp; 3.104% | &nbsp;&nbsp; 2/1/50 | &nbsp;&nbsp; 362994<br>| &nbsp;&nbsp;&nbsp; 367095<br> <sup>(c)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| *FHLMC — continued* | *FHLMC — continued* | *FHLMC — continued* | *FHLMC — continued* | *FHLMC — continued* |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR <br> Consumer Cash Fallbacks + 1.627%) | &nbsp;&nbsp; 3.005% | &nbsp;&nbsp; 11/1/48 | &nbsp;&nbsp; $1331752<br>| &nbsp;&nbsp;&nbsp; $1302464<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 12/1/33- <br>8/1/43<br>| &nbsp;&nbsp; 3542297 | &nbsp;&nbsp;&nbsp; 3469146<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Gold | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 10/1/46 | &nbsp;&nbsp; 7484836<br>| &nbsp;&nbsp;&nbsp; 6858168<br>|
| *Total FHLMC* | *Total FHLMC* | *Total FHLMC* | *Total FHLMC* | &nbsp;&nbsp; *20786778* |
| *FNMA — 29.3%* | *FNMA — 29.3%* | *FNMA — 29.3%* | *FNMA — 29.3%* | *FNMA — 29.3%* |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 8/1/29- <br>4/1/32<br>| &nbsp;&nbsp; 54730 | &nbsp;&nbsp;&nbsp; 55392<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 10/1/40- <br>10/1/55<br>| &nbsp;&nbsp; 2200000 | &nbsp;&nbsp;&nbsp; 2223003<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 4/1/41- <br>9/1/61<br>| &nbsp;&nbsp; 2388520 | &nbsp;&nbsp;&nbsp; 2059490<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 1.500% | &nbsp;&nbsp; 2/1/42 | &nbsp;&nbsp; 5948805<br>| &nbsp;&nbsp;&nbsp; 5035303<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 5/1/42- <br>5/1/43<br>| &nbsp;&nbsp; 3248139 | &nbsp;&nbsp;&nbsp; 3167063<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 8/1/42- <br>3/1/51<br>| &nbsp;&nbsp; 19585120 | &nbsp;&nbsp;&nbsp; 17011139<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 2/1/43- <br>4/1/43<br>| &nbsp;&nbsp; 3031891 | &nbsp;&nbsp;&nbsp; 2789131<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 11/1/45 | &nbsp;&nbsp; 2856838<br>| &nbsp;&nbsp;&nbsp; 2922730<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 12/1/46- <br>3/1/57<br>| &nbsp;&nbsp; 3450228 | &nbsp;&nbsp;&nbsp; 3210226<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/1/48- <br>1/1/59<br>| &nbsp;&nbsp; 3421646 | &nbsp;&nbsp;&nbsp; 3337203<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 8/1/54 | &nbsp;&nbsp; 1813884<br>| &nbsp;&nbsp;&nbsp; 1831740<br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 6600000 | &nbsp;&nbsp;&nbsp; 5321139<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 14400000 | &nbsp;&nbsp;&nbsp; 12134191<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 14400000 | &nbsp;&nbsp;&nbsp; 12650597<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 8500000 | &nbsp;&nbsp;&nbsp; 7766923<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 9000000 | &nbsp;&nbsp;&nbsp; 8483371<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 8500000<br>| &nbsp;&nbsp;&nbsp; 8245784<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 7500000<br>| &nbsp;&nbsp;&nbsp; 7562957<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; (0)<br>| &nbsp;&nbsp;&nbsp; (0) <sup>(f)</sup><br>|
| *Total FNMA* | *Total FNMA* | *Total FNMA* | *Total FNMA* | &nbsp;&nbsp; *105807382* |
| *GNMA — 9.1%* | *GNMA — 9.1%* | *GNMA — 9.1%* | *GNMA — 9.1%* | *GNMA — 9.1%* |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 4/15/29- <br>9/15/31<br>| &nbsp;&nbsp; 27996 | &nbsp;&nbsp;&nbsp; 28223<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 4/15/40- <br>5/15/40<br>| &nbsp;&nbsp; 292297 | &nbsp;&nbsp;&nbsp; 299130<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 9/15/42- <br>11/15/42<br>| &nbsp;&nbsp; 471343 | &nbsp;&nbsp;&nbsp; 430293<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 6/15/48- <br>6/15/50<br>| &nbsp;&nbsp; 1662701 | &nbsp;&nbsp;&nbsp; 1555397<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 3/15/50 | &nbsp;&nbsp; 50744<br>| &nbsp;&nbsp;&nbsp; 48191<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 10/20/55 | &nbsp;&nbsp; (2900000) <br>| &nbsp;&nbsp;&nbsp; (2922036) <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 7/20/47- <br>8/20/50<br>| &nbsp;&nbsp; 4131842 | &nbsp;&nbsp;&nbsp; 3895813<br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount<br>| Value |
| *GNMA — continued* | *GNMA — continued* | *GNMA — continued* | *GNMA — continued* | *GNMA — continued* |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 8/20/47- <br>2/20/50<br>| &nbsp;&nbsp; $3513955 | &nbsp;&nbsp;&nbsp; $3241071<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/20/48- <br>7/20/50<br>| &nbsp;&nbsp; 685019 | &nbsp;&nbsp;&nbsp; 661718<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 12/20/48- <br>5/20/49<br>| &nbsp;&nbsp; 709562 | &nbsp;&nbsp;&nbsp; 728482<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 9/20/49- <br>1/20/53<br>| &nbsp;&nbsp; 921709 | &nbsp;&nbsp;&nbsp; 930390<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/20/50- <br>3/20/52<br>| &nbsp;&nbsp; 5992623 | &nbsp;&nbsp;&nbsp; 5314657<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 12/20/50- <br>5/20/51<br>| &nbsp;&nbsp; 531457 | &nbsp;&nbsp;&nbsp; 453913<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 2/20/51- <br>4/20/51<br>| &nbsp;&nbsp; 1187276 | &nbsp;&nbsp;&nbsp; 957099<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 10/20/55 | &nbsp;&nbsp; 7800000<br>| &nbsp;&nbsp;&nbsp; 7565331<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 10/20/55 | &nbsp;&nbsp; 6200000<br>| &nbsp;&nbsp;&nbsp; 6168092<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 10/20/55 | &nbsp;&nbsp; 2900000<br>| &nbsp;&nbsp;&nbsp; 2922036<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II (1 mo. FTSE USD <br> IBOR Consumer Cash Fallbacks + 1.771%) | &nbsp;&nbsp; 6.227% | &nbsp;&nbsp; 6/20/60 | &nbsp;&nbsp; 597286<br>| &nbsp;&nbsp;&nbsp; 607224<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II (1 year Treasury <br> Constant Maturity Rate + 1.243%) | &nbsp;&nbsp; 5.223% | &nbsp;&nbsp; 8/20/58 | &nbsp;&nbsp; 864<br>| &nbsp;&nbsp;&nbsp; 871<br> <sup>(c)</sup><br>|
| *Total GNMA* | *Total GNMA* | *Total GNMA* | *Total GNMA* | &nbsp;&nbsp; *32885895* |
| **Total Mortgage-Backed Securities (Cost — $164,477,357)** | **Total Mortgage-Backed Securities (Cost — $164,477,357)** | **Total Mortgage-Backed Securities (Cost — $164,477,357)** | **Total Mortgage-Backed Securities (Cost — $164,477,357)** | &nbsp;&nbsp; **159480055** |
|  |  |  | &nbsp;&nbsp; Face <br>Amount/ <br>Units<br>|  |
| **Asset-Backed Securities — 15.3%** | **Asset-Backed Securities — 15.3%** | **Asset-Backed Securities — 15.3%** | **Asset-Backed Securities — 15.3%** | **Asset-Backed Securities — 15.3%** |
| &nbsp;&nbsp;&nbsp; AMMC CLO Ltd., 2024-30A D (3 mo. Term SOFR + 4.500%) | &nbsp;&nbsp; 8.818% | &nbsp;&nbsp; 1/15/37 | &nbsp;&nbsp; $750000<br>| &nbsp;&nbsp;&nbsp; 753016<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Aqua Finance Trust, 2020-AA C | &nbsp;&nbsp; 3.970% | &nbsp;&nbsp; 7/17/46 | &nbsp;&nbsp; 1772442<br>| &nbsp;&nbsp;&nbsp; 1732201<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC, 2023-6A D | &nbsp;&nbsp; 7.370% | &nbsp;&nbsp; 12/20/29 | &nbsp;&nbsp; 1230000<br>| &nbsp;&nbsp;&nbsp; 1268062<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Balboa Bay Loan Funding Ltd., 2024-2A E (3 mo. Term SOFR + 5.750%) | &nbsp;&nbsp; 10.075% | &nbsp;&nbsp; 1/20/38 | &nbsp;&nbsp; 790000<br>| &nbsp;&nbsp;&nbsp; 800183<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bayview Opportunity Master Fund LLC, 2024-CAR1 E (30 Day Average <br> SOFR + 3.600%) | &nbsp;&nbsp; 7.956% | &nbsp;&nbsp; 12/26/31 | &nbsp;&nbsp; 695208<br>| &nbsp;&nbsp;&nbsp; 703503<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bayview Opportunity Master Fund LLC, 2024-EDU1 D (30 Day Average <br> SOFR + 2.750%) | &nbsp;&nbsp; 7.106% | &nbsp;&nbsp; 6/25/47 | &nbsp;&nbsp; 1370658<br>| &nbsp;&nbsp;&nbsp; 1398446<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Blue Stream Issuer LLC, 2024-1A C | &nbsp;&nbsp; 8.710% | &nbsp;&nbsp; 11/20/54 | &nbsp;&nbsp; 1500000<br>| &nbsp;&nbsp;&nbsp; 1588794<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; CARS-DB7 LP, 2023-1A A1 | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 9/15/53 | &nbsp;&nbsp; 1181250<br>| &nbsp;&nbsp;&nbsp; 1191204<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Castlelake Aircraft Structured Trust, 2021-1A A | &nbsp;&nbsp; 3.474% | &nbsp;&nbsp; 1/15/46 | &nbsp;&nbsp; 79562<br>| &nbsp;&nbsp;&nbsp; 79087<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; College Ave Student Loans LLC, 2021-C D | &nbsp;&nbsp; 4.110% | &nbsp;&nbsp; 7/26/55 | &nbsp;&nbsp; 1419820<br>| &nbsp;&nbsp;&nbsp; 1358140<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Conseco Finance Corp., 1997-4 M1 | &nbsp;&nbsp; 7.220% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 152175<br>| &nbsp;&nbsp;&nbsp; 154063<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Dividend Solar Loans LLC, 2018-1 B | &nbsp;&nbsp; 4.290% | &nbsp;&nbsp; 7/20/38 | &nbsp;&nbsp; 427199<br>| &nbsp;&nbsp;&nbsp; 395066<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Dividend Solar Loans LLC, 2019-1 A | &nbsp;&nbsp; 3.670% | &nbsp;&nbsp; 8/22/39 | &nbsp;&nbsp; 933168<br>| &nbsp;&nbsp;&nbsp; 867872<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; ExteNet Issuer LLC, 2024-1A B | &nbsp;&nbsp; 6.150% | &nbsp;&nbsp; 7/25/54 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 1015490<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goodgreen Trust, 2020-1A C | &nbsp;&nbsp; 5.530% | &nbsp;&nbsp; 4/15/55 | &nbsp;&nbsp; 1772704<br>| &nbsp;&nbsp;&nbsp; 1389957<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goodgreen Trust, 2021-1A C | &nbsp;&nbsp; 5.740% | &nbsp;&nbsp; 10/15/56 | &nbsp;&nbsp; 534468<br>| &nbsp;&nbsp;&nbsp; 391979<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Goodgreen Trust, 2022-1A C | &nbsp;&nbsp; 7.010% | &nbsp;&nbsp; 10/15/56 | &nbsp;&nbsp; 217798<br>| &nbsp;&nbsp;&nbsp; 214804<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; GoodLeap Sustainable Home Solutions Trust, 2021-5CS C | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 10/20/48 | &nbsp;&nbsp; 1372662<br>| &nbsp;&nbsp;&nbsp; 524310<br> <sup>(b)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount/<br> Units<br>| Value |
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Hardee's Funding LLC, 2020-1A A2 | &nbsp;&nbsp; 3.981% | &nbsp;&nbsp; 12/20/50 | &nbsp;&nbsp; $1905000<br>| &nbsp;&nbsp;&nbsp; $1839228<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Hartwick Park CLO Ltd., 2023-1A ER (3 mo. Term SOFR + 4.850%) | &nbsp;&nbsp; 9.175% | &nbsp;&nbsp; 1/20/37 | &nbsp;&nbsp; 590000<br>| &nbsp;&nbsp;&nbsp; 588245<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Hertz Vehicle Financing LLC, 2023-4A C | &nbsp;&nbsp; 7.510% | &nbsp;&nbsp; 3/25/30 | &nbsp;&nbsp; 1750000<br>| &nbsp;&nbsp;&nbsp; 1852121<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Huntington Bank Auto Credit-Linked Notes, 2024-2 D (30 Day Average <br> SOFR + 4.000%) | &nbsp;&nbsp; 8.389% | &nbsp;&nbsp; 10/20/32 | &nbsp;&nbsp; 1141874<br>| &nbsp;&nbsp;&nbsp; 1154698<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Huntington Bank Auto Credit-Linked Notes, 2025-1 D (30 Day Average <br> SOFR + 3.500%) | &nbsp;&nbsp; 7.889% | &nbsp;&nbsp; 3/21/33 | &nbsp;&nbsp; 905352<br>| &nbsp;&nbsp;&nbsp; 909593<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; J.G. Wentworth LLC, 2018-1A B | &nbsp;&nbsp; 4.700% | &nbsp;&nbsp; 10/15/74 | &nbsp;&nbsp; 1603406<br>| &nbsp;&nbsp;&nbsp; 1423386<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lunar Structured Aircraft Portfolio Notes, 2021-1 B | &nbsp;&nbsp; 3.432% | &nbsp;&nbsp; 10/15/46 | &nbsp;&nbsp; 908606<br>| &nbsp;&nbsp;&nbsp; 864621<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; MACH Cayman Ltd., 2019-1 A | &nbsp;&nbsp; 3.474% | &nbsp;&nbsp; 10/15/39 | &nbsp;&nbsp; 167210<br>| &nbsp;&nbsp;&nbsp; 165289<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Magnetite Ltd., 2023-39A E1R (3 mo. Term SOFR + 4.900%) | &nbsp;&nbsp; 9.218% | &nbsp;&nbsp; 1/25/37 | &nbsp;&nbsp; 800000<br>| &nbsp;&nbsp;&nbsp; 791469<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mosaic Solar Loan Trust, 2024-1A B | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 9/20/49 | &nbsp;&nbsp; 982279<br>| &nbsp;&nbsp;&nbsp; 922881<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; NRM Excess LLC, 2024-FNT1 A | &nbsp;&nbsp; 7.398% | &nbsp;&nbsp; 11/25/31 | &nbsp;&nbsp; 784999<br>| &nbsp;&nbsp;&nbsp; 799703<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ocean Trails CLO Ltd., 2023-14A ER (3 mo. Term SOFR + 6.340%) | &nbsp;&nbsp; 10.665% | &nbsp;&nbsp; 1/20/38 | &nbsp;&nbsp; 900000<br>| &nbsp;&nbsp;&nbsp; 909066<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Pear LLC, 2021-1 A | &nbsp;&nbsp; 2.600% | &nbsp;&nbsp; 1/15/34 | &nbsp;&nbsp; 265369<br>| &nbsp;&nbsp;&nbsp; 264088<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Pear LLC, 2024-1 A | &nbsp;&nbsp; 6.950% | &nbsp;&nbsp; 2/15/36 | &nbsp;&nbsp; 639699<br>| &nbsp;&nbsp;&nbsp; 646665<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Progress Residential Trust, 2024-SFR1 D | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 2/17/41 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 959654<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; RAAC Trust, 2007-SP1 M3 (1 mo. Term SOFR + 1.614%) | &nbsp;&nbsp; 5.772% | &nbsp;&nbsp; 3/25/37 | &nbsp;&nbsp; 1027465<br>| &nbsp;&nbsp;&nbsp; 869048<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Renew Financial, 2023-1A A | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 11/20/58 | &nbsp;&nbsp; 1355175<br>| &nbsp;&nbsp;&nbsp; 1347060<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Renew Financial, 2024-1A M | &nbsp;&nbsp; 7.506% | &nbsp;&nbsp; 11/20/59 | &nbsp;&nbsp; 1198780<br>| &nbsp;&nbsp;&nbsp; 1225268<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Renew Financial, 2024-2A B | &nbsp;&nbsp; 8.223% | &nbsp;&nbsp; 11/20/60 | &nbsp;&nbsp; 929630<br>| &nbsp;&nbsp;&nbsp; 936055<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; SEB Funding LLC, 2024-1A A2 | &nbsp;&nbsp; 7.386% | &nbsp;&nbsp; 4/30/54 | &nbsp;&nbsp; 1870000<br>| &nbsp;&nbsp;&nbsp; 1914725<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sesac Finance LLC, 2024-1 A2 | &nbsp;&nbsp; 6.421% | &nbsp;&nbsp; 1/25/54 | &nbsp;&nbsp; 1379000<br>| &nbsp;&nbsp;&nbsp; 1407551<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, 2024-1A D | &nbsp;&nbsp; 8.020% | &nbsp;&nbsp; 1/20/43 | &nbsp;&nbsp; 634396<br>| &nbsp;&nbsp;&nbsp; 651667<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, 2024-2A D | &nbsp;&nbsp; 7.480% | &nbsp;&nbsp; 6/20/41 | &nbsp;&nbsp; 1256331<br>| &nbsp;&nbsp;&nbsp; 1278934<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2015-C R | &nbsp;&nbsp; 13.900% | &nbsp;&nbsp; 9/18/46 | &nbsp;&nbsp; 2751<br>| &nbsp;&nbsp;&nbsp; 722119<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2020-A B | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 8/15/45 | &nbsp;&nbsp; 2000000<br>| &nbsp;&nbsp;&nbsp; 1852628<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2021-A C | &nbsp;&nbsp; 2.990% | &nbsp;&nbsp; 1/15/53 | &nbsp;&nbsp; 2263423<br>| &nbsp;&nbsp;&nbsp; 1997709<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; SoFi Professional Loan Program LLC, 2017-F R1 | &nbsp;&nbsp; 27.152% | &nbsp;&nbsp; 1/25/41 | &nbsp;&nbsp; 25000<br>| &nbsp;&nbsp;&nbsp; 206263<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; SoFi Professional Loan Program Trust, 2020-A BFX | &nbsp;&nbsp; 3.120% | &nbsp;&nbsp; 5/15/46 | &nbsp;&nbsp; 3200000<br>| &nbsp;&nbsp;&nbsp; 2824240<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Stonepeak, 2021-1A B | &nbsp;&nbsp; 3.821% | &nbsp;&nbsp; 2/28/33 | &nbsp;&nbsp; 977321<br>| &nbsp;&nbsp;&nbsp; 948848<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Loan Trust, 2006-ARS1 A1 (1 <br> mo. Term SOFR + 0.334%) | &nbsp;&nbsp; 4.492% | &nbsp;&nbsp; 2/25/36 | &nbsp;&nbsp; 1349013<br>| &nbsp;&nbsp;&nbsp; 24326<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sunnova Hestia Issuer LLC, 2023-GRID1 1A | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 12/20/50 | &nbsp;&nbsp; 1926770<br>| &nbsp;&nbsp;&nbsp; 1946984<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sunrun Vulcan Issuer LLC, 2021-1A A | &nbsp;&nbsp; 2.460% | &nbsp;&nbsp; 1/30/52 | &nbsp;&nbsp; 648360<br>| &nbsp;&nbsp;&nbsp; 583844<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Thrust Engine Leasing DAC, 2021-1A A | &nbsp;&nbsp; 4.163% | &nbsp;&nbsp; 7/15/40 | &nbsp;&nbsp; 1093089<br>| &nbsp;&nbsp;&nbsp; 1075171<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; TICP CLO Ltd., 2017-7A DR (3 mo. Term SOFR + 3.462%) | &nbsp;&nbsp; 7.779% | &nbsp;&nbsp; 4/15/33 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 1003026<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Tricon Residential Trust, 2024-SFR4 D | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 11/17/41 | &nbsp;&nbsp; 1170000<br>| &nbsp;&nbsp;&nbsp; 1163851<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Trinitas CLO Ltd., 2022-19A D1R (3 mo. Term SOFR + 2.950%) | &nbsp;&nbsp; 7.275% | &nbsp;&nbsp; 10/20/33 | &nbsp;&nbsp; 830000<br>| &nbsp;&nbsp;&nbsp; 833989<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wave LLC, 2019-1 A | &nbsp;&nbsp; 3.597% | &nbsp;&nbsp; 9/15/44 | &nbsp;&nbsp; 310368<br>| &nbsp;&nbsp;&nbsp; 300192<br> <sup>(b)</sup><br>|
| **Total Asset-Backed Securities (Cost — $61,057,300)** | **Total Asset-Backed Securities (Cost — $61,057,300)** | **Total Asset-Backed Securities (Cost — $61,057,300)** | **Total Asset-Backed Securities (Cost — $61,057,300)** | &nbsp;&nbsp; **55030382** |

