# EDGAR Filing Document

**Accession Number:** 0001478102
**File Stem:** 0000940400-26-021627
**Filing Date:** 2026-5
**Character Count:** 308218
**Document Hash:** dc657ecf8f97bd421da04034f4cdb55b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-021627.hdr.sgml**: 20260528

**ACCESSION NUMBER**: 0000940400-26-021627

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260528

**DATE AS OF CHANGE**: 20260528

**PERIOD START**: 20261231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22369
- **FILM NUMBER:** 261031889

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

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

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

## Nport-Ex

Schedule of Investments (unaudited)

March 31, 2026

***If you need assistance accessing this content, please reach out to your sales representative or send an email to*** <u>accessibility@franklintempleton.com.</u>

 **Western Asset Mortgage Opportunity Fund Inc.**

&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>(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity <br>Date<br>| Face <br>Amount<br>| Value |
| **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— 109.1%** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— 109.1%** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— 109.1%** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— 109.1%** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— 109.1%** |
| &nbsp;&nbsp;&nbsp; Adjustable Rate Mortgage Trust, 2005-5 1A1 | &nbsp;&nbsp; 3.719% | &nbsp;&nbsp; 9/25/35 | &nbsp;&nbsp; $69980 | &nbsp;&nbsp;&nbsp; $60384<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Adjustable Rate Mortgage Trust, 2005-7 2A21 | &nbsp;&nbsp; 4.604% | &nbsp;&nbsp; 10/25/35 | &nbsp;&nbsp; 85716 | &nbsp;&nbsp;&nbsp; 76161<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Adjustable Rate Mortgage Trust, 2005-12 5A1 (1 mo. Term SOFR + 0.614%) | &nbsp;&nbsp; 4.293% | &nbsp;&nbsp; 3/25/36 | &nbsp;&nbsp; 168292 | &nbsp;&nbsp;&nbsp; 38909<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Aegis Asset-Backed Securities Trust, 2005-3 M3 (1 mo. Term SOFR + <br> 0.849%) | &nbsp;&nbsp; 4.528% | &nbsp;&nbsp; 8/25/35 | &nbsp;&nbsp; 3460000 | &nbsp;&nbsp;&nbsp; 3071308<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2005-11CB 3A3, IO (-1.000 x 1 mo. Term SOFR + <br> 4.886%) | &nbsp;&nbsp; 1.207% | &nbsp;&nbsp; 6/25/35 | &nbsp;&nbsp; 719987 | &nbsp;&nbsp;&nbsp; 39910<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2005-14 3A1 | &nbsp;&nbsp; 3.495% | &nbsp;&nbsp; 5/25/35 | &nbsp;&nbsp; 75915 | &nbsp;&nbsp;&nbsp; 60194<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2005-36 4A1 | &nbsp;&nbsp; 4.200% | &nbsp;&nbsp; 8/25/35 | &nbsp;&nbsp; 101248 | &nbsp;&nbsp;&nbsp; 95446<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2005-J10 1A1 (1 mo. Term SOFR + 0.614%) | &nbsp;&nbsp; 4.293% | &nbsp;&nbsp; 10/25/35 | &nbsp;&nbsp; 353788 | &nbsp;&nbsp;&nbsp; 195830<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2006-HY10 1A1 | &nbsp;&nbsp; 3.922% | &nbsp;&nbsp; 5/25/36 | &nbsp;&nbsp; 103682 | &nbsp;&nbsp;&nbsp; 95105<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2006-J8 A5 | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 2/25/37 | &nbsp;&nbsp; 70645 | &nbsp;&nbsp;&nbsp; 26147<br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2007-3T1 2A1 | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 3/25/27 | &nbsp;&nbsp; 12371 | &nbsp;&nbsp;&nbsp; 12366<br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2007-23CB A8 (-4.000 x 1 mo. Term SOFR + 27.942%) | &nbsp;&nbsp; 13.228% | &nbsp;&nbsp; 9/25/37 | &nbsp;&nbsp; 353225 | &nbsp;&nbsp;&nbsp; 295454<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2007-OA8 1A1 (1 mo. Term SOFR + 0.474%) | &nbsp;&nbsp; 4.153% | &nbsp;&nbsp; 6/25/47 | &nbsp;&nbsp; 522968 | &nbsp;&nbsp;&nbsp; 478752<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; American Home Mortgage Assets Trust, 2005-2 2A1A | &nbsp;&nbsp; 3.219% | &nbsp;&nbsp; 1/25/36 | &nbsp;&nbsp; 513403 | &nbsp;&nbsp;&nbsp; 321543<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; American Home Mortgage Investment Trust, 2007-2 2A (1 mo. Term SOFR + <br> 0.914%) | &nbsp;&nbsp; 4.593% | &nbsp;&nbsp; 3/25/47 | &nbsp;&nbsp; 12735445 | &nbsp;&nbsp;&nbsp; 82982<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; American Home Mortgage Investment Trust, 2007-A 4A (1 mo. Term SOFR + <br> 1.014%) | &nbsp;&nbsp; 4.693% | &nbsp;&nbsp; 7/25/46 | &nbsp;&nbsp; 1692098 | &nbsp;&nbsp;&nbsp; 315150<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; AMSR Trust, 2026-SFR1 F1 | &nbsp;&nbsp; 3.775% | &nbsp;&nbsp; 4/17/31 | &nbsp;&nbsp; 900000 | &nbsp;&nbsp;&nbsp; 772054<br>|
| &nbsp;&nbsp;&nbsp; AMSR Trust, 2026-SFR1 F2 | &nbsp;&nbsp; 3.775% | &nbsp;&nbsp; 4/17/31 | &nbsp;&nbsp; 250000 | &nbsp;&nbsp;&nbsp; 201738<br>|
| &nbsp;&nbsp;&nbsp; Anchor Mortgage Trust, 2025-RTL1 A2 | &nbsp;&nbsp; 6.358% | &nbsp;&nbsp; 5/25/40 | &nbsp;&nbsp; 1930000 | &nbsp;&nbsp;&nbsp; 1923111<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Corp., 2015-R3 2A2 | &nbsp;&nbsp; 3.668% | &nbsp;&nbsp; 2/27/37 | &nbsp;&nbsp; 2054898 | &nbsp;&nbsp;&nbsp; 1881117<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust, 2004-C 3A1 | &nbsp;&nbsp; 4.692% | &nbsp;&nbsp; 12/20/34 | &nbsp;&nbsp; 110710 | &nbsp;&nbsp;&nbsp; 100275<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust, 2006-D 2A1 | &nbsp;&nbsp; 3.499% | &nbsp;&nbsp; 5/20/36 | &nbsp;&nbsp; 24945 | &nbsp;&nbsp;&nbsp; 23561<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust, 2006-F 1A1 | &nbsp;&nbsp; 5.950% | &nbsp;&nbsp; 7/20/36 | &nbsp;&nbsp; 23111 | &nbsp;&nbsp;&nbsp; 23422<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust, 2014-R5 1A2 (6 mo. Term SOFR + 1.928%) | &nbsp;&nbsp; 3.736% | &nbsp;&nbsp; 9/26/45 | &nbsp;&nbsp; 2696676 | &nbsp;&nbsp;&nbsp; 1921387<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bayview Financial Asset Trust, 2007-SR1A M2 (1 mo. Term SOFR + 1.014%) | &nbsp;&nbsp; 4.693% | &nbsp;&nbsp; 3/25/37 | &nbsp;&nbsp; 1247905 | &nbsp;&nbsp;&nbsp; 1251524<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bayview Financial Asset Trust, 2007-SR1A M3 (1 mo. Term SOFR + 1.264%) | &nbsp;&nbsp; 4.943% | &nbsp;&nbsp; 3/25/37 | &nbsp;&nbsp; 565381 | &nbsp;&nbsp;&nbsp; 570963<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bear Stearns ALT-A Trust, 2005-9 25A1 | &nbsp;&nbsp; 4.414% | &nbsp;&nbsp; 11/25/35 | &nbsp;&nbsp; 106474 | &nbsp;&nbsp;&nbsp; 66119<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset-Backed Securities Trust, 2005-CL1 A1 (1 mo. Term SOFR <br> + 0.614%) | &nbsp;&nbsp; 2.249% | &nbsp;&nbsp; 9/25/34 | &nbsp;&nbsp; 6330 | &nbsp;&nbsp;&nbsp; 6417<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; CAFL Issuer LLC, 2024-RTL1 A2 | &nbsp;&nbsp; 8.680% | &nbsp;&nbsp; 11/28/31 | &nbsp;&nbsp; 1460000 | &nbsp;&nbsp;&nbsp; 1484259<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Chase Mortgage Finance Trust, 2006-S3 2A1 | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 11/1/36 | &nbsp;&nbsp; 122368 | &nbsp;&nbsp;&nbsp; 9971<br>|
| &nbsp;&nbsp;&nbsp; ChaseFlex Trust, 2005-2 3A3, IO (-1.000 x 1 mo. Term SOFR + 5.386%) | &nbsp;&nbsp; 1.707% | &nbsp;&nbsp; 6/25/35 | &nbsp;&nbsp; 5371071 | &nbsp;&nbsp;&nbsp; 521559<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Chevy Chase Funding LLC Mortgage-Backed Certificates, 2006-2A A1 (1 mo. <br> Term SOFR + 0.244%) | &nbsp;&nbsp; 3.923% | &nbsp;&nbsp; 4/25/47 | &nbsp;&nbsp; 38029 | &nbsp;&nbsp;&nbsp; 38769<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust, 2005-18 A7 (-2.750 x 1 mo. Term SOFR + <br> 19.210%) | &nbsp;&nbsp; 9.094% | &nbsp;&nbsp; 10/25/35 | &nbsp;&nbsp; 7982 | &nbsp;&nbsp;&nbsp; 4950<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust, 2005-HYB9 1A1 (12 mo. Term SOFR + <br> 2.465%) | &nbsp;&nbsp; 6.449% | &nbsp;&nbsp; 2/20/36 | &nbsp;&nbsp; 58369 | &nbsp;&nbsp;&nbsp; 55281<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; 42291212 | &nbsp;&nbsp;&nbsp; 374311<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citicorp Mortgage Securities Trust, 2007-8 B1 | &nbsp;&nbsp; 5.898% | &nbsp;&nbsp; 9/25/37 | &nbsp;&nbsp; 2399912 | &nbsp;&nbsp;&nbsp; 1698011<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, 2004-UST1 A2 | &nbsp;&nbsp; 5.209% | &nbsp;&nbsp; 8/25/34 | &nbsp;&nbsp; 4561 | &nbsp;&nbsp;&nbsp; 4397<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, 2006-AR5 2A1A | &nbsp;&nbsp; 3.983% | &nbsp;&nbsp; 7/25/36 | &nbsp;&nbsp; 131795 | &nbsp;&nbsp;&nbsp; 81468<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, 2008-3 A3 | &nbsp;&nbsp; 6.100% | &nbsp;&nbsp; 4/25/37 | &nbsp;&nbsp; 5219369 | &nbsp;&nbsp;&nbsp; 2314841<br> <sup>(c)(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, 2021-J2 A4I2, IO | &nbsp;&nbsp; 0.180% | &nbsp;&nbsp; 7/25/51 | &nbsp;&nbsp; $30174178 | &nbsp;&nbsp;&nbsp; $295103<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, 2021-J2 AIOS, IO | &nbsp;&nbsp; 0.080% | &nbsp;&nbsp; 7/25/51 | &nbsp;&nbsp; 61921596 | &nbsp;&nbsp;&nbsp; 291032<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Countrywide Asset-Backed Certificates Trust, 2007-SEA1 1A1 (1 mo. Term <br> SOFR + 1.214%) | &nbsp;&nbsp; 4.893% | &nbsp;&nbsp; 5/25/47 | &nbsp;&nbsp; 211077 | &nbsp;&nbsp;&nbsp; 194567<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Credit-Based Asset Servicing & Securitization LLC, 2006-SL1 A3 (1 mo. Term <br> SOFR + 0.554%) | &nbsp;&nbsp; 4.233% | &nbsp;&nbsp; 9/25/36 | &nbsp;&nbsp; 3361465 | &nbsp;&nbsp;&nbsp; 106965<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSFB Mortgage-Backed Pass-Through Certificates, 2005-10 3A3 | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 11/25/35 | &nbsp;&nbsp; 178102 | &nbsp;&nbsp;&nbsp; 89641<br>|
| &nbsp;&nbsp;&nbsp; CSMC Resecuritization Trust, 2006-1R 1A2 (-2.750 x 1 mo. Term SOFR + <br> 19.210%) | &nbsp;&nbsp; 9.100% | &nbsp;&nbsp; 7/27/36 | &nbsp;&nbsp; 129838 | &nbsp;&nbsp;&nbsp; 113704<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2014-11R 9A2 (1 mo. Term SOFR + 0.254%) | &nbsp;&nbsp; 4.068% | &nbsp;&nbsp; 10/27/36 | &nbsp;&nbsp; 2301842 | &nbsp;&nbsp;&nbsp; 1829146<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2015-2R 7A2 | &nbsp;&nbsp; 4.339% | &nbsp;&nbsp; 8/27/36 | &nbsp;&nbsp; 2759437 | &nbsp;&nbsp;&nbsp; 2351173<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2017-RPL1 B4 | &nbsp;&nbsp; 2.983% | &nbsp;&nbsp; 7/25/57 | &nbsp;&nbsp; 2880839 | &nbsp;&nbsp;&nbsp; 1139519<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2021-INV2 A3X, IO | &nbsp;&nbsp; 0.500% | &nbsp;&nbsp; 11/25/56 | &nbsp;&nbsp; 24521196 | &nbsp;&nbsp;&nbsp; 718361<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CWABS Revolving Home Equity Loan Trust, 2004-L 2A (1 mo. Term SOFR + <br> 0.394%) | &nbsp;&nbsp; 4.067% | &nbsp;&nbsp; 2/15/34 | &nbsp;&nbsp; 6021 | &nbsp;&nbsp;&nbsp; 5873<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 2PO, PO | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 4/15/36 | &nbsp;&nbsp; 9826 | &nbsp;&nbsp;&nbsp; 4201<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS1, IO | &nbsp;&nbsp; 5.110% | &nbsp;&nbsp; 4/15/36 | &nbsp;&nbsp; 23758 | &nbsp;&nbsp;&nbsp; 1918<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS2, IO | &nbsp;&nbsp; 7.982% | &nbsp;&nbsp; 4/15/36 | &nbsp;&nbsp; 22712 | &nbsp;&nbsp;&nbsp; 2875<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS1, IO | &nbsp;&nbsp; 4.513% | &nbsp;&nbsp; 4/15/36 | &nbsp;&nbsp; 33214 | &nbsp;&nbsp;&nbsp; 4454<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS3, IO | &nbsp;&nbsp; 4.185% | &nbsp;&nbsp; 4/15/36 | &nbsp;&nbsp; 118023 | &nbsp;&nbsp;&nbsp; 14582<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; DK Note Backed Trust, 2024-SPT1 A | &nbsp;&nbsp; 7.086% | &nbsp;&nbsp; 4/28/66 | &nbsp;&nbsp; 830659 | &nbsp;&nbsp;&nbsp; 842468<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Eagle RE Ltd., 2023-1 M2 (30 Day Average SOFR + 5.200%) | &nbsp;&nbsp; 8.862% | &nbsp;&nbsp; 9/26/33 | &nbsp;&nbsp; 1290000 | &nbsp;&nbsp;&nbsp; 1363230<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Easy Street Mortgage Loan Trust, 2025-RTL1 A2 | &nbsp;&nbsp; 8.299% | &nbsp;&nbsp; 5/25/40 | &nbsp;&nbsp; 1010000 | &nbsp;&nbsp;&nbsp; 1020833<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Easy Street Mortgage Loan Trust, 2025-RTL2 A2 | &nbsp;&nbsp; 7.164% | &nbsp;&nbsp; 10/25/40 | &nbsp;&nbsp; 2250000 | &nbsp;&nbsp;&nbsp; 2250497<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; FARM Mortgage Trust, 2021-1 B | &nbsp;&nbsp; 3.228% | &nbsp;&nbsp; 7/25/51 | &nbsp;&nbsp; 1393694 | &nbsp;&nbsp;&nbsp; 1068650<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; FARM Mortgage Trust, 2024-2 B | &nbsp;&nbsp; 5.565% | &nbsp;&nbsp; 8/1/54 | &nbsp;&nbsp; 900351 | &nbsp;&nbsp;&nbsp; 792537<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5408 PI, IO, PAC | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 3/25/54 | &nbsp;&nbsp; 634336 | &nbsp;&nbsp;&nbsp; 126633<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; 3261841 | &nbsp;&nbsp;&nbsp; 571354<br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency <br> Credit Risk Trust, 2020-DNA2 B2 (30 Day Average SOFR + 4.914%) | &nbsp;&nbsp; 8.576% | &nbsp;&nbsp; 2/25/50 | &nbsp;&nbsp; 1166729 | &nbsp;&nbsp;&nbsp; 1282934<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency <br> Credit Risk Trust, 2021-DNA5 B2 (30 Day Average SOFR + 5.500%) | &nbsp;&nbsp; 9.162% | &nbsp;&nbsp; 1/25/34 | &nbsp;&nbsp; 1200000 | &nbsp;&nbsp;&nbsp; 1465116<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency <br> Credit Risk Trust, 2021-HQA4 B2 (30 Day Average SOFR + 7.000%) | &nbsp;&nbsp; 10.662% | &nbsp;&nbsp; 12/25/41 | &nbsp;&nbsp; 1650000 | &nbsp;&nbsp;&nbsp; 1702514<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2016-1 B, PO | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 9/25/55 | &nbsp;&nbsp; 11947137 | &nbsp;&nbsp;&nbsp; 1829814<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2016-1 BIO, IO | &nbsp;&nbsp; 1.520% | &nbsp;&nbsp; 9/25/55 | &nbsp;&nbsp; 18890980 | &nbsp;&nbsp;&nbsp; 2214716<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2016-1 XSIO, IO | &nbsp;&nbsp; 0.075% | &nbsp;&nbsp; 9/25/55 | &nbsp;&nbsp; 118811635 | &nbsp;&nbsp;&nbsp; 482850<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2018-2 BX | &nbsp;&nbsp; 1.612% | &nbsp;&nbsp; 11/25/57 | &nbsp;&nbsp; 3366411 | &nbsp;&nbsp;&nbsp; 1276541<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2018-3 BX  | &nbsp;&nbsp; 2.205% | &nbsp;&nbsp; 8/25/57 | &nbsp;&nbsp; 3266265 | &nbsp;&nbsp;&nbsp; 955508<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2019-2 M | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 8/25/58 | &nbsp;&nbsp; 620938 | &nbsp;&nbsp;&nbsp; 605996<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2020-1 BXS | &nbsp;&nbsp; 4.417% | &nbsp;&nbsp; 8/25/59 | &nbsp;&nbsp; 3989785 | &nbsp;&nbsp;&nbsp; 2126480<br> <sup>(b)(c)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2026 Quarterly Report

------

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2021-1 M | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 9/25/60 | &nbsp;&nbsp; $1134149 | &nbsp;&nbsp;&nbsp; $1110157<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2021-3 BXS | &nbsp;&nbsp; 6.934% | &nbsp;&nbsp; 3/25/61 | &nbsp;&nbsp; 1641670 | &nbsp;&nbsp;&nbsp; 1017447<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2022-2 M | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 4/25/62 | &nbsp;&nbsp; 1337000 | &nbsp;&nbsp;&nbsp; 1248953<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer <br> Trust, 2024-1 M | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 11/25/63 | &nbsp;&nbsp; 1540000 | &nbsp;&nbsp;&nbsp; 1353605<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Securitized Participation Interests Trust, 2017-SPI1 B | &nbsp;&nbsp; 4.107% | &nbsp;&nbsp; 9/25/47 | &nbsp;&nbsp; 736970 | &nbsp;&nbsp;&nbsp; 540950<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Securitized Participation Interests Trust, 2018-SPI4 B | &nbsp;&nbsp; 4.512% | &nbsp;&nbsp; 11/25/48 | &nbsp;&nbsp; 3653986 | &nbsp;&nbsp;&nbsp; 2767987<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2018-DNA3 B2 (30 Day Average SOFR + 7.864%) | &nbsp;&nbsp; 11.526% | &nbsp;&nbsp; 9/25/48 | &nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp; 2277893<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2018-HRP1 B2 (30 Day Average SOFR + 11.864%) | &nbsp;&nbsp; 15.526% | &nbsp;&nbsp; 5/25/43 | &nbsp;&nbsp; 5344432 | &nbsp;&nbsp;&nbsp; 6270945<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2018-HRP2 B2 (30 Day Average SOFR + 10.614%) | &nbsp;&nbsp; 14.276% | &nbsp;&nbsp; 2/25/47 | &nbsp;&nbsp; 3530000 | &nbsp;&nbsp;&nbsp; 4271948<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2019-FTR1 B2 (30 Day Average SOFR + 8.464%) | &nbsp;&nbsp; 12.126% | &nbsp;&nbsp; 1/25/48 | &nbsp;&nbsp; 1855000 | &nbsp;&nbsp;&nbsp; 2191543<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2019-FTR2 B2 (30 Day Average SOFR + 7.514%) | &nbsp;&nbsp; 11.176% | &nbsp;&nbsp; 11/25/48 | &nbsp;&nbsp; 1270000 | &nbsp;&nbsp;&nbsp; 1479805<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2019-FTR3 B2 (30 Day Average SOFR + 4.914%) | &nbsp;&nbsp; 8.582% | &nbsp;&nbsp; 9/25/47 | &nbsp;&nbsp; 1200000 | &nbsp;&nbsp;&nbsp; 1302785<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2019-FTR4 B2 (30 Day Average SOFR + 5.114%) | &nbsp;&nbsp; 8.776% | &nbsp;&nbsp; 11/25/47 | &nbsp;&nbsp; 1250000 | &nbsp;&nbsp;&nbsp; 1377237<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk <br> Trust, 2019-HQA3 B2 (30 Day Average SOFR + 7.614%) | &nbsp;&nbsp; 11.276% | &nbsp;&nbsp; 9/25/49 | &nbsp;&nbsp; 1680000 | &nbsp;&nbsp;&nbsp; 1867464<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Whole Loan Securities Trust, <br> 2015-SC01 B | &nbsp;&nbsp; 3.863% | &nbsp;&nbsp; 5/25/45 | &nbsp;&nbsp; 2064505 | &nbsp;&nbsp;&nbsp; 1366639<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2016-C01 1B (30 <br> Day Average SOFR + 11.864%) | &nbsp;&nbsp; 15.739% | &nbsp;&nbsp; 8/25/28 | &nbsp;&nbsp; 0 | &nbsp;&nbsp;&nbsp; 0<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2016-C03 1B (30 <br> Day Average SOFR + 11.864%) | &nbsp;&nbsp; 15.526% | &nbsp;&nbsp; 10/25/28 | &nbsp;&nbsp; 1915638 | &nbsp;&nbsp;&nbsp; 1929250<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2016-C06 1B (30 <br> Day Average SOFR + 9.364%) | &nbsp;&nbsp; 13.026% | &nbsp;&nbsp; 4/25/29 | &nbsp;&nbsp; 3479085 | &nbsp;&nbsp;&nbsp; 3612036<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2020-R01 1B1 (30 <br> Day Average SOFR + 3.364%) | &nbsp;&nbsp; 7.026% | &nbsp;&nbsp; 1/25/40 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 1520988<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2021-R01 1B2 (30 <br> Day Average SOFR + 6.000%) | &nbsp;&nbsp; 9.662% | &nbsp;&nbsp; 10/25/41 | &nbsp;&nbsp; 1320000 | &nbsp;&nbsp;&nbsp; 1347563<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2021-R02 2B2 (30 <br> Day Average SOFR + 6.200%) | &nbsp;&nbsp; 9.862% | &nbsp;&nbsp; 11/25/41 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 1534865<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Horizon Alternative Mortgage Securities Trust, 2005-AA6 3A1 | &nbsp;&nbsp; 4.502% | &nbsp;&nbsp; 8/25/35 | &nbsp;&nbsp; 173112 | &nbsp;&nbsp;&nbsp; 142633<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Horizon Alternative Mortgage Securities Trust, 2006-FA6 2A1, PAC | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 11/25/36 | &nbsp;&nbsp; 64242 | &nbsp;&nbsp;&nbsp; 15923<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2023-184 HI, IO | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 12/20/53 | &nbsp;&nbsp; 1276498 | &nbsp;&nbsp;&nbsp; 267270<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2024-151 KS, IO <br> (-1.000 x 30 Day Average SOFR + 6.050%) | &nbsp;&nbsp; 2.377% | &nbsp;&nbsp; 9/20/54 | &nbsp;&nbsp; 2715032 | &nbsp;&nbsp;&nbsp; 223506<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-175 LS, IO <br> (-1.000 x 30 Day Average SOFR + 5.950%) | &nbsp;&nbsp; 2.277% | &nbsp;&nbsp; 10/20/55 | &nbsp;&nbsp; 1386226 | &nbsp;&nbsp;&nbsp; 134237<br> <sup>(b)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2025-214 S, IO (-1.000 <br> x 30 Day Average SOFR + 6.600%) | &nbsp;&nbsp; 2.927% | &nbsp;&nbsp; 12/20/55 | &nbsp;&nbsp; $1566844 | &nbsp;&nbsp;&nbsp; $159656<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2026-5 SM, IO (-1.000 <br> x 30 Day Average SOFR + 5.700%) | &nbsp;&nbsp; 2.027% | &nbsp;&nbsp; 12/20/55 | &nbsp;&nbsp; 3084309 | &nbsp;&nbsp;&nbsp; 226218<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, 2000-1A A (1 mo. Term SOFR + 0.464%) | &nbsp;&nbsp; 4.140% | &nbsp;&nbsp; 3/20/27 | &nbsp;&nbsp; 7068 | &nbsp;&nbsp;&nbsp; 718<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, 2021-GR2 AIOS, IO | &nbsp;&nbsp; 0.190% | &nbsp;&nbsp; 2/25/52 | &nbsp;&nbsp; 61699364 | &nbsp;&nbsp;&nbsp; 672202<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, 2021-PJ2 AIOS, IO | &nbsp;&nbsp; 0.220% | &nbsp;&nbsp; 7/25/51 | &nbsp;&nbsp; 56512144 | &nbsp;&nbsp;&nbsp; 739326<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust, 2022-NQM1 B4 | &nbsp;&nbsp; 4.068% | &nbsp;&nbsp; 5/25/62 | &nbsp;&nbsp; 1497292 | &nbsp;&nbsp;&nbsp; 1302184<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GSMPS Mortgage Loan Trust, 2006-RP1 1A2 | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 1/25/36 | &nbsp;&nbsp; 179985 | &nbsp;&nbsp;&nbsp; 159231<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Home RE Ltd., 2023-1 M2 (30 Day Average SOFR + 6.000%) | &nbsp;&nbsp; 9.662% | &nbsp;&nbsp; 10/25/33 | &nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp; 1075058<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Home Re Ltd., 2026-1 M2 (30 Day Average SOFR + 3.200%) | &nbsp;&nbsp; 6.862% | &nbsp;&nbsp; 1/25/36 | &nbsp;&nbsp; 2700000 | &nbsp;&nbsp;&nbsp; 2726313<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HSI Asset Loan Obligation Trust, 2007-AR1 4A1 | &nbsp;&nbsp; 4.979% | &nbsp;&nbsp; 1/25/37 | &nbsp;&nbsp; 52006 | &nbsp;&nbsp;&nbsp; 40062<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Impac CMB Trust, 2004-8 1A (1 mo. Term SOFR + 0.834%) | &nbsp;&nbsp; 4.513% | &nbsp;&nbsp; 10/25/34 | &nbsp;&nbsp; 15405 | &nbsp;&nbsp;&nbsp; 15327<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDA Mortgage Loan Trust, 2005-AR2 1A1 | &nbsp;&nbsp; 3.659% | &nbsp;&nbsp; 1/25/36 | &nbsp;&nbsp; 55915 | &nbsp;&nbsp;&nbsp; 43942<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2004-AR13 1A1 | &nbsp;&nbsp; 3.407% | &nbsp;&nbsp; 1/25/35 | &nbsp;&nbsp; 20680 | &nbsp;&nbsp;&nbsp; 19034<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2005-AR15 A2 | &nbsp;&nbsp; 3.844% | &nbsp;&nbsp; 9/25/35 | &nbsp;&nbsp; 29163 | &nbsp;&nbsp;&nbsp; 23695<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2005-AR18 1A1 (1 mo. Term SOFR + <br> 0.734%) | &nbsp;&nbsp; 4.413% | &nbsp;&nbsp; 10/25/36 | &nbsp;&nbsp; 1483543 | &nbsp;&nbsp;&nbsp; 588444<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2006-AR7 5A1 | &nbsp;&nbsp; 3.925% | &nbsp;&nbsp; 5/25/36 | &nbsp;&nbsp; 90072 | &nbsp;&nbsp;&nbsp; 84681<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2006-AR9 3A3 | &nbsp;&nbsp; 3.417% | &nbsp;&nbsp; 6/25/36 | &nbsp;&nbsp; 180960 | &nbsp;&nbsp;&nbsp; 157388<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2006-AR11 1A1 | &nbsp;&nbsp; 4.279% | &nbsp;&nbsp; 6/25/36 | &nbsp;&nbsp; 195994 | &nbsp;&nbsp;&nbsp; 146426<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Alternative Loan Trust, 2007-A1 3A1 | &nbsp;&nbsp; 4.108% | &nbsp;&nbsp; 3/25/37 | &nbsp;&nbsp; 154546 | &nbsp;&nbsp;&nbsp; 136787<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2007-S2 3A2 | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 6/25/37 | &nbsp;&nbsp; 8505 | &nbsp;&nbsp;&nbsp; 8311<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2007-S2 3A3 | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 6/25/37 | &nbsp;&nbsp; 3919 | &nbsp;&nbsp;&nbsp; 3891<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust, 2024-3 AX1, IO | &nbsp;&nbsp; 0.331% | &nbsp;&nbsp; 5/25/54 | &nbsp;&nbsp; 19263388 | &nbsp;&nbsp;&nbsp; 385878<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Legacy Mortgage Asset Trust, 2021-GS3 A2 | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 7/25/61 | &nbsp;&nbsp; 1852795 | &nbsp;&nbsp;&nbsp; 1855302<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lehman Mortgage Trust, 2006-3 1A7, IO (-1.000 x 1 mo. Term SOFR + <br> 5.286%) | &nbsp;&nbsp; 1.607% | &nbsp;&nbsp; 7/25/36 | &nbsp;&nbsp; 3962696 | &nbsp;&nbsp;&nbsp; 385014<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lehman Mortgage Trust, 2007-5 2A3 (1 mo. Term SOFR + 0.444%) | &nbsp;&nbsp; 4.123% | &nbsp;&nbsp; 6/25/37 | &nbsp;&nbsp; 2577474 | &nbsp;&nbsp;&nbsp; 390606<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lehman XS Trust, 2006-19 A4 (1 mo. Term SOFR + 0.454%) | &nbsp;&nbsp; 4.133% | &nbsp;&nbsp; 12/25/36 | &nbsp;&nbsp; 252086 | &nbsp;&nbsp;&nbsp; 249874<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust, 2024-RTL2 A2 | &nbsp;&nbsp; 8.897% | &nbsp;&nbsp; 3/25/29 | &nbsp;&nbsp; 760000 | &nbsp;&nbsp;&nbsp; 763523<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust, 2024-RTL5 M2 | &nbsp;&nbsp; 8.180% | &nbsp;&nbsp; 9/25/39 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 1505769<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust, 2026-RTL1 M1 | &nbsp;&nbsp; 5.993% | &nbsp;&nbsp; 1/25/41 | &nbsp;&nbsp; 580000 | &nbsp;&nbsp;&nbsp; 573855<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust, 2026-RTL1 M2 | &nbsp;&nbsp; 7.694% | &nbsp;&nbsp; 1/25/41 | &nbsp;&nbsp; 340000 | &nbsp;&nbsp;&nbsp; 338542<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust, 2004-12 5A1 | &nbsp;&nbsp; 6.170% | &nbsp;&nbsp; 10/25/34 | &nbsp;&nbsp; 2335 | &nbsp;&nbsp;&nbsp; 2302<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. Term SOFR <br> + 0.324%) | &nbsp;&nbsp; 4.003% | &nbsp;&nbsp; 4/25/46 | &nbsp;&nbsp; 81618 | &nbsp;&nbsp;&nbsp; 77042<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; MASTR Reperforming Loan Trust, 2005-1 1A4 | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 8/25/34 | &nbsp;&nbsp; 34639 | &nbsp;&nbsp;&nbsp; 24707<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust, 2006-A1 2A1 | &nbsp;&nbsp; 4.342% | &nbsp;&nbsp; 3/25/36 | &nbsp;&nbsp; 275750 | &nbsp;&nbsp;&nbsp; 126390<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust, 2006-8AR 1A2 (1 mo. Term SOFR + <br> 0.254%) | &nbsp;&nbsp; 3.933% | &nbsp;&nbsp; 6/25/36 | &nbsp;&nbsp; 180871 | &nbsp;&nbsp;&nbsp; 34799<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust, 2007-5AX 2A3 (1 mo. Term SOFR + <br> 0.574%) | &nbsp;&nbsp; 4.253% | &nbsp;&nbsp; 2/25/37 | &nbsp;&nbsp; 1269983 | &nbsp;&nbsp;&nbsp; 240343<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust, 2007-15AR 4A1 | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 11/25/37 | &nbsp;&nbsp; 420815 | &nbsp;&nbsp;&nbsp; 367965<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Re-REMIC Trust, 2015-R2 1B (12 mo. Moving Treasury <br> Average + 0.710%) | &nbsp;&nbsp; 3.988% | &nbsp;&nbsp; 12/27/46 | &nbsp;&nbsp; 625237 | &nbsp;&nbsp;&nbsp; 574546<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2017-1A B6 | &nbsp;&nbsp; 5.282% | &nbsp;&nbsp; 2/25/57 | &nbsp;&nbsp; 2053441 | &nbsp;&nbsp;&nbsp; 1914637<br> <sup>(b)(c)(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2026 Quarterly Report

------

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | |
|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>|
| **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2018-1A B6 | &nbsp;&nbsp; 5.590% | &nbsp;&nbsp; 12/25/57 | &nbsp;&nbsp; $1926361<br> &nbsp;&nbsp;&nbsp; $1652154<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2019-4A B6 | &nbsp;&nbsp; 4.472% | &nbsp;&nbsp; 12/25/58 | &nbsp;&nbsp; 2110782<br> &nbsp;&nbsp;&nbsp; 1399215<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2019-6A A1IB, IO | &nbsp;&nbsp; 0.500% | &nbsp;&nbsp; 9/25/59 | &nbsp;&nbsp; 13377712<br> &nbsp;&nbsp;&nbsp; 183455<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2019-NQM4 B2 | &nbsp;&nbsp; 5.091% | &nbsp;&nbsp; 9/25/59 | &nbsp;&nbsp; 1608000<br> &nbsp;&nbsp;&nbsp; 1509935<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2024-RTL1 M1 | &nbsp;&nbsp; 9.298% | &nbsp;&nbsp; 3/25/39 | &nbsp;&nbsp; 380000<br> &nbsp;&nbsp;&nbsp; 380638<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust, 2024-RTL1 M2 | &nbsp;&nbsp; 9.298% | &nbsp;&nbsp; 3/25/39 | &nbsp;&nbsp; 870000<br> &nbsp;&nbsp;&nbsp; 870586<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; PRKCM Trust, 2023-AFC1 M1 | &nbsp;&nbsp; 7.264% | &nbsp;&nbsp; 2/25/58 | &nbsp;&nbsp; 1480000<br> &nbsp;&nbsp;&nbsp; 1475596<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; PRKCM Trust, 2023-AFC3 B1 | &nbsp;&nbsp; 7.776% | &nbsp;&nbsp; 9/25/58 | &nbsp;&nbsp; 1220000<br> &nbsp;&nbsp;&nbsp; 1221217<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; PRKCM Trust, 2024-AFC1 B2 | &nbsp;&nbsp; 8.223% | &nbsp;&nbsp; 3/25/59 | &nbsp;&nbsp; 1450000<br> &nbsp;&nbsp;&nbsp; 1457861<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Provident Home Equity Loan Trust, 2000-2 A1 (1 mo. Term SOFR + 0.654%) | &nbsp;&nbsp; 4.333% | &nbsp;&nbsp; 8/25/31 | &nbsp;&nbsp; 397306<br> &nbsp;&nbsp;&nbsp; 379547<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; PRPM LLC, 2025-RCF3 M1B | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 7/25/55 | &nbsp;&nbsp; 1000000<br> &nbsp;&nbsp;&nbsp; 981014<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; RAAC Trust, 2007-SP1 M3 (1 mo. Term SOFR + 1.614%) | &nbsp;&nbsp; 5.293% | &nbsp;&nbsp; 3/25/37 | &nbsp;&nbsp; 1387919<br> &nbsp;&nbsp;&nbsp; 1148597<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; RALI Trust, 2005-QA3 CB4 | &nbsp;&nbsp; 3.991% | &nbsp;&nbsp; 3/25/35 | &nbsp;&nbsp; 682694<br> &nbsp;&nbsp;&nbsp; 316909<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; RALI Trust, 2006-QA1 A11 | &nbsp;&nbsp; 4.967% | &nbsp;&nbsp; 1/25/36 | &nbsp;&nbsp; 183903<br> &nbsp;&nbsp;&nbsp; 133698<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; RALI Trust, 2006-QA4 A (1 mo. Term SOFR + 0.474%) | &nbsp;&nbsp; 4.153% | &nbsp;&nbsp; 5/25/36 | &nbsp;&nbsp; 99556<br> &nbsp;&nbsp;&nbsp; 91984<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; RALI Trust, 2006-QO2 A1 (1 mo. Term SOFR + 0.554%) | &nbsp;&nbsp; 4.233% | &nbsp;&nbsp; 2/25/46 | &nbsp;&nbsp; 165246<br> &nbsp;&nbsp;&nbsp; 27190<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; RAMP Trust, 2004-RS4 MII2 (1 mo. Term SOFR + 1.464%) | &nbsp;&nbsp; 5.418% | &nbsp;&nbsp; 4/25/34 | &nbsp;&nbsp; 731999<br> &nbsp;&nbsp;&nbsp; 668283<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Redwood Funding Trust, 2025-2 A | &nbsp;&nbsp; 7.112% | &nbsp;&nbsp; 10/25/55 | &nbsp;&nbsp; 1011429<br> &nbsp;&nbsp;&nbsp; 1017105<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Redwood Funding Trust, 2025-3 A | &nbsp;&nbsp; 6.231% | &nbsp;&nbsp; 12/27/56 | &nbsp;&nbsp; 801071<br> &nbsp;&nbsp;&nbsp; 808682<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust, 2006-1 AF5 | &nbsp;&nbsp; 6.166% | &nbsp;&nbsp; 5/25/36 | &nbsp;&nbsp; 516941<br> &nbsp;&nbsp;&nbsp; 241280<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust, 2007-3 AF3 | &nbsp;&nbsp; 7.238% | &nbsp;&nbsp; 9/25/37 | &nbsp;&nbsp; 1426240<br> &nbsp;&nbsp;&nbsp; 542659<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Residential Asset Securitization Trust, 2007-A2 1A1 | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 4/25/37 | &nbsp;&nbsp; 170004<br> &nbsp;&nbsp;&nbsp; 81441<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; RFMSI Trust, 2006-S8 A12, IO (-1.000 x 1 mo. Term SOFR + 5.286%) | &nbsp;&nbsp; 1.607% | &nbsp;&nbsp; 9/25/36 | &nbsp;&nbsp; 1540154<br> &nbsp;&nbsp;&nbsp; 101783<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Saluda Grade Alternative Mortgage Trust, 2024-RTL4 A2 | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 2/25/30 | &nbsp;&nbsp; 1770000<br> &nbsp;&nbsp;&nbsp; 1763099<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Starwood Mortgage Residential Trust, 2020-3 B2 | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 4/25/65 | &nbsp;&nbsp; 1490000<br> &nbsp;&nbsp;&nbsp; 1300941<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Starwood Mortgage Residential Trust, 2021-4 B31 | &nbsp;&nbsp; 4.678% | &nbsp;&nbsp; 8/25/56 | &nbsp;&nbsp; 2700000<br> &nbsp;&nbsp;&nbsp; 1899706<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Adjustable Rate Mortgage Loan Trust, 2004-18 1A2 | &nbsp;&nbsp; 4.648% | &nbsp;&nbsp; 12/25/34 | &nbsp;&nbsp; 111675<br> &nbsp;&nbsp;&nbsp; 101600<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Adjustable Rate Mortgage Loan Trust, 2005-4 1A1 | &nbsp;&nbsp; 3.990% | &nbsp;&nbsp; 3/25/35 | &nbsp;&nbsp; 76969<br> &nbsp;&nbsp;&nbsp; 64700<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Adjustable Rate Mortgage Loan Trust, 2005-7 1A3 | &nbsp;&nbsp; 4.423% | &nbsp;&nbsp; 4/25/35 | &nbsp;&nbsp; 24773<br> &nbsp;&nbsp;&nbsp; 22477<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Structured Asset Investment Loan Trust, 2004-8 M9 (1 mo. Term SOFR + <br> 3.864%) | &nbsp;&nbsp; 7.543% | &nbsp;&nbsp; 9/25/34 | &nbsp;&nbsp; 297405<br> &nbsp;&nbsp;&nbsp; 233963<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Toorak Mortgage Trust, 2024-RRTL1 B1 | &nbsp;&nbsp; 10.335% | &nbsp;&nbsp; 2/25/39 | &nbsp;&nbsp; 800000<br> &nbsp;&nbsp;&nbsp; 802295<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Toorak Mortgage Trust, 2024-RRTL1 B2 | &nbsp;&nbsp; 10.335% | &nbsp;&nbsp; 2/25/39 | &nbsp;&nbsp; 640000<br> &nbsp;&nbsp;&nbsp; 641717<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UWM Mortgage Trust, 2021-1 AX4, IO | &nbsp;&nbsp; 0.250% | &nbsp;&nbsp; 6/25/51 | &nbsp;&nbsp; 21767173<br> &nbsp;&nbsp;&nbsp; 255505<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2023-3 B1 | &nbsp;&nbsp; 7.666% | &nbsp;&nbsp; 3/25/68 | &nbsp;&nbsp; 1200000<br> &nbsp;&nbsp;&nbsp; 1196406<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2023-4 B1 | &nbsp;&nbsp; 8.019% | &nbsp;&nbsp; 5/25/68 | &nbsp;&nbsp; 1170000<br> &nbsp;&nbsp;&nbsp; 1169037<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2023-5 B1 | &nbsp;&nbsp; 7.970% | &nbsp;&nbsp; 6/25/68 | &nbsp;&nbsp; 1200000<br> &nbsp;&nbsp;&nbsp; 1201684<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2023-7 B1 | &nbsp;&nbsp; 7.898% | &nbsp;&nbsp; 10/25/68 | &nbsp;&nbsp; 1960000<br> &nbsp;&nbsp;&nbsp; 1979907<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2024-8 B1 | &nbsp;&nbsp; 7.032% | &nbsp;&nbsp; 10/25/69 | &nbsp;&nbsp; 1750000<br> &nbsp;&nbsp;&nbsp; 1764390<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust, 2025-R1 B1 | &nbsp;&nbsp; 6.400% | &nbsp;&nbsp; 5/25/65 | &nbsp;&nbsp; 1450000<br> &nbsp;&nbsp;&nbsp; 1438638<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wachovia Mortgage Loan Trust LLC, 2005-B 2A2 | &nbsp;&nbsp; 6.710% | &nbsp;&nbsp; 10/20/35 | &nbsp;&nbsp; 3506<br> &nbsp;&nbsp;&nbsp; 3450<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-8 1A6 (-3.667 x 1 <br> mo. Term SOFR + 22.864%) | &nbsp;&nbsp; 9.376% | &nbsp;&nbsp; 10/25/35 | &nbsp;&nbsp; 80540<br> &nbsp;&nbsp;&nbsp; 79844<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-9 5A4 (-7.333 x 1 <br> mo. Term SOFR + 35.094%) | &nbsp;&nbsp; 8.118% | &nbsp;&nbsp; 11/25/35 | &nbsp;&nbsp; 32648<br> &nbsp;&nbsp;&nbsp; 30084<br> <sup>(b)(c)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Residential Mortgage-Backed Securities**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-10 2A3 (1 mo. Term <br> SOFR + 1.014%) | &nbsp;&nbsp; 4.693% | &nbsp;&nbsp; 11/25/35 | &nbsp;&nbsp; $56604 | &nbsp;&nbsp;&nbsp; $51394<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-AR2 B1 (1 mo. Term <br> SOFR + 0.909%) | &nbsp;&nbsp; 4.588% | &nbsp;&nbsp; 1/25/45 | &nbsp;&nbsp; 1166950 | &nbsp;&nbsp;&nbsp; 1071087<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-AR13 A1C3 (1 mo. <br> Term SOFR + 1.094%) | &nbsp;&nbsp; 4.773% | &nbsp;&nbsp; 10/25/45 | &nbsp;&nbsp; 51722 | &nbsp;&nbsp;&nbsp; 50132<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2006-AR10 A1 (1 mo. <br> Term SOFR + 0.314%) | &nbsp;&nbsp; 3.993% | &nbsp;&nbsp; 12/25/36 | &nbsp;&nbsp; 215509 | &nbsp;&nbsp;&nbsp; 107656<br> <sup>(b)(c)</sup><br>|
| **Total Residential Mortgage-Backed Securities (Cost — $136,405,502)** | **Total Residential Mortgage-Backed Securities (Cost — $136,405,502)** | **Total Residential Mortgage-Backed Securities (Cost — $136,405,502)** | **Total Residential Mortgage-Backed Securities (Cost — $136,405,502)** | &nbsp;&nbsp; **142971089** |
| **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— 48.1%** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— 48.1%** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— 48.1%** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— 48.1%** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— 48.1%** |
| &nbsp;&nbsp;&nbsp; 280 Park Avenue Mortgage Trust, 2017-280P E (1 mo. Term SOFR + 2.419%) | &nbsp;&nbsp; 6.089% | &nbsp;&nbsp; 9/15/34 | &nbsp;&nbsp; 3430000 | &nbsp;&nbsp;&nbsp; 3363869<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; 280 Park Avenue Mortgage Trust, 2017-280P F (1 mo. Term SOFR + 3.127%) | &nbsp;&nbsp; 6.797% | &nbsp;&nbsp; 9/15/34 | &nbsp;&nbsp; 320000 | &nbsp;&nbsp;&nbsp; 311186<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Atrium Hotel Portfolio Trust, 2017-ATRM E (1 mo. Term SOFR + 3.347%) | &nbsp;&nbsp; 7.020% | &nbsp;&nbsp; 12/15/36 | &nbsp;&nbsp; 1388311 | &nbsp;&nbsp;&nbsp; 1314626<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BANK, 2021-BN35 H | &nbsp;&nbsp; 1.662% | &nbsp;&nbsp; 6/15/64 | &nbsp;&nbsp; 1860000 | &nbsp;&nbsp;&nbsp; 751004<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BANK, 2021-BN35 K | &nbsp;&nbsp; 1.662% | &nbsp;&nbsp; 6/15/64 | &nbsp;&nbsp; 4703147 | &nbsp;&nbsp;&nbsp; 1784961<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BANK, 2022-BNK43 E | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 8/15/55 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 1022354<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BF Mortgage Trust, 2019-NYT E (1 mo. Term SOFR + 2.797%) | &nbsp;&nbsp; 6.470% | &nbsp;&nbsp; 12/15/35 | &nbsp;&nbsp; 1440000 | &nbsp;&nbsp;&nbsp; 1303207<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BFLD Commercial Mortgage Trust, 2024-UNIV E (1 mo. Term SOFR + 3.640%) | &nbsp;&nbsp; 7.312% | &nbsp;&nbsp; 11/15/41 | &nbsp;&nbsp; 1170000 | &nbsp;&nbsp;&nbsp; 1173599<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BRES Commercial Mortgage Trust, 2025-ATCAP F (1 mo. Term SOFR + <br> 5.189%) | &nbsp;&nbsp; 8.861% | &nbsp;&nbsp; 11/15/42 | &nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp; 1997159<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BSREP Commercial Mortgage Trust, 2021-DC HRR (1 mo. Term SOFR + <br> 5.614%) | &nbsp;&nbsp; 9.287% | &nbsp;&nbsp; 8/15/38 | &nbsp;&nbsp; 3013097 | &nbsp;&nbsp;&nbsp; 605858<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BWAY Mortgage Trust, 2013-1515 F | &nbsp;&nbsp; 3.928% | &nbsp;&nbsp; 3/10/33 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 1276964<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2019-IMC F (1 mo. Term SOFR + 2.946%) | &nbsp;&nbsp; 6.619% | &nbsp;&nbsp; 4/15/34 | &nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp; 1968711<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%) | &nbsp;&nbsp; 7.778% | &nbsp;&nbsp; 2/15/39 | &nbsp;&nbsp; 805000 | &nbsp;&nbsp;&nbsp; 805049<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2024-KING E (1 mo. Term SOFR + 3.688%) | &nbsp;&nbsp; 7.360% | &nbsp;&nbsp; 5/15/34 | &nbsp;&nbsp; 1174537 | &nbsp;&nbsp;&nbsp; 1177422<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2025-SPOT E (1 mo. Term SOFR + 3.690%) | &nbsp;&nbsp; 7.363% | &nbsp;&nbsp; 4/15/40 | &nbsp;&nbsp; 1133303 | &nbsp;&nbsp;&nbsp; 1135396<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2026-VLT9 E (1 mo. Term SOFR + 4.250%) | &nbsp;&nbsp; 7.923% | &nbsp;&nbsp; 3/15/45 | &nbsp;&nbsp; 750000 | &nbsp;&nbsp;&nbsp; 743877<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2017-CHOP F (PRIME + 1.294%) | &nbsp;&nbsp; 8.044% | &nbsp;&nbsp; 7/15/32 | &nbsp;&nbsp; 1620000 | &nbsp;&nbsp;&nbsp; 1616860<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2017-CHOP H (PRIME + 4.294%) | &nbsp;&nbsp; 11.044% | &nbsp;&nbsp; 7/15/32 | &nbsp;&nbsp; 1509000 | &nbsp;&nbsp;&nbsp; 1458278<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2021-ADV G (1 mo. Term SOFR + 6.364%) | &nbsp;&nbsp; 10.037% | &nbsp;&nbsp; 7/15/38 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 110<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Extended Stay America Trust, 2025-ESH D (1 mo. Term SOFR + 2.600%) | &nbsp;&nbsp; 6.273% | &nbsp;&nbsp; 10/15/42 | &nbsp;&nbsp; 330000 | &nbsp;&nbsp;&nbsp; 331230<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Credit <br> Risk Trust, 2023-MN7 B1 (30 Day Average SOFR + 8.850%) | &nbsp;&nbsp; 12.512% | &nbsp;&nbsp; 9/25/43 | &nbsp;&nbsp; 2200000 | &nbsp;&nbsp;&nbsp; 2559326<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Credit <br> Risk Trust, 2021-MN1 B1 (30 Day Average SOFR + 7.750%) | &nbsp;&nbsp; 11.412% | &nbsp;&nbsp; 1/25/51 | &nbsp;&nbsp; 950000 | &nbsp;&nbsp;&nbsp; 1049963<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust, 2021-F117 CS (30 Day Average SOFR + 6.400%) | &nbsp;&nbsp; 10.069% | &nbsp;&nbsp; 7/25/31 | &nbsp;&nbsp; 539301 | &nbsp;&nbsp;&nbsp; 497949<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; FRESB Mortgage Trust, 2018-SB48 B | &nbsp;&nbsp; 4.141% | &nbsp;&nbsp; 2/25/38 | &nbsp;&nbsp; 1025463 | &nbsp;&nbsp;&nbsp; 627245<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-89 IA, IO | &nbsp;&nbsp; 1.169% | &nbsp;&nbsp; 4/16/62 | &nbsp;&nbsp; 6387335 | &nbsp;&nbsp;&nbsp; 511079<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Greystone CRE Notes LLC, 2025-HC4 D (1 mo. Term SOFR + 3.940%) | &nbsp;&nbsp; 7.613% | &nbsp;&nbsp; 10/15/42 | &nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp; 1993062<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp., 2024-70P HRR | &nbsp;&nbsp; 9.333% | &nbsp;&nbsp; 3/10/41 | &nbsp;&nbsp; 4420000 | &nbsp;&nbsp;&nbsp; 4430649<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. Term SOFR + <br> 4.747%) | &nbsp;&nbsp; 8.420% | &nbsp;&nbsp; 11/15/32 | &nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp; 2491345<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust, 2015-GC32 D | &nbsp;&nbsp; 3.345% | &nbsp;&nbsp; 7/10/48 | &nbsp;&nbsp; 10216 | &nbsp;&nbsp;&nbsp; 10017<br>|
| &nbsp;&nbsp;&nbsp; HIH Trust, 2024-61P F (1 mo. Term SOFR + 5.437%) | &nbsp;&nbsp; 9.110% | &nbsp;&nbsp; 10/15/41 | &nbsp;&nbsp; 1388904 | &nbsp;&nbsp;&nbsp; 1394308<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; HIT Trust, 2022-HI32 G (1 mo. Term SOFR + 7.228%) | &nbsp;&nbsp; 10.900% | &nbsp;&nbsp; 7/15/39 | &nbsp;&nbsp; 1600000 | &nbsp;&nbsp;&nbsp; 1617615<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; KIND Trust, 2021-KIND F (1 mo. Term SOFR + 4.064%) | &nbsp;&nbsp; 7.740% | &nbsp;&nbsp; 8/15/38 | &nbsp;&nbsp; 1299330 | &nbsp;&nbsp;&nbsp; 1283826<br> <sup>(b)(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2026 Quarterly Report

------

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— continued** | **Commercial Mortgage-Backed Securities**<sup>(a)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; MF1 Ltd., 2021-FL7 E (1 mo. Term SOFR + 2.914%) | &nbsp;&nbsp; 6.594% | &nbsp;&nbsp; 10/16/36 | &nbsp;&nbsp; $2000000 | &nbsp;&nbsp;&nbsp; $1973572<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MLTI Trust, 2026-SF75 F (1 mo. Term SOFR + 4.000%) | &nbsp;&nbsp; 7.673% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 1499708<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Multifamily CAS Trust, 2019-1 CE (30 Day Average SOFR + 8.864%) | &nbsp;&nbsp; 12.526% | &nbsp;&nbsp; 10/25/49 | &nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp; 2554635<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Multifamily CAS Trust, 2020-1 CE (30 Day Average SOFR + 7.614%) | &nbsp;&nbsp; 11.276% | &nbsp;&nbsp; 3/25/50 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 1555215<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Natixis Commercial Mortgage Securities Trust, 2019-FAME D | &nbsp;&nbsp; 4.398% | &nbsp;&nbsp; 8/15/36 | &nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp; 327893<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Natixis Commercial Mortgage Securities Trust, 2019-FAME E | &nbsp;&nbsp; 4.398% | &nbsp;&nbsp; 8/15/36 | &nbsp;&nbsp; 950000 | &nbsp;&nbsp;&nbsp; 364122<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Natixis Commercial Mortgage Securities Trust, 2022-JERI G (1 mo. Term <br> SOFR + 7.608%) | &nbsp;&nbsp; 11.280% | &nbsp;&nbsp; 1/15/39 | &nbsp;&nbsp; 3500000 | &nbsp;&nbsp;&nbsp; 2373644<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Natixis Commercial Mortgage Securities Trust, 2022-RRI E (1 mo. Term SOFR <br> + 5.193%) | &nbsp;&nbsp; 8.866% | &nbsp;&nbsp; 3/15/35 | &nbsp;&nbsp; 421043 | &nbsp;&nbsp;&nbsp; 421944<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; NYC Commercial Mortgage Trust, 2025-28L F | &nbsp;&nbsp; 8.130% | &nbsp;&nbsp; 11/5/38 | &nbsp;&nbsp; 600000 | &nbsp;&nbsp;&nbsp; 606049<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; NYC Commercial Mortgage Trust, 2025-28L G | &nbsp;&nbsp; 9.321% | &nbsp;&nbsp; 11/5/38 | &nbsp;&nbsp; 1400000 | &nbsp;&nbsp;&nbsp; 1403730<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; ROCK Trust, 2024-CNTR E | &nbsp;&nbsp; 8.819% | &nbsp;&nbsp; 11/13/41 | &nbsp;&nbsp; 1600000 | &nbsp;&nbsp;&nbsp; 1669158<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SFO Commercial Mortgage Trust, 2021-555 E (1 mo. Term SOFR + 3.014%) | &nbsp;&nbsp; 6.687% | &nbsp;&nbsp; 5/15/38 | &nbsp;&nbsp; 1500000 | &nbsp;&nbsp;&nbsp; 1484019<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMR Mortgage Trust, 2022-IND G (1 mo. Term SOFR + 7.500%) | &nbsp;&nbsp; 11.173% | &nbsp;&nbsp; 2/15/39 | &nbsp;&nbsp; 1820770 | &nbsp;&nbsp;&nbsp; 1699720<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Soho Trust, 2021-SOHO D | &nbsp;&nbsp; 2.697% | &nbsp;&nbsp; 8/10/38 | &nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp; 732599<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2022-JS2 G | &nbsp;&nbsp; 3.454% | &nbsp;&nbsp; 12/15/39 | &nbsp;&nbsp; 2200000 | &nbsp;&nbsp;&nbsp; 1784881<br> <sup>(b)(d)</sup><br>|
| **Total Commercial Mortgage-Backed Securities (Cost — $68,840,337)** | **Total Commercial Mortgage-Backed Securities (Cost — $68,840,337)** | **Total Commercial Mortgage-Backed Securities (Cost — $68,840,337)** | **Total Commercial Mortgage-Backed Securities (Cost — $68,840,337)** | &nbsp;&nbsp; **63058993** |
|  |  |  | Face <br>Amount/ <br>Units<br>|  |
| **Asset-Backed Securities — 18.5%** | **Asset-Backed Securities — 18.5%** | **Asset-Backed Securities — 18.5%** | **Asset-Backed Securities — 18.5%** | **Asset-Backed Securities — 18.5%** |
| &nbsp;&nbsp;&nbsp; Apex Credit CLO Ltd., 2019-2A D1NR (3 mo. Term SOFR + 3.500%) | &nbsp;&nbsp; 7.168% | &nbsp;&nbsp; 1/25/38 | &nbsp;&nbsp; $560000 | &nbsp;&nbsp;&nbsp; 547626<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC, 2023-6A D | &nbsp;&nbsp; 7.370% | &nbsp;&nbsp; 12/20/29 | &nbsp;&nbsp; 670000 | &nbsp;&nbsp;&nbsp; 681001<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Balboa Bay Loan Funding Ltd., 2023-1A ERR (3 mo. Term SOFR + 5.400%) | &nbsp;&nbsp; 9.068% | &nbsp;&nbsp; 4/20/36 | &nbsp;&nbsp; 640000 | &nbsp;&nbsp;&nbsp; 628639<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Balboa Bay Loan Funding Ltd., 2024-2A E (3 mo. Term SOFR + 5.750%) | &nbsp;&nbsp; 9.418% | &nbsp;&nbsp; 1/20/38 | &nbsp;&nbsp; 290000 | &nbsp;&nbsp;&nbsp; 283073<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bear Mountain Park CLO Ltd., 2022-1A ER (3 mo. Term SOFR + 5.950%) | &nbsp;&nbsp; 9.622% | &nbsp;&nbsp; 7/15/37 | &nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp; 449801<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Black Diamond CLO Ltd., 2021-1A CR (3 mo. Term SOFR + 3.900%) | &nbsp;&nbsp; 7.569% | &nbsp;&nbsp; 11/22/34 | &nbsp;&nbsp; 510000 | &nbsp;&nbsp;&nbsp; 505761<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Clover CLO LLC, 2021-3A ER (3 mo. Term SOFR + 4.900%) | &nbsp;&nbsp; 8.568% | &nbsp;&nbsp; 1/25/35 | &nbsp;&nbsp; 720000 | &nbsp;&nbsp;&nbsp; 671246<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Columbia Cent CLO Ltd., 2025-35A D1A (3 mo. Term SOFR + 3.500%) | &nbsp;&nbsp; 7.168% | &nbsp;&nbsp; 7/25/36 | &nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp; 499875<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Conseco Finance Corp., 1999-4 A8 | &nbsp;&nbsp; 7.700% | &nbsp;&nbsp; 5/1/31 | &nbsp;&nbsp; 4566977 | &nbsp;&nbsp;&nbsp; 1143910<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Conseco Finance Corp., 1999-4 A9 | &nbsp;&nbsp; 7.020% | &nbsp;&nbsp; 5/1/31 | &nbsp;&nbsp; 10152450 | &nbsp;&nbsp;&nbsp; 2353377<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; DRB Prime Student Loan Trust, 2017-A R | &nbsp;&nbsp; 41.212% | &nbsp;&nbsp; 5/27/42 | &nbsp;&nbsp; 429 | &nbsp;&nbsp;&nbsp; 707545<br> <sup>(d)(e)</sup><br>|
| &nbsp;&nbsp;&nbsp; Elevation CLO Ltd., 2016-5A ERR (3 mo. Term SOFR + 7.580%) | &nbsp;&nbsp; 11.248% | &nbsp;&nbsp; 1/25/38 | &nbsp;&nbsp; 500000 | &nbsp;&nbsp;&nbsp; 478907<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Golub Capital Partners CLO Ltd., 2024-77A E (3 mo. Term SOFR + 4.850%) | &nbsp;&nbsp; 8.518% | &nbsp;&nbsp; 1/25/38 | &nbsp;&nbsp; 850000 | &nbsp;&nbsp;&nbsp; 809846<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Hartwick Park CLO Ltd., 2023-1A ER (3 mo. Term SOFR + 4.850%) | &nbsp;&nbsp; 8.518% | &nbsp;&nbsp; 1/20/37 | &nbsp;&nbsp; 630000 | &nbsp;&nbsp;&nbsp; 583927<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Home Partners of America Trust, 2021-2 F | &nbsp;&nbsp; 3.799% | &nbsp;&nbsp; 12/17/26 | &nbsp;&nbsp; 1429424 | &nbsp;&nbsp;&nbsp; 1408922<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Huntington Bank Auto Credit-Linked Notes, 2025-2 D (30 Day Average SOFR <br> + 3.250%) | &nbsp;&nbsp; 6.923% | &nbsp;&nbsp; 9/20/33 | &nbsp;&nbsp; 548146 | &nbsp;&nbsp;&nbsp; 536140<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jamestown CLO Ltd., 2021-17A DR (3 mo. Term SOFR + 3.500%) | &nbsp;&nbsp; 7.168% | &nbsp;&nbsp; 1/25/35 | &nbsp;&nbsp; 280000 | &nbsp;&nbsp;&nbsp; 277501<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Loanpal Solar Loan Ltd., 2020-3GS C | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 12/20/47 | &nbsp;&nbsp; 578953 | &nbsp;&nbsp;&nbsp; 347746<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Loanpal Solar Loan Ltd., 2021-1GS C | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 1/20/48 | &nbsp;&nbsp; 604714 | &nbsp;&nbsp;&nbsp; 458052<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lunar Structured Aircraft Portfolio Notes, 2021-1 C | &nbsp;&nbsp; 5.682% | &nbsp;&nbsp; 10/15/46 | &nbsp;&nbsp; 804485 | &nbsp;&nbsp;&nbsp; 783924<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MetroNet Infrastructure Issuer LLC, 2025-2A C | &nbsp;&nbsp; 7.830% | &nbsp;&nbsp; 8/20/55 | &nbsp;&nbsp; 670000 | &nbsp;&nbsp;&nbsp; 681025<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MidOcean Credit CLO LLC, 2025-18A E (3 mo. Term SOFR + 5.400%) | &nbsp;&nbsp; 9.070% | &nbsp;&nbsp; 10/18/35 | &nbsp;&nbsp; 600000 | &nbsp;&nbsp;&nbsp; 596068<br> <sup>(b)(c)(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount/<br> Units<br>| Value |
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; National Collegiate Class A-3L Commutation Trust, 2007-4VI O (1 mo. USD <br> LIBOR + 0.850%) | &nbsp;&nbsp; 5.819% | &nbsp;&nbsp; 3/29/38 | &nbsp;&nbsp; $5942187 | &nbsp;&nbsp;&nbsp; $442063<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; National Collegiate Student Loan Trust, 2006-3 B (1 mo. Term SOFR + <br> 0.474%) | &nbsp;&nbsp; 4.153% | &nbsp;&nbsp; 1/26/32 | &nbsp;&nbsp; 1409126 | &nbsp;&nbsp;&nbsp; 1337143<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Nelnet Student Loan Trust, 2021-DA D | &nbsp;&nbsp; 4.380% | &nbsp;&nbsp; 4/20/62 | &nbsp;&nbsp; 1200000 | &nbsp;&nbsp;&nbsp; 1054623<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; New Mountain CLO Ltd., 5A D1R (3 mo. Term SOFR + 3.150%) | &nbsp;&nbsp; 6.818% | &nbsp;&nbsp; 7/20/36 | &nbsp;&nbsp; 260000 | &nbsp;&nbsp;&nbsp; 257857<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; NRM Excess LLC, 2024-FNT1 A | &nbsp;&nbsp; 7.398% | &nbsp;&nbsp; 11/25/31 | &nbsp;&nbsp; 657527 | &nbsp;&nbsp;&nbsp; 661176<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ocean Trails CLO Ltd., 2023-14A ER (3 mo. Term SOFR + 6.340%) | &nbsp;&nbsp; 10.008% | &nbsp;&nbsp; 1/20/38 | &nbsp;&nbsp; 600000 | &nbsp;&nbsp;&nbsp; 513399<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; RBS Acceptance Inc., 1995-BA1 B2 | &nbsp;&nbsp; 9.000% | &nbsp;&nbsp; 12/10/26 | &nbsp;&nbsp; 2191561 | &nbsp;&nbsp;&nbsp; 22<br>|
| &nbsp;&nbsp;&nbsp; Renew Financial, 2024-2A B | &nbsp;&nbsp; 8.223% | &nbsp;&nbsp; 11/20/60 | &nbsp;&nbsp; 828638 | &nbsp;&nbsp;&nbsp; 830138<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; RR Ltd., 2021-18A DR (3 mo. Term SOFR + 4.900%) | &nbsp;&nbsp; 8.572% | &nbsp;&nbsp; 7/15/40 | &nbsp;&nbsp; 520000 | &nbsp;&nbsp;&nbsp; 504979<br> <sup>(b)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; SEB Funding LLC, 2024-1A A2 | &nbsp;&nbsp; 7.386% | &nbsp;&nbsp; 4/30/54 | &nbsp;&nbsp; 1020000 | &nbsp;&nbsp;&nbsp; 1039057<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, 2024-1A D | &nbsp;&nbsp; 8.020% | &nbsp;&nbsp; 1/20/43 | &nbsp;&nbsp; 265708 | &nbsp;&nbsp;&nbsp; 271553<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Stonepeak, 2021-1A B | &nbsp;&nbsp; 3.821% | &nbsp;&nbsp; 2/28/33 | &nbsp;&nbsp; 515846 | &nbsp;&nbsp;&nbsp; 506577<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sunnova Hellios II Issuer LLC, 2018-1A B | &nbsp;&nbsp; 7.710% | &nbsp;&nbsp; 7/20/48 | &nbsp;&nbsp; 750653 | &nbsp;&nbsp;&nbsp; 671754<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Whitebox CLO Ltd., 2025-5A E (3 mo. Term SOFR + 5.250%) | &nbsp;&nbsp; 8.918% | &nbsp;&nbsp; 7/20/38 | &nbsp;&nbsp; 690000 | &nbsp;&nbsp;&nbsp; 676117<br> <sup>(b)(c)(d)</sup><br>|
| **Total Asset-Backed Securities (Cost — $26,077,347)** | **Total Asset-Backed Securities (Cost — $26,077,347)** | **Total Asset-Backed Securities (Cost — $26,077,347)** | **Total Asset-Backed Securities (Cost — $26,077,347)** | &nbsp;&nbsp; **24200370** |
|  |  |  | Shares |  |
| **Preferred Stocks — 3.1%** | **Preferred Stocks — 3.1%** | **Preferred Stocks — 3.1%** | **Preferred Stocks — 3.1%** | **Preferred Stocks — 3.1%** |
| **Financials — 3.1%** | **Financials — 3.1%** | **Financials — 3.1%** | **Financials — 3.1%** | **Financials — 3.1%** |
| *Mortgage Real Estate Investment Trusts (REITs) — 3.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 3.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 3.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 3.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 3.1%* |
| &nbsp;&nbsp;&nbsp; AGNC Investment Corp., Non Voting Shares (3 mo. Term SOFR + 4.959%) | &nbsp;&nbsp; 8.641% |  | &nbsp;&nbsp; 52953 | &nbsp;&nbsp;&nbsp; 1285169<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Chimera Investment Corp., Non Voting Shares | &nbsp;&nbsp; 8.000% |  | &nbsp;&nbsp; 31752 | &nbsp;&nbsp;&nbsp; 650281<br>|
| &nbsp;&nbsp;&nbsp; Chimera Investment Corp., Non Voting Shares (3 mo. Term SOFR + 5.005%) | &nbsp;&nbsp; 8.705% |  | &nbsp;&nbsp; 31276 | &nbsp;&nbsp;&nbsp; 616763<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; MFA Financial Inc., Non Voting Shares (3 mo. Term SOFR + 5.607%) | &nbsp;&nbsp; 9.289% |  | &nbsp;&nbsp; 70049 | &nbsp;&nbsp;&nbsp; 1482937<br> <sup>(b)</sup><br>|
| **Total Preferred Stocks (Cost — $4,280,519)** |  |  |  | &nbsp;&nbsp; **4035150** |
|  |  | Maturity <br>Date<br>| Face <br>Amount<br>|  |
| **Corporate Bonds & Notes — 3.2%** | **Corporate Bonds & Notes — 3.2%** | **Corporate Bonds & Notes — 3.2%** | **Corporate Bonds & Notes — 3.2%** | **Corporate Bonds & Notes — 3.2%** |
| **Consumer Discretionary — 0.7%** | **Consumer Discretionary — 0.7%** | **Consumer Discretionary — 0.7%** | **Consumer Discretionary — 0.7%** | **Consumer Discretionary — 0.7%** |
| *Hotels, Restaurants & Leisure — 0.7%* | *Hotels, Restaurants & Leisure — 0.7%* | *Hotels, Restaurants & Leisure — 0.7%* | *Hotels, Restaurants & Leisure — 0.7%* | *Hotels, Restaurants & Leisure — 0.7%* |
| &nbsp;&nbsp;&nbsp; Full House Resorts Inc., Senior Secured Notes | &nbsp;&nbsp; 8.250% | &nbsp;&nbsp; 2/15/28 | &nbsp;&nbsp; $1050000 | &nbsp;&nbsp;&nbsp;&nbsp; **958125**<br> <sup>(d)</sup><br>|
| **Financials — 1.9%** | **Financials — 1.9%** | **Financials — 1.9%** | **Financials — 1.9%** | **Financials — 1.9%** |
| *Insurance — 0.6%* | *Insurance — 0.6%* | *Insurance — 0.6%* | *Insurance — 0.6%* | *Insurance — 0.6%* |
| &nbsp;&nbsp;&nbsp; Allianz SE, Junior Subordinated Notes (3.200% to 4/30/28 then 5 year <br> Treasury Constant Maturity Rate + 2.165%) | &nbsp;&nbsp; 3.200% | &nbsp;&nbsp; 10/30/27 | &nbsp;&nbsp; 800000 | &nbsp;&nbsp;&nbsp;&nbsp; *749158*<br> <sup>(b)(d)(f)</sup><br>|
| *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; Arbor Realty SR Inc., Senior Notes | &nbsp;&nbsp; 8.500% | &nbsp;&nbsp; 12/15/28 | &nbsp;&nbsp; 400000 | &nbsp;&nbsp;&nbsp; 393271<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Arbor Realty SR Inc., Senior Notes | &nbsp;&nbsp; 7.875% | &nbsp;&nbsp; 7/15/30 | &nbsp;&nbsp; 1430000 | &nbsp;&nbsp;&nbsp; 1323203<br> <sup>(d)</sup><br>|
| *Total Mortgage Real Estate Investment Trusts (REITs)* | *Total Mortgage Real Estate Investment Trusts (REITs)* | *Total Mortgage Real Estate Investment Trusts (REITs)* | *Total Mortgage Real Estate Investment Trusts (REITs)* | &nbsp;&nbsp; *1716474* |
| **Total Financials** | **Total Financials** | **Total Financials** | **Total Financials** | &nbsp;&nbsp; **2465632** |
| **Health Care — 0.5%** | **Health Care — 0.5%** | **Health Care — 0.5%** | **Health Care — 0.5%** | **Health Care — 0.5%** |
| *Health Care Providers & Services — 0.5%* | *Health Care Providers & Services — 0.5%* | *Health Care Providers & Services — 0.5%* | *Health Care Providers & Services — 0.5%* | *Health Care Providers & Services — 0.5%* |
| &nbsp;&nbsp;&nbsp; CHS/Community Health Systems Inc., Secured Notes | &nbsp;&nbsp; 6.875% | &nbsp;&nbsp; 4/15/29 | &nbsp;&nbsp; 710000 | &nbsp;&nbsp;&nbsp;&nbsp; **683494**<br> <sup>(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2026 Quarterly Report

------

 **Western Asset Mortgage Opportunity Fund Inc.**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** |
| *Real Estate Management & Development — 0.1%* | *Real Estate Management & Development — 0.1%* | *Real Estate Management & Development — 0.1%* | *Real Estate Management & Development — 0.1%* | *Real Estate Management & Development — 0.1%* |
| &nbsp;&nbsp;&nbsp; Cushman & Wakefield US Borrower LLC, Senior Secured Notes | &nbsp;&nbsp; 8.875% | &nbsp;&nbsp; 9/1/31 | &nbsp;&nbsp; $130000 | &nbsp;&nbsp;&nbsp;&nbsp; **$137785**<br> <sup>(d)</sup><br>|
| **Total Corporate Bonds & Notes (Cost — $4,162,091)** | **Total Corporate Bonds & Notes (Cost — $4,162,091)** | **Total Corporate Bonds & Notes (Cost — $4,162,091)** | **Total Corporate Bonds & Notes (Cost — $4,162,091)** | &nbsp;&nbsp; **4245036** |
| **Senior Loans — 1.1%** | **Senior Loans — 1.1%** | **Senior Loans — 1.1%** | **Senior Loans — 1.1%** | **Senior Loans — 1.1%** |
| **Financials — 0.8%** | **Financials — 0.8%** | **Financials — 0.8%** | **Financials — 0.8%** | **Financials — 0.8%** |
| *Financial Services — 0.8%* | *Financial Services — 0.8%* | *Financial Services — 0.8%* | *Financial Services — 0.8%* | *Financial Services — 0.8%* |
| &nbsp;&nbsp;&nbsp; Greystone Select Holdings LLC, Term Loan B (3 mo. Term SOFR + 5.262%) | &nbsp;&nbsp; 8.931% | &nbsp;&nbsp; 6/16/28 | &nbsp;&nbsp; 965190 | &nbsp;&nbsp;&nbsp;&nbsp; **951918**<br> <sup>(b)(g)(h)</sup><br>|
| **Real Estate — 0.3%** | **Real Estate — 0.3%** | **Real Estate — 0.3%** | **Real Estate — 0.3%** | **Real Estate — 0.3%** |
| *Real Estate Management & Development — 0.3%* | *Real Estate Management & Development — 0.3%* | *Real Estate Management & Development — 0.3%* | *Real Estate Management & Development — 0.3%* | *Real Estate Management & Development — 0.3%* |
| &nbsp;&nbsp;&nbsp; Cushman & Wakefield US Borrower LLC, 2025 Term Loan (1 mo. Term SOFR <br> + 2.750%) | &nbsp;&nbsp; 6.418% | &nbsp;&nbsp; 1/31/30 | &nbsp;&nbsp; 423750 | &nbsp;&nbsp;&nbsp;&nbsp; **425869**<br> <sup>(b)(g)(h)(i)</sup><br>|
| **Total Senior Loans (Cost — $1,376,956)** | **Total Senior Loans (Cost — $1,376,956)** | **Total Senior Loans (Cost — $1,376,956)** | **Total Senior Loans (Cost — $1,376,956)** | &nbsp;&nbsp; **1377787** |
| **Total Investments before Short-Term Investments (Cost — $241,142,752)** | **Total Investments before Short-Term Investments (Cost — $241,142,752)** | **Total Investments before Short-Term Investments (Cost — $241,142,752)** | **Total Investments before Short-Term Investments (Cost — $241,142,752)** | &nbsp;&nbsp; **239888425** |
| **Short-Term Investments — 3.8%** | **Short-Term Investments — 3.8%** | **Short-Term Investments — 3.8%** | **Short-Term Investments — 3.8%** | **Short-Term Investments — 3.8%** |
| &nbsp;&nbsp;&nbsp; Goldman Sachs & Co. repurchase agreement dated 3/31/26; Proceeds at <br> maturity— $5,000,501; (Fully collateralized by U.S. government obligations, <br> 2.375% due 2/15/42; Market value—$5,093,354) (Cost — $5,000,000) | &nbsp;&nbsp; 3.610% | &nbsp;&nbsp; 4/1/26 | &nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp; **5000000**<br>|
| **Total Investments — 186.9% (Cost — $246,142,752)** | **Total Investments — 186.9% (Cost — $246,142,752)** | **Total Investments — 186.9% (Cost — $246,142,752)** | **Total Investments — 186.9% (Cost — $246,142,752)** | &nbsp;&nbsp; **244888425** |
| &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (86.9)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (86.9)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (86.9)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (86.9)% | &nbsp;&nbsp;&nbsp; (113879961)<br>|
| **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | &nbsp;&nbsp; **$131008464** |

---

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

<sup>(a)</sup> Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct 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 more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit. 

<sup>(b)</sup> Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published 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 reference rate and spread in their description above. 

<sup>(c)</sup> All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements.

<sup>(d)</sup> Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. 

<sup>(e)</sup> Rate shown is the current yield based on income received over the trailing twelve months.

<sup>(f)</sup> Security has no maturity date. The date shown represents the next call date.

<sup>(g)</sup> Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.

<sup>(h)</sup> Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. 

<sup>(i)</sup> Security is valued using significant unobservable inputs (Note 1).

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

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** |
| CAS |  | Connecticut Avenue Securities |
| CLO |  | Collateralized Loan Obligation |
| IO |  | Interest Only |
| LIBOR |  | London Interbank Offered Rate |
| PAC |  | Planned Amortization Class |
| PO |  | Principal Only |
| REMIC |  | Real Estate Mortgage Investment Conduit |
| Re-REMIC |  | Resecuritization of Real Estate Mortgage Investment Conduit |
| SOFR |  | Secured Overnight Financing Rate |
| USD |  | United States Dollar |

---

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **Western Asset Mortgage Opportunity Fund Inc.**

At March 31, 2026, the Fund had the following open reverse repurchase agreements:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Counterparty  | Rate | &nbsp;&nbsp;&nbsp; Effective <br>Date<br>| &nbsp;&nbsp;&nbsp;&nbsp; Maturity <br>Date<br>| &nbsp;&nbsp;&nbsp; Face Amount <br>of Reverse <br>Repurchase <br>Agreements<br>| &nbsp;&nbsp;&nbsp;&nbsp; Asset Class <br>of Collateral\*<br>| &nbsp;&nbsp;&nbsp; Collateral <br>Value\*\*<br>|
| Nomura <br> Securities Inc.<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5.684% | &nbsp;&nbsp;&nbsp;&nbsp; 1/15/2026 | 4/13/2026 | &nbsp;&nbsp;&nbsp;&nbsp; $113921000 | &nbsp;&nbsp;&nbsp;&nbsp; Residential Mortgage-Backed Securities <br>Asset-Backed Securities<br>| &nbsp;&nbsp;&nbsp; $122425873 <br>9842366<br>|
| Nomura <br> Securities Inc.<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5.684% | &nbsp;&nbsp;&nbsp;&nbsp; 1/30/2026 | 4/13/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2383000 | Residential Mortgage-Backed Securities | 2729915 |
|  |  |  |  | &nbsp;&nbsp;&nbsp; **$116304000** |  | &nbsp;&nbsp;&nbsp; **$134998154** |

---

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

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

At March 31, 2026, 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>|
| **Contracts to Sell:** |  |  |  |  |  |
| U.S. Treasury Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; $5175600 | &nbsp;&nbsp;&nbsp;&nbsp; $5010500 | &nbsp;&nbsp;&nbsp;&nbsp; $165100 |
| U.S. Treasury Ultra 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 9128048 | &nbsp;&nbsp;&nbsp;&nbsp; 8967735 | &nbsp;&nbsp;&nbsp;&nbsp; 160313 |
| U.S. Treasury Ultra Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 2394028 | &nbsp;&nbsp;&nbsp;&nbsp; 2331250 | &nbsp;&nbsp;&nbsp;&nbsp; 62778 |
| **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; **$388191** |

---

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

See Notes to Schedule of Investments.

------

Western Asset Mortgage Opportunity Fund Inc. 2026 Quarterly Report

------

Notes to Schedule of Investments (unaudited)

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

**1. Organization and significant accounting policies** 

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

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

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

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

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

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

------

Western Asset Mortgage Opportunity Fund Inc. 2026 Quarterly Report

------

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

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

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

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

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

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

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| Description | &nbsp;&nbsp; Quoted Prices <br>(Level 1)<br>| &nbsp;&nbsp; Other Significant <br>Observable Inputs <br>(Level 2)<br>| &nbsp;&nbsp; Significant <br>Unobservable <br>Inputs <br>(Level 3)<br>| Total |
| Long-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Residential Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; $142971089 | &nbsp;&nbsp; — | &nbsp;&nbsp; $142971089 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 63058993 | &nbsp;&nbsp; — | &nbsp;&nbsp; 63058993 |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 24200370 | &nbsp;&nbsp; — | &nbsp;&nbsp; 24200370 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds & Notes | &nbsp;&nbsp; — | &nbsp;&nbsp; 4245036 | &nbsp;&nbsp; — | &nbsp;&nbsp; 4245036 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks | &nbsp;&nbsp; $4035150 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 4035150 |
| &nbsp;&nbsp;&nbsp; Senior Loans: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financials | &nbsp;&nbsp; — | &nbsp;&nbsp; 951918 | &nbsp;&nbsp; — | &nbsp;&nbsp; 951918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Real Estate | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $425869 | &nbsp;&nbsp; 425869 |
| Total Long-Term Investments | &nbsp;&nbsp; 4035150 | &nbsp;&nbsp; 235427406 | &nbsp;&nbsp; 425869 | &nbsp;&nbsp; 239888425 |
| Short-Term Investments† | &nbsp;&nbsp; — | &nbsp;&nbsp; 5000000 | &nbsp;&nbsp; — | &nbsp;&nbsp; 5000000 |
| **Total Investments** | &nbsp;&nbsp; **$4035150** | &nbsp;&nbsp; **$240427406** | &nbsp;&nbsp; **$425869** | &nbsp;&nbsp; **$244888425** |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; $388191 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $388191 |
| **Total** | &nbsp;&nbsp; **$4423341** | &nbsp;&nbsp; **$240427406** | &nbsp;&nbsp; **$425869** | &nbsp;&nbsp; **$245276616** |

---

&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 March 31, 2026. The following transactions were effected in such company for the period ended March 31, 2026. <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>2025 | 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>2025 | Cost | Shares | Proceeds | Shares |
| Western Asset Premier <br> Institutional Government <br> Reserves, Premium <br> Shares<br>| $828977 | $10161260 | 10161260 | $10990237 | 10990237 |

---

------

Western Asset Mortgage Opportunity Fund Inc. 2026 Quarterly Report

------

&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>March 31, <br>2026<br>|
| Western Asset Premier <br> Institutional Government <br> Reserves, Premium Shares<br>|  | $5765 |  |  |

---

------

Western Asset Mortgage Opportunity Fund Inc. 2026 Quarterly Report

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

  - **Street Address 1:** One Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

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

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

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

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

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

- **a. Date of fiscal year-end:** 2026-12-31

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $245721664.56

**Total Liabilities:** $114731835.25

**Net Assets:** $130989829.31

**Cash Not Reported:** $2534371.44

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -364.33000000 | **1-Year:** 3446.18000000 | **5-Year:** 9261.33000000 | **10-Year:** 3766.45000000 | **30-Year:** 6.08000000

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

- **3-Month:** 686.84000000 | **1-Year:** 14162.82000000 | **5-Year:** 35954.79000000 | **10-Year:** 25950.14000000 | **30-Year:** 3124.08000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000000 | 0.18%                | 4.56%                | -4.15%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-196331.72              | $811321.36                                 |
| Month 2  | $-133007.62              | $1239347.93                                |
| Month 3  | $84068.36                | $-2895023.12                               |

### Schedule of Portfolio Investments

| Name                                                                                                         | Title                                                                                                                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Alternative Loan Trust 2006-Hy12                                                                             | CWALT 2007-OA8 1A1                                                                                                                                     | CUSIP: 02148GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    522968 | PA      | $478751.66    | 0.37%             | 2047-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                                                             | SCRT 2018-3 BX                                                                                                                                         | CUSIP: 35563PGW3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   3266265 | PA      | $955507.98    | 0.73%             | 2057-08-27      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -284000 | PA      | $-284000.00   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| AMSR 2026-SFR1 TRUST                                                                                         | AMSR 2026-SFR1 F2                                                                                                                                      | CUSIP: 66982GAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $201737.65    | 0.15%             | 2043-04-09      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-AR18 TRUST                            | WAMU 2005-AR13 A1C3                                                                                                                                    | CUSIP: 92922F4V7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51722 | PA      | $50131.80     | 0.04%             | 2045-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2025-175 LS                                                                                                                                        | CUSIP: 38385HFF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1386226 | PA      | $134236.83    | 0.10%             | 2055-10-20      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Greenwich Capital Acceptance I                                                                               | RBS Acceptance Inc                                                                                                                                     | CUSIP: 396782EG5<br>LEI: 213800OU9AJE7513ME91 | Long             | ABS-O            | CORP              | US        |   2191561 | PA      | $21.92        | 0.00%             | 2020-08-10      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2007-3                                                                    | RAMC 2006-1 AF5                                                                                                                                        | CUSIP: 759950GX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    516941 | PA      | $241279.57    | 0.18%             | 2036-05-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                                        | LMT 2007-5 2A3                                                                                                                                         | CUSIP: 52521RAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2577474 | PA      | $390606.36    | 0.30%             | 2037-06-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FRESB MORTGAGE TRUST 2018-SB48                                                                               | FRESB 2018-SB48 B                                                                                                                                      | CUSIP: 30296RAJ9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1025463 | PA      | $627245.02    | 0.48%             | 2038-02-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1633000 | PA      | $-1633000.00  | -1.25%            |  |  |  | No            |                  2 | On Loan: No      |
| TOORAK MTG TR 2024-RRTL1                                                                                     | TRK 2024-RRTL1 B2                                                                                                                                      | CUSIP: 890938AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640000 | PA      | $641717.44    | 0.49%             | 2039-02-25      | Variable      | 10.33%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1511000 | PA      | $-1511000.00  | -1.15%            |  |  |  | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-HRP1                                                                                        | STACR 2018-HRP1 B2                                                                                                                                     | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-O            | USGSE             | US        |   5355429 | PA      | $6283848.45   | 4.80%             | 2043-05-25      | Floating      | 15.53%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1132000 | PA      | $-1132000.00  | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| FARM 2021-1 MORTGAGE TRUST                                                                                   | FARM 2021-1 B                                                                                                                                          | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1393694 | PA      | $1068649.62   | 0.82%             | 2051-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Banc Of America Funding 2006-D Trust                                                                         | BAFC 2006-D 2A1                                                                                                                                        | CUSIP: 058933AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24945 | PA      | $23560.58     | 0.02%             | 2036-05-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -394000 | PA      | $-394000.00   | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -3213000 | PA      | $-3213000.00  | -2.45%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC                                                                      | RAMP 2004-RS4 MII2                                                                                                                                     | CUSIP: 7609853J8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    731999 | PA      | $668282.54    | 0.51%             | 2034-04-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1226000 | PA      | $-1226000.00  | -0.94%            |  |  |  | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems Inc                                                                             | CYH 6.875 04/15/29 144A                                                                                                                                | CUSIP: 12543DBJ8<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    710000 | PA      | $683494.14    | 0.52%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1322000 | PA      | $-1322000.00  | -1.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1544000 | PA      | $-1544000.00  | -1.18%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1115000 | PA      | $-1115000.00  | -0.85%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE ACCEPTANCE CORP                                                          | ARMT 2005-12 5A1                                                                                                                                       | CUSIP: 2254W0MM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    168292 | PA      | $38909.28     | 0.03%             | 2036-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-HQA4                                                                      | STACR 2021-HQA4 B2                                                                                                                                     | CUSIP: 35564KPP8<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-O            | USGSE             | US        |   1650000 | PA      | $1702513.89   | 1.30%             | 2041-12-26      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| GOLUB CAP PARTNERS CLO 77B LTD/LLC                                                                           | GCBSL 2024-77A E                                                                                                                                       | CUSIP: 38180TAA6<br>LEI: 25490075TUHC39ZVRO61 | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $809846.43    | 0.62%             | 2038-01-25      | Variable      | 8.52%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -81000 | PA      | $-81000.00    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| SOLRR AIRCRAFT 2021-1 LTD                                                                                    | SOLRR 2021-1 C                                                                                                                                         | CUSIP: 83438LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    804484 | PA      | $783924.47    | 0.60%             | 2046-10-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK (STACR) SECURITIZED PARTICIPATION INTERESTS TRUST SERIES 2017-SPI1 | STACR 2017-SPI1 B                                                                                                                                      | CUSIP: 3137G1CG0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    736970 | PA      | $540949.83    | 0.41%             | 2047-09-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -223000 | PA      | $-223000.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-3                                                                              | JPMMT 2024-3 AX1                                                                                                                                       | CUSIP: 46657QBB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19263388 | PA      | $385878.41    | 0.29%             | 2054-05-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| CAFL 2024-RTL1 ISSUER LLC                                                                                    | CAFL 2024-RTL1 A2                                                                                                                                      | CUSIP: 12770DAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1460000 | PA      | $1484259.36   | 1.13%             | 2031-11-30      | Fixed         | 8.68%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1                                                               | MARM 2006-OA1 1A1                                                                                                                                      | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81618 | PA      | $77042.32     | 0.06%             | 2046-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| HOME RE 2023-1 LTD                                                                                           | HMIR 2023-1 M2                                                                                                                                         | CUSIP: 43731BAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |   1000000 | PA      | $1075057.80   | 0.82%             | 2033-10-25      | Floating      | 9.66%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                                                         | LMAT 2021-GS3 A2                                                                                                                                       | CUSIP: 52474XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1852795 | PA      | $1855301.58   | 1.42%             | 2061-07-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1601000 | PA      | $-1601000.00  | -1.22%            |  |  |  | No            |                  2 | On Loan: No      |
| BWAY 2013-1515 MORTGAGE TRUST                                                                                | BWAY 2013-1515 F                                                                                                                                       | CUSIP: 05604FAS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1276963.80   | 0.97%             | 2033-03-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2309000 | PA      | $-2309000.00  | -1.76%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -599000 | PA      | $-599000.00   | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1320000 | PA      | $-1320000.00  | -1.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TRUST 2006-AR11                                                                   | INDX 2006-AR11 1A1                                                                                                                                     | CUSIP: 45661KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195994 | PA      | $146425.79    | 0.11%             | 2036-06-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1058000 | PA      | $-1058000.00  | -0.81%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GC32                                                                       | GSMS 2015-GC32 D                                                                                                                                       | CUSIP: 36250PAM7<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-O            | CORP              | US        |     10216 | PA      | $10016.95     | 0.01%             | 2048-07-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01                                                      | MCAS 2020-01 CE                                                                                                                                        | CUSIP: 62548QAF8<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1555215.30   | 1.19%             | 2050-03-25      | Floating      | 11.28%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1129000 | PA      | $-1129000.00  | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| NRZ FHT EXCESS LLC                                                                                           | NZES 2024-FNT1 A                                                                                                                                       | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    657527 | PA      | $661175.89    | 0.50%             | 2031-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2577000 | PA      | $-2577000.00  | -1.97%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                                                           | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-1                                                                                          | CUSIP: 35563PW21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1540000 | PA      | $1353604.56   | 1.03%             | 2063-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-RTL1                                                                | NRMLT 2024-RTL1 M1                                                                                                                                     | CUSIP: 64831PAC9<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $380638.48    | 0.29%             | 2039-03-25      | Variable      | 9.30%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                                                     | AESOP 2023-6A D                                                                                                                                        | CUSIP: 05377RJU9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    670000 | PA      | $681001.33    | 0.52%             | 2029-12-20      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| UWM MORTGAGE TRUST 2021-1                                                                                    | UWM 2021-1 AX4                                                                                                                                         | CUSIP: 91824NAY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21767173 | PA      | $255505.26    | 0.20%             | 2051-06-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-4 TRUST                               | WMALT 2005-8 1A6                                                                                                                                       | CUSIP: 93934FCK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80540 | PA      | $79844.09     | 0.06%             | 2035-10-25      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MSCR TRUST MN7                                                                                   | MSCR 2023-MN7 B1                                                                                                                                       | CUSIP: 35563QAC1<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-O            | USGSE             | US        |   2200000 | PA      | $2559325.56   | 1.95%             | 2043-09-25      | Floating      | 12.51%                | No            |                  2 | On Loan: No      |
| Arbor Realty Senior Incorporated                                                                             | ABR 8.5 12/15/28 144A                                                                                                                                  | CUSIP: 03881NAL1<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              | CORP              | US        |    400000 | PA      | $393271.13    | 0.30%             | 2028-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1702000 | PA      | $-1702000.00  | -1.30%            |  |  |  | No            |                  2 | On Loan: No      |
| 280 Park Avenue Trust                                                                                        | PRK 2017-280P F                                                                                                                                        | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $311185.76    | 0.24%             | 2034-09-15      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1050000 | PA      | $-1050000.00  | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2024-151 KS                                                                                                                                        | CUSIP: 38384WFF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2715032 | PA      | $223505.78    | 0.17%             | 2054-09-20      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Banc America Fdg 2014-R5                                                                                     | BAFC 2014-R5 1A2                                                                                                                                       | CUSIP: 05990PAB1<br>LEI: 549300LENCFK8RITKD65 | Long             | ABS-O            | CORP              | US        |   2696676 | PA      | $1921387.13   | 1.47%             | 2045-09-26      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                                              | IMM 2004-8 1A                                                                                                                                          | CUSIP: 45254NKQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15405 | PA      | $15326.98     | 0.01%             | 2034-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION TRUST 2007-AR1                                                                     | HALO 2007-AR1 4A1                                                                                                                                      | CUSIP: 40431LAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52006 | PA      | $40061.87     | 0.03%             | 2037-01-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-4                                                                   | NRZT 2019-4A B6                                                                                                                                        | CUSIP: 64830WCK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2110782 | PA      | $1399215.16   | 1.07%             | 2058-12-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| EASY STREET MORTGAGE LOAN TRUST 2025-RTL1                                                                    | EASY 2025-RTL1 A2                                                                                                                                      | CUSIP: 27786FAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1010000 | PA      | $1020832.86   | 0.78%             | 2040-05-25      | Variable      | 8.30%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2065000 | PA      | $-2065000.00  | -1.58%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Alternative Loan Trust 2006-S3                                                                     | JPALT 2007-A1 3A1                                                                                                                                      | CUSIP: 466287AR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    154546 | PA      | $136787.41    | 0.10%             | 2037-03-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1308000 | PA      | $-1308000.00  | -1.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSFB ADJUSTABLE RATE MORTGAGE TRUST 2005-7                                                                   | ARMT 2005-7 2A21                                                                                                                                       | CUSIP: 007036MT0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85716 | PA      | $76160.68     | 0.06%             | 2035-10-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING 2006-F TRUST                                                                         | BAFC 2006-F 1A1                                                                                                                                        | CUSIP: 05950HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23111 | PA      | $23421.96     | 0.02%             | 2036-07-20      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                                           | CMLTI 2008-3 A3                                                                                                                                        | CUSIP: 17314TAC5<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |   5219369 | PA      | $2314840.86   | 1.77%             | 2037-04-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1990000 | PA      | $-1990000.00  | -1.52%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -537000 | PA      | $-537000.00   | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1186000 | PA      | $-1186000.00  | -0.91%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME EQUITY LOAN TRUST 1999-3                                                                    | CWHEL 2004-L 2A                                                                                                                                        | CUSIP: 126673KQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6021 | PA      | $5872.73      | 0.00%             | 2034-02-15      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE CORP                                                                                         | GT 1999-4 A8                                                                                                                                           | CUSIP: 393505Z54<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4566977 | PA      | $1143909.51   | 0.87%             | 2031-05-01      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| CWMBS INC                                                                                                    | CWHL 2005-18 A7                                                                                                                                        | CUSIP: 126694EP9<br>LEI: 549300430UQIJMFG3R47 | Long             | ABS-O            | CORP              | US        |      7982 | PA      | $4949.88      | 0.00%             | 2035-10-25      | Floating      | 9.09%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                                         | DMSI 2006-PR1 4AS1                                                                                                                                     | CUSIP: 25157GAT9<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |     23758 | PA      | $1917.83      | 0.00%             | 2036-04-15      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2024-RTL2                                                                               | LHOME 2024-RTL2 A2                                                                                                                                     | CUSIP: 50205JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760000 | PA      | $763523.36    | 0.58%             | 2029-03-25      | Fixed         | 8.90%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                               | SARM 2005-7 1A3                                                                                                                                        | CUSIP: 863579PF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24773 | PA      | $22477.46     | 0.02%             | 2035-04-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | CAS 2016-C06 1B                                                                                                                                        | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3479085 | PA      | $3612035.83   | 2.76%             | 2029-04-25      | Floating      | 13.03%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                                                             | SCRT 2018-2 BX                                                                                                                                         | CUSIP: 35563PFX2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   3366411 | PA      | $1276540.54   | 0.97%             | 2057-11-26      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2024-RTL5                                                                               | LHOME 2024-RTL5 M2                                                                                                                                     | CUSIP: 50205WAD9<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1505769.00   | 1.15%             | 2039-09-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST SERIES 2005-OPT2                                                              | CMLTI 2006-AR5 2A1A                                                                                                                                    | CUSIP: 17309FAS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131795 | PA      | $81467.59     | 0.06%             | 2036-07-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                                         | DMSI 2006-PR1 5AS3                                                                                                                                     | CUSIP: 25157GCA8<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |    118023 | PA      | $14582.23     | 0.01%             | 2036-04-15      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                                                                 | CAS 2021-R01 1B2                                                                                                                                       | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1320000 | PA      | $1347563.32   | 1.03%             | 2041-10-25      | Floating      | 9.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK TRUST 2018-HRP2                                                    | STACR 2018-HRP2 B2                                                                                                                                     | CUSIP: 35564ACC3<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-O            | USGSE             | US        |   3530000 | PA      | $4271947.76   | 3.26%             | 2047-02-25      | Floating      | 14.28%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-15AR                                                                 | MSM 2007-15AR 4A1                                                                                                                                      | CUSIP: 61756XBK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420815 | PA      | $367965.28    | 0.28%             | 2037-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| REDWOOD FUNDING TRUST 2025-3                                                                                 | RFT 2025-3 A                                                                                                                                           | CUSIP: 75806GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    801071 | PA      | $808681.56    | 0.62%             | 2056-12-28      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2                                                               | AHM 2007-2 2A                                                                                                                                          | CUSIP: 02660CAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12735445 | PA      | $82981.61     | 0.06%             | 2047-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -670000 | PA      | $-670000.00   | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-7                                                                            | VERUS 2023-7 B1                                                                                                                                        | CUSIP: 92539YAE2<br>LEI: 213800W65K5FH3AI2J91 | Long             | ABS-O            | CORP              | US        |   1960000 | PA      | $1979906.54   | 1.51%             | 2068-10-25      | Variable      | 7.90%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM4                                                                | NRZT 2019-NQM4 B2                                                                                                                                      | CUSIP: 64828EAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1608000 | PA      | $1509934.99   | 1.15%             | 2059-09-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                                             | CWALT 2007-3T1 2A1                                                                                                                                     | CUSIP: 02149VAU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12371 | PA      | $12366.46     | 0.01%             | 2027-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWABS ASSET-BACKED CERTIFICATES TRUST 2007-SEA1                                                              | CWL 2007-SEA1 1A1                                                                                                                                      | CUSIP: 23248AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211077 | PA      | $194567.21    | 0.15%             | 2047-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2018-BIOA                                                                       | BX 2026-VLT9 E                                                                                                                                         | CUSIP: 05618UAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $743877.15    | 0.57%             | 2045-03-15      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-11CB                                                                             | CWALT 2005-11CB 3A3                                                                                                                                    | CUSIP: 12667GJT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    719987 | PA      | $39909.83     | 0.03%             | 2035-06-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2006-8AR                                                                  | MSM 2006-8AR 1A2                                                                                                                                       | CUSIP: 61749LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180871 | PA      | $34799.19     | 0.03%             | 2036-06-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                                                | CWHL 2005-HYB9 1A1                                                                                                                                     | CUSIP: 126670JP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58369 | PA      | $55280.93     | 0.04%             | 2036-02-20      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-RTL1                                                                | NRMLT 2024-RTL1 M2                                                                                                                                     | CUSIP: 64831PAF2<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-O            | CORP              | US        |    870000 | PA      | $870585.51    | 0.66%             | 2039-03-25      | Variable      | 9.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | SCRT 2021-3 BXS                                                                                                                                        | CUSIP: 35563P6W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1641670 | PA      | $1017447.01   | 0.78%             | 2061-03-25      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2026-RTL1                                                                               | LHOME 2026-RTL1 M2                                                                                                                                     | CUSIP: 50206JAD7<br>LEI: 52990026MRD22HI0T740 | Long             | ABS-O            | CORP              | US        |    340000 | PA      | $338541.94    | 0.26%             | 2041-01-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1306000 | PA      | $-1306000.00  | -1.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -513000 | PA      | $-513000.00   | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd                                                                                        | Black Diamond CLO 2021-1 Ltd                                                                                                                           | CUSIP: 09204WAM6<br>LEI: 549300IEWA7GZ3ECTT90 | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $505760.73    | 0.39%             | 2034-11-22      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Cushman & Wakefield                                                                                          | Cushman & Wakefield Term Loan B-2 275 2030-01-01                                                                                                       | CUSIP: 23340DAW2<br>LEI: 549300870CMN3WI5IF97 | Long             | LON              | CORP              | US        |    423750 | PA      | $425868.75    | 0.33%             | 2030-01-31      | Floating      | 6.42%                 | No            |                  3 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-1                                                                   | NRZT 2017-1A B6                                                                                                                                        | CUSIP: 64829JBP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2053441 | PA      | $1914637.12   | 1.46%             | 2057-02-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -547000 | PA      | $-547000.00   | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                                   | INDX 2006-AR7 5A1                                                                                                                                      | CUSIP: 45661EDE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90072 | PA      | $84680.52     | 0.06%             | 2036-05-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1288000 | PA      | $-1288000.00  | -0.98%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1931000 | PA      | $-1931000.00  | -1.47%            |  |  |  | No            |                  2 | On Loan: No      |
| National Collegiate Stud Ln 06-3                                                                             | NCSLT 2006-3 B                                                                                                                                         | CUSIP: 63543VAG8<br>LEI: 635400CI2B1FTO6YXF12 | Long             | ABS-O            | CORP              | US        |   1409126 | PA      | $1337142.72   | 1.02%             | 2032-01-26      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP                                                          | CSMC 2006-1R 1A2                                                                                                                                       | CUSIP: 12638FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129838 | PA      | $113703.53    | 0.09%             | 2036-07-27      | Variable      | 9.11%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                                                  | GSMPS 2006-RP1 1A2                                                                                                                                     | CUSIP: 3623413E7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |    179985 | PA      | $159231.15    | 0.12%             | 2036-01-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -512000 | PA      | $-512000.00   | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage                                                                              | WFCM 2022-JS2 G                                                                                                                                        | CUSIP: 95003GAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $1784880.68   | 1.36%             | 2039-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2202000 | PA      | $-2202000.00  | -1.68%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                                                  | Ultra 10-Year U.S. Treasury Note Futures, Jun-2026,ETH                                                                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -79 | NC      | $160312.30    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -961000 | PA      | $-961000.00   | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets Trust 2005-2                                                                   | AHMA 2005-2 2A1A                                                                                                                                       | CUSIP: 02660VBH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    513403 | PA      | $321542.96    | 0.25%             | 2036-01-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae (Ze)                                                                                              | GNR 2025-214 S                                                                                                                                         | CUSIP: 38385KQ86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1566844 | PA      | $159656.27    | 0.12%             | 2055-12-20      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -627000 | PA      | $-627000.00   | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1023000 | PA      | $-1023000.00  | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -612000 | PA      | $-612000.00   | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                                   | INDX 2005-AR15 A2                                                                                                                                      | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29163 | PA      | $23694.98     | 0.02%             | 2035-09-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -3765000 | PA      | $-3765000.00  | -2.87%            |  |  |  | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVII LTD                                                                                       | JTWN 2021-17A DR                                                                                                                                       | CUSIP: 47048UAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    280000 | PA      | $277501.45    | 0.21%             | 2035-01-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1585000 | PA      | $-1585000.00  | -1.21%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SEC TR 2023-4                                                                                          | VERUS 2023-4 B1                                                                                                                                        | CUSIP: 92539TAE3<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-O            | CORP              | US        |   1170000 | PA      | $1169037.21   | 0.89%             | 2068-05-25      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2023-184 HI                                                                                                                                        | CUSIP: 38384GXW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1276498 | PA      | $267269.74    | 0.20%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1047000 | PA      | $-1047000.00  | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2353000 | PA      | $-2353000.00  | -1.80%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                                                | BAFC 2004-C 3A1                                                                                                                                        | CUSIP: 05946XLZ4<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    110710 | PA      | $100275.20    | 0.08%             | 2034-12-20      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -892000 | PA      | $-892000.00   | -0.68%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1683000 | PA      | $-1683000.00  | -1.28%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -533000 | PA      | $-533000.00   | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | CAS 2021-R02 2B2                                                                                                                                       | CUSIP: 20754KAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1500000 | PA      | $1534865.25   | 1.17%             | 2041-11-25      | Floating      | 9.86%                 | No            |                  2 | On Loan: No      |
| NYC COMMERCIAL MORTGAGE TRUST 2025-28L                                                                       | NYC 2025-28L G                                                                                                                                         | CUSIP: 67123JAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1403730.16   | 1.07%             | 2038-11-05      | Variable      | 9.32%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK TRUST 2018-DNA3                                                    | STACR 2018-DNA3 B2                                                                                                                                     | CUSIP: 35563WBE3<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-O            | USGSE             | US        |   2000000 | PA      | $2277892.80   | 1.74%             | 2048-09-25      | Floating      | 11.53%                | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-56                                                                               | CWALT 2006-HY10 1A1                                                                                                                                    | CUSIP: 12668BUF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103682 | PA      | $95105.42     | 0.07%             | 2036-05-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                | SCRT 2016-1 XSIO                                                                                                                                       | CUSIP: 35563PAH2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        | 118811635 | PA      | $482850.48    | 0.37%             | 2055-09-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                                                             | STACR 2018-SPI4 B                                                                                                                                      | CUSIP: 3137G1DQ7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   3653986 | PA      | $2767987.07   | 2.11%             | 2048-11-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZAT TR 2024-8                                                                                  | VERUS 2024-8 B1                                                                                                                                        | CUSIP: 92540PAE8<br>LEI: 213800RZ8QGNZ38DSP77 | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1764390.25   | 1.35%             | 2069-10-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2006-QA4 TRUST                                                                                   | RALI 2006-QA4 A                                                                                                                                        | CUSIP: 748939AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99556 | PA      | $91983.63     | 0.07%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                        | CAS 2016-C03 1B                                                                                                                                        | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1915638 | PA      | $1929250.25   | 1.47%             | 2028-10-25      | Floating      | 15.53%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -796000 | PA      | $-796000.00   | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| BFLD COMMERCIAL MORTGAGE TRUST 2024-UNIV                                                                     | BFLD 2024-UNIV E                                                                                                                                       | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1170000 | PA      | $1173598.80   | 0.90%             | 2041-11-15      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                                                             | SCRT 2020-1 BXS                                                                                                                                        | CUSIP: 35563PPP8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   3989784 | PA      | $2126480.13   | 1.62%             | 2059-08-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                | SCRT 2016-1 BIO                                                                                                                                        | CUSIP: 35563PAG4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  18890980 | PA      | $2214716.17   | 1.69%             | 2055-09-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Csmc Series 2014-11R                                                                                         | CSMC 2014-11R 9A2                                                                                                                                      | CUSIP: 12649FCL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2301842 | PA      | $1829145.78   | 1.40%             | 2036-10-29      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1293000 | PA      | $-1293000.00  | -0.99%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1171000 | PA      | $-1171000.00  | -0.89%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -448000 | PA      | $-448000.00   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC MORTGAGE-BACKED TRUST                                                                                   | CSMC 2015-2R 7A2                                                                                                                                       | CUSIP: 12649QBE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2759437 | PA      | $2351172.67   | 1.79%             | 2036-08-27      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-FTR1                                                                            | STACR 2019-FTR1 B2                                                                                                                                     | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-O            | USGSE             | US        |   1855000 | PA      | $2191543.19   | 1.67%             | 2048-01-27      | Floating      | 12.13%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1801000 | PA      | $-1801000.00  | -1.37%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                                                             | SCRT 2019-2 M                                                                                                                                          | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    620938 | PA      | $605995.71    | 0.46%             | 2058-08-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC1 TRUST                                                                                        | PRKCM 2023-AFC1 M1                                                                                                                                     | CUSIP: 693981AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1480000 | PA      | $1475596.26   | 1.13%             | 2058-02-25      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV2 TRUST                                                                                         | CSMC 2021-INV2 A3X                                                                                                                                     | CUSIP: 12659TBW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24521196 | PA      | $718360.69    | 0.55%             | 2056-11-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                                                             | MF1 2021-FL7 E                                                                                                                                         | CUSIP: 55284AAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1973572.00   | 1.51%             | 2036-10-21      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                                | SCRT 2016-1 B                                                                                                                                          | CUSIP: 35563PAF6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  11947137 | PA      | $1829814.01   | 1.40%             | 2055-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -215000 | PA      | $-215000.00   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1630000 | PA      | $-1630000.00  | -1.24%            |  |  |  | No            |                  2 | On Loan: No      |
| 280 Park Avenue Trust                                                                                        | PRK 2017-280P E                                                                                                                                        | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3430000 | PA      | $3363868.57   | 2.57%             | 2034-09-15      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R2                                                                | MSRR 2015-R2 1B                                                                                                                                        | CUSIP: 61690HAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625237 | PA      | $574545.58    | 0.44%             | 2046-12-27      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2006-2                                                                    | RAMC 2007-3 AF3                                                                                                                                        | CUSIP: 75971FAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1426240 | PA      | $542658.95    | 0.41%             | 2037-09-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| Elevation Clo 2016-5 Ltd                                                                                     | AWPT 2016-5A ERR                                                                                                                                       | CUSIP: 28623BAC7<br>LEI: 549300IH854FT1JLRT08 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $478907.25    | 0.37%             | 2038-01-25      | Variable      | 11.25%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -560000 | PA      | $-560000.00   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -433000 | PA      | $-433000.00   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1260000 | PA      | $-1260000.00  | -0.96%            |  |  |  | No            |                  2 | On Loan: No      |
| NYC COMMERCIAL MORTGAGE TRUST 2025-28L                                                                       | NYC 2025-28L F                                                                                                                                         | CUSIP: 67123JAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $606048.72    | 0.46%             | 2038-11-05      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1182000 | PA      | $-1182000.00  | -0.90%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC MORTGAGE-BACKED TRUST                                                                                   | CSMC 2021-ADV G                                                                                                                                        | CUSIP: 12660WAS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $109.50       | 0.00%             | 2038-07-15      | Floating      | 10.04%                | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-4 TRUST                               | WMALT 2005-9 5A4                                                                                                                                       | CUSIP: 93934FFE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32648 | PA      | $30083.88     | 0.02%             | 2035-11-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| AMSR 2026-SFR1 TRUST                                                                                         | AMSR 2026-SFR1 F1                                                                                                                                      | CUSIP: 66982GAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $772053.66    | 0.59%             | 2043-04-09      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-RRI                                                        | NCMS 2022-RRI E                                                                                                                                        | CUSIP: 63875JAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    421043 | PA      | $421943.62    | 0.32%             | 2035-03-15      | Floating      | 8.87%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -916000 | PA      | $-916000.00   | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                                                      | BSREP 2021-DC HRR                                                                                                                                      | CUSIP: 05591UAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3013097 | PA      | $605858.45    | 0.46%             | 2038-08-16      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| NEW MOUNTAIN CLO 5 LTD                                                                                       | NMC CLO-5A D1R                                                                                                                                         | CUSIP: 64754WAQ6<br>LEI: 2549000KVE2J1UOHZ207 | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $257856.79    | 0.20%             | 2036-07-20      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -242000 | PA      | $-242000.00   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                       | FHR 5408 PI                                                                                                                                            | CUSIP: 3137HCN65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    634336 | PA      | $126633.38    | 0.10%             | 2054-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1145000 | PA      | $-1145000.00  | -0.87%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-AC5                                                        | BSABS 2005-CL1 A1                                                                                                                                      | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6330 | PA      | $6416.66      | 0.00%             | 2034-09-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| REDWOOD FUNDING TRUST 2025-2                                                                                 | RFT 2025-2 A                                                                                                                                           | CUSIP: 75806EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1011429 | PA      | $1017104.93   | 0.78%             | 2055-10-27      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-JERI                                                       | NCMS 2022-JERI G                                                                                                                                       | CUSIP: 63875LAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $2373644.00   | 1.81%             | 2039-01-18      | Variable      | 11.28%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1255000 | PA      | $-1255000.00  | -0.96%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                                                           | VERUS 2025-R1 B1                                                                                                                                       | CUSIP: 92541AAE0<br>LEI: 213800UBQ9UM61L7TB84 | Long             | ABS-O            | CORP              | US        |   1450000 | PA      | $1438638.24   | 1.10%             | 2065-05-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2004-12                                                                | MARM 2004-12 5A1                                                                                                                                       | CUSIP: 576433UC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2335 | PA      | $2301.54      | 0.00%             | 2034-10-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2026-RTL1                                                                               | LHOME 2026-RTL1 M1                                                                                                                                     | CUSIP: 50206JAC9<br>LEI: 52990026MRD22HI0T740 | Long             | ABS-O            | CORP              | US        |    580000 | PA      | $573855.07    | 0.44%             | 2041-01-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INC                                                                         | MLMI 2006-A1 2A1                                                                                                                                       | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275750 | PA      | $126389.85    | 0.10%             | 2036-03-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1526000 | PA      | $-1526000.00  | -1.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                               | RALI 2005-QA3 CB4                                                                                                                                      | CUSIP: 76110H2N8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    682693 | PA      | $316909.05    | 0.24%             | 2035-03-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                               | RALI 2006-QA1 A11                                                                                                                                      | CUSIP: 761118SZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183903 | PA      | $133698.26    | 0.10%             | 2036-01-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1043000 | PA      | $-1043000.00  | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1190000 | PA      | $-1190000.00  | -0.91%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017-RPL1                                                                                         | CSMC 2017-RPL1 B4                                                                                                                                      | CUSIP: 22945AAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2880839 | PA      | $1139519.32   | 0.87%             | 2057-07-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -546000 | PA      | $-546000.00   | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -222000 | PA      | $-222000.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK TRUST 2019-FTR2                                                    | STACR 2019-FTR2 B2                                                                                                                                     | CUSIP: 35564WBE2<br>LEI: 5493008J93RJW7PJFN93 | Long             | ABS-O            | USGSE             | US        |   1270000 | PA      | $1479805.02   | 1.13%             | 2048-11-25      | Floating      | 11.18%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -583000 | PA      | $-583000.00   | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| Renew 2024-2                                                                                                 | RENEW 2024-2A B                                                                                                                                        | CUSIP: 75975DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    828638 | PA      | $830137.93    | 0.63%             | 2060-11-20      | Fixed         | 8.22%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE (H) 23-85                                                                                         | GNR 2026-5 SM                                                                                                                                          | CUSIP: 38385LCG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3084309 | PA      | $226217.72    | 0.17%             | 2055-12-20      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST                                                                          | CAS 2020-R01 1B1                                                                                                                                       | CUSIP: 20754CAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1500000 | PA      | $1520987.70   | 1.16%             | 2040-01-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -226000 | PA      | $-226000.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MSCR TRUST MN1                                                                                   | MSCR 2021-MN1 B1                                                                                                                                       | CUSIP: 35563FAC5<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-O            | USGSE             | US        |    950000 | PA      | $1049963.28   | 0.80%             | 2051-01-25      | Floating      | 11.41%                | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2021-J2                                                                        | CMLTI 2021-J2 AIOS                                                                                                                                     | CUSIP: 17329MDX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  61921596 | PA      | $291031.50    | 0.22%             | 2051-07-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1187000 | PA      | $-1187000.00  | -0.91%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -25000 | PA      | $-25000.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2006-3                                                               | AHM 2007-A 4A                                                                                                                                          | CUSIP: 026933AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1692098 | PA      | $315150.35    | 0.24%             | 2046-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| ROCK TRUST 2024-CNTR                                                                                         | ROCC 2024-CNTR E                                                                                                                                       | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1669158.40   | 1.27%             | 2041-11-15      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MORTGAGE PASS-THROUGH TRUST 2006-3                                                             | FHAMS 2005-AA6 3A1                                                                                                                                     | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173112 | PA      | $142633.10    | 0.11%             | 2035-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1115000 | PA      | $-1115000.00  | -0.85%            |  |  |  | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                                   | INDX 2005-AR18 1A1                                                                                                                                     | CUSIP: 45660LVZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1483543 | PA      | $588443.53    | 0.45%             | 2036-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1340000 | PA      | $-1340000.00  | -1.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2024-RTL4                                                            | GRADE 2024-RTL4 A2                                                                                                                                     | CUSIP: 79584CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1770000 | PA      | $1763098.77   | 1.35%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -755000 | PA      | $-755000.00   | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -935000 | PA      | $-935000.00   | -0.71%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -828000 | PA      | $-828000.00   | -0.63%            |  |  |  | No            |                  2 | On Loan: No      |
| HIT TRUST 2022-HI32                                                                                          | HIT 2022-HI32 G                                                                                                                                        | CUSIP: 40442AAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1617615.36   | 1.23%             | 2039-07-15      | Floating      | 10.90%                | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                                   | INDX 2006-AR9 3A3                                                                                                                                      | CUSIP: 45661EGK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180960 | PA      | $157387.68    | 0.12%             | 2036-06-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                                   | INDX 2004-AR13 1A1                                                                                                                                     | CUSIP: 45660N7J8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20680 | PA      | $19033.65     | 0.01%             | 2035-01-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                                           | MSM 2007-5AX 2A3                                                                                                                                       | CUSIP: 61751GAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1269983 | PA      | $240342.55    | 0.18%             | 2037-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| RR LTD 2021-18                                                                                               | RRAM 2021-18A DR                                                                                                                                       | CUSIP: 749737AJ1<br>LEI: 54930003V8ISBLDELD80 | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $504979.33    | 0.39%             | 2040-07-16      | Variable      | 8.57%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1007000 | PA      | $-1007000.00  | -0.77%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                                             | FWLS 2015-SC01 B                                                                                                                                       | CUSIP: 3137G1AG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2064505 | PA      | $1366639.42   | 1.04%             | 2045-05-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                                                  | U.S. Treasury Bond Futures, Jun-2026,ETH                                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -44 | NC      | $165100.20    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| MIDOCEAN CREDIT CLO XVIII LTD                                                                                | MIDO 2025-18A E                                                                                                                                        | CUSIP: 59803MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $596068.08    | 0.46%             | 2035-10-18      | Variable      | 9.07%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A2                                                               | RAST 2007-A2 1A1                                                                                                                                       | CUSIP: 761120AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170004 | PA      | $81441.10     | 0.06%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SIERRA TIMESHARE 2024-1 RECEIVABLES FUNDING LLC                                                              | SRFC 2024-1A D                                                                                                                                         | CUSIP: 826935AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265708 | PA      | $271553.06    | 0.21%             | 2043-01-20      | Fixed         | 8.02%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2020-3                                                                   | STAR 2020-3 B2                                                                                                                                         | CUSIP: 85573MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1490000 | PA      | $1300941.35   | 0.99%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA2                                                                      | STACR 2020-DNA2 B2                                                                                                                                     | CUSIP: 35565KBE7<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-O            | USGSE             | US        |   1166729 | PA      | $1282934.28   | 0.98%             | 2050-02-25      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| Cushman & Wakefield U S Borrower LLC                                                                         | CWK 8.875 09/01/31 144A                                                                                                                                | CUSIP: 23166MAC7<br>LEI: 549300870CMN3WI5IF97 | Long             | DBT              | CORP              | US        |    130000 | PA      | $137784.41    | 0.11%             | 2031-09-01      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017-CHOP                                                                                         | CSMC 2017-CHOP F                                                                                                                                       | CUSIP: 12651QAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1620000 | PA      | $1616859.79   | 1.23%             | 2032-07-15      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -435000 | PA      | $-435000.00   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING 2015-R3 TRUST                                                                        | BAFC 2015-R3 2A2                                                                                                                                       | CUSIP: 05990QAE3<br>LEI: 5493007QL4MZKX7JWH30 | Long             | ABS-O            | CORP              | US        |   2054898 | PA      | $1881117.17   | 1.44%             | 2037-02-27      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES 2022-                                                                          | GSMBS 2022-NQM1 B4                                                                                                                                     | CUSIP: 36264EBG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1497292 | PA      | $1302184.02   | 0.99%             | 2062-05-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -42000 | PA      | $-42000.00    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1                                                | SCRT 2021-1 M                                                                                                                                          | CUSIP: 35563PWQ8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1134149 | PA      | $1110157.17   | 0.85%             | 2060-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-3                                                                            | VERUS 2023-3 B1                                                                                                                                        | CUSIP: 92539GAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1196406.24   | 0.91%             | 2068-03-25      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| VERUS SEC TR 2023-5                                                                                          | VERUS 2023-5 B1                                                                                                                                        | CUSIP: 924934AE2<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1201683.60   | 0.92%             | 2068-06-25      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -379000 | PA      | $-379000.00   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| Farm Mortgage Trust 2024-2                                                                                   | FARM 2024-2 B                                                                                                                                          | CUSIP: 307910AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900351 | PA      | $792536.92    | 0.61%             | 2054-08-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -838000 | PA      | $-838000.00   | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME RE 2026-1 LTD                                                                                           | HMIR 2026-1 M2                                                                                                                                         | CUSIP: 436956AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2726312.58   | 2.08%             | 2036-01-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| ANCHOR MORTGAGE TRUST 2025-RTL1                                                                              | ANCHR 2025-RTL1 A2                                                                                                                                     | CUSIP: 03290CAB2<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-O            | CORP              | US        |   1930000 | PA      | $1923111.25   | 1.47%             | 2040-05-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -470000 | PA      | $-470000.00   | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1072000 | PA      | $-1072000.00  | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| Sunnova Helios Ii Issuer Llc                                                                                 | SNVA 2018-1A B                                                                                                                                         | CUSIP: 86745JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750653 | PA      | $671753.72    | 0.51%             | 2048-07-20      | Fixed         | 7.71%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                               | SARM 2004-18 1A2                                                                                                                                       | CUSIP: 863579FR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111675 | PA      | $101600.17    | 0.08%             | 2034-12-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -98000 | PA      | $-98000.00    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                                                           | CMSI 2007-8 B1                                                                                                                                         | CUSIP: 17312DAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2399912 | PA      | $1698010.94   | 1.30%             | 2037-09-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Apex Credit Clo 2019-II Ltd.                                                                                 | APEXC 2019-2A D1NR                                                                                                                                     | CUSIP: 03755CBJ2<br>LEI: 549300OKB854VBBC1981 | Long             | ABS-CBDO         | CORP              | KY        |    560000 | PA      | $547625.57    | 0.42%             | 2038-01-25      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                                                       | NCMS 2019-FAME E                                                                                                                                       | CUSIP: 63873VAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    950000 | PA      | $364121.80    | 0.28%             | 2036-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-4                                                                   | STAR 2021-4 B31                                                                                                                                        | CUSIP: 85573PAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $1899706.23   | 1.45%             | 2056-08-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN 2021-1 LTD                                                                                | LPSLT 2021-1GS C                                                                                                                                       | CUSIP: 53948PAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    604714 | PA      | $458052.15    | 0.35%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                                                       | AHPT 2017-ATRM E                                                                                                                                       | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1388311 | PA      | $1314626.39   | 1.00%             | 2036-12-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LOAN TRUST LLC SERIES 2005-B                                                               | WMLT 2005-B 2A2                                                                                                                                        | CUSIP: 92977YBU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3506 | PA      | $3450.27      | 0.00%             | 2035-10-20      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-10 TRUST                              | WMALT 2006-AR10 A1                                                                                                                                     | CUSIP: 93935YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215509 | PA      | $107656.39    | 0.08%             | 2036-12-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -551000 | PA      | $-551000.00   | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2005-56                                                                               | CWALT 2005-J10 1A1                                                                                                                                     | CUSIP: 12667G4G5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    353788 | PA      | $195829.77    | 0.15%             | 2035-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| HIH TRUST 2024-61P                                                                                           | HIH 2024-61P F                                                                                                                                         | CUSIP: 40444VAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1388904 | PA      | $1394307.84   | 1.06%             | 2041-10-15      | Floating      | 9.11%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1537000 | PA      | $-1537000.00  | -1.17%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2021-2 TRUST                                                                        | HPA 2021-2 F                                                                                                                                           | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1429424 | PA      | $1408922.20   | 1.08%             | 2026-12-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                     | GNR 2020-89 IA                                                                                                                                         | CUSIP: 38380PTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6387336 | PA      | $511079.46    | 0.39%             | 2062-04-16      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| EAGLE RE 2023-1 LTD                                                                                          | EMIR 2023-1 M2                                                                                                                                         | CUSIP: 26982EAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |   1290000 | PA      | $1363230.33   | 1.04%             | 2033-09-26      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| Cim Trust                                                                                                    | CIM 2021-INV1 AXS                                                                                                                                      | CUSIP: 12566PCU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  42291212 | PA      | $374311.06    | 0.29%             | 2051-07-01      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Legg Mason Partners Institutional Trust                                                                      | Legg Mason Partners Institutional Trust GVT RSEVS PRM                                                                                                  | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |   1839724 | NS      | $1839724.19   | 1.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Indymac Indx Mortgage Loan Trust 2004-Ar14                                                                   | INDA 2005-AR2 1A1                                                                                                                                      | CUSIP: 45660LY60<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55915 | PA      | $43941.80     | 0.03%             | 2036-01-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                                         | DMSI 2006-PR1 2PO                                                                                                                                      | CUSIP: 25157GAE2<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |      9826 | PA      | $4201.44      | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                                         | DMSI 2006-PR1 4AS2                                                                                                                                     | CUSIP: 25157GAW2<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |     22712 | PA      | $2875.32      | 0.00%             | 2036-04-15      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                                               | SARM 2005-4 1A1                                                                                                                                        | CUSIP: 863579MP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76969 | PA      | $64700.36     | 0.05%             | 2035-03-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| NYT 2019- NYT MORTGAGE TRUST                                                                                 | NYT 2019-NYT E                                                                                                                                         | CUSIP: 62954PAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1440000 | PA      | $1303207.06   | 0.99%             | 2035-12-17      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FREMF 2021-KF117 MORTGAGE TRUST                                                                              | FREMF 21K-F117 CS                                                                                                                                      | CUSIP: 30320YAE5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    539301 | PA      | $497949.30    | 0.38%             | 2031-07-25      | Variable      | 10.07%                | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE                                                                               | MCAS 2019-01 CE                                                                                                                                        | CUSIP: 62547NAD1<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2554635.50   | 1.95%             | 2049-10-25      | Floating      | 12.53%                | No            |                  2 | On Loan: No      |
| Allianz SE                                                                                                   | ALVGR V3.2 PERP 144A                                                                                                                                   | CUSIP: 018820AB6<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |    800000 | PA      | $749158.30    | 0.57%             | N/A             | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Huntington National Bank of Ohio                                                                             | HACLN 2025-2 D                                                                                                                                         | CUSIP: 44644NAR0<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | ABS-O            | CORP              | US        |    548146 | PA      | $536139.58    | 0.41%             | 2033-09-20      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-LP2                                                                        | BX 2022-LP2 G                                                                                                                                          | CUSIP: 05610HAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    805000 | PA      | $805049.35    | 0.61%             | 2039-02-15      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| PRIORITY 1 ISSUER LOGISTICS DAC                                                                              | PRPM 2025-RCF3 M1B                                                                                                                                     | CUSIP: 69392PAE5<br>LEI: 635400FLODFXG5M9HI42 | Long             | ABS-O            | CORP              | IE        |   1000000 | PA      | $981014.40    | 0.75%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Greystone CRE Notes 2025-HC4 LLC                                                                             | GSTNE 2025-HC4 D                                                                                                                                       | CUSIP: 39809NAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1993062.20   | 1.52%             | 2042-10-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-8                                                                | SAIL 2004-8 M9                                                                                                                                         | CUSIP: 86358EMH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297405 | PA      | $233962.61    | 0.18%             | 2034-09-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -2383000 | PA      | $-2383000.00  | -1.82%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I INC                                                                | RFMSI 2006-S8 A12                                                                                                                                      | CUSIP: 74957XAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1540154 | PA      | $101783.06    | 0.08%             | 2036-09-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA5                                                                      | STACR 2021-DNA5 B2                                                                                                                                     | CUSIP: 35564KJB6<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-O            | USGSE             | US        |   1200000 | PA      | $1465116.00   | 1.12%             | 2034-01-25      | Floating      | 9.16%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK35                                                                                              | BANK 2021-BN35 H                                                                                                                                       | CUSIP: 06540CAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1860000 | PA      | $751003.83    | 0.57%             | 2064-06-17      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2021-D                                                                             | NSLT 2021-DA D                                                                                                                                         | CUSIP: 64034YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1054622.52   | 0.81%             | 2062-04-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-FTR3                                                                            | STACR 2019-FTR3 B2                                                                                                                                     | CUSIP: 35565EAE2<br>LEI: 5493009ZFZYH4FRCW638 | Long             | ABS-O            | USGSE             | US        |   1200000 | PA      | $1302784.56   | 0.99%             | 2047-09-25      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -542000 | PA      | $-542000.00   | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST SERIES 2005-2                                                                                | CFLX 2005-2 3A3                                                                                                                                        | CUSIP: 16165TBD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5371071 | PA      | $521558.96    | 0.40%             | 2035-06-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES SERIES 2006-SL1                                               | CBASS 2006-SL1 A3                                                                                                                                      | CUSIP: 14983AAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3361465 | PA      | $106964.50    | 0.08%             | 2036-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE BACKED CERTIFICATES SERIES 2006-2                                           | CCMFC 2006-2A A1                                                                                                                                       | CUSIP: 16678WAA4<br>LEI: 5493002S53YJRKTJK143 | Long             | ABS-O            | CORP              | US        |     38029 | PA      | $38769.31     | 0.03%             | 2047-04-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2024-KING                                                                       | BX 2024-KING E                                                                                                                                         | CUSIP: 05612RAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1174537 | PA      | $1177422.10   | 0.90%             | 2034-05-15      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                                              | SCRT 2022-2 M                                                                                                                                          | CUSIP: 35563PJ59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1337000 | PA      | $1248953.47   | 0.95%             | 2062-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -727000 | PA      | $-727000.00   | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| Chimera Investment Corporation                                                                               | Chimera Investment Corporation 7.75% SER C FIXED TO FLOAT CUM RED PFD STOCK                                                                            | CUSIP: 16934Q505<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     31276 | NS      | $616762.72    | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| CWALT INC MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-36                                                  | CWALT 2005-36 4A1                                                                                                                                      | CUSIP: 12667GA29<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101248 | PA      | $95445.78     | 0.07%             | 2035-08-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-HQA3                                                                            | STACR 2019-HQA3 B2                                                                                                                                     | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-O            | USGSE             | US        |   1680000 | PA      | $1867464.31   | 1.43%             | 2049-09-27      | Floating      | 11.28%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -700000 | PA      | $-700000.00   | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN 2020-3 LLC                                                                                | LPSLT 2020-3GS C                                                                                                                                       | CUSIP: 53948NAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    578952 | PA      | $347746.27    | 0.27%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chimera Investment Corporation                                                                               | Chimera Investment Corporation 8.00% SERIES A CUMULATIVE REDEEMABLE PREFERRED STOCK                                                                    | CUSIP: 16934Q307<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     31752 | NS      | $650280.96    | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| EASY STREET MORTGAGE LOAN TRUST 2025-RTL2                                                                    | EASY 2025-RTL2 A2                                                                                                                                      | CUSIP: 27786YAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2250496.80   | 1.72%             | 2040-10-25      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2019-6                                                                   | NRZT 2019-6A A1IB                                                                                                                                      | CUSIP: 64828GAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13377712 | PA      | $183455.25    | 0.14%             | 2059-09-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -687000 | PA      | $-687000.00   | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust 2018-Bilt                                                                                           | BX 2025-SPOT E                                                                                                                                         | CUSIP: 12433FAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1133303 | PA      | $1135395.95   | 0.87%             | 2040-04-16      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                                                         | ESA 2025-ESH D                                                                                                                                         | CUSIP: 30227TAG5<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $331230.31    | 0.25%             | 2042-10-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Lehman Xs Trust                                                                                              | LXS 2006-19 A4                                                                                                                                         | CUSIP: 52523YAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252086 | PA      | $249874.42    | 0.19%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -440000 | PA      | $-440000.00   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| National Collegiate Commutatio                                                                               | National Collegiate VI 2007-4 Class A-3L Commutation Trust                                                                                             | CUSIP: 63546VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5942187 | PA      | $442063.09    | 0.34%             | 2038-03-29      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017-CHOP                                                                                         | CSMC 2017-CHOP H                                                                                                                                       | CUSIP: 12651QAU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1509000 | PA      | $1458277.53   | 1.11%             | 2032-07-15      | Floating      | 11.04%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -415000 | PA      | $-415000.00   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| Hartwick PK CLO Ltd. / Hartwick PK CLO LLC                                                                   | HWKPK 2023-1A ER                                                                                                                                       | CUSIP: 417402AE4<br>LEI: 2549003E1ZAWJG55NM75 | Long             | ABS-CBDO         | CORP              | JE        |    630000 | PA      | $583926.78    | 0.45%             | 2037-01-21      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -250000 | PA      | $-250000.00   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-1                                                                   | NRZT 2018-1A B6                                                                                                                                        | CUSIP: 64830GCC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1926361 | PA      | $1652154.29   | 1.26%             | 2057-12-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Greystone Select Financial                                                                                   | Greystone Select Financial Term Loan B 500 2028-04-24                                                                                                  | CUSIP: 39808KAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    965190 | PA      | $951918.48    | 0.73%             | 2028-06-19      | Floating      | 9.59%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                                                 | CHASE 2006-S3 2A1                                                                                                                                      | CUSIP: 16162XAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122368 | PA      | $9970.56      | 0.01%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -83000 | PA      | $-83000.00    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| TOORAK MTG TR 2024-RRTL1                                                                                     | TRK 2024-RRTL1 B1                                                                                                                                      | CUSIP: 89054YAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $802295.44    | 0.61%             | 2039-02-25      | Variable      | 10.33%                | No            |                  2 | On Loan: No      |
| BX TRUST 2019-IMC                                                                                            | BX 2019-IMC F                                                                                                                                          | CUSIP: 05608BAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1968710.60   | 1.50%             | 2034-04-17      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -429000 | PA      | $-429000.00   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| SMR 2022-IND MORTGAGE TRUST                                                                                  | SMR 2022-IND G                                                                                                                                         | CUSIP: 78458MAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1820770 | PA      | $1699719.65   | 1.30%             | 2039-02-15      | Floating      | 11.17%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1732000 | PA      | $-1732000.00  | -1.32%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -333000 | PA      | $-333000.00   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE SECURITIES CORP                                                                   | WMALT 2005-10 2A3                                                                                                                                      | CUSIP: 93934FGB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56604 | PA      | $51394.41     | 0.04%             | 2035-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -464000 | PA      | $-464000.00   | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                                                  | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH                                                                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -20 | NC      | $62778.00     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| MFA Financial Inc.                                                                                           | MFA Financial Inc. 6.50% SERIES C FIXED-TO-FLOATING RATE CUMULATIVE REDEEMABLE PREFERRED STOCK                                                         | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     70049 | NS      | $1482937.33   | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Metronet Infrastructure Issuer LLC.                                                                          | MNET 2025-2A C                                                                                                                                         | CUSIP: 59170JBB3<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |    670000 | PA      | $681024.58    | 0.52%             | 2055-08-20      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                                                              | BALTA 2005-9 25A1                                                                                                                                      | CUSIP: 07386HYF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106474 | PA      | $66118.72     | 0.05%             | 2035-11-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1363000 | PA      | $-1363000.00  | -1.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CSFB ADJUSTABLE RATE MORTGAGE TRUST 2005-5                                                                   | ARMT 2005-5 1A1                                                                                                                                        | CUSIP: 007036LG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69980 | PA      | $60383.67     | 0.05%             | 2035-09-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TRUST 2007-SSR1                                                                      | BFAT 2007-SR1A M3                                                                                                                                      | CUSIP: 07325QAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565381 | PA      | $570962.90    | 0.44%             | 2037-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Ocean Trails Clo XIV Ltd.                                                                                    | OCTR 2023-14A ER                                                                                                                                       | CUSIP: 67515MAG3<br>LEI: 254900TWRKR5CRS1OX19 | Long             | ABS-CBDO         | CORP              | JE        |    600000 | PA      | $513398.64    | 0.39%             | 2038-01-20      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1388000 | PA      | $-1388000.00  | -1.06%            |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM 2024-AFC1 TRUST                                                                                        | PRKCM 2024-AFC1 B2                                                                                                                                     | CUSIP: 69380WAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1450000 | PA      | $1457860.74   | 1.11%             | 2059-03-25      | Variable      | 8.22%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                                                       | NCMS 2019-FAME D                                                                                                                                       | CUSIP: 63873VAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $327893.05    | 0.25%             | 2036-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -242000 | PA      | $-242000.00   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2007-23CB                                                                             | CWALT 2007-23CB A8                                                                                                                                     | CUSIP: 02151EAS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    353225 | PA      | $295454.47    | 0.23%             | 2037-09-25      | Floating      | 13.23%                | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TRUST 2007-SSR1                                                                      | BFAT 2007-SR1A M2                                                                                                                                      | CUSIP: 07325QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1247905 | PA      | $1251523.61   | 0.96%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust 2006-Fa6                                                 | FHAMS 2006-FA6 2A1                                                                                                                                     | CUSIP: 32052FAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64242 | PA      | $15923.20     | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2024-70P                                                                   | GSMS 2024-70P HRR                                                                                                                                      | CUSIP: 36269JAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4420000 | PA      | $4430648.66   | 3.38%             | 2041-03-12      | Variable      | 9.33%                 | No            |                  2 | On Loan: No      |
| KNDR TRUST 2021-KIND                                                                                         | KNDR 2021-KIND F                                                                                                                                       | CUSIP: 482606AS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1299330 | PA      | $1283826.40   | 0.98%             | 2038-08-16      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC3 TRUST                                                                                        | PRKCM 2023-AFC3 B1                                                                                                                                     | CUSIP: 693984AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1220000 | PA      | $1221216.58   | 0.93%             | 2058-09-25      | Variable      | 7.78%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE CORP                                                                                         | GT 1999-4 A9                                                                                                                                           | CUSIP: 393505Z62<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10152450 | PA      | $2353377.51   | 1.80%             | 2031-05-01      | Fixed         | 7.02%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -188000 | PA      | $-188000.00   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Arbor Realty Senior Incorporated                                                                             | ABR 7.875 07/15/30 144A                                                                                                                                | CUSIP: 03881NAJ6<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1323202.92   | 1.01%             | 2030-07-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| SALT 2021-1 TRUST                                                                                            | SALTT 2021-1A B                                                                                                                                        | CUSIP: 78433XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515846 | PA      | $506577.00    | 0.39%             | 2033-02-28      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| CLOVER CLO 2021-3 LLC                                                                                        | CLVR 2021-3A ER                                                                                                                                        | CUSIP: 18915FAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    720000 | PA      | $671246.06    | 0.51%             | 2035-01-25      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1719000 | PA      | $-1719000.00  | -1.31%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1969000 | PA      | $-1969000.00  | -1.50%            |  |  |  | No            |                  2 | On Loan: No      |
| Provident Bank Home Equity Loan Trust 2000-2                                                                 | PBHET 2000-2 A1                                                                                                                                        | CUSIP: 743844DA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    397306 | PA      | $379547.44    | 0.29%             | 2031-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TRUST SERIES 2005-3                                                            | AABST 2005-3 M3                                                                                                                                        | CUSIP: 00764MFT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3460000 | PA      | $3071308.44   | 2.34%             | 2035-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1481000 | PA      | $-1481000.00  | -1.13%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1052000 | PA      | $-1052000.00  | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST SERIES 2005-OPT2                                                              | CMLTI 2004-UST1 A2                                                                                                                                     | CUSIP: 17307GKZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4561 | PA      | $4396.72      | 0.00%             | 2034-08-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| DRB PRIME STUDENT LOAN TRUST 2017-A                                                                          | DRB 2017-A R                                                                                                                                           | CUSIP: 23342K104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       429 | PA      | $707544.61    | 0.54%             | 2042-05-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK43                                                                                              | BANK 2022-BNK43 E                                                                                                                                      | CUSIP: 06541QAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1022354.10   | 0.78%             | 2055-08-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                                         | DMSI 2006-PR1 5AS1                                                                                                                                     | CUSIP: 25157GBJ0<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |     33214 | PA      | $4454.34      | 0.00%             | 2036-04-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 35 LTD                                                                                     | CECLO 2025-35A D1A                                                                                                                                     | CUSIP: 19739RAJ7<br>LEI: 2549006YWAD6BJI1C841 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499875.15    | 0.38%             | 2036-07-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -31000 | PA      | $-31000.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2005-AR2 TRUST                             | WAMU 2005-AR2 B1                                                                                                                                       | CUSIP: 92922FD96<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1166950 | PA      | $1071086.66   | 0.82%             | 2045-01-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-PJ2                                                                 | GSMBS 2021-PJ2 AIOS                                                                                                                                    | CUSIP: 36264DAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  56512144 | PA      | $739325.77    | 0.56%             | 2051-07-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-1                                                                         | MARP 2005-1 1A4                                                                                                                                        | CUSIP: 576436AU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34639 | PA      | $24707.01     | 0.02%             | 2034-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                                                                      | Goldman Sachs & Co                                                                                                                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | RA               | CORP              | US        |   5000000 | PA      | $5000000.00   | 3.82%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                                       | FHR 5523 IQ                                                                                                                                            | CUSIP: 3137HKRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3261841 | PA      | $571353.61    | 0.44%             | 2055-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Full House Resorts Inc.                                                                                      | FLL 8.25 02/15/28 144A                                                                                                                                 | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $958125.00    | 0.73%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK35                                                                                              | BANK 2021-BN35 K                                                                                                                                       | CUSIP: 06540CCJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4703147 | PA      | $1784961.39   | 1.36%             | 2064-06-17      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -19000 | PA      | $-19000.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -5534000 | PA      | $-5534000.00  | -4.22%            |  |  |  | No            |                  2 | On Loan: No      |
| WHITEBOX CLO V LTD                                                                                           | WBOX 2025-5A E                                                                                                                                         | CUSIP: 96467NAA1<br>LEI: 254900XFXCOZ882U2O02 | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $676117.34    | 0.52%             | 2038-07-20      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-SP1 TRUST                                                                                   | RAAC 2007-SP1 M3                                                                                                                                       | CUSIP: 74978AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1387919 | PA      | $1148597.12   | 0.88%             | 2037-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                                                       | SFO 2021-555 E                                                                                                                                         | CUSIP: 78432WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1484019.15   | 1.13%             | 2038-05-17      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -454000 | PA      | $-454000.00   | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans Inc                                                                               | RALI 2006-QO2 A1                                                                                                                                       | CUSIP: 761118VY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165246 | PA      | $27190.03     | 0.02%             | 2046-02-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| CWALT INC MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2006-J8                                                  | CWALT 2006-J8 A5                                                                                                                                       | CUSIP: 23245LAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70645 | PA      | $26146.58     | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                                                  | GSMS 2018-LUAU G                                                                                                                                       | CUSIP: 36256AAS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2491345.25   | 1.90%             | 2032-11-15      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2                                                                 | GSMBS 2021-GR2 AIOS                                                                                                                                    | CUSIP: 36262JBR5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  61699364 | PA      | $672202.23    | 0.51%             | 2052-02-25      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                                                         | SOHO 2021-SOHO D                                                                                                                                       | CUSIP: 83410JAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $732598.70    | 0.56%             | 2038-08-12      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| BEAR MOUNTAIN PARK CLO LTD                                                                                   | BRMTN 2022-1A ER                                                                                                                                       | CUSIP: 07403KAE3<br>LEI: 549300UHUALXUXTG2K29 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $449801.25    | 0.34%             | 2037-07-15      | Floating      | 9.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-FTR4                                                                            | STACR 2019-FTR4 B2                                                                                                                                     | CUSIP: 35565GAE7<br>LEI: 549300K0XW5MBR2WNZ55 | Long             | ABS-O            | USGSE             | US        |   1250000 | PA      | $1377237.38   | 1.05%             | 2047-11-25      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| BRES COMMERCIAL MORTGAGE TRUST 2025-ATCAP                                                                    | BRES 2025-ATCAP F                                                                                                                                      | CUSIP: 05619GAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1997159.00   | 1.52%             | 2042-11-17      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -439000 | PA      | $-439000.00   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -1263000 | PA      | $-1263000.00  | -0.96%            |  |  |  | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limite                                                                               | DK 2024-SPT1 Note Backed Trust                                                                                                                         | CUSIP: 23292KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    830659 | PA      | $842468.44    | 0.64%             | 2066-04-28      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |    -45000 | PA      | $-45000.00    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                     | JPMMT 2007-S2 3A2                                                                                                                                      | CUSIP: 46630WBB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8505 | PA      | $8310.63      | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                                                        | LMT 2006-3 1A7                                                                                                                                         | CUSIP: 52520CAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3962696 | PA      | $385014.37    | 0.29%             | 2036-07-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                                     | JPMMT 2007-S2 3A3                                                                                                                                      | CUSIP: 46630WBC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3919 | PA      | $3890.67      | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Agnc Investment Corp                                                                                         | Agnc Investment Corp DEPOSITARY SHARES EACH REPRESENTING 1/1,000TH OF A SHARE OF 6.125% SERIES F FIXED-TO-FLOATING RATE CUMULATIVE REDEEMABLE PREFERRE | CUSIP: 00123Q872<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     52953 | NS      | $1285169.31   | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| CWALT INC MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-14                                                  | CWALT 2005-14 3A1                                                                                                                                      | CUSIP: 12667GCF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75915 | PA      | $60194.48     | 0.05%             | 2035-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -425000 | PA      | $-425000.00   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -161000 | PA      | $-161000.00   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| SEB FUNDING LLC                                                                                              | SEB4P 2024-1A A2                                                                                                                                       | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1020000 | PA      | $1039056.66   | 0.79%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| BALBOA BAY LOAN FUNDING 2023-1 LTD                                                                           | BOBA 2023-1A ERR                                                                                                                                       | CUSIP: 05766HAF2<br>LEI: 549300M8J7UGFY6KJG66 | Long             | ABS-CBDO         | CORP              | KY        |    640000 | PA      | $628639.04    | 0.48%             | 2036-04-20      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                                                                                  | GSMS 2000-1A A                                                                                                                                         | CUSIP: 36228FCU8<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      7068 | PA      | $718.17       | 0.00%             | 2029-06-20      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP                                                          | CSFB 2005-10 3A3                                                                                                                                       | CUSIP: 225470DY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178102 | PA      | $89641.47     | 0.07%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MLTI TRUST 2026-SF75                                                                                         | MLTI 2026-SF75 F                                                                                                                                       | CUSIP: 55318JAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1499707.50   | 1.14%             | 2031-03-17      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| BALBOA BAY LOAN FUNDING 2024-2 LTD                                                                           | BOBA 2024-2A E                                                                                                                                         | CUSIP: 05765BAA7<br>LEI: 254900FG1DS8PNX30R63 | Long             | ABS-CBDO         | CORP              | KY        |    290000 | PA      | $283072.77    | 0.22%             | 2038-01-20      | Variable      | 9.42%                 | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTERNATIONAL, INC.                                                                        | Nomura Securities Inc                                                                                                                                  | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |   -523000 | PA      | $-523000.00   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2021-J2                                                                        | CMLTI 2021-J2 A4I2                                                                                                                                     | CUSIP: 17329MBF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  30174178 | PA      | $295103.47    | 0.23%             | 2051-07-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-27

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

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer