Form NPORT-P Western Asset Mortgage For: Jun 30

  
    NPORT-P
    false
    
      
      
        
          0001478102
          XXXXXXXX
        
      
      
      
      
    
  
  
    
      Western Asset Mortgage Opportunity Fund Inc.
      811-22369
      0001478102
      549300COBGR840ANRS47
      620 Eighth Avenue
      47th Floor
      New York
      
      10018
      1-888-777-0102
      Western Asset Mortgage Opportunity Fund Inc.
      549300COBGR840ANRS47
      2022-12-31
      2022-06-30
      N
    
    
      167072521.66
      15659132.62
      151413389.04
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      6290093.78000000
      0.00000000
      1283822.42000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Freddie Mac - SCRT
        N/A
        
        35563PAF6
        
          
        
        12072117.56000000
        PA
        USD
        3237779.35000000
        2.138370569821
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2055-09-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LADDER CAP FIN LLLP/CORP
        N/A
        
        505742AP1
        
          
          
        
        2000000.00000000
        PA
        USD
        1542356.42000000
        1.018639388351
        Long
        DBT
        CORP
        US
        N
        2
        
          2029-06-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certi
        N/A
        
        23248AAA9
        
          
        
        307750.43000000
        PA
        USD
        241750.40000000
        0.159662498496
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2047-05-25
          Floating
          2.17357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35564KJB6
        
          
        
        1200000.00000000
        PA
        USD
        939806.16000000
        0.620688940362
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-01-25
          Floating
          6.42566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aegis Asset Backed Securities
        N/A
        
        00764MFT9
        
          
        
        3460000.00000000
        PA
        USD
        3007262.11000000
        1.986126939676
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-08-25
          Floating
          2.35857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -2125000.00000000
        PA
        USD
        -2125000.00000000
        -1.40344259743
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              19227628.72000000
              USD
              2080041.94000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        
        36256AAS1
        
          
        
        2500000.00000000
        PA
        USD
        2343254.50000000
        1.547587379727
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2032-11-15
          Floating
          5.77400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman XS Trust
        N/A
        
        52523YAD6
        
          
          
        
        404779.88000000
        PA
        USD
        361787.72000000
        0.238940375282
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-12-25
          Floating
          1.96357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        
        93934FCK6
        
          
        
        114705.85000000
        PA
        USD
        110123.91000000
        0.072730628842
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-10-25
          Floating
          17.33024200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        
        36259NAN1
        
          
        
        1500000.00000000
        PA
        USD
        1367466.75000000
        0.903134629420
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2032-08-15
          Floating
          5.57400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        12667GCF8
        
          
          
        
        117923.12000000
        PA
        USD
        81312.18000000
        0.053702106871
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-05-25
          Variable
          2.49721000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        549300XYOVNMTJWOZ135
        
        61756UAH4
        
          
          
        
        84323.63000000
        PA
        USD
        38643.16000000
        0.025521626749
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2049-12-12
          Variable
          6.28181900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        3137G0KV0
        
          
        
        1027302.91000000
        PA
        USD
        1108162.33000000
        0.731878691195
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2028-12-25
          Floating
          12.87357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Mortgage Securities,
        N/A
        
        25157GAT9
        
          
        
        123824.85000000
        PA
        USD
        14015.14000000
        0.009256209169
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-04-15
          Variable
          8.24991700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Equity Loan T
        N/A
        
        126673KQ4
        
          
          
        
        31423.94000000
        PA
        USD
        29752.96000000
        0.019650151277
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-02-15
          Floating
          1.60400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hawaii Hotel Trust 2019-MAUI
        N/A
        
        41975AAL6
        
          
        
        1000000.00000000
        PA
        USD
        926139.20000000
        0.611662684437
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-05-15
          Floating
          4.07400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -2493000.00000000
        PA
        USD
        -2493000.00000000
        -1.64648583312
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              3460000.00000000
              USD
              3007262.11000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certi
        N/A
        
        23244AAA3
        
          
        
        198578.74000000
        PA
        USD
        192268.13000000
        0.126982251185
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-25
          Floating
          2.28357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        N/A
        
        05950HAA9
        
          
          
        
        97129.41000000
        PA
        USD
        93764.69000000
        0.061926287096
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-20
          Variable
          2.69355400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BankAmerica Manufactured Housi
        N/A
        
        065910AH4
        
          
        
        7866000.00000000
        PA
        USD
        449386.15000000
        0.296794195578
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2026-10-10
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        National Collegiate Commutatio
        N/A
        
        63546VAA8
        
          
        
        6037832.92000000
        PA
        USD
        1323800.91000000
        0.874295805934
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2038-03-29
          Floating
          1.51786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KNDR Trust 2021-KIND
        N/A
        
        482606AS9
        
          
        
        1810000.00000000
        PA
        USD
        1695328.36000000
        1.119668723320
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-08-15
          Floating
          5.27400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan T
        N/A
        
        64352VHX2
        
          
        
        249714.60000000
        PA
        USD
        247111.75000000
        0.163203367659
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-11-25
          Floating
          2.68857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        
        126694VH8
        
          
        
        30929.42000000
        PA
        USD
        25553.91000000
        0.016876915682
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-02-20
          Variable
          3.23542900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -3113000.00000000
        PA
        USD
        -3113000.00000000
        -2.05596084978
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              3509470.94100000
              USD
              3624714.39000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Tru
        N/A
        
        45660N7J8
        
          
        
        25494.91000000
        PA
        USD
        24748.88000000
        0.016345238790
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-01-25
          Variable
          2.78685100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -3179000.00000000
        PA
        USD
        -3179000.00000000
        -2.09955012575
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              3530000.00000000
              USD
              3706402.57000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12597HAC0
        
          
        
        2993152.23000000
        PA
        USD
        2930489.09000000
        1.935422691863
        Long
        DBT
        CORP
        US
        N
        2
        
          2022-12-15
          Floating
          8.32400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Adjustable Rate Mortgage
        N/A
        
        576433G42
        
          
        
        111682.75000000
        PA
        USD
        100945.88000000
        0.066669057895
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2046-04-25
          Floating
          1.83357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        12667G4G5
        
          
          
        
        480388.30000000
        PA
        USD
        331173.30000000
        0.218721278283
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-10-25
          Floating
          2.12357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Motel 6 Trust
        N/A
        
        61977KAS5
        
          
        
        707000.00000000
        PA
        USD
        681862.62000000
        0.450331786589
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-09-15
          Floating
          7.32400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adjustable Rate Mortgage Trust
        N/A
        
        007036LG9
        
          
          
        
        85020.43000000
        PA
        USD
        73007.28000000
        0.048217189023
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-09-25
          Variable
          2.91797100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        22945AAH2
        
          
        
        3100444.07000000
        PA
        USD
        652482.25000000
        0.430927709984
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2057-07-25
          Variable
          2.96285000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12649FCL0
        
          
        
        3205847.19000000
        PA
        USD
        2587273.20000000
        1.708747962385
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-10-27
          Floating
          1.28571000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        River Haus 2021 A-2
        N/A
        
        000000000
        
          
        
        1500000.00000000
        PA
        USD
        1499823.15000000
        0.990548563445
        Long
        DBT
        CORP
        US
        N
        3
        
          2024-08-15
          Floating
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        
        93934FFE7
        
          
        
        42836.74000000
        PA
        USD
        47994.51000000
        0.031697665777
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-11-25
          Floating
          24.02715400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -2917000.00000000
        PA
        USD
        -2917000.00000000
        -1.92651390903
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              3756537.99500000
              USD
              3398646.69000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        ML-CFC Commercial Mortgage Tru
        N/A
        
        60688CAK2
        
          
          
        
        4901.09000000
        PA
        USD
        4829.24000000
        0.003189440531
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2049-09-12
          Variable
          6.22200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        92922F4V7
        
          
        
        99867.30000000
        PA
        USD
        95146.56000000
        0.062838934260
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2045-10-25
          Floating
          2.60357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, In
        N/A
        
        74922PAA2
        
          
          
        
        30705.89000000
        PA
        USD
        38277.91000000
        0.025280399733
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-02-25
          Floating
          1.88357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1033000.00000000
        PA
        USD
        -1033000.00000000
        -0.68223821324
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1700000.00000000
              USD
              998362.01000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        CVS PASS-THROUGH TRUST
        N/A
        
        336249AC1
        
          
          
        
        479443.58000000
        PA
        USD
        496470.03000000
        0.327890441623
        Long
        DBT
        CORP
        US
        N
        2
        
          2023-01-10
          Fixed
          9.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -2095000.00000000
        PA
        USD
        -2095000.00000000
        -1.38362929017
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              5397610.90300000
              USD
              2474120.39000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Vivint Solar Financing LLC
        549300KHKRGT8VQJON84
        
        92854JAB8
        
          
        
        1296795.07000000
        PA
        USD
        1295451.98000000
        0.855572937250
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2023-08-29
          Floating
          5.25786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1544000.00000000
        PA
        USD
        -1544000.00000000
        -1.01972488020
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1767586.33400000
              USD
              1812407.43000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        549300R1KUK063S4I339
        
        17307GXX1
        
          
        
        92335.10000000
        PA
        USD
        80476.90000000
        0.053150451561
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-08-25
          Variable
          3.14623300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Financial Asset Trust
        N/A
        
        07325QAC9
        
          
        
        1890921.73000000
        PA
        USD
        1867695.12000000
        1.233507242550
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-03-25
          Floating
          2.52357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Access Group Inc
        635400C9RW3TYNTIJP57
        
        00432CBK6
        
          
          
        
        200000.00000000
        PA
        USD
        187252.16000000
        0.123669486025
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2039-07-01
          Variable
          3.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        549300R847L762RQF071
        
        05990RAM3
        
          
        
        14234714.90000000
        PA
        USD
        4857482.58000000
        3.208093161904
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2030-01-27
          Variable
          7.88333400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -798000.00000000
        PA
        USD
        -798000.00000000
        -0.52703397305
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1009891.34300000
              USD
              906874.11000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        GSMPS Mortgage Loan Trust
        N/A
        
        36242DXL2
        
          
        
        40729.53000000
        PA
        USD
        40629.49000000
        0.026833485636
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-01-25
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XDB7
        
          
        
        2611880.36000000
        PA
        USD
        2781386.69000000
        1.836948969727
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2029-01-25
          Floating
          11.87357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1104000.00000000
        PA
        USD
        -1104000.00000000
        -0.72912970708
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              4983662.82000000
              USD
              883657.27000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        MBRT 2019 MBR
        N/A
        
        55282DBE3
        
          
        
        2000000.00000000
        PA
        USD
        1855057.80000000
        1.225161005748
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-11-15
          Floating
          5.57400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1713000.00000000
        PA
        USD
        -1713000.00000000
        -1.13133984442
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              2977486.00000000
              USD
              1928545.37000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        BPR Trust
        N/A
        
        05592AAQ3
        
          
        
        1000000.00000000
        PA
        USD
        946367.20000000
        0.625022137077
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-09-15
          Floating
          5.52400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XCH5
        
          
        
        2337564.07000000
        PA
        USD
        2632165.40000000
        1.738396727454
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2028-09-25
          Floating
          13.87357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46630WBB5
        
          
        
        35474.71000000
        PA
        USD
        35439.16000000
        0.023405565534
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-06-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NCMF Trust
        N/A
        
        628870AN7
        
          
        
        1200000.00000000
        PA
        USD
        1153067.04000000
        0.761535718413
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2039-03-15
          Floating
          6.40665000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XBQ6
        
          
        
        1862892.72000000
        PA
        USD
        2065682.01000000
        1.364266412037
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2028-08-25
          Floating
          13.37357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        22945AAG4
        
          
        
        2977486.00000000
        PA
        USD
        1928545.37000000
        1.273695399216
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2057-07-25
          Variable
          2.96285000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSMPS Mortgage Loan Trust
        N/A
        
        3623413E7
        
          
        
        286565.92000000
        PA
        USD
        266055.97000000
        0.175714956046
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-01-25
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        
        52520QAY0
        
          
        
        4978202.18000000
        PA
        USD
        883657.27000000
        0.583605766704
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-11-25
          Floating
          5.52643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        02151EAS1
        
          
          
        
        397559.32000000
        PA
        USD
        423676.82000000
        0.279814633756
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-09-25
          Floating
          21.90572000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        B1V7KEBTPIMZEU4LTD58
        
        01F042681
        
          
        
        -3100000.00000000
        PA
        USD
        -3105933.59000000
        -2.05129388470
        Short
        ABS-MBS
        USGSE
        US
        N
        2
        
          2052-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        
        46654GAA4
        
          
        
        1250000.00000000
        PA
        USD
        1229795.63000000
        0.812210622717
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2026-06-15
          Floating
          8.57400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        92922FD96
        
          
        
        1415446.16000000
        PA
        USD
        1191782.45000000
        0.787105062211
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2045-01-25
          Floating
          2.41857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        N/A
        
        058933AE2
        
          
        
        32246.00000000
        PA
        USD
        29672.30000000
        0.019596879898
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-05-20
          Variable
          3.49899600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMR 2022-IND Mortgage Trust
        N/A
        
        78458MAN4
        
          
        
        1929180.95000000
        PA
        USD
        1839798.33000000
        1.215082986824
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2039-02-15
          Floating
          8.77865000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46630WBC3
        
          
        
        11859.28000000
        PA
        USD
        11813.10000000
        0.007801885998
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-06-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1080000.00000000
        PA
        USD
        -1080000.00000000
        -0.71327906128
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              2678639.38800000
              USD
              1269685.57000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ReRemic Trust
        N/A
        
        61690HAE9
        
          
        
        848331.10000000
        PA
        USD
        763047.70000000
        0.503949951082
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2046-12-27
          Floating
          1.03389100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        
        05610HAN3
        
          
        
        1073898.78000000
        PA
        USD
        990552.64000000
        0.654204127046
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2039-02-15
          Floating
          5.43980000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        
        12669GUX7
        
          
          
        
        37258.37000000
        PA
        USD
        27645.45000000
        0.018258259837
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-03-25
          Floating
          2.22357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        
        64034YAE1
        
          
        
        1200000.00000000
        PA
        USD
        1014106.56000000
        0.669760162182
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2062-04-20
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Financial Asset Trust
        N/A
        
        07325QAD7
        
          
        
        856708.35000000
        PA
        USD
        906938.90000000
        0.598981969659
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-03-25
          Floating
          2.77357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        B1V7KEBTPIMZEU4LTD58
        
        01F042681
        
          
        
        3100000.00000000
        PA
        USD
        3105933.59000000
        2.051293884703
        Long
        ABS-MBS
        USGSE
        US
        N
        2
        
          2052-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        
        35563PBM0
        
          
        
        19172342.40000000
        PA
        USD
        2080041.94000000
        1.373750335546
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2056-08-25
          Variable
          5.22870900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Financial Mortgage T
        N/A
        
        31574PAF2
        
          
        
        1550000.00000000
        PA
        USD
        1518634.67000000
        1.002972510970
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2065-05-25
          Variable
          5.16015700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REDWOOD FUNDING TRUST 2019-1
        N/A
        
        75806BAA1
        
          
        
        2134705.13000000
        PA
        USD
        2126678.64000000
        1.404551244433
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2024-09-27
          Variable
          4.21300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, In
        N/A
        
        76110H2N8
        
          
        
        846951.10000000
        PA
        USD
        398438.15000000
        0.263145916306
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-03-25
          Variable
          3.42832200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rialto Real Estate Fund LP
        N/A
        
        76243NAL0
        
          
        
        1500000.00000000
        PA
        USD
        1465060.50000000
        0.967589794594
        Long
        ABS-MBS
        CORP
        BM
        N
        2
        
          2037-01-19
          Floating
          6.97739000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRESB Multifamily Mortgage Pas
        N/A
        
        30296RAJ9
        
          
        
        3547117.80000000
        PA
        USD
        2914224.02000000
        1.924680530881
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-02-25
          Variable
          3.78712000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        02149VAU3
        
          
          
        
        24053.30000000
        PA
        USD
        23918.92000000
        0.015797097041
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2027-03-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12597RAA2
        
          
        
        1384000.00000000
        PA
        USD
        1381678.89000000
        0.912520945974
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2022-07-15
          Floating
          5.29850000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1094000.00000000
        PA
        USD
        -1094000.00000000
        -0.72252527133
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              11212186.30000000
              USD
              2612236.40000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        
        35563PKR9
        
          
        
        681000.00000000
        PA
        USD
        613260.93000000
        0.405024241177
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2058-08-25
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nomura Resecuritization Trust
        N/A
        
        65540HAJ1
        
          
        
        32.55000000
        PA
        USD
        30.16000000
        0.000019918978
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-06-26
          Variable
          5.62275500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -2073000.00000000
        PA
        USD
        -2073000.00000000
        -1.36909953151
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              4066671.00300000
              USD
              1815906.13000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        MED Trust
        N/A
        
        58403YBA3
        
          
        
        1100000.00000000
        PA
        USD
        999071.04000000
        0.659830049597
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-11-15
          Floating
          6.57500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        
        52474XAB1
        
          
        
        1640000.00000000
        PA
        USD
        1491437.16000000
        0.985010090227
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2061-07-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        
        90266HAS1
        
          
        
        962000.00000000
        PA
        USD
        856476.39000000
        0.565654329138
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2032-02-15
          Floating
          6.16230000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        
        46652DAN5
        
          
        
        988000.00000000
        PA
        USD
        772377.89000000
        0.510112015124
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-12-15
          Floating
          5.57400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing a
        N/A
        
        14983AAC3
        
          
        
        3530897.13000000
        PA
        USD
        182110.61000000
        0.120273782361
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-09-25
          Floating
          2.06357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        12667GA29
        
          
        
        154364.68000000
        PA
        USD
        143831.14000000
        0.094992352335
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-08-25
          Variable
          3.26404900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Inve
        N/A
        
        86360JAN1
        
          
        
        419772.13000000
        PA
        USD
        136131.89000000
        0.089907432138
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2046-05-25
          Floating
          2.06357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -62.00000000
        NC
        USD
        54083.80000000
        0.035719298235
        N/A
        DIR
        CORP
        US
        N
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-09-21
            -7951333.80000000
            USD
            54083.80000000
          
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, In
        N/A
        
        761118SZ2
        
          
          
        
        255929.92000000
        PA
        USD
        204875.77000000
        0.135308886023
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-01-25
          Variable
          4.17914600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        
        30320YAE5
        
          
        
        1711229.15000000
        PA
        USD
        1709404.21000000
        1.128965028019
        Long
        ABS-MBS
        USGSE
        US
        N
        2
        
          2031-07-25
          Floating
          7.11920000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        N/A
        
        92915XAD0
        
          
        
        400000.00000000
        PA
        USD
        338623.13000000
        0.223641470643
        Long
        ABS-CBDO
        CORP
        KY
        N
        2
        
          2030-06-07
          Floating
          7.06429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Pro
        N/A
        
        76112BUZ1
        
          
        
        261186.44000000
        PA
        USD
        147034.28000000
        0.097107845569
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2031-10-25
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        
        95003GAQ4
        
          
        
        2200000.00000000
        PA
        USD
        1458454.58000000
        0.963226957171
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2039-12-15
          Variable
          3.56903000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MULTIFAMILY CONNECTICUT AVENUE
        5493002KQF9IH3CTQZ40
        
        62548QAF8
        
          
        
        1500000.00000000
        PA
        USD
        1457919.15000000
        0.962873335867
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2050-03-25
          Floating
          9.12357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        22945AAF6
        
          
        
        3501991.00000000
        PA
        USD
        2650966.56000000
        1.750813832784
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2057-07-25
          Variable
          2.96285000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1349000.00000000
        PA
        USD
        -1349000.00000000
        -0.89093838302
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1573772.95100000
              USD
              1552516.77000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        SOHO Trust 2021-SOHO
        N/A
        
        83410JAJ7
        
          
        
        1500000.00000000
        PA
        USD
        1151464.50000000
        0.760477331166
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-08-10
          Variable
          2.78647500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        N/A
        
        05946XLZ4
        
          
          
        
        200856.37000000
        PA
        USD
        189691.39000000
        0.125280459807
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-12-20
          Variable
          2.89059300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stonepeak
        N/A
        
        78433XAC4
        
          
        
        1540565.45000000
        PA
        USD
        1412366.37000000
        0.932788294981
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2033-02-28
          Fixed
          3.82100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        12667GJT1
        
          
        
        1066956.34000000
        PA
        USD
        70448.25000000
        0.046527094100
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-06-25
          Floating
          3.37643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -668000.00000000
        PA
        USD
        -668000.00000000
        -0.44117630827
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              925329.90840000
              USD
              834663.31000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        
        17309FAS7
        
          
        
        170213.76000000
        PA
        USD
        105578.57000000
        0.069728688241
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-25
          Variable
          2.84920900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BCAP LLC Trust
        N/A
        
        05533TAD3
        
          
          
        
        2554204.92000000
        PA
        USD
        1330432.22000000
        0.878675412019
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-26
          Variable
          2.97292000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corpora
        N/A
        
        16162XAH0
        
          
          
        
        128069.16000000
        PA
        USD
        60644.00000000
        0.040051940178
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2021-11-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Retail Property Trust
        5493007115G809OI4R97
        
        85571XAQ0
        
          
        
        1000000.00000000
        PA
        USD
        63000.00000000
        0.041607945241
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2027-11-15
          Floating
          4.82500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Alternative Loan T
        N/A
        
        94984TAM1
        
          
        
        1274551.51000000
        PA
        USD
        82925.51000000
        0.054767620304
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-03-25
          Floating
          3.83643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1234000.00000000
        PA
        USD
        -1234000.00000000
        -0.81498737187
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              3358275.91500000
              USD
              1326205.46000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        GSAA Home Equity Trust
        N/A
        
        36242D3S0
        
          
        
        265960.97000000
        PA
        USD
        50341.89000000
        0.033247977817
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-04-25
          Floating
          4.91400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        
        35563PPP8
        
          
        
        4063125.18000000
        PA
        USD
        1815906.13000000
        1.199303536836
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2059-08-25
          Variable
          5.80631800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Mortgage Securities,
        N/A
        
        25157GAE2
        
          
        
        13328.35000000
        PA
        USD
        8502.95000000
        0.005615718698
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-04-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -2351000.00000000
        PA
        USD
        -2351000.00000000
        -1.55270284543
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              23323023.31000000
              USD
              2610319.06000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan T
        N/A
        
        75971FAF0
        
          
          
        
        1551708.88000000
        PA
        USD
        764180.93000000
        0.504698385555
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-09-25
          Variable
          7.23800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -717000.00000000
        PA
        USD
        -717000.00000000
        -0.47353804346
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1573509.24300000
              USD
              764180.93000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Multifamily Structured Credit
        N/A
        
        35563FAC5
        
          
        
        950000.00000000
        PA
        USD
        928317.39000000
        0.613101256028
        Long
        ABS-MBS
        USGSE
        US
        N
        2
        
          2051-01-25
          Floating
          8.67566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        23245LAE0
        
          
        
        76278.24000000
        PA
        USD
        39834.41000000
        0.026308380158
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-02-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan T
        N/A
        
        61751GAD9
        
          
          
        
        1473172.90000000
        PA
        USD
        467345.25000000
        0.308655167791
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-02-25
          Floating
          2.08357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300YG8OJES76WL398
        
        35564ACC3
        
          
          
        
        3530000.00000000
        PA
        USD
        3706402.57000000
        2.447869764688
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2047-02-25
          Floating
          12.12357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -2159000.00000000
        PA
        USD
        -2159000.00000000
        -1.42589767898
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              3052442.00000000
              USD
              2316884.37000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        RBSGC Mortgage Pass Through Ce
        N/A
        
        74927WAG9
        
          
        
        2687648.66000000
        PA
        USD
        488654.84000000
        0.322728949598
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-01-25
          Floating
          1.97357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        
        078767AC4
        
          
        
        1070000.00000000
        PA
        USD
        1067713.62000000
        0.705164600547
        Long
        ABS-MBS
        CORP
        BM
        
        N
        2
        
          2027-10-25
          Floating
          6.37357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Applebees/IHOP Funding LLC
        N/A
        
        03789XAE8
        
          
        
        990000.00000000
        PA
        USD
        927423.78000000
        0.612511077045
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2049-06-05
          Fixed
          4.72300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XCR3
        
          
          
        
        1654321.09000000
        PA
        USD
        1839615.64000000
        1.214962330388
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2028-10-25
          Floating
          13.37357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Alternative Loan T
        N/A
        
        466287AR0
        
          
        
        203091.05000000
        PA
        USD
        202792.67000000
        0.133933116011
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-03-25
          Variable
          3.38544100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan T
        N/A
        
        759950GX0
        
          
        
        522336.32000000
        PA
        USD
        312584.02000000
        0.206444107738
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-05-25
          Variable
          6.16600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        
        45254NKQ9
        
          
          
        
        110755.86000000
        PA
        USD
        104396.01000000
        0.068947674087
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-10-25
          Floating
          2.34357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -2969000.00000000
        PA
        USD
        -2969000.00000000
        -1.96085697495
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              3737192.63100000
              USD
              2991659.33000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Adjustable Rate Mortgage Trust
        N/A
        
        2254W0MM4
        
          
          
        
        193392.41000000
        PA
        USD
        72302.94000000
        0.047752012195
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-03-25
          Floating
          2.12357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -959000.00000000
        PA
        USD
        -959000.00000000
        -0.63336538867
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1027776.35700000
              USD
              1108162.33000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1394000.00000000
        PA
        USD
        -1394000.00000000
        -0.92065834391
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              12097569.37000000
              USD
              3237779.35000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        ML-CFC Commercial Mortgage Tru
        N/A
        
        55312YAH5
        
          
          
        
        44507.32000000
        PA
        USD
        22040.81000000
        0.014556711358
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2048-08-12
          Variable
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300D2VO9JVX6KU482
        
        3137G0VA4
        
          
        
        1750000.00000000
        PA
        USD
        1718207.75000000
        1.134779269451
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2043-04-25
          Floating
          5.37357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        466247ZN6
        
          
        
        623978.34000000
        PA
        USD
        383553.87000000
        0.253315689208
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-01-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Tru
        N/A
        
        45661KAA8
        
          
        
        302620.96000000
        PA
        USD
        257582.00000000
        0.170118377002
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-06-25
          Variable
          3.20156200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        92922F6C7
        
          
        
        520150.10000000
        PA
        USD
        283013.31000000
        0.186914322302
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2045-11-25
          Floating
          2.42357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -650000.00000000
        PA
        USD
        -650000.00000000
        -0.42928832391
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1108785.14300000
              USD
              855427.35000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        
        64828GAH3
        
          
        
        25843268.72000000
        PA
        USD
        425674.82000000
        0.281134200019
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2059-09-25
          Variable
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20754CAF6
        
          
        
        1500000.00000000
        PA
        USD
        1323720.60000000
        0.874242765710
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2040-01-25
          Floating
          4.87357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        
        35563PBK4
        
          
        
        11155794.61000000
        PA
        USD
        2612236.40000000
        1.725234747443
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2056-08-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade MH Asset Trust
        N/A
        
        14732FAC6
        
          
        
        1150000.00000000
        PA
        USD
        1083790.82000000
        0.715782683996
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2044-11-25
          Variable
          5.98500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Thrust Engine Leasing
        N/A
        
        88603UAA7
        
          
        
        1652993.83000000
        PA
        USD
        1469667.06000000
        0.970632167550
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2040-07-15
          Fixed
          4.16300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        
        35564KLV9
        
          
        
        1640000.00000000
        PA
        USD
        1414557.40000000
        0.934235346668
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2041-10-25
          Floating
          8.42566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Investm
        N/A
        
        026933AA9
        
          
        
        1744506.52000000
        PA
        USD
        572964.50000000
        0.378410722877
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2046-07-25
          Floating
          2.52357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1791000.00000000
        PA
        USD
        -1791000.00000000
        -1.18285444329
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1864039.16100000
              USD
              2065682.01000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        
        36246LAH4
        
          
          
        
        2154580.41000000
        PA
        USD
        732780.77000000
        0.483960351621
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2045-08-10
          Variable
          6.02499000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        
        46652BAU3
        
          
        
        174062.26000000
        PA
        USD
        161707.67000000
        0.106798791721
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-01-16
          Floating
          5.50929000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12663FAA7
        
          
        
        1750000.00000000
        PA
        USD
        1700358.10000000
        1.122990582788
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2023-11-15
          Floating
          5.24550000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Mortgage Securities,
        N/A
        
        25157GBJ0
        
          
        
        56350.17000000
        PA
        USD
        11030.50000000
        0.007285022856
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-04-15
          Variable
          9.42652700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Se
        N/A
        
        63873VAL7
        
          
        
        1900000.00000000
        PA
        USD
        1709616.01000000
        1.129104909968
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-08-15
          Variable
          4.54408300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -8.00000000
        NC
        USD
        6611.20000000
        0.004366324564
        N/A
        DIR
        CORP
        US
        N
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-09-21
            -954861.20000000
            USD
            6611.20000000
          
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, In
        N/A
        
        761118VY1
        
          
        
        165756.63000000
        PA
        USD
        38657.50000000
        0.025531097510
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2046-02-25
          Floating
          2.06357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Mortgage Trust
        N/A
        
        225470XL2
        
          
        
        3500000.00000000
        PA
        USD
        3242156.40000000
        2.141261364372
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-05-25
          Floating
          2.12357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        
        64829NAJ3
        
          
        
        2155437.84000000
        PA
        USD
        2104062.22000000
        1.389614375148
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2057-05-25
          Variable
          5.32105600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ChaseFlex Trust
        N/A
        
        16165TBD4
        
          
        
        5993594.07000000
        PA
        USD
        882450.64000000
        0.582808855673
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-06-25
          Floating
          3.87643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        
        52520QAC8
        
          
        
        3461396.89000000
        PA
        USD
        508353.21000000
        0.335738611507
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-11-25
          Floating
          3.72643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        
        35563PGW3
        
          
        
        3351305.59000000
        PA
        USD
        1326205.46000000
        0.875883875533
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2057-08-25
          Variable
          1.64306300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        
        35563PBN8
        
          
        
        378545843.11000000
        PA
        USD
        1216267.79000000
        0.803276247702
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2056-08-25
          Variable
          0.07500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        
        92925GAD5
        
          
          
        
        116924.85000000
        PA
        USD
        105190.14000000
        0.069472152143
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-12-25
          Variable
          2.38744800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citicorp Mortgage Securities,
        N/A
        
        17312DAL2
        
          
        
        2710573.81000000
        PA
        USD
        1588213.83000000
        1.048925620164
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-09-25
          Variable
          5.98314000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12649QBE3
        
          
        
        3432501.98000000
        PA
        USD
        2722718.58000000
        1.798201993405
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-08-27
          Variable
          2.41198000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        
        073879U97
        
          
          
        
        30678.71000000
        PA
        USD
        29506.47000000
        0.019487358540
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-09-25
          Floating
          1.01136900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        B1V7KEBTPIMZEU4LTD58
        
        01F050684
        
          
        
        3100000.00000000
        PA
        USD
        3156248.04000000
        2.084523739948
        Long
        ABS-MBS
        USGSE
        US
        N
        2
        
          2052-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -20.00000000
        NC
        USD
        25668.94000000
        0.016952886506
        N/A
        DIR
        CORP
        US
        N
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-09-21
            -2798168.94000000
            USD
            25668.94000000
          
        
        
          N
          N
          N
        
      
      
        Bombardier Capital Mortgage Se
        N/A
        
        09774XAJ1
        
          
        
        252706.23000000
        PA
        USD
        245380.91000000
        0.162060245501
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2028-10-15
          Variable
          6.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Horizon Alternative Mort
        N/A
        
        32052FAH9
        
          
        
        68428.48000000
        PA
        USD
        28766.33000000
        0.018998537832
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-11-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mor
        N/A
        
        225470DY6
        
          
        
        198375.94000000
        PA
        USD
        127732.28000000
        0.084359963679
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-11-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        
        07386HYF2
        
          
        
        184109.54000000
        PA
        USD
        142431.52000000
        0.094067982298
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-11-25
          Variable
          2.81122100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securitizati
        N/A
        
        45660L6N4
        
          
        
        1298214.71000000
        PA
        USD
        389993.57000000
        0.257568747699
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-04-25
          Floating
          2.12357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Horizon Alternative Mort
        N/A
        
        32051GQA6
        
          
          
        
        263406.97000000
        PA
        USD
        237603.86000000
        0.156923942794
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-08-25
          Variable
          2.94905000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1544000.00000000
        PA
        USD
        -1544000.00000000
        -1.01972488020
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              2133425.46800000
              USD
              1930022.20000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Hawaii Hotel Trust 2019-MAUI
        N/A
        
        41975AAN2
        
          
        
        1697000.00000000
        PA
        USD
        1576505.53000000
        1.041192948652
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-05-15
          Floating
          4.47400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        3137G0LK3
        
          
        
        1573859.09000000
        PA
        USD
        1552516.77000000
        1.025349726231
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2029-03-25
          Floating
          10.22357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -157.00000000
        NC
        USD
        178100.06000000
        0.117625040380
        N/A
        DIR
        CORP
        US
        N
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-09-30
            -17801350.06000000
            USD
            178100.06000000
          
        
        
          N
          N
          N
        
      
      
        Adjustable Rate Mortgage Trust
        N/A
        
        007036MT0
        
          
          
        
        142608.26000000
        PA
        USD
        123768.11000000
        0.081741853071
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-10-25
          Variable
          2.69427400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        mrcd 2019-prkc mortgage trust
        N/A
        
        55348UAA6
        
          
        
        2048000.00000000
        PA
        USD
        1732227.69000000
        1.144038648750
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-12-15
          Variable
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        89829.72000000
        0.059327461441
        N/A
        DCR
        CORP
        US
        N
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            
              
                IHS MARKIT LTD
                CMBX.NA.BBB-.12
                
                  
                  
                
              
            
            Y
            Default Event
            
            2061-08-17
            39863.49000000
            USD
            0.00000000
            USD
            -500000.00000000
            USD
            49966.23000000
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1871000.00000000
        PA
        USD
        -1871000.00000000
        -1.23568992931
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              2188844.96500000
              USD
              2104062.22000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        FirstFed Corp Manufactured Hou
        N/A
        
        33761SAF5
        
          
        
        121323.71000000
        PA
        USD
        19.41000000
        0.000012819209
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2024-05-15
          Fixed
          8.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        
        46632HAL5
        
          
          
        
        71546.68000000
        PA
        USD
        64185.60000000
        0.042390967144
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2051-02-15
          Variable
          6.72151000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -873000.00000000
        PA
        USD
        -873000.00000000
        -0.57656724120
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              4356156.47100000
              USD
              669548.57000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        AMERICAN AIRLINES/AADVAN
        N/A
        
        00253XAB7
        
          
          
        
        1060000.00000000
        PA
        USD
        908600.20000000
        0.600079164571
        Long
        DBT
        CORP
        N/A
        N
        2
        
          2029-04-20
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securitizati
        N/A
        
        45660L6P9
        
          
          
        
        2690600.44000000
        PA
        USD
        409440.78000000
        0.270412532600
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-04-25
          Floating
          3.87643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1286000.00000000
        PA
        USD
        -1286000.00000000
        -0.84933043778
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              2558391.35400000
              USD
              1330432.22000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        National Collegiate Student Lo
        635400CI2B1FTO6YXF12
        
        63543VAG8
        
          
        
        1710000.00000000
        PA
        USD
        1266662.32000000
        0.836558991269
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2032-01-26
          Floating
          1.98357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        
        75279YAC5
        
          
        
        1225000.00000000
        PA
        USD
        1148751.47000000
        0.758685527933
        Long
        ABS-MBS
        CORP
        BM
        
        N
        2
        
          2033-12-27
          Floating
          3.62566000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        
        12669GPR6
        
          
          
        
        44968.94000000
        PA
        USD
        41316.41000000
        0.027287157537
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-03-25
          Floating
          2.26357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        
        126670JP4
        
          
          
        
        79961.96000000
        PA
        USD
        71991.65000000
        0.047546422714
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-02-20
          Floating
          1.98700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan T
        N/A
        
        61756XBK0
        
          
        
        341246.10000000
        PA
        USD
        310925.29000000
        0.205348610166
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-11-25
          Variable
          2.89828200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1204000.00000000
        PA
        USD
        -1204000.00000000
        -0.79517406461
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1500000.00000000
              USD
              1323720.60000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12660WAS4
        
          
        
        2080000.00000000
        PA
        USD
        2026515.50000000
        1.338399142142
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-07-15
          Floating
          7.57500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -4947000.00000000
        PA
        USD
        -4947000.00000000
        -3.26721436681
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              5493168.44200000
              USD
              5718371.01000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Se
        N/A
        
        63875LAS2
        
          
        
        3500000.00000000
        PA
        USD
        3359562.15000000
        2.218801237658
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2039-01-15
          Floating
          8.73645000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1413000.00000000
        PA
        USD
        -1413000.00000000
        -0.93320677184
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              2738434.55000000
              USD
              1588213.83000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Se
        N/A
        
        63873VAN3
        
          
        
        950000.00000000
        PA
        USD
        808483.82000000
        0.533957944621
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-08-15
          Variable
          4.54408300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        12668BUF8
        
          
        
        136689.92000000
        PA
        USD
        122952.92000000
        0.081203466073
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-05-25
          Variable
          2.84538300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greenwich Capital Acceptance I
        213800OU9AJE7513ME91
        
        396782EG5
        
          
        
        2191561.00000000
        PA
        USD
        197.24000000
        0.000130265890
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2020-08-10
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Reperforming Loan Trust
        N/A
        
        576436AU3
        
          
        
        46540.55000000
        PA
        USD
        39571.22000000
        0.026134558014
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-08-25
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Funding Mtg Sec I
        N/A
        
        762009AF5
        
          
        
        1060134.04000000
        PA
        USD
        855427.35000000
        0.564961497410
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-06-25
          Floating
          2.12357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        
        126694EP9
        
          
        
        10347.98000000
        PA
        USD
        8542.98000000
        0.005642156254
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-10-25
          Floating
          15.06018200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1093000.00000000
        PA
        USD
        -1093000.00000000
        -0.72186482776
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1370000.00000000
              USD
              988096.47000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        549300O2GEH6GH9NO762
        
        078768AE8
        
          
        
        361386.88000000
        PA
        USD
        358570.70000000
        0.236815715091
        Long
        ABS-MBS
        CORP
        BM
        
        N
        2
        
          2028-04-25
          Floating
          4.52357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        
        52521RAS0
        
          
          
        
        2591805.72000000
        PA
        USD
        441471.86000000
        0.291567253595
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-06-25
          Floating
          1.95357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FARM 2021-1 Mortgage Trust
        N/A
        
        30768WAC2
        
          
        
        1278535.27000000
        PA
        USD
        1053822.34000000
        0.695990193919
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2051-07-25
          Variable
          3.23658200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        549300LENCFK8RITKD65
        
        05990PAB1
        
          
        
        3750000.00000000
        PA
        USD
        2865876.38000000
        1.892749642663
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2045-09-26
          Floating
          2.75017900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1598000.00000000
        PA
        USD
        -1598000.00000000
        -1.05538883326
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1654419.94500000
              USD
              1839615.64000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        
        52520QAH7
        
          
        
        2549045.78000000
        PA
        USD
        1269685.57000000
        0.838555677308
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-11-25
          Floating
          1.80357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Helios Issuer, LLC
        N/A
        
        86745JAB3
        
          
        
        1061303.51000000
        PA
        USD
        1017794.31000000
        0.672195712976
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2048-07-20
          Fixed
          7.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1311000.00000000
        PA
        USD
        -1311000.00000000
        -0.86584152716
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1640000.00000000
              USD
              1491437.16000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        SOLRR Aircraft 2021-1 Limited
        N/A
        
        83438LAC5
        
          
        
        1905665.65000000
        PA
        USD
        1669085.07000000
        1.102336511045
        Long
        ABS-O
        CORP
        IE
        
        N
        2
        
          2046-10-15
          Fixed
          5.68200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        
        3136AATJ4
        
          
        
        1437867.62000000
        PA
        USD
        201167.03000000
        0.132859472517
        Long
        ABS-MBS
        USGSE
        US
        N
        2
        
          2042-12-25
          Floating
          4.52643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan T
        N/A
        
        61749LAB7
        
          
        
        198169.06000000
        PA
        USD
        49733.08000000
        0.032845893163
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-06-25
          Floating
          1.76357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wachovia Mortgage Loan Trust,
        N/A
        
        92977YBU4
        
          
        
        7947.30000000
        PA
        USD
        7682.56000000
        0.005073897393
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-10-20
          Variable
          2.28910200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -2670000.00000000
        PA
        USD
        -2670000.00000000
        -1.76338434594
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              3500000.00000000
              USD
              3242156.40000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        FRR Re-Remic Trust
        N/A
        
        30307WAY2
        
          
          
        
        2400000.00000000
        PA
        USD
        2356032.00000000
        1.556026197509
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2047-08-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -2368000.00000000
        PA
        USD
        -2368000.00000000
        -1.56393038621
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              3456747.90200000
              USD
              2587273.20000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12638FAB7
        
          
        
        177679.21000000
        PA
        USD
        233117.79000000
        0.153961146684
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-27
          Floating
          15.06018300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -2298000.00000000
        PA
        USD
        -2298000.00000000
        -1.51769933595
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              2338089.60900000
              USD
              2632165.40000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        549300818AKCJ4Q9TD76
        
        12649AAS8
        
          
          
        
        2720000.00000000
        PA
        USD
        1968896.21000000
        1.300344852250
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-09-15
          Fixed
          4.37330000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVY CHASE MORTGAGE FUNDING C
        5493002S53YJRKTJK143
        
        16678WAA4
        
          
          
        
        55595.71000000
        PA
        USD
        57424.72000000
        0.037925787385
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2047-04-25
          Floating
          1.75357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        
        35563PAG4
        
          
        
        22723363.02000000
        PA
        USD
        2610319.06000000
        1.723968452558
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2055-09-25
          Variable
          1.13295700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        
        93934FGB2
        
          
          
        
        78760.21000000
        PA
        USD
        73574.75000000
        0.048591970938
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-11-25
          Floating
          2.52357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NewRez Warehouse Securitizatio
        N/A
        
        65246PAF8
        
          
        
        2460000.00000000
        PA
        USD
        2444838.53000000
        1.614677899689
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2055-05-25
          Floating
          6.87357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mor
        N/A
        
        863579FR4
        
          
          
        
        156307.85000000
        PA
        USD
        144385.86000000
        0.095358713595
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-12-25
          Variable
          3.10152600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Pro
        N/A
        
        7609853J8
        
          
        
        925329.91000000
        PA
        USD
        834663.31000000
        0.551248020595
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-04-25
          Floating
          3.64857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1024000.00000000
        PA
        USD
        -1024000.00000000
        -0.67629422106
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              6326045.20100000
              USD
              882450.64000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        
        46652DAQ8
        
          
        
        1033000.00000000
        PA
        USD
        779378.77000000
        0.514735701341
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-12-15
          Floating
          8.07400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        549300R1KUK063S4I339
        
        17307GJX7
        
          
        
        27611.13000000
        PA
        USD
        25704.99000000
        0.016976695497
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-09-25
          Variable
          2.68256000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -857000.00000000
        PA
        USD
        -857000.00000000
        -0.56600014399
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1415097.29000000
              USD
              1191782.45000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Assets
        N/A
        
        02660VBH0
        
          
          
        
        670372.36000000
        PA
        USD
        494816.05000000
        0.326798081158
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-01-25
          Variable
          2.79401200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Tru
        N/A
        
        45661EDE1
        
          
          
        
        144240.66000000
        PA
        USD
        118397.93000000
        0.078195152192
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-05-25
          Variable
          3.06610000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bombardier Capital Mortgage Se
        N/A
        
        09774XAU6
        
          
        
        43830.45000000
        PA
        USD
        43791.26000000
        0.028921656319
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2029-03-15
          Variable
          5.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Tru
        N/A
        
        45660LVM8
        
          
          
        
        39054.70000000
        PA
        USD
        34653.56000000
        0.022886721061
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-09-25
          Variable
          2.92617000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        
        46650BAA9
        
          
        
        3000000.00000000
        PA
        USD
        15018.00000000
        0.009918541613
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-06-15
          Floating
          9.83165000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        
        17314TAC5
        
          
          
        
        5385529.62000000
        PA
        USD
        2474120.39000000
        1.634016915998
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-04-25
          Fixed
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mor
        N/A
        
        863579PF9
        
          
          
        
        39352.66000000
        PA
        USD
        38046.03000000
        0.025127256077
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-04-25
          Variable
          3.05050300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12651QAU3
        
          
        
        2459000.00000000
        PA
        USD
        2049314.62000000
        1.353456674467
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2032-07-15
          Floating
          8.67400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46631NAT6
        
          
          
        
        1922645.39000000
        PA
        USD
        726787.64000000
        0.480002227417
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-08-25
          Floating
          2.12357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -585000.00000000
        PA
        USD
        -585000.00000000
        -0.38635949152
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              841075.69650000
              USD
              670603.96000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        AFC Home Equity Loan Trust
        N/A
        
        00105HEL6
        
          
        
        624045.21000000
        PA
        USD
        582600.18000000
        0.384774545827
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2030-10-25
          Floating
          2.37357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Western Asset Premier Institutional Government Reserves
        549300WB3XRN9YTWFB76
        
        52470G494
        
          
          
        
        2409022.87000000
        NS
        USD
        2409022.87000000
        1.591023677148
        Long
        STIV
        RF
        US
        N
        1
        
          N
          N
          N
        
      
      
        HSI Asset Loan Obligation
        N/A
        
        40431LAF5
        
          
        
        67336.96000000
        PA
        USD
        54358.45000000
        0.035900689063
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-01-25
          Variable
          3.97731900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        549300XC4C7GRVLU6076
        
        784456105
        
          
        
        6875.00000000
        PA
        USD
        919259.88000000
        0.607119281741
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2045-09-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan T
        N/A
        
        75970QAE0
        
          
        
        445054.35000000
        PA
        USD
        146386.65000000
        0.096680122496
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-06-25
          Variable
          5.67500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Financial Asset Trust
        N/A
        
        07325QAB1
        
          
        
        1553169.11000000
        PA
        USD
        1480217.69000000
        0.977600263348
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-03-25
          Floating
          2.42357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        549300R1KUK063S4I339
        
        17307GKZ0
        
          
        
        6473.25000000
        PA
        USD
        6137.96000000
        0.004053776247
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-08-25
          Variable
          1.62293300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST
        N/A
        
        69345WAA6
        
          
        
        927009.88000000
        PA
        USD
        906874.11000000
        0.598939179520
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2023-05-27
          Floating
          4.40229000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Adjustable Rate Mortgage
        N/A
        
        576433UC8
        
          
        
        29781.46000000
        PA
        USD
        29180.78000000
        0.019272258672
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-10-25
          Variable
          2.59180100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -86185.02000000
        -0.05692034274
        N/A
        DCR
        CORP
        US
        N
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            
              
                IHS MARKIT LTD
                CMBX.NA.BBB-.8
                
                  
                  
                
              
            
            Y
            
            Default Event
            2057-10-17
            0.00000000
            USD
            -21182.38000000
            USD
            500000.00000000
            USD
            -65002.64000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        22945AAE9
        
          
        
        3052442.00000000
        PA
        USD
        2316884.37000000
        1.530171396789
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2057-07-25
          Variable
          2.96285000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12662KAF6
        
          
        
        1370000.00000000
        PA
        USD
        988096.47000000
        0.652581965349
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2066-07-25
          Variable
          4.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        
        30711XDY7
        
          
        
        3510266.03000000
        PA
        USD
        3624714.39000000
        2.393919331032
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2029-04-25
          Floating
          10.87357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Investm
        N/A
        
        02660CAH3
        
          
        
        12735444.86000000
        PA
        USD
        180042.26000000
        0.118907753892
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2047-03-25
          Floating
          2.42357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        
        12433XAJ8
        
          
        
        2000000.00000000
        PA
        USD
        1583636.80000000
        1.045902750107
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2044-03-11
          Variable
          3.66704200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        
        05608BAQ3
        
          
        
        2000000.00000000
        PA
        USD
        1861358.20000000
        1.229322064449
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-04-15
          Floating
          4.22400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        
        35563P6W4
        
          
        
        1699525.88000000
        PA
        USD
        998362.01000000
        0.659361775289
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2061-03-25
          Variable
          6.77980700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Tru
        N/A
        
        45661EGK4
        
          
        
        229046.85000000
        PA
        USD
        209892.42000000
        0.138622100285
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-06-25
          Variable
          3.07956200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Multifamily Connecticut Avenue
        549300HG8ZEWVWVSN227
        
        62547NAD1
        
          
        
        2500000.00000000
        PA
        USD
        2470524.50000000
        1.631642033550
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2049-10-15
          Floating
          10.37357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1961000.00000000
        PA
        USD
        -1961000.00000000
        -1.29512985108
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              3501991.00000000
              USD
              2650966.56000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        BSREP Commercial Mortgage Trus
        N/A
        
        05591UAQ0
        
          
        
        3536000.00000000
        PA
        USD
        3038548.09000000
        2.006789564162
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-08-15
          Floating
          6.82500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        
        02148GAA1
        
          
          
        
        809890.27000000
        PA
        USD
        670603.96000000
        0.442896076926
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2047-06-25
          Floating
          1.98357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Loanpal Solar Loan 2020-3 Ltd
        N/A
        
        53948NAC7
        
          
        
        800780.27000000
        PA
        USD
        673114.27000000
        0.444553995038
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2047-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        
        41161PJ38
        
          
        
        13654.36000000
        PA
        USD
        5472.53000000
        0.003614297278
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-02-25
          Variable
          2.72081500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        3137G0PS2
        
          
        
        1766948.10000000
        PA
        USD
        1812407.43000000
        1.196992842899
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2029-10-25
          Floating
          12.87357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -2418000.00000000
        PA
        USD
        -2418000.00000000
        -1.59695256498
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              2613274.77600000
              USD
              2781386.69000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Residential Funding Mtg Sec I
        N/A
        
        762009AN8
        
          
        
        1060134.04000000
        PA
        USD
        101369.70000000
        0.066948967091
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-06-25
          Floating
          3.87643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        N/A
        
        05990TBE6
        
          
        
        3604608.62000000
        PA
        USD
        3398646.69000000
        2.244614370993
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-03-27
          Variable
          1.66589200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        5493005BBCF84ICNQ550
        
        36228FCU8
        
          
        
        10517.03000000
        PA
        USD
        10523.15000000
        0.006949946809
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2023-03-20
          Floating
          0.94443000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Mortgage Securities,
        N/A
        
        25157GCA8
        
          
        
        202905.91000000
        PA
        USD
        33294.08000000
        0.021988861230
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-04-15
          Variable
          6.75406800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mor
        N/A
        
        863579MP0
        
          
        
        117006.95000000
        PA
        USD
        99484.90000000
        0.065704163040
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-03-25
          Variable
          2.71669800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nomura Resecuritization Trust
        N/A
        
        65540WCA5
        
          
        
        773801.73000000
        PA
        USD
        764257.81000000
        0.504749160457
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-03-26
          Variable
          3.34201700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investo
        N/A
        
        59020U5W1
        
          
          
        
        396685.84000000
        PA
        USD
        231142.73000000
        0.152656730996
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-03-25
          Variable
          2.60585100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        
        35563PAH2
        
          
        
        148209499.92000000
        PA
        USD
        399276.39000000
        0.263699526529
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2055-09-25
          Variable
          0.07500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tharaldson Hotel Portfolio Tru
        N/A
        
        88327HAN3
        
          
        
        1012600.33000000
        PA
        USD
        923861.51000000
        0.610158398710
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-11-11
          Floating
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Loanpal Solar Loan Ltd.
        N/A
        
        53948PAC2
        
          
        
        896714.56000000
        PA
        USD
        751912.29000000
        0.496595641090
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2048-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -2285000.00000000
        PA
        USD
        -2285000.00000000
        -1.50911356947
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              3441810.80800000
              USD
              2722718.58000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1281000.00000000
        PA
        USD
        -1281000.00000000
        -0.84602821990
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              390452156.50000000
              USD
              1216267.79000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae or Freddie Mac
        B1V7KEBTPIMZEU4LTD58
        
        01F050684
        
          
        
        -3100000.00000000
        PA
        USD
        -3156248.04000000
        -2.08452373994
        Short
        ABS-MBS
        USGSE
        US
        N
        2
        
          2052-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Retail Property Trust
        5493007115G809OI4R97
        
        85571XAS6
        
          
        
        1600000.00000000
        PA
        USD
        16.00000000
        0.000010567097
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2027-11-15
          Floating
          5.72500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1001000.00000000
        PA
        USD
        -1001000.00000000
        -0.66110401883
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1200000.00000000
              USD
              939806.16000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Popular ABS Mortgage Pass-Thro
        N/A
        
        73316PGW4
        
          
        
        2133623.19000000
        PA
        USD
        1930022.20000000
        1.274670762101
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-11-25
          Floating
          2.56857000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        254900YVLP8CB4GC2O97
        
        750493AE8
        
          
        
        2345000.00000000
        PA
        USD
        2186068.33000000
        1.443774783630
        Long
        ABS-MBS
        CORP
        BM
        
        N
        2
        
          2030-01-25
          Floating
          3.87357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        3137G1DQ7
        
          
        
        3723054.51000000
        PA
        USD
        2991659.33000000
        1.975822183868
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2048-11-25
          Variable
          4.51165500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDA Mortgage Loan Tru
        N/A
        
        45660LY60
        
          
        
        64820.50000000
        PA
        USD
        53496.08000000
        0.035331142337
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-01-25
          Variable
          3.05228700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Se
        N/A
        
        63875JAN8
        
          
        
        1697000.00000000
        PA
        USD
        1633747.04000000
        1.078997736170
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-03-15
          Floating
          6.47165000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        
        12669GUP4
        
          
        
        230167.83000000
        PA
        USD
        177132.37000000
        0.116985935737
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-04-25
          Variable
          2.59188600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        
        12651QAQ2
        
          
        
        1620000.00000000
        PA
        USD
        1501539.28000000
        0.991681970478
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2032-07-15
          Floating
          5.67400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        
        93935YAA8
        
          
        
        264088.78000000
        PA
        USD
        154388.99000000
        0.101965216536
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-12-25
          Floating
          1.82357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1321000.00000000
        PA
        USD
        -1321000.00000000
        -0.87244596292
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              1640000.00000000
              USD
              1414557.40000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Residential Funding Mtg Sec I
        N/A
        
        74957XAM7
        
          
        
        2139883.06000000
        PA
        USD
        147425.10000000
        0.097365960127
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-09-25
          Floating
          3.77643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -1907000.00000000
        PA
        USD
        -1907000.00000000
        -1.25946589802
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              2440000.00000000
              USD
              2123264.31100000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        3137G1CG0
        
          
        
        747409.94000000
        PA
        USD
        654511.00000000
        0.432267584887
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2047-09-25
          Variable
          4.04576400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        3137G0JZ3
        
          
        
        494289.59000000
        PA
        USD
        520115.18000000
        0.343506729026
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2028-10-25
          Floating
          12.12357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        
        000000000
        
          
        
        -2592000.00000000
        PA
        USD
        -2592000.00000000
        -1.71186974707
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.77140000
          2023-05-22
          
            
              3750000.00000000
              USD
              2865876.38000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        54930023UHZHF7UJ8596
        
        05990QAE3
        
          
        
        2641145.12000000
        PA
        USD
        2307895.99000000
        1.524235078966
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-02-27
          Variable
          1.13571000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tharaldson Hotel Portfolio Tru
        N/A
        
        88327HAQ6
        
          
          
        
        769576.25000000
        PA
        USD
        699663.63000000
        0.462088349277
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-11-11
          Floating
          5.37247600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Provident Bank Home Equity Loa
        N/A
        
        743844DA7
        
          
        
        617048.05000000
        PA
        USD
        544569.46000000
        0.359657401140
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2031-08-25
          Floating
          2.16357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, In
        N/A
        
        748939AA3
        
          
        
        139017.51000000
        PA
        USD
        127182.45000000
        0.083996831988
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-05-25
          Floating
          1.98357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        
        05609KAQ2
        
          
        
        2333655.12000000
        PA
        USD
        2126358.17000000
        1.404339592080
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-10-15
          Floating
          5.21400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Investment Lo
        N/A
        
        86358EMH6
        
          
        
        297405.43000000
        PA
        USD
        294599.20000000
        0.194566148917
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-09-25
          Floating
          5.37357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        3137G1CW5
        
          
        
        1794328.55000000
        PA
        USD
        1412514.28000000
        0.932885981190
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2048-05-25
          Variable
          3.82707700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securitizati
        N/A
        
        761120AA2
        
          
        
        176487.74000000
        PA
        USD
        118660.47000000
        0.078368545048
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-04-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300D2VO9JVX6KU482
        
        3137G0VB2
        
          
          
        
        5482551.13000000
        PA
        USD
        5718371.01000000
        3.776661394514
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2043-05-25
          Floating
          13.37357000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        
        83401B106
        
          
        
        34000.00000000
        PA
        USD
        645753.13000000
        0.426483505913
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2041-01-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ML-CFC Commercial Mortgage Tru
        N/A
        
        60688CAJ5
        
          
          
        
        21034.23000000
        PA
        USD
        20727.92000000
        0.013689621592
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2049-09-12
          Variable
          6.19300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        
        52520CAK1
        
          
        
        4262102.33000000
        PA
        USD
        669548.57000000
        0.442199051381
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-25
          Floating
          3.77643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Mortgage Securities,
        N/A
        
        25157GAW2
        
          
        
        118084.51000000
        PA
        USD
        21208.64000000
        0.014007110028
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-04-15
          Variable
          14.15863700
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      2022-08-18
      Western Asset Mortgage Opportunity Fund Inc.
      Christopher Berarducci
      Christopher Berarducci
      Principal Financial Officer