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security |  | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face <br>Amount<br>| Value |
| **Corporate Bonds & Notes — 2.3%** | **Corporate Bonds & Notes — 2.3%** | **Corporate Bonds & Notes — 2.3%** | **Corporate Bonds & Notes — 2.3%** | **Corporate Bonds & Notes — 2.3%** | **Corporate Bonds & Notes — 2.3%** |
| **Consumer Discretionary — 1.5%** | **Consumer Discretionary — 1.5%** | **Consumer Discretionary — 1.5%** | **Consumer Discretionary — 1.5%** | **Consumer Discretionary — 1.5%** | **Consumer Discretionary — 1.5%** |
| *Automobile Components — 0.2%* | *Automobile Components — 0.2%* | *Automobile Components — 0.2%* | *Automobile Components — 0.2%* | *Automobile Components — 0.2%* | *Automobile Components — 0.2%* |
| &nbsp;&nbsp;&nbsp; ZF North America Capital Inc., Senior Notes | &nbsp;&nbsp;&nbsp; ZF North America Capital Inc., Senior Notes | &nbsp;&nbsp; 6.875% | &nbsp;&nbsp; 4/23/32 | &nbsp;&nbsp; $650000<br>| &nbsp;&nbsp;&nbsp; $*622763*<br> <sup>(b)</sup><br>|
| *Hotels, Restaurants & Leisure — 1.0%* | *Hotels, Restaurants & Leisure — 1.0%* | *Hotels, Restaurants & Leisure — 1.0%* | *Hotels, Restaurants & Leisure — 1.0%* | *Hotels, Restaurants & Leisure — 1.0%* | *Hotels, Restaurants & Leisure — 1.0%* |
| &nbsp;&nbsp;&nbsp; Carnival Corp., Senior Notes | &nbsp;&nbsp;&nbsp; Carnival Corp., Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 5/1/29 | &nbsp;&nbsp; 900000<br>| &nbsp;&nbsp;&nbsp; 900000<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Carnival Corp., Senior Notes | &nbsp;&nbsp;&nbsp; Carnival Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 5/1/29 | &nbsp;&nbsp; 820000<br>| &nbsp;&nbsp;&nbsp; 832764<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Full House Resorts Inc., Senior Secured Notes | &nbsp;&nbsp;&nbsp; Full House Resorts Inc., Senior Secured Notes | &nbsp;&nbsp; 8.250% | &nbsp;&nbsp; 2/15/28 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1114811<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 3/15/32 | &nbsp;&nbsp; 820000<br>| &nbsp;&nbsp;&nbsp; 846809<br> <sup>(b)</sup><br>|
| *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | &nbsp;&nbsp; *3694384* |
| *Specialty Retail — 0.3%* | *Specialty Retail — 0.3%* | *Specialty Retail — 0.3%* | *Specialty Retail — 0.3%* | *Specialty Retail — 0.3%* | *Specialty Retail — 0.3%* |
| &nbsp;&nbsp;&nbsp; Lithia Motors Inc., Senior Notes | &nbsp;&nbsp;&nbsp; Lithia Motors Inc., Senior Notes | &nbsp;&nbsp; 4.375% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *950377*<br> <sup>(b)</sup><br>|
| **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | &nbsp;&nbsp; **5267524** |
| **Energy — 0.5%** | **Energy — 0.5%** | **Energy — 0.5%** | **Energy — 0.5%** | **Energy — 0.5%** | **Energy — 0.5%** |
| *Oil, Gas & Consumable Fuels — 0.5%* | *Oil, Gas & Consumable Fuels — 0.5%* | *Oil, Gas & Consumable Fuels — 0.5%* | *Oil, Gas & Consumable Fuels — 0.5%* | *Oil, Gas & Consumable Fuels — 0.5%* | *Oil, Gas & Consumable Fuels — 0.5%* |
| &nbsp;&nbsp;&nbsp; Expand Energy Corp., Senior Notes | &nbsp;&nbsp;&nbsp; Expand Energy Corp., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 2/1/32 | &nbsp;&nbsp; 1100000<br>| &nbsp;&nbsp;&nbsp; 1081522<br>|
| &nbsp;&nbsp;&nbsp; Venture Global Calcasieu Pass LLC, Senior Secured Notes | &nbsp;&nbsp;&nbsp; Venture Global Calcasieu Pass LLC, Senior Secured Notes | &nbsp;&nbsp; 4.125% | &nbsp;&nbsp; 8/15/31 | &nbsp;&nbsp; 930000<br>| &nbsp;&nbsp;&nbsp; 878407<br> <sup>(b)</sup><br>|
| **Total Energy** | **Total Energy** | **Total Energy** | **Total Energy** | **Total Energy** | &nbsp;&nbsp; **1959929** |
| **Financials — 0.2%** | **Financials — 0.2%** | **Financials — 0.2%** | **Financials — 0.2%** | **Financials — 0.2%** | **Financials — 0.2%** |
| *Mortgage Real Estate Investment Trusts (REITs) — 0.2%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.2%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.2%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.2%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.2%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.2%* |
| &nbsp;&nbsp;&nbsp; Arbor Realty SR Inc., Senior Notes | &nbsp;&nbsp;&nbsp; Arbor Realty SR Inc., Senior Notes | &nbsp;&nbsp; 7.875% | &nbsp;&nbsp; 7/15/30 | &nbsp;&nbsp; 690000<br>| &nbsp;&nbsp;&nbsp;&nbsp; **725792**<br> <sup>(b)</sup><br>|
| **Health Care — 0.1%** | **Health Care — 0.1%** | **Health Care — 0.1%** | **Health Care — 0.1%** | **Health Care — 0.1%** | **Health Care — 0.1%** |
| *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* |
| &nbsp;&nbsp;&nbsp; CHS/Community Health Systems Inc., Secured Notes | &nbsp;&nbsp;&nbsp; CHS/Community Health Systems Inc., Secured Notes | &nbsp;&nbsp; 6.875% | &nbsp;&nbsp; 4/15/29 | &nbsp;&nbsp; 270000<br>| &nbsp;&nbsp;&nbsp;&nbsp; **214898**<br> <sup>(b)</sup><br>|
| **Total Corporate Bonds & Notes (Cost — $8,075,608)** | **Total Corporate Bonds & Notes (Cost — $8,075,608)** | **Total Corporate Bonds & Notes (Cost — $8,075,608)** | **Total Corporate Bonds & Notes (Cost — $8,075,608)** | **Total Corporate Bonds & Notes (Cost — $8,075,608)** | &nbsp;&nbsp; **8168143** |
|  |  |  |  | Shares |  |
| **Preferred Stocks — 1.3%** | **Preferred Stocks — 1.3%** | **Preferred Stocks — 1.3%** | **Preferred Stocks — 1.3%** | **Preferred Stocks — 1.3%** | **Preferred Stocks — 1.3%** |
| **Financials — 1.3%** | **Financials — 1.3%** | **Financials — 1.3%** | **Financials — 1.3%** | **Financials — 1.3%** | **Financials — 1.3%** |
| *Mortgage Real Estate Investment Trusts (REITs) — 1.3%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.3%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.3%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.3%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.3%* | *Mortgage Real Estate Investment Trusts (REITs) — 1.3%* |
| &nbsp;&nbsp;&nbsp; AGNC Investment Corp., Non Voting Shares (3 mo. Term SOFR + 4.959%) | &nbsp;&nbsp;&nbsp; AGNC Investment Corp., Non Voting Shares (3 mo. Term SOFR + 4.959%) | &nbsp;&nbsp; 9.276% |  | &nbsp;&nbsp; 76437 | &nbsp;&nbsp;&nbsp; 1938442<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Chimera Investment Corp., Non Voting Shares (3 mo. Term SOFR + 5.005%) | &nbsp;&nbsp;&nbsp; Chimera Investment Corp., Non Voting Shares (3 mo. Term SOFR + 5.005%) | &nbsp;&nbsp; 8.981% |  | &nbsp;&nbsp; 61325 | &nbsp;&nbsp;&nbsp; 1416608<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; MFA Financial Inc., Non Voting Shares (3 mo. Term SOFR + 5.607%) | &nbsp;&nbsp;&nbsp; MFA Financial Inc., Non Voting Shares (3 mo. Term SOFR + 5.607%) | &nbsp;&nbsp; 9.583% |  | &nbsp;&nbsp; 52662 | &nbsp;&nbsp;&nbsp; 1257042<br> <sup>(c)</sup><br>|
| **Total Preferred Stocks (Cost — $4,435,063)** | **Total Preferred Stocks (Cost — $4,435,063)** | **Total Preferred Stocks (Cost — $4,435,063)** | **Total Preferred Stocks (Cost — $4,435,063)** | **Total Preferred Stocks (Cost — $4,435,063)** | &nbsp;&nbsp; **4612092** |
|  |  |  | &nbsp;&nbsp; Maturity <br>Date<br>| &nbsp;&nbsp; Face <br>Amount<br>|  |
| **Convertible Bonds & Notes — 0.4%** | **Convertible Bonds & Notes — 0.4%** | **Convertible Bonds & Notes — 0.4%** | **Convertible Bonds & Notes — 0.4%** | **Convertible Bonds & Notes — 0.4%** | **Convertible Bonds & Notes — 0.4%** |
| **Financials — 0.4%** | **Financials — 0.4%** | **Financials — 0.4%** | **Financials — 0.4%** | **Financials — 0.4%** | **Financials — 0.4%** |
| *Mortgage Real Estate Investment Trusts (REITs) — 0.4%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.4%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.4%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.4%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.4%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.4%* |
| &nbsp;&nbsp;&nbsp; Two Harbors Investment Corp., Senior Notes (Cost — $1,581,095) | &nbsp;&nbsp;&nbsp; Two Harbors Investment Corp., Senior Notes (Cost — $1,581,095) | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 1/15/26 | &nbsp;&nbsp; $1600000<br>| &nbsp;&nbsp;&nbsp; **1600001**<br>|
|  | Counterparty | Expiration <br>Date<br>| Contracts | &nbsp;&nbsp; Notional <br>Amount<br>|  |
| **Purchased Options — 0.0%††** | **Purchased Options — 0.0%††** | **Purchased Options — 0.0%††** | **Purchased Options — 0.0%††** | **Purchased Options — 0.0%††** | **Purchased Options — 0.0%††** |

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

 **Western Asset Mortgage Total Return Fund**

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security | Counterparty | Expiration<br> Date<br>| Contracts | &nbsp;&nbsp; Notional<br> Amount<br>| Value |
| **OTC Purchased Options — 0.0%††** | **OTC Purchased Options — 0.0%††** | **OTC Purchased Options — 0.0%††** | **OTC Purchased Options — 0.0%††** | **OTC Purchased Options — 0.0%††** | **OTC Purchased Options — 0.0%††** |
| &nbsp;&nbsp;&nbsp; CDS CDX.NA.IG.44.V1, Put @ <br> 55.000<sup>bps</sup> (Cost — $30,770)<br>| JPMorgan Chase & <br> Co.<br>| 10/15/25 | &nbsp;&nbsp; 18100000 | &nbsp;&nbsp; $18100000 | &nbsp;&nbsp;&nbsp; **$2048**<br>|
| **Total Investments before Short-Term Investments (Cost — $457,992,759)** | **Total Investments before Short-Term Investments (Cost — $457,992,759)** | **Total Investments before Short-Term Investments (Cost — $457,992,759)** | **Total Investments before Short-Term Investments (Cost — $457,992,759)** | **Total Investments before Short-Term Investments (Cost — $457,992,759)** | &nbsp;&nbsp; **434744073** |
|  |  | Rate |  | Shares |  |
| **Short-Term Investments — 0.7%** | **Short-Term Investments — 0.7%** | **Short-Term Investments — 0.7%** | **Short-Term Investments — 0.7%** | **Short-Term Investments — 0.7%** | **Short-Term Investments — 0.7%** |
| &nbsp;&nbsp;&nbsp; Western Asset Premier Institutional Government Reserves, Premium <br> Shares (Cost — $2,532,684)  | &nbsp;&nbsp;&nbsp; Western Asset Premier Institutional Government Reserves, Premium <br> Shares (Cost — $2,532,684)  | &nbsp;&nbsp; 4.101% |  | &nbsp;&nbsp; 2532684<br>| &nbsp;&nbsp;&nbsp;&nbsp; **2532684**<br> <sup>(g)(h)</sup><br>|
| **Total Investments — 121.3% (Cost — $460,525,443)** | **Total Investments — 121.3% (Cost — $460,525,443)** | **Total Investments — 121.3% (Cost — $460,525,443)** | **Total Investments — 121.3% (Cost — $460,525,443)** | **Total Investments — 121.3% (Cost — $460,525,443)** | &nbsp;&nbsp; **437276757** |
| &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (21.3)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (21.3)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (21.3)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (21.3)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (21.3)% | &nbsp;&nbsp;&nbsp; (76808292)<br>|
| **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | &nbsp;&nbsp; **$360468465** |

---

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

---

| | |
|:---|:---|
| †† | Represents less than 0.1%. |
| <sup>(a)</sup> | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct <br> payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or <br> more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit.<br>|
| <sup>(b)</sup> | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from <br> registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. <br>|
| <sup>(c)</sup> | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published <br> reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a <br> reference rate and spread in their description above.<br>|
| <sup>(d)</sup> | Securities traded on a when-issued or delayed delivery basis. |
| <sup>(e)</sup> | Value is less than $1. |
| <sup>(f)</sup> | This security is traded on a to-be-announced ("TBA") basis. At September 30, 2025, the Fund held TBA securities with a total cost of $78,492,050. |
| <sup>(g)</sup> | Rate shown is one-day yield as of the end of the reporting period.  |
| <sup>(h)</sup> | In this instance, as defined in the Investment Company Act of 1940, an "Affiliated Company" represents Fund ownership of at least 5% of the outstanding <br> voting securities of an issuer, or a company which is under common ownership or control with the Fund. At September 30, 2025, the total market value of <br> investments in Affiliated Companies was $2,532,684 and the cost was $2,532,684 (Note 2).<br>|

---

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

---

| | |
|:---|:---|
| **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** |
| ACES | Alternative Credit Enhancement Securities |
| bps | basis points (100 basis points = 1.00%) |
| CAS | Connecticut Avenue Securities |
| CLO | Collateralized Loan Obligation |
| DAC | Designated Activity Company |
| IBOR | Interbank Offered Rate |
| IO | Interest Only |
| PAC | Planned Amortization Class |
| PO | Principal Only |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
| USD | United States Dollar |

---

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **OTC Written Options** | **OTC Written Options** | **OTC Written Options** | **OTC Written Options** | **OTC Written Options** | **OTC Written Options** | **OTC Written Options** |
| Security | Counterparty | Expiration <br>Date<br>| Strike <br>Price<br>| Contracts | &nbsp;&nbsp; Notional <br>Amount<br>| Value |
| CDS CDX.NA.IG.44.V1, Put <br>(Premiums received — $9,955)<br>| JPMorgan Chase & Co. | &nbsp;&nbsp; 10/15/25 | 70.000 <br><sup>bps</sup><br>| &nbsp;&nbsp;&nbsp; 18100000 | &nbsp;&nbsp;&nbsp; 18100000 | &nbsp;&nbsp; **$(378)** <br><sup>‡</sup><br>|

---

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

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

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

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset Mortgage Total Return Fund**

---

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

---

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp; <br> Number of <br>Contracts<br>| &nbsp;&nbsp;&nbsp; <br> Expiration <br>Date<br>| &nbsp;&nbsp;&nbsp; <br> Notional <br>Amount<br>| &nbsp;&nbsp;&nbsp; <br> Market <br>Value<br>| &nbsp;&nbsp;&nbsp; <br> Unrealized <br>Appreciation <br>&nbsp;&nbsp;&nbsp;&nbsp;(Depreciation)<br>|
| **Contracts to Buy:** |  |  |  |  |  |
| U.S. Treasury 5-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; $11769108 | &nbsp;&nbsp;&nbsp;&nbsp; $11793094 | &nbsp;&nbsp;&nbsp;&nbsp; $23986 |
| U.S. Treasury 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 9314854 | &nbsp;&nbsp;&nbsp;&nbsp; 9337500 | &nbsp;&nbsp;&nbsp;&nbsp; 22646 |
| U.S. Treasury Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 3164953 | &nbsp;&nbsp;&nbsp;&nbsp; 3148031 | &nbsp;&nbsp;&nbsp;&nbsp; (16922) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 29710 |
| **Contracts to Sell:** |  |  |  |  |  |
| U.S. Treasury 2-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 7288416 | &nbsp;&nbsp;&nbsp;&nbsp; 7293946 | &nbsp;&nbsp;&nbsp;&nbsp; (5530) |
| **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | &nbsp;&nbsp;&nbsp; **$24180** |

---

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

See Notes to Schedule of Investments.

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

Notes to Schedule of Investments (unaudited)

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

**1. Organization and significant accounting policies** 

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

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

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

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

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

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

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

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

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

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

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

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

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

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| Description | &nbsp;&nbsp; Quoted Prices <br>(Level 1)<br>| &nbsp;&nbsp; Other Significant <br>Observable Inputs <br>(Level 2)<br>| &nbsp;&nbsp; Significant <br>Unobservable <br>Inputs <br>(Level 3)<br>| Total |
| Long-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; $205851352 | &nbsp;&nbsp; — | &nbsp;&nbsp; $205851352 |
| &nbsp;&nbsp;&nbsp; Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 159480055 | &nbsp;&nbsp; — | &nbsp;&nbsp; 159480055 |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 55030382 | &nbsp;&nbsp; — | &nbsp;&nbsp; 55030382 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds & Notes | &nbsp;&nbsp; — | &nbsp;&nbsp; 8168143 | &nbsp;&nbsp; — | &nbsp;&nbsp; 8168143 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks | &nbsp;&nbsp; $4612092 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 4612092 |
| &nbsp;&nbsp;&nbsp; Convertible Bonds & Notes | &nbsp;&nbsp; — | &nbsp;&nbsp; 1600001 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1600001 |
| &nbsp;&nbsp;&nbsp; Purchased Options | &nbsp;&nbsp; — | &nbsp;&nbsp; 2048 | &nbsp;&nbsp; — | &nbsp;&nbsp; 2048 |
| Total Long-Term Investments | &nbsp;&nbsp; 4612092 | &nbsp;&nbsp; 430131981 | &nbsp;&nbsp; — | &nbsp;&nbsp; 434744073 |
| Short-Term Investments† | &nbsp;&nbsp; 2532684 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 2532684 |
| **Total Investments** | &nbsp;&nbsp; **$7144776** | &nbsp;&nbsp; **$430131981** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$437276757** |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; $46632 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $46632 |
| **Total** | &nbsp;&nbsp; **$7191408** | &nbsp;&nbsp; **$430131981** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$437323389** |
| **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  |
| Description | &nbsp;&nbsp; Quoted Prices <br>(Level 1)<br>| &nbsp;&nbsp; Other Significant <br>Observable Inputs <br>(Level 2)<br>| &nbsp;&nbsp; Significant <br>Unobservable <br>Inputs <br>(Level 3)<br>| Total |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Written Options | &nbsp;&nbsp; — | &nbsp;&nbsp; $378 | &nbsp;&nbsp; — | &nbsp;&nbsp; $378 |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; $22452 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 22452 |
| **Total** | &nbsp;&nbsp; **$22452** | &nbsp;&nbsp; **$378** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$22830** |

---

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

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

**2. Transactions with affiliated company**

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended September 30, 2025. The following transactions were

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

effected in such company for the period ended September 30, 2025. <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Affiliate <br>Value at <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>December 31, <br>2024 | Purchased | Purchased | Sold | Sold |
|  | Affiliate <br>Value at <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>December 31, <br>2024 | Cost | Shares | Proceeds | Shares |
| Western Asset Premier <br> Institutional Government <br> Reserves, Premium <br> Shares<br>| $2543954 | $66939935 | 66939935 | $66951205 | 66951205 |

---

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| (cont'd) | Realized <br>Gain (Loss)<br>| Dividend <br>Income<br>| Net Increase <br>(Decrease) in <br>Unrealized <br>Appreciation <br>(Depreciation)<br>| Affiliate <br>Value at <br>September 30, <br>2025<br>|
| Western Asset Premier <br> Institutional Government <br> Reserves, Premium Shares<br>|  | $161712 |  | $2532684 |

---

------

Western Asset Mortgage Total Return Fund 2025 Quarterly Report

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

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

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $508804630.49

**Total Liabilities:** $149128214.70

**Net Assets:** $359676415.79

**Delayed Delivery Securities:** $900000.00

**Stand-by Commitments:** $124014769.82

**Cash Not Reported:** $421063.74

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -636.86000000 | **1-Year:** 16535.04000000 | **5-Year:** 121406.05000000 | **10-Year:** 48191.91000000 | **30-Year:** 2690.91000000

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

- **3-Month:** 178.32000000 | **1-Year:** 4748.57000000 | **5-Year:** 14517.43000000 | **10-Year:** 10463.88000000 | **30-Year:** 721.76000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000088509 | -0.25%               | 1.56%                | 0.61%                |
| Class ID C000046506 | -0.19%               | 1.62%                | 0.66%                |
| Class ID C000046510 | -0.17%               | 1.64%                | 0.68%                |
| Class ID C000046509 | -0.16%               | 1.64%                | 0.69%                |
| Class ID C000046508 | -0.26%               | 1.68%                | 0.60%                |
| Class ID C000118880 | -0.16%               | 1.65%                | 0.69%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-390319.03              | $-2209678.99                               |
| Month 2  | $-8842665.88             | $13106753.00                               |
| Month 3  | $1586247.37              | $-487360.82                                |

**Designated Index Information**

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

- **Index Identifier:** NA

### Schedule of Portfolio Investments

| Name                                                    | Title                                                                 | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378TZT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1197524 | PA      | $31220.77     | 0.01%             | 2041-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379EHN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407751 | PA      | $49523.37     | 0.01%             | 2044-08-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    643457 | PA      | $571069.96    | 0.16%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    502332 | PA      | $444432.01    | 0.12%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XQFP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5948805 | PA      | $5035303.27   | 1.40%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382XHX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2756707 | PA      | $524624.51    | 0.15%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION               | SWOP CDS CDX.NA.IG.44.V1                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        | -18100000 | NC      | $-378.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2023-4                                        | CUSIP: 618934AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2160000 | PA      | $1455582.74   | 0.40%             | 2053-05-20      | Fixed         | 8.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31384VNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       629 | PA      | $631.41       | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4300000 | PA      | $4277870.31   | 1.19%             | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622AB4Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155041 | PA      | $155417.17    | 0.04%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36211FRS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       322 | PA      | $324.94       | 0.00%             | 2030-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B5UN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1524137 | PA      | $182978.41    | 0.05%             | 2049-08-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F6P92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119409 | PA      | $16451.27     | 0.00%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | NYMT Loan Trust Series 2024-BPL1                                      | CUSIP: 62956MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1006489.20   | 0.28%             | 2029-02-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FUNG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3776086 | PA      | $2325160.85   | 0.65%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                            | Sunnova Hestia I Issuer LLC                                           | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1926770 | PA      | $1946984.23   | 0.54%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0406A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $11311162.08  | 3.14%             | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6088054 | PA      | $62705.74     | 0.02%             | 2028-03-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0426A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $8245783.87   | 2.29%             | 2055-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328200 | PA      | $305669.87    | 0.08%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BMY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6938173 | PA      | $5181388.43   | 1.44%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112260 | PA      | $101453.14    | 0.03%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38375KW40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    260484 | PA      | $16036.36     | 0.00%             | 2037-07-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BHUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    832412 | PA      | $110250.13    | 0.03%             | 2047-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    948545 | PA      | $921757.99    | 0.26%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140X92S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311953 | PA      | $256397.06    | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F74L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2650650 | PA      | $358037.62    | 0.10%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2024-1                                        | CUSIP: 618937AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    982279 | PA      | $922881.43    | 0.26%             | 2049-09-20      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371H6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       736 | PA      | $761.98       | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31398G4Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162191 | PA      | $21331.08     | 0.01%             | 2040-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4399064 | PA      | $249087.32    | 0.07%             | 2060-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0506A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4800000 | PA      | $4761079.34   | 1.32%             | 2055-10-15      | Fixed         | 5.00%                 | 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        |   1000000 | PA      | $929375.00    | 0.26%             | 2036-12-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2017-RPL3 Trust                                                  | CUSIP: 12651YAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1163930 | PA      | $1141270.52   | 0.32%             | 2057-08-01      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                    | CUSIP: 31352DC24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155969 | PA      | $8232.45      | 0.00%             | 2038-02-15      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BJK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10793794 | PA      | $1896672.62   | 0.53%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Multifamily Trust                                       | Multifamily Trust 2016-1                                              | CUSIP: 62547L103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    554579 | PA      | $552287.32    | 0.15%             | 2046-04-25      | Variable      | 9.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BH3Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4858387 | PA      | $698373.73    | 0.19%             | 2048-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0306A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -2400000 | PA      | $-2108432.81  | -0.59%            | 2055-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138204 | PA      | $119190.97    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381JZQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7895995 | PA      | $333593.15    | 0.09%             | 2063-09-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2021-ARIA                                                    | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1070000 | PA      | $1065603.05   | 0.30%             | 2036-10-15      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371HVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1258 | PA      | $1284.48      | 0.00%             | 2029-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382X6W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4421231 | PA      | $658296.15    | 0.18%             | 2051-09-20      | Fixed         | 2.50%                 | 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        |   1490000 | PA      | $1055104.31   | 0.29%             | 2056-08-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133KGFZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109034 | PA      | $107470.73    | 0.03%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0306A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16800000 | PA      | $14759029.66  | 4.10%             | 2055-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31418FBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1813884 | PA      | $1831740.51   | 0.51%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196955 | PA      | $29090.49     | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | 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        |   1070000 | PA      | $1065590.00   | 0.30%             | 2032-11-15      | Floating      | 8.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380CK51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2742818 | PA      | $567256.79    | 0.16%             | 2040-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2019-IMC                                 | CUSIP: 05608BAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1444058.40   | 0.40%             | 2034-04-15      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                      | Expand Energy Corp                                                    | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1081522.39   | 0.30%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3138WPG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830142 | PA      | $763607.22    | 0.21%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36225BKN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2748 | PA      | $2770.76      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14846749 | PA      | $507775.14    | 0.14%             | 2036-02-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 3136FFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39425 | PA      | $6439.53      | 0.00%             | 2038-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36208AZY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       864 | PA      | $870.97       | 0.00%             | 2058-08-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2021-A                               | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2263423 | PA      | $1997708.57   | 0.56%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38384VTD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11797445 | PA      | $1178879.75   | 0.33%             | 2054-10-20      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60647 | PA      | $51769.57     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0504A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2200000 | PA      | $2223003.18   | 0.62%             | 2040-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHIMERA INVESTMENT CORP                                 | Chimera Investment Corp                                               | CUSIP: 16934Q505<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     61325 | NS      | $1416607.50   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Starwood Retail Property Trust                          | Starwood Retail Property Trust 2014-STAR                              | CUSIP: 85571XAN7<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   2324000 | PA      | $75530.00     | 0.02%             | 2027-11-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Capital Automotive Reit                                 | CARS-DB7 LP                                                           | CUSIP: 12510HAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1181250 | PA      | $1191203.57   | 0.33%             | 2053-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                 | CUSIP: 3132L6ZW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1951732 | PA      | $1917363.36   | 0.53%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617Q6VQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1192386 | PA      | $1051585.81   | 0.29%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Dividend Solar Loans LLC                                | Dividend Solar Loans 2019-1 LLC                                       | CUSIP: 255388AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    933168 | PA      | $867872.13    | 0.24%             | 2039-08-22      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                          | MSWF Commercial Mortgage Trust 2023-1                                 | CUSIP: 55376CBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1939000 | PA      | $1430083.27   | 0.40%             | 2056-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BRH67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9588852 | PA      | $1296799.28   | 0.36%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust                          | BOCA Commercial Mortgage Trust 2024-BOCA                              | CUSIP: 096817AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    920000 | PA      | $933386.83    | 0.26%             | 2041-08-15      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277063 | PA      | $246325.39    | 0.07%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31410LVE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1505488 | PA      | $1407119.08   | 0.39%             | 2047-12-01      | Fixed         | 3.50%                 | 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        |  44780057 | PA      | $179299.35    | 0.05%             | 2055-09-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                               | BMP 2024-MF23                                                         | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1420000 | PA      | $1423782.31   | 0.40%             | 2041-06-15      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    491954 | PA      | $427056.42    | 0.12%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1200000 | PA      | $1095016.56   | 0.30%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2021-INV1                                                   | CUSIP: 12566PCU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  75321666 | PA      | $718711.81    | 0.20%             | 2051-07-01      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    669906 | PA      | $660885.93    | 0.18%             | 2070-07-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31385H5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        89 | PA      | $89.75        | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                                           | ZF North America Capital Inc                                          | CUSIP: 98877DAG0<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    650000 | PA      | $622762.92    | 0.17%             | 2032-04-23      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    317221 | PA      | $301321.14    | 0.08%             | 2050-02-20      | Fixed         | 4.00%                 | 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        |   1377328 | PA      | $1380701.36   | 0.38%             | 2056-12-27      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| SOLRR Aircraft 2021-1 Limited                           | Lunar 2021-1 Structured Aircraft Portfolio Notes                      | CUSIP: 83438LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |    908606 | PA      | $864620.82    | 0.24%             | 2046-10-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31387VS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1197 | PA      | $1207.99      | 0.00%             | 2031-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617Q0FZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    944810 | PA      | $892784.49    | 0.25%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2024-C63                        | CUSIP: 94990FAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $290405.42    | 0.08%             | 2057-08-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136ABQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114180 | PA      | $121227.31    | 0.03%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 31424U8E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3937150 | PA      | $884946.53    | 0.25%             | 2053-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                      | Aqua Finance Trust 2020-A                                             | CUSIP: 038413AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1772442 | PA      | $1732201.45   | 0.48%             | 2046-07-17      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                            | Huntington Bank Auto Credit-Linked Notes Series 2024-2                | CUSIP: 44644NAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1141874 | PA      | $1154698.12   | 0.32%             | 2032-10-20      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132D9F74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2027636 | PA      | $1821470.44   | 0.51%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B45U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2459603 | PA      | $1775651.12   | 0.49%             | 2049-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SMRT                                                    | SMRT 2022-MINI                                                        | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1367134.30   | 0.38%             | 2039-01-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38384GXW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1891623 | PA      | $401828.98    | 0.11%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Thrust Engine Leasing                                   | Thrust Engine Leasing 2021 DAC                                        | CUSIP: 88603UAA7<br>LEI: 254900X0E0PUM0VQBP74 | Long             | ABS-O            | CORP              | US        |   1093089 | PA      | $1075171.12   | 0.30%             | 2040-07-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz                          | NRM FHT1 Excess Owner LLC                                             | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    833634 | PA      | $842010.79    | 0.23%             | 2032-03-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137ARUW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54120 | PA      | $349.49       | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                          | Freddie Mac Multifamily PC REMIC Trust 2019-RR01                      | CUSIP: 3137FQ3M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2400000 | PA      | $81163.92     | 0.02%             | 2028-06-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137HKRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5517168 | PA      | $998361.92    | 0.28%             | 2055-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1047943 | PA      | $181669.73    | 0.05%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 31397PM49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157806 | PA      | $16920.02     | 0.00%             | 2037-12-15      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179V6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    477551 | PA      | $383574.70    | 0.11%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                        | Trinitas CLO XIX Ltd                                                  | CUSIP: 89642FAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    830000 | PA      | $833988.98    | 0.23%             | 2033-10-20      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36212EGD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       141 | PA      | $141.34       | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136BASJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17046465 | PA      | $830933.32    | 0.23%             | 2032-12-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H4VF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2974275 | PA      | $611348.52    | 0.17%             | 2052-01-25      | Fixed         | 3.00%                 | 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        |    634396 | PA      | $651667.42    | 0.18%             | 2043-01-20      | Fixed         | 8.02%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                          | BRAVO Residential Funding Trust 2024-NQM5                             | CUSIP: 105925AC5<br>LEI: 254900RBHU9OC1RNXD92 | Long             | ABS-MBS          | CORP              | US        |    753044 | PA      | $759242.87    | 0.21%             | 2064-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133AJ6U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    352475 | PA      | $289602.09    | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137085 | PA      | $118009.34    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | 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        |   1140000 | PA      | $1142254.46   | 0.32%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| TWO HARBORS INV CORP                                    | Two Harbors Investment Corp                                           | CUSIP: 90187BAB7<br>LEI: 549300ZUIBT6KH4HU823 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1600000.62   | 0.44%             | 2026-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2019-C51                        | CUSIP: 95001VAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370000 | PA      | $1297739.35   | 0.36%             | 2052-06-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382HMZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2001219 | PA      | $287399.00    | 0.08%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0506A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -4800000 | PA      | $-4761079.34  | -1.32%            | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380LU50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    613802 | PA      | $613375.59    | 0.17%             | 2070-01-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136A6X74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    762501 | PA      | $104494.17    | 0.03%             | 2042-07-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FUWV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1898168 | PA      | $281875.15    | 0.08%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MFA FINANCIAL INC                                       | MFA Financial Inc                                                     | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     52662 | NS      | $1257041.94   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp II                                        | CUSIP: 36269JAL2<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   2015000 | PA      | $2090893.77   | 0.58%             | 2041-03-10      | Variable      | 9.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                             | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362994 | PA      | $367095.01    | 0.10%             | 2050-02-01      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179USX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126548 | PA      | $129744.25    | 0.04%             | 2049-05-20      | Fixed         | 5.50%                 | 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        |   7087731 | PA      | $830284.41    | 0.23%             | 2055-09-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FL2N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39625615 | PA      | $1139212.66   | 0.32%             | 2034-01-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H1X92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6918524 | PA      | $960998.87    | 0.27%             | 2048-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170844 | PA      | $32104.85     | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGKD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    692265 | PA      | $99031.42     | 0.03%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1074965 | PA      | $58584.21     | 0.02%             | 2030-07-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617VKGV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61116 | PA      | $52301.82     | 0.01%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FF2J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4774201 | PA      | $502571.98    | 0.14%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FPWG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3502058 | PA      | $2619941.17   | 0.73%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136ATLX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3629541 | PA      | $452971.04    | 0.13%             | 2038-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                             | RAAC Series 2007-SP1 Trust                                            | CUSIP: 74978AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1027465 | PA      | $869048.29    | 0.24%             | 2037-03-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137BDBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2618038 | PA      | $2144731.17   | 0.60%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91945 | PA      | $84171.81     | 0.02%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3620AL7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92470 | PA      | $94774.06     | 0.03%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H0YV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1996240 | PA      | $251065.48    | 0.07%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4506698 | PA      | $276717.54    | 0.08%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140QKDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267801 | PA      | $241239.85    | 0.07%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FGKF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    923674 | PA      | $121906.41    | 0.03%             | 2048-07-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    742700 | PA      | $606788.09    | 0.17%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                | Venture Global Calcasieu Pass LLC                                     | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    930000 | PA      | $878406.48    | 0.24%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H6ZT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34151648 | PA      | $617974.07    | 0.17%             | 2032-02-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31385HU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       508 | PA      | $509.46       | 0.00%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1278422 | PA      | $66654.13     | 0.02%             | 2030-06-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B6LX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3190593 | PA      | $405191.56    | 0.11%             | 2049-10-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2024-R01                          | CUSIP: 20753UAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1047450.40   | 0.29%             | 2044-01-25      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617GSZQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71641 | PA      | $69362.05     | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382M5G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4263135 | PA      | $745606.15    | 0.21%             | 2051-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382MTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    639841 | PA      | $637816.34    | 0.18%             | 2051-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36210Y2E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1859 | PA      | $1879.45      | 0.00%             | 2029-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137AXDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1046601 | PA      | $73863.23     | 0.02%             | 2032-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B3HQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1175902 | PA      | $1096852.73   | 0.30%             | 2048-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383FF40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3286087 | PA      | $612347.16    | 0.17%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0226A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -2600000 | PA      | $-2190895.46  | -0.61%            | 2055-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | J.P. Morgan Mortgage Trust 2021-14                                    | CUSIP: 46653QBZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20516818 | PA      | $616169.29    | 0.17%             | 2052-05-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 3136FFNR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29497 | PA      | $4571.02      | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                         | SEB Funding LLC                                                       | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1870000 | PA      | $1914724.79   | 0.53%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| AGNC INVESTMENT CORP                                    | AGNC Investment Corp                                                  | CUSIP: 00123Q872<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     76437 | NS      | $1938442.32   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2020-A                               | CUSIP: 78449UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1852627.80   | 0.52%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                             | Extended Stay America Trust 2021-ESH                                  | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1264914 | PA      | $1267817.50   | 0.35%             | 2038-07-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                         | Renew 2024-1                                                          | CUSIP: 75973VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1198780 | PA      | $1225267.68   | 0.34%             | 2059-11-20      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66504 | PA      | $59942.81     | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51821 | PA      | $47525.79     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                           | Carnival Corp                                                         | CUSIP: 143658BR2<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    820000 | PA      | $832764.10    | 0.23%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGV57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    737789 | PA      | $96563.44     | 0.03%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 31424UBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1488747 | PA      | $275317.87    | 0.08%             | 2052-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                          | GoodLeap Sustainable Home Solutions Trust 2021-5                      | CUSIP: 38237HAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1372662 | PA      | $524310.45    | 0.15%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132DTDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1939953 | PA      | $1919523.68   | 0.53%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382FVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1054701 | PA      | $199193.58    | 0.06%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31384SPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2317 | PA      | $2343.38      | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2024-3                                     | CUSIP: 92540MAC9<br>LEI: 2138005NRONUFED1TZ38 | Long             | ABS-MBS          | CORP              | US        |    463888 | PA      | $470594.73    | 0.13%             | 2069-04-25      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JPMCC Commercial Mortgage Securities Trust 2019-COR5                  | CUSIP: 46591EAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14333086 | PA      | $549253.90    | 0.15%             | 2052-06-13      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31389FXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6392 | PA      | $6414.35      | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | 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        |   1190000 | PA      | $1235826.66   | 0.34%             | 2041-10-25      | Floating      | 10.36%                | No            |                  2 | On Loan: No      |
| BXHPP Trust                                             | BXHPP Trust 2021-FILM                                                 | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2207000 | PA      | $2020973.29   | 0.56%             | 2036-08-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    862455 | PA      | $761606.33    | 0.21%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H8UB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25446357 | PA      | $436377.04    | 0.12%             | 2032-07-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31385H7C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1842 | PA      | $1848.64      | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38376ETM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50409 | PA      | $50876.10     | 0.01%             | 2059-11-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36207LFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       966 | PA      | $984.31       | 0.00%             | 2030-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 3136FG2G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1096358 | PA      | $183670.64    | 0.05%             | 2041-02-25      | Fixed         | 4.00%                 | 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        |   2077000 | PA      | $801350.42    | 0.22%             | 2036-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31418AS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1351523 | PA      | $1318661.68   | 0.37%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2866012 | PA      | $2166522.04   | 0.60%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31388XKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5716 | PA      | $5773.17      | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382X4G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6629199 | PA      | $983423.08    | 0.27%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitiza                          | Castlelake Aircraft Structured Trust 2021-1                           | CUSIP: 14856GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79562 | PA      | $79087.13     | 0.02%             | 2046-01-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                             | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239611 | PA      | $245792.78    | 0.07%             | 2047-11-01      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                             | Hertz Vehicle Financing III LLC                                       | CUSIP: 42806MCG2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1852120.90   | 0.51%             | 2030-03-25      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 3136FG4Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14680 | PA      | $2250.35      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                          | Credit Suisse First Boston Mortgage Securities Corp                   | CUSIP: 22540VQ47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100943 | PA      | $106845.52    | 0.03%             | 2032-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371JDS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       409 | PA      | $423.46       | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489410 | PA      | $422417.90    | 0.12%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382AYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2465616 | PA      | $476475.85    | 0.13%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31396QRA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177172 | PA      | $179080.60    | 0.05%             | 2039-08-25      | Variable      | 4.60%                 | 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        |   2240000 | PA      | $2359421.57   | 0.66%             | 2041-12-25      | Floating      | 11.36%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182859 | PA      | $187693.64    | 0.05%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                         | Goodgreen 2022-1                                                      | CUSIP: 38218JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    217798 | PA      | $214804.00    | 0.06%             | 2056-10-15      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FTYH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4854436 | PA      | $1138194.76   | 0.32%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383YKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5830509 | PA      | $4127098.63   | 1.15%             | 2064-08-16      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380JKP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1351790 | PA      | $51732.87     | 0.01%             | 2060-03-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380PCQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6386276 | PA      | $379291.81    | 0.11%             | 2062-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378KQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7007380 | PA      | $142621.21    | 0.04%             | 2047-11-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| SESAC Finance, LLC                                      | Sesac Finance LLC                                                     | CUSIP: 78396YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1379000 | PA      | $1407550.82   | 0.39%             | 2054-01-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2024-BIO2                                | CUSIP: 05613GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020000 | PA      | $1018393.60   | 0.28%             | 2041-08-13      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221285 | PA      | $227445.37    | 0.06%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136B86Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5935604 | PA      | $258603.60    | 0.07%             | 2029-01-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                         | Goodgreen 2021-1 Trust                                                | CUSIP: 38217UAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    534468 | PA      | $391979.12    | 0.11%             | 2056-10-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230307 | PA      | $231013.50    | 0.06%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378K2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1614010 | PA      | $26788.69     | 0.01%             | 2051-09-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38375BAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189918 | PA      | $190473.14    | 0.05%             | 2060-02-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 31395QC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2150018 | PA      | $366520.01    | 0.10%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BK3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1785301 | PA      | $265877.09    | 0.07%             | 2052-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31396Q3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    456135 | PA      | $465968.45    | 0.13%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                               | College Ave Student Loans 2021-C LLC                                  | CUSIP: 19424WAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1419820 | PA      | $1358139.72   | 0.38%             | 2055-07-26      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3800000 | PA      | $3828874.41   | 1.06%             | 2055-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36213T5Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1067 | PA      | $1073.50      | 0.00%             | 2031-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                          | MF1 2022-FL8 Ltd                                                      | CUSIP: 55284JAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1095096.97   | 0.30%             | 2037-02-19      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380L7G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6576119 | PA      | $282118.13    | 0.08%             | 2070-04-01      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38377UJK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        22 | PA      | $0.00         | 0.00%             | 2025-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382HYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5555280 | PA      | $843299.33    | 0.23%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3138WTZS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1896616 | PA      | $1848400.83   | 0.51%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz                          | NRM FNT1 Excess LLC                                                   | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    784999 | PA      | $799702.54    | 0.22%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38385D3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9876243 | PA      | $962422.13    | 0.27%             | 2055-03-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371KA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       923 | PA      | $963.76       | 0.00%             | 2031-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133A4XP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147578 | PA      | $133166.25    | 0.04%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382KK44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4461292 | PA      | $781951.23    | 0.22%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2025-DNA1                               | CUSIP: 35564NGA5<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |    920000 | PA      | $917724.20    | 0.26%             | 2045-01-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380BB46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5417124 | PA      | $3930307.10   | 1.09%             | 2046-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGZ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5694507 | PA      | $835610.26    | 0.23%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pear LLC                                                | PEAR 2021-1 LLC                                                       | CUSIP: 70472TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265369 | PA      | $264087.61    | 0.07%             | 2034-01-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                         | Renew 2023-1                                                          | CUSIP: 75973HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1355176 | PA      | $1347059.68   | 0.37%             | 2058-11-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380QDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47572 | PA      | $47155.83     | 0.01%             | 2070-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XPZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253717 | PA      | $252048.33    | 0.07%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3620E0DH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    597286 | PA      | $607224.11    | 0.17%             | 2060-06-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379U5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7026267 | PA      | $225375.96    | 0.06%             | 2058-10-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378YJ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    700859 | PA      | $146466.12    | 0.04%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H3WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4689235 | PA      | $661649.61    | 0.18%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    633071 | PA      | $96805.51     | 0.03%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    957071 | PA      | $144158.36    | 0.04%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31393ANU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31549 | PA      | $4421.14      | 0.00%             | 2033-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION               | SWOP CDS CDX.NA.IG.44.V1                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |  18100000 | NC      | $2047.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BN3N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    695359 | PA      | $666547.93    | 0.19%             | 2052-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622A3CN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1055114 | PA      | $994246.90    | 0.28%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B5EN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2808243 | PA      | $368242.37    | 0.10%             | 2049-07-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379FFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1526738 | PA      | $300780.75    | 0.08%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2006-OA9                                       | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58545 | PA      | $50209.78     | 0.01%             | 2046-07-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FXSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15475683 | PA      | $2571077.36   | 0.71%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F9Y21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4079108 | PA      | $578436.65    | 0.16%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4493173 | PA      | $286040.77    | 0.08%             | 2062-10-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                          | SoFi Professional Loan Program 2020-ATrust                            | CUSIP: 83406TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3200000 | PA      | $2824240.00   | 0.79%             | 2046-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H4C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14658784 | PA      | $383673.14    | 0.11%             | 2031-10-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H2TB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    862070 | PA      | $131946.43    | 0.04%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 2YR NOTE (CBT)                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -35 | NC      | $-5529.30     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    496441 | PA      | $469181.69    | 0.13%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31388NC53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1110 | PA      | $1126.72      | 0.00%             | 2031-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84786 | PA      | $77722.77     | 0.02%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                          | MF1 2024-FL16                                                         | CUSIP: 55287EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1980000 | PA      | $1986054.05   | 0.55%             | 2039-11-18      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| American Money Management Corp                          | AMMC CLO 30 Ltd                                                       | CUSIP: 03165UAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $753016.28    | 0.21%             | 2037-01-15      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0606A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3400000 | PA      | $3473929.33   | 0.97%             | 2055-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66017 | PA      | $54590.93     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17054805 | PA      | $296927.57    | 0.08%             | 2032-03-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XLI LLC                                  | J.G. Wentworth XLI LLC                                                | CUSIP: 46651TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1603406 | PA      | $1423385.65   | 0.40%             | 2074-10-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36225BHH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       177 | PA      | $179.07       | 0.00%             | 2030-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137HHNF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359226 | PA      | $361118.59    | 0.10%             | 2054-12-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381HDN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800000 | PA      | $423476.24    | 0.12%             | 2063-10-16      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY SR INC                                     | Arbor Realty SR Inc                                                   | CUSIP: 03881NAJ6<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              | CORP              | US        |    690000 | PA      | $725791.61    | 0.20%             | 2030-07-15      | Fixed         | 7.88%                 | 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        |  34208655 | PA      | $675591.86    | 0.19%             | 2054-05-25      | Variable      | 0.33%                 | 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        |   1230000 | PA      | $1268061.86   | 0.35%             | 2029-12-20      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380N4W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8699831 | PA      | $517781.78    | 0.14%             | 2060-01-16      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137HBP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25676923 | PA      | $725943.12    | 0.20%             | 2033-12-25      | Variable      | 0.57%                 | 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        |   1450000 | PA      | $947315.60    | 0.26%             | 2036-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BHK40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3142412 | PA      | $444796.42    | 0.12%             | 2048-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31385JBM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        64 | PA      | $66.25        | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                          | JPMDB Commercial Mortgage Securities Trust 2017-C7                    | CUSIP: 46648KAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $393559.74    | 0.11%             | 2050-10-15      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                           | Citigroup Commercial Mortgage Trust 2015-GC29                         | CUSIP: 17323VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1215381.00   | 0.34%             | 2048-04-10      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                               | GSMPS Mortgage Loan Trust 2006-RP2                                    | CUSIP: 36298XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    812169 | PA      | $701666.74    | 0.20%             | 2036-04-25      | Floating      | 4.67%                 | 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        |   1787305 | PA      | $1528450.69   | 0.42%             | 2047-09-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136AA3G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330980 | PA      | $5353.60      | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 31392XUX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28747 | PA      | $28905.33     | 0.01%             | 2032-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0606A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -3400000 | PA      | $-3473929.33  | -0.97%            | 2055-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6944098 | PA      | $1027763.94   | 0.29%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Stonepeak                                               | Stonepeak 2021-1 ABS                                                  | CUSIP: 78433XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    977321 | PA      | $948847.74    | 0.26%             | 2033-02-28      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0326A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11100000 | PA      | $10142686.72  | 2.82%             | 2055-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FLVX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1264916 | PA      | $149807.30    | 0.04%             | 2049-05-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179WDG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416760 | PA      | $334744.86    | 0.09%             | 2051-04-20      | Fixed         | 2.00%                 | 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        |   2500000 | PA      | $2419166.00   | 0.67%             | 2034-09-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F8D59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1876179 | PA      | $275276.54    | 0.08%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2022-1                                     | CUSIP: 92538WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $303911.40    | 0.08%             | 2067-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-FTR1                                     | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |   2810000 | PA      | $3351959.08   | 0.93%             | 2048-01-25      | Floating      | 12.82%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136A54N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117908 | PA      | $128086.82    | 0.04%             | 2042-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    546816 | PA      | $491900.84    | 0.14%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2025-R02                          | CUSIP: 20754TAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $602392.26    | 0.17%             | 2045-02-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381D6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2238759 | PA      | $156360.10    | 0.04%             | 2063-11-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0326A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -2600000 | PA      | $-2375764.46  | -0.66%            | 2055-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2021-C59                        | CUSIP: 95003CBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12179649 | PA      | $717711.37    | 0.20%             | 2054-04-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382VNB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2544672 | PA      | $435304.49    | 0.12%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133D3X67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61057 | PA      | $54802.74     | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136B9J99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4969259 | PA      | $405547.68    | 0.11%             | 2037-01-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137B1W73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3548791 | PA      | $2981964.60   | 0.83%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3620AMA44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199827 | PA      | $204355.62    | 0.06%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116208 | PA      | $96104.31     | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 10YR NOTE (CBT)                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        83 | NC      | $22645.33     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2019-HQA4                               | CUSIP: 35565CBE5<br>LEI: 5493005LAQ76UDHPEE03 | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $1376853.59   | 0.38%             | 2049-11-25      | Floating      | 11.07%                | No            |                  2 | On Loan: No      |
| Blue Stream Issuer, LLC                                 | Blue Stream Issuer LLC                                                | CUSIP: 09606BAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1588793.70   | 0.44%             | 2054-11-20      | Fixed         | 8.71%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2015-C                               | CUSIP: 78448R106<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |      2751 | PA      | $722119.35    | 0.20%             | 2046-09-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Pear LLC                                                | Pear 2024-1 LLC                                                       | CUSIP: 704933AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    639699 | PA      | $646665.51    | 0.18%             | 2036-02-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38377FWL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172454 | PA      | $9604.19      | 0.00%             | 2040-05-16      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379JHX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    616605 | PA      | $104004.41    | 0.03%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0406A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -3000000 | PA      | $-2827790.52  | -0.79%            | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53103 | PA      | $46738.88     | 0.01%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2003-AR5 Trust         | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12619 | PA      | $12651.22     | 0.00%             | 2033-06-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                         | Renew 2024-2                                                          | CUSIP: 75975DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    929630 | PA      | $936055.42    | 0.26%             | 2060-11-20      | Fixed         | 8.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31398TUX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435649 | PA      | $36879.56     | 0.01%             | 2040-08-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  66169351 | PA      | $1346877.13   | 0.37%             | 2055-04-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31368HKV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       719 | PA      | $744.29       | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ExteNet Systems                                         | ExteNet Issuer LLC                                                    | CUSIP: 30227XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1015489.80   | 0.28%             | 2054-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31389QPB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1035 | PA      | $1039.75      | 0.00%             | 2032-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2020-GC47                                | CUSIP: 36258RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16863336 | PA      | $699150.52    | 0.19%             | 2053-05-12      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H3EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11366444 | PA      | $288420.11    | 0.08%             | 2031-08-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| SUNRUN VULCAN ISSUER LLC                                | Sunrun Vulcan Issuer 2021-1 LLC                                       | CUSIP: 86773QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    648360 | PA      | $583843.96    | 0.16%             | 2052-01-30      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380PTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11515646 | PA      | $935704.95    | 0.26%             | 2062-04-16      | Variable      | 1.17%                 | 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        |    900000 | PA      | $906186.42    | 0.25%             | 2042-10-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| ONNI Commercial Mortgage Trust                          | ONNI Commerical Mortgage Trust 2024-APT                               | CUSIP: 682939AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1241867.76   | 0.35%             | 2039-07-15      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382EG84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    936525 | PA      | $173669.21    | 0.05%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2024-VLT4                                                    | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1204244.40   | 0.33%             | 2041-06-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31384VUX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       336 | PA      | $336.89       | 0.00%             | 2030-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXXIX Ltd                                                   | CUSIP: 559923AE7<br>LEI: 529900728SHVCI48J015 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $791468.88    | 0.22%             | 2037-01-25      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1         | CUSIP: 35563PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    741878 | PA      | $683088.27    | 0.19%             | 2055-09-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132DN5A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2665022 | PA      | $2675516.87   | 0.74%             | 2052-10-01      | Fixed         | 5.00%                 | 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        |    213398 | PA      | $197793.25    | 0.05%             | 2046-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H9ZX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21035776 | PA      | $419611.15    | 0.12%             | 2033-04-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7         | CUSIP: 46644PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2873012 | PA      | $2378997.27   | 0.66%             | 2028-05-15      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                            | Huntington Bank Auto Credit-Linked Notes Series 2025-1                | CUSIP: 446438TA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    905352 | PA      | $909593.48    | 0.25%             | 2033-03-21      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2021-BNK32                                                       | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6032675 | PA      | $178652.86    | 0.05%             | 2054-04-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1261651 | PA      | $1226013.63   | 0.34%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85277 | PA      | $81002.86     | 0.02%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | STACR Trust 2018-HRP1                                                 | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | CORP              | US        |   2039977 | PA      | $2446203.66   | 0.68%             | 2043-05-25      | Floating      | 16.22%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                             | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1331752 | PA      | $1302463.50   | 0.36%             | 2048-11-01      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381HMU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6500000 | PA      | $4487512.25   | 1.25%             | 2063-10-16      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                              | BFLD Commercial Mortgage Trust 2024-UNIV                              | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1175372.87   | 0.33%             | 2041-11-15      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2019-GC39                                | CUSIP: 36260JAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34163541 | PA      | $1143771.42   | 0.32%             | 2052-05-10      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                                | CHS/Community Health Systems Inc                                      | CUSIP: 12543DBJ8<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    270000 | PA      | $214898.40    | 0.06%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0206A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9000000 | PA      | $7256097.99   | 2.02%             | 2055-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1221675 | PA      | $750142.22    | 0.21%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378CMW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139241 | PA      | $10585.78     | 0.00%             | 2041-02-20      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0226A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17000000 | PA      | $14325085.70  | 3.98%             | 2055-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B0UH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3357726 | PA      | $672715.80    | 0.19%             | 2048-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    956774 | PA      | $870054.32    | 0.24%             | 2057-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                                      | AOA 2021-1177 Mortgage Trust                                          | CUSIP: 00192NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670000 | PA      | $669999.26    | 0.19%             | 2038-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Dividend Solar Loans LLC                                | Dividend Solar Loans 2018-1 LLC                                       | CUSIP: 255396AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    427199 | PA      | $395065.51    | 0.11%             | 2038-07-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                          | Structured Asset Mortgage Investments II Trust 2006-AR6               | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58539 | PA      | $50804.00     | 0.01%             | 2046-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31386NCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       577 | PA      | $578.19       | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                 | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7484836 | PA      | $6858168.05   | 1.91%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H63C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1502191 | PA      | $193390.83    | 0.05%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617B83A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393094 | PA      | $363174.17    | 0.10%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104876 | PA      | $108745.58    | 0.03%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                          | Bayview Opportunity Master Fund VII 2024-CAR1 LLC                     | CUSIP: 07336QAE2<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    695208 | PA      | $703502.76    | 0.20%             | 2031-12-26      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137AWSU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    608034 | PA      | $33821.87     | 0.01%             | 2032-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                 | Royal Caribbean Cruises Ltd                                           | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    820000 | PA      | $846809.46    | 0.24%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FRK34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1311919 | PA      | $161263.86    | 0.04%             | 2050-03-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Hardee's Funding LLC and Carls                          | Hardee's Funding LLC                                                  | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1905000 | PA      | $1839228.35   | 0.51%             | 2050-12-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                          | SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC                             | CUSIP: 83401B106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25000 | PA      | $206263.18    | 0.06%             | 2041-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE                                          | RIDE 2025-SHRE                                                        | CUSIP: 765692AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $378890.21    | 0.11%             | 2047-02-14      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BCAY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134148 | PA      | $23117.73     | 0.01%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31388DW38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24547 | PA      | $24810.37     | 0.01%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0206A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -2400000 | PA      | $-1934959.46  | -0.54%            | 2055-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31385JBP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       590 | PA      | $607.66       | 0.00%             | 2032-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FTLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    897189 | PA      | $204202.21    | 0.06%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    979105 | PA      | $110469.61    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38376G5V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2286983 | PA      | $22.87        | 0.00%             | 2046-09-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136AKTJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    793893 | PA      | $52328.34     | 0.01%             | 2044-08-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                          | Bayview Opportunity Master Fund VII 2024-EDU1 LLC                     | CUSIP: 07336PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1370658 | PA      | $1398446.02   | 0.39%             | 2047-06-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412801 | PA      | $409356.75    | 0.11%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H1RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6406368 | PA      | $905873.28    | 0.25%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371JXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       918 | PA      | $953.19       | 0.00%             | 2031-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383ASM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4203834 | PA      | $658708.90    | 0.18%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38374JQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220872 | PA      | $3284.20      | 0.00%             | 2034-10-16      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544932 | PA      | $528025.60    | 0.15%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FYCR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6754733 | PA      | $820311.63    | 0.23%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B6HG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1479050 | PA      | $172417.09    | 0.05%             | 2049-10-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381H8D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1976560 | PA      | $106531.44    | 0.03%             | 2064-06-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154336 | PA      | $144601.25    | 0.04%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31386HMR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       155 | PA      | $154.68       | 0.00%             | 2031-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137AYYC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    635714 | PA      | $27238.36     | 0.01%             | 2033-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BCD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    904883 | PA      | $143341.88    | 0.04%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                        | Ocean Trails CLO XIV Ltd                                              | CUSIP: 67515MAG3<br>LEI: 254900TWRKR5CRS1OX19 | Long             | ABS-CBDO         | CORP              | JE        |    900000 | PA      | $909066.51    | 0.25%             | 2038-01-20      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381ATU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1763225 | PA      | $212353.08    | 0.06%             | 2048-10-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137HCN65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1159880 | PA      | $221735.37    | 0.06%             | 2054-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                          | CSAIL 2015-C3 Commercial Mortgage Trust                               | CUSIP: 12635FAZ7<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $395980.47    | 0.11%             | 2048-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622AAZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292965 | PA      | $238778.98    | 0.07%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H62K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4108177 | PA      | $545549.42    | 0.15%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3617MKMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1508365 | PA      | $1410796.24   | 0.39%             | 2050-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2738890 | PA      | $2439223.73   | 0.68%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 31395Q3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5074662 | PA      | $878924.27    | 0.24%             | 2043-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379WWN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1326029 | PA      | $154733.82    | 0.04%             | 2046-04-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                          | Structured Asset Securities Corp Mortgage Loan Trust 2006-ARS1        | CUSIP: 86358LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1349013 | PA      | $24326.48     | 0.01%             | 2036-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137AURP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    997603 | PA      | $75584.41     | 0.02%             | 2032-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31387N3T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       710 | PA      | $721.57       | 0.00%             | 2031-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FUXW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9769984 | PA      | $1478425.27   | 0.41%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                | DK 2024-SPT1 Note Backed Trust                                        | CUSIP: 23292KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591625 | PA      | $605915.72    | 0.17%             | 2066-04-28      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4290585 | PA      | $467114.26    | 0.13%             | 2035-05-25      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H53L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4400000 | PA      | $3084533.32   | 0.86%             | 2042-01-25      | Fixed         | 2.00%                 | 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        |   1432954 | PA      | $1223029.58   | 0.34%             | 2062-05-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132DVML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316436 | PA      | $312947.03    | 0.09%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mach I                                                  | MACH 1 Cayman 2019-1 Ltd                                              | CUSIP: 55446MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    167210 | PA      | $165289.14    | 0.05%             | 2039-10-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65924 | PA      | $53975.31     | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379RPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324565 | PA      | $7744.13      | 0.00%             | 2058-07-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                      | Tricon Residential 2024-SFR4 Trust                                    | CUSIP: 895975AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1170000 | PA      | $1163850.71   | 0.32%             | 2041-11-17      | Fixed         | 5.35%                 | 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        |    790000 | PA      | $800183.10    | 0.22%             | 2038-01-20      | Floating      | 10.08%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5900000 | PA      | $5722493.60   | 1.59%             | 2055-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hartwick Park CLO, Ltd.                                 | Hartwick Park CLO Ltd                                                 | CUSIP: 417402AE4<br>LEI: 2549003E1ZAWJG55NM75 | Long             | ABS-CBDO         | CORP              | JE        |    590000 | PA      | $588244.81    | 0.16%             | 2037-01-20      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371KDN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       637 | PA      | $651.75       | 0.00%             | 2031-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136A35F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15816 | PA      | $16228.00     | 0.00%             | 2039-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380RRS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1108586 | PA      | $823816.40    | 0.23%             | 2063-06-16      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5YR NOTE (CBT)                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       108 | NC      | $23985.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378TEW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5351501 | PA      | $677145.79    | 0.19%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136B4C71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10719562 | PA      | $309647.94    | 0.09%             | 2029-06-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371KNJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       746 | PA      | $767.19       | 0.00%             | 2032-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36213S4X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3434 | PA      | $3459.97      | 0.00%             | 2031-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XQQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19273167 | PA      | $16754742.43  | 4.66%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382WKF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6881249 | PA      | $1227358.15   | 0.34%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50744 | PA      | $48191.43     | 0.01%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                  | Conseco Finance Corp                                                  | CUSIP: 393505UW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152175 | PA      | $154063.25    | 0.04%             | 2029-02-15      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BDCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1703800 | PA      | $272614.84    | 0.08%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B5PY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1597394 | PA      | $177850.86    | 0.05%             | 2049-08-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382NZ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    962175 | PA      | $960517.69    | 0.27%             | 2051-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    845216 | PA      | $872983.38    | 0.24%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F7PV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4509478 | PA      | $554081.80    | 0.15%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 3136FCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28361 | PA      | $3616.37      | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380RTP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2832020 | PA      | $2198367.18   | 0.61%             | 2063-06-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FPHB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2503251 | PA      | $349437.12    | 0.10%             | 2049-10-25      | Floating      | 1.58%                 | 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        |    902987 | PA      | $846674.64    | 0.24%             | 2057-02-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127778 | PA      | $18980.05     | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371JL36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       567 | PA      | $583.45       | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381B4T8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    560614 | PA      | $510934.89    | 0.14%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136B9NK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  39543475 | PA      | $704328.60    | 0.20%             | 2032-04-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132ADGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    632596 | PA      | $597885.60    | 0.17%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F0526A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7500000 | PA      | $7562956.65   | 2.10%             | 2055-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corportation Trust 2021-IP                     | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $358559.50    | 0.10%             | 2036-10-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36212QR36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1225 | PA      | $1243.32      | 0.00%             | 2030-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136AKTB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447283 | PA      | $26606.96     | 0.01%             | 2044-08-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378NF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    916833 | PA      | $21116.51     | 0.01%             | 2055-09-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137AW2C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2143921 | PA      | $355961.35    | 0.10%             | 2042-11-15      | Fixed         | 3.50%                 | 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        |   4379358 | PA      | $658673.81    | 0.18%             | 2055-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co                           | Sierra Timeshare 2024-2 Receivables Funding LLC                       | CUSIP: 82650DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1256331 | PA      | $1278933.81   | 0.36%             | 2041-06-20      | Fixed         | 7.48%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                            | TICP CLO VII Ltd                                                      | CUSIP: 87248TAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003025.60   | 0.28%             | 2033-04-15      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38376TX56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    432415 | PA      | $1811.43      | 0.00%             | 2034-11-16      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Wave USA                                                | WAVE 2019-1 LLC                                                       | CUSIP: 94354KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310368 | PA      | $300191.55    | 0.08%             | 2044-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7268826 | PA      | $1020875.37   | 0.28%             | 2048-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488081 | PA      | $445504.29    | 0.12%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617B9A63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2632780 | PA      | $2432393.43   | 0.68%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382DWM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    716567 | PA      | $100691.90    | 0.03%             | 2047-07-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617Q0FV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    613378 | PA      | $592356.44    | 0.16%             | 2050-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| La Hipotecaria SA                                       | La Hipotecaria El Salvadorian Mortgage Trust 2019-1                   | CUSIP: 50346WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | NUSS              | PA        |   1042405 | PA      | $1000176.80   | 0.28%             | 2046-09-29      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2024-RTL1                         | CUSIP: 64831PAB1<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1260443.00   | 0.35%             | 2039-03-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-HQA3                                     | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | CORP              | US        |    860000 | PA      | $968531.14    | 0.27%             | 2049-09-25      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    536361 | PA      | $543959.07    | 0.15%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2024-1                                     | CUSIP: 92540EAD5<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1667157.36   | 0.46%             | 2069-01-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36213QCY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14245 | PA      | $14343.54     | 0.00%             | 2031-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383D7E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3728370 | PA      | $684930.57    | 0.19%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H6V44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2800000 | PA      | $2124512.60   | 0.59%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BBA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1361617 | PA      | $88968.21     | 0.02%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381U8L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15200000 | PA      | $1583952.48   | 0.44%             | 2055-09-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BBYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1439694 | PA      | $170907.79    | 0.05%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXFC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2856838 | PA      | $2922729.59   | 0.81%             | 2045-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382HJ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3803060 | PA      | $560578.29    | 0.16%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2025-SPOT                                | CUSIP: 12433FAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1297831 | PA      | $1302182.07   | 0.36%             | 2040-04-15      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136A22Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166322 | PA      | $209183.68    | 0.06%             | 2038-01-25      | Variable      | 12.06%                | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential 2024-SFR1 Trust                                  | CUSIP: 74331QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $959654.40    | 0.27%             | 2041-02-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1210521 | PA      | $72829.18     | 0.02%             | 2030-04-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    987965 | PA      | $933052.60    | 0.26%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                 | CUSIP: 3132HBZS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1590565 | PA      | $1551782.88   | 0.43%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                         | Goodgreen 2020-1 Trust                                                | CUSIP: 38217TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1772704 | PA      | $1389957.40   | 0.39%             | 2055-04-15      | Fixed         | 5.53%                 | 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        |   2250000 | PA      | $2338124.40   | 0.65%             | 2050-03-25      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2014-1                            | CUSIP: 64828AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332684 | PA      | $324073.20    | 0.09%             | 2054-01-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                           | CAFL 2023-RTL1 Issuer LLC                                             | CUSIP: 124762AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $1149382.54   | 0.32%             | 2030-12-28      | Variable      | 9.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137HCMV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2524857 | PA      | $495428.90    | 0.14%             | 2054-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                          | Morgan Stanley Mortgage Loan Trust 2006-8AR                           | CUSIP: 61749LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28218 | PA      | $5069.05      | 0.00%             | 2036-06-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BDVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4853491 | PA      | $709993.91    | 0.20%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382VLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9488825 | PA      | $1291627.38   | 0.36%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    401374 | PA      | $69945.74     | 0.02%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179UQ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178870 | PA      | $183598.89    | 0.05%             | 2049-04-20      | Fixed         | 5.50%                 | 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        |   4365364 | NS      | $4365363.92   | 1.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2021-230P                              | CUSIP: 61772WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1855293.20   | 0.52%             | 2038-12-15      | Floating      | 5.71%                 | 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        |    900000 | PA      | $902273.31    | 0.25%             | 2056-12-27      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H4HJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4700000 | PA      | $3303727.76   | 0.92%             | 2051-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382MKC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3567148 | PA      | $613272.70    | 0.17%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                              | MFA 2024-RTL3 Trust                                                   | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1181558.66   | 0.33%             | 2039-11-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381E2F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1930402 | PA      | $798615.13    | 0.22%             | 2063-10-16      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137HHLW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397596 | PA      | $398746.62    | 0.11%             | 2054-12-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31417EY21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2201749 | PA      | $2025524.38   | 0.56%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 3136FCVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353564 | PA      | $43508.37     | 0.01%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36212J4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1810 | PA      | $1823.11      | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2021-B25 Mortgage Trust                                     | CUSIP: 08163DAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16586374 | PA      | $733544.00    | 0.20%             | 2054-04-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGNQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7816675 | PA      | $1111063.75   | 0.31%             | 2047-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381BDT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    769930 | PA      | $737892.73    | 0.21%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136AKWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    697959 | PA      | $48492.53     | 0.01%             | 2044-08-25      | Variable      | 1.75%                 | 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        |        27 | NC      | $-16921.71    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    409694 | PA      | $349841.46    | 0.10%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC                                  | Full House Resorts Inc                                                | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1114810.56   | 0.31%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                       | Lithia Motors Inc                                                     | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $950377.40    | 0.26%             | 2031-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130531 | PA      | $119419.20    | 0.03%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MYQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    904778 | PA      | $851605.22    | 0.24%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer