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Form NPORT-P Western Asset Mortgage For: Mar 31

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May 27, 2022 12:17 PM EDT 

  
    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
      2022-03-31
      N
    
    
      166904510.11
      2940859.22
      163963650.89
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      4729521.27000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -656000.00000000
        PA
        USD
        -656000.00000000
        -0.40008867602
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              1638296.44600000
              USD
              1166420.70900000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        River Haus 2021 A-2
        N/A
        River Haus 2021 A-2
        000000000
        
          
        
        1500000.00000000
        PA
        USD
        1500900.00000000
        0.915385813778
        Long
        DBT
        CORP
        US
        N
        3
        
          2024-08-15
          Floating
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Mortgage Securities,
        N/A
        Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
        25157GAW2
        
          
        
        131371.74000000
        PA
        USD
        27723.12000000
        0.016908088987
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-04-15
          Variable
          15.58712500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2019-2
        35563PKR9
        
          
        
        681000.00000000
        PA
        USD
        657245.22000000
        0.400848124832
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2058-08-25
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Equity Loan T
        N/A
        CWABS Revolving Home Equity Loan Trust Series 2004-L
        126673KQ4
        
          
          
        
        33283.53000000
        PA
        USD
        31942.84000000
        0.019481659396
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-02-15
          Floating
          0.67657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Series 2014-11R
        12649FCL0
        
          
        
        3456747.90000000
        PA
        USD
        2927724.09000000
        1.785593376402
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-10-27
          Floating
          0.46686000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan T
        N/A
        New Century Home Equity Loan Trust 2004-3
        64352VHX2
        
          
        
        368806.51000000
        PA
        USD
        372054.04000000
        0.226912512609
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-11-25
          Floating
          1.52157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1355000.00000000
        PA
        USD
        -1355000.00000000
        -0.82640267684
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              1772605.94800000
              USD
              1851790.88300000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1238000.00000000
        PA
        USD
        -1238000.00000000
        -0.75504539773
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              2813748.50700000
              USD
              3567995.95500000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        ChaseFlex Trust
        N/A
        ChaseFlex Trust Series 2005-2
        16165TBD4
        
          
        
        6326045.20000000
        PA
        USD
        934730.75000000
        0.570084128357
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-06-25
          Floating
          5.04343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        N/A
        Banc of America Funding 2004-C Trust
        05946XLZ4
        
          
          
        
        219932.52000000
        PA
        USD
        215786.70000000
        0.131606425466
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-12-20
          Variable
          2.93117900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Tru
        N/A
        IndyMac INDX Mortgage Loan Trust 2006-AR9
        45661EGK4
        
          
        
        230313.60000000
        PA
        USD
        225320.29000000
        0.137420878820
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-06-25
          Variable
          2.93829100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2005-J10
        12667G4G5
        
          
          
        
        515711.63000000
        PA
        USD
        360029.89000000
        0.219579088441
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-10-25
          Floating
          0.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Mortgage Securities,
        N/A
        Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
        25157GCA8
        
          
        
        211255.14000000
        PA
        USD
        38937.79000000
        0.023747818366
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-04-15
          Variable
          7.35021300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        549300LENCFK8RITKD65
        Banc of America Funding 2014-R5 Trust
        05990PAB1
        
          
        
        3750000.00000000
        PA
        USD
        3308981.25000000
        2.018118791597
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2045-09-26
          Floating
          2.32629000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -927000.00000000
        PA
        USD
        -927000.00000000
        -0.56536921138
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87930000
          2023-05-22
          
            
              3363639.13600000
              USD
              1443145.19400000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Loanpal Solar Loan 2020-3 Ltd
        N/A
        Loanpal Solar Loan Ltd
        53948NAC7
        
          
        
        830000.00000000
        PA
        USD
        730593.64000000
        0.445582686183
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2047-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley ReRemic Trust
        N/A
        Morgan Stanley Resecuritization Trust 2015-R2
        61690HAE9
        
          
        
        890974.98000000
        PA
        USD
        833972.36000000
        0.508632465472
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2046-12-27
          Floating
          0.81412400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        549300R1KUK063S4I339
        Citigroup Mortgage Loan Trust Inc
        17307GKZ0
        
          
        
        18632.46000000
        PA
        USD
        18384.55000000
        0.011212576629
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-08-25
          Variable
          1.26875900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        Lehman Mortgage Trust 2006-7
        52520QAC8
        
          
        
        3639342.76000000
        PA
        USD
        563841.55000000
        0.343882041500
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-11-25
          Floating
          4.89343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BankAmerica Manufactured Housi
        N/A
        BankAmerica Manufactured Housing Contract Trust
        065910AH4
        
          
        
        7866000.00000000
        PA
        USD
        528227.86000000
        0.322161562720
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2026-10-10
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1286000.00000000
        PA
        USD
        -1286000.00000000
        -0.78432017890
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              441703047.60000000
              USD
              1717794.27000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        FirstFed Corp Manufactured Hou
        N/A
        Firstfed Corp Manufactured Housing Contract
        33761SAF5
        
          
        
        121323.71000000
        PA
        USD
        347.23000000
        0.000211772547
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2024-05-15
          Fixed
          8.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2019-SMP
        36259NAN1
        
          
        
        1500000.00000000
        PA
        USD
        1386002.70000000
        0.845310953053
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2032-08-15
          Floating
          4.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0KV0
        
          
        
        1027776.36000000
        PA
        USD
        1121124.76000000
        0.683764208661
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2028-12-25
          Floating
          11.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certi
        N/A
        Countrywide Asset-Backed Certificates
        23248AAA9
        
          
        
        327036.82000000
        PA
        USD
        276706.54000000
        0.168760904321
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2047-05-25
          Floating
          1.00657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Series 2015-2R
        12649QBE3
        
          
        
        3441810.81000000
        PA
        USD
        3016847.33000000
        1.839948862826
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-08-27
          Variable
          2.72019000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan T
        N/A
        Morgan Stanley Mortgage Loan Trust 2007-15AR
        61756XBK0
        
          
        
        367193.89000000
        PA
        USD
        343991.75000000
        0.209797566797
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-11-25
          Variable
          2.83841100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2007-3T1
        02149VAU3
        
          
          
        
        24895.33000000
        PA
        USD
        24982.46000000
        0.015236584367
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2027-03-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Mortgage Securities,
        N/A
        Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
        25157GAT9
        
          
        
        137722.08000000
        PA
        USD
        17900.51000000
        0.010917364856
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-04-15
          Variable
          8.97521500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-R01
        20754CAF6
        
          
        
        1500000.00000000
        PA
        USD
        1400707.05000000
        0.854279007814
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2040-01-25
          Floating
          3.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Motel 6 Trust
        N/A
        Motel Trust 2021-MTL6
        61977KAS5
        
          
        
        849411.80000000
        PA
        USD
        848743.82000000
        0.517641450036
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-09-15
          Floating
          6.39657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2005-18
        126694EP9
        
          
        
        10770.38000000
        PA
        USD
        10012.73000000
        0.006106676660
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-10-25
          Floating
          18.26943200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bombardier Capital Mortgage Se
        N/A
        BCMSC Trust 1999-A
        09774XAU6
        
          
        
        60807.66000000
        PA
        USD
        60646.50000000
        0.036987771174
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2029-03-15
          Variable
          5.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan T
        N/A
        Renaissance Home Equity Loan Trust 2006-1
        759950GX0
        
          
        
        523799.29000000
        PA
        USD
        345520.59000000
        0.210729992973
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-05-25
          Variable
          6.16600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1182000.00000000
        PA
        USD
        -1182000.00000000
        -0.72089148636
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87930000
          2023-05-22
          
            
              1575700.93000000
              USD
              1576910.15200000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        NewRez Warehouse Securitizatio
        N/A
        NewRez Warehouse Securitization Trust 2021-1
        65246PAF8
        
          
        
        2460000.00000000
        PA
        USD
        2433334.58000000
        1.484069528088
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2055-05-25
          Floating
          5.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust
        93934FFE7
        
          
        
        43580.16000000
        PA
        USD
        61490.04000000
        0.037502238859
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-11-25
          Floating
          32.58515300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ML-CFC Commercial Mortgage Tru
        N/A
        ML-CFC Commercial Mortgage Trust 2007-9
        60688CAK2
        
          
          
        
        5494.08000000
        PA
        USD
        5413.54000000
        0.003301670809
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2049-09-12
          Variable
          6.22200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FARM 2021-1 Mortgage Trust
        N/A
        FARM 21-1 Mortgage Trust
        30768WAC2
        
          
        
        1312638.00000000
        PA
        USD
        1161288.34000000
        0.708259625652
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2051-07-25
          Variable
          3.24675200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1025000.00000000
        PA
        USD
        -1025000.00000000
        -0.62513855628
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87230000
          2023-05-22
          
            
              1370000.00000000
              USD
              1259071.37000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1926000.00000000
        PA
        USD
        -1926000.00000000
        -1.17465059453
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87230000
          2023-05-22
          
            
              2253706.99400000
              USD
              2902524.86000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2017-RPL1 Trust
        22945AAF6
        
          
        
        3501991.00000000
        PA
        USD
        2938332.59000000
        1.792063407987
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2057-07-25
          Variable
          2.97310000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1252000.00000000
        PA
        USD
        -1252000.00000000
        -0.76358387557
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              2758523.84000000
              USD
              3486414.19000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        GSMPS Mortgage Loan Trust
        N/A
        GSMPS Mortgage Loan Trust 2005-RP1
        36242DXL2
        
          
        
        43990.50000000
        PA
        USD
        46328.67000000
        0.028255451588
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-01-25
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS PASS-THROUGH TRUST
        N/A
        CVS Pass-Through Trust
        336249AC1
        
          
          
        
        479443.58000000
        PA
        USD
        509099.57000000
        0.310495385554
        Long
        DBT
        CORP
        US
        N
        2
        
          2023-01-10
          Fixed
          9.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2006-HY10
        12668BUF8
        
          
        
        152502.13000000
        PA
        USD
        143348.98000000
        0.087427292099
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-05-25
          Variable
          2.70719100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
        46652BAU3
        
          
        
        646000.00000000
        PA
        USD
        615924.82000000
        0.375647173417
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-01-16
          Floating
          4.43057000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2017-RPL1 Trust
        22945AAG4
        
          
        
        2977486.00000000
        PA
        USD
        2158109.84000000
        1.316212360657
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2057-07-25
          Variable
          2.97310000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MBRT 2019 MBR
        N/A
        MBRT 2019-MBR
        55282DBE3
        
          
        
        2000000.00000000
        PA
        USD
        1959966.60000000
        1.195366527496
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-11-15
          Floating
          4.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman XS Trust
        N/A
        Lehman XS Trust 2006-19
        52523YAD6
        
          
          
        
        417590.78000000
        PA
        USD
        387891.93000000
        0.236571903525
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-12-25
          Floating
          0.79657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1598000.00000000
        PA
        USD
        -1598000.00000000
        -0.97460625652
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              1654423.31700000
              USD
              1834773.10000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certi
        N/A
        Countrywide Asset-Backed Certificates
        23244AAA3
        
          
        
        219505.06000000
        PA
        USD
        214495.30000000
        0.130818811874
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-25
          Floating
          1.11657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2017-1 Ltd
        078767AC4
        
          
        
        1070000.00000000
        PA
        USD
        1073114.98000000
        0.654483462752
        Long
        ABS-MBS
        CORP
        BM
        
        N
        2
        
          2027-10-25
          Floating
          5.20657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        Wells Fargo Commercial Mortgage Trust 2022-JS2
        95003GAQ4
        
          
        
        2200000.00000000
        PA
        USD
        1631402.30000000
        0.994978027840
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2039-12-15
          Variable
          3.45390300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -3179000.00000000
        PA
        USD
        -3179000.00000000
        -1.93884436138
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              3530000.00000000
              USD
              3841099.61000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1120000.00000000
        PA
        USD
        -1120000.00000000
        -0.68307822735
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87230000
          2023-05-22
          
            
              5059104.73500000
              USD
              3861749.93200000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Adjustable Rate Mortgage Trust
        N/A
        Adjustable Rate Mortgage Trust 2005-5
        007036LG9
        
          
          
        
        89376.05000000
        PA
        USD
        79424.06000000
        0.048440041173
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-09-25
          Variable
          2.87180500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ML-CFC Commercial Mortgage Tru
        N/A
        ML-CFC Commercial Mortgage Trust 2007-5
        55312YAH5
        
          
          
        
        44730.14000000
        PA
        USD
        21995.87000000
        0.013415089186
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2048-08-12
          Variable
          5.40763500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2007-23CB
        02151EAS1
        
          
          
        
        402119.94000000
        PA
        USD
        423395.95000000
        0.258225495530
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-09-25
          Floating
          26.57372000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA6
        35564KLV9
        
          
        
        1640000.00000000
        PA
        USD
        1562061.13000000
        0.952687453298
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2041-10-25
          Floating
          7.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        N/A
        VOYA CLO 2017-2
        92915XAD0
        
          
        
        400000.00000000
        PA
        USD
        388832.24000000
        0.237145390389
        Long
        ABS-CBDO
        CORP
        KY
        N
        2
        
          2030-06-07
          Floating
          6.26129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSMPS Mortgage Loan Trust
        N/A
        GSMPS Mortgage Loan Trust 2006-RP1
        3623413E7
        
          
        
        296681.86000000
        PA
        USD
        294506.00000000
        0.179616639664
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-01-25
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        5493005BBCF84ICNQ550
        GS Mortgage Securities Corp II
        36228FCU8
        
          
        
        13164.28000000
        PA
        USD
        13167.16000000
        0.008030535992
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2023-03-20
          Floating
          0.52071000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -4994000.00000000
        PA
        USD
        -4994000.00000000
        -3.04579702445
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              5538384.81500000
              USD
              6174160.05400000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2007-S3
        46631NAT6
        
          
          
        
        1935379.75000000
        PA
        USD
        688086.53000000
        0.419657970693
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-08-25
          Floating
          0.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hawaii Hotel Trust 2019-MAUI
        N/A
        Hawaii Hotel Trust 2019-MAUI
        41975AAL6
        
          
        
        1000000.00000000
        PA
        USD
        976050.70000000
        0.595284805322
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-05-15
          Floating
          3.14657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REDWOOD FUNDING TRUST 2019-1
        N/A
        Redwood Funding Trust 2019-1
        75806BAA1
        
          
        
        2147984.31000000
        PA
        USD
        2144203.86000000
        1.307731224793
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2024-09-27
          Variable
          4.21300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        N/A
        Banc of America Funding 2006-D Trust
        058933AE2
        
          
        
        32681.45000000
        PA
        USD
        31856.54000000
        0.019429025779
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-05-20
          Variable
          3.49900200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Mortgage Securities,
        N/A
        Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
        25157GAE2
        
          
        
        13504.00000000
        PA
        USD
        10967.75000000
        0.006689135025
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-04-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Legacy Mortgage Asset Trust
        N/A
        Legacy Mortgage Asset Trust 2021-GS3
        52474XAB1
        
          
        
        1640000.00000000
        PA
        USD
        1539042.26000000
        0.938648445338
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2061-07-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stonepeak
        N/A
        Stonepeak 2021-1 ABS
        78433XAC4
        
          
        
        1576606.91000000
        PA
        USD
        1421830.62000000
        0.867162088842
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2033-02-28
          Fixed
          3.82100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2016-1
        35563PAF6
        
          
        
        12097569.37000000
        PA
        USD
        4352711.51000000
        2.654680770020
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2055-09-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        549300R1KUK063S4I339
        Citigroup Mortgage Loan Trust Inc
        17307GXX1
        
          
        
        92770.83000000
        PA
        USD
        86361.75000000
        0.052671277768
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-08-25
          Variable
          2.46174000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2005-11
        12669GUX7
        
          
          
        
        37397.45000000
        PA
        USD
        29249.81000000
        0.017839203897
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-03-25
          Floating
          1.05657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Access Group Inc
        635400C9RW3TYNTIJP57
        AccessLex Institute
        00432CBK6
        
          
          
        
        250000.00000000
        PA
        USD
        235952.57000000
        0.143905413620
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2039-07-01
          Variable
          1.95700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        N/A
        Banc of America Funding 2015-R2 Trust
        05990TBE6
        
          
        
        3756538.00000000
        PA
        USD
        3592499.75000000
        2.191034250884
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-03-27
          Variable
          0.71307500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -2422000.00000000
        PA
        USD
        -2422000.00000000
        -1.47715666664
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              2617463.77800000
              USD
              2801749.82700000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2017-2
        35563PBM0
        
          
        
        19227628.72000000
        PA
        USD
        2062568.88000000
        1.257942762804
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2056-08-25
          Variable
          1.94334400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1867000.00000000
        PA
        USD
        -1867000.00000000
        -1.13866700934
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87730000
          2023-05-22
          
            
              5498030.08900000
              USD
              10994459.63000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        MED Trust
        N/A
        Med Trust 2021-MDLN
        58403YAX4
        
          
        
        1100000.00000000
        PA
        USD
        1078457.16000000
        0.657741611720
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-11-15
          Floating
          4.39700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2007-OA8
        02148GAA1
        
          
          
        
        841075.70000000
        PA
        USD
        734373.47000000
        0.447887971519
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2047-06-25
          Floating
          0.81657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        Lehman Mortgage Trust 2006-7
        52520QAH7
        
          
        
        2678639.39000000
        PA
        USD
        1382105.87000000
        0.842934310438
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-11-25
          Floating
          0.63657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, In
        N/A
        RALI Series 2006-QO2 Trust
        761118VY1
        
          
        
        168368.34000000
        PA
        USD
        42772.02000000
        0.026086281787
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2046-02-25
          Floating
          0.89657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -585000.00000000
        PA
        USD
        -585000.00000000
        -0.35678639553
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              926503.04040000
              USD
              3778014.13900000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XCH5
        
          
        
        2338089.61000000
        PA
        USD
        2584882.68000000
        1.576497391933
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2028-09-25
          Floating
          12.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        HarborView Mortgage Loan Trust 2006-2
        41161PJ38
        
          
        
        13687.95000000
        PA
        USD
        5864.72000000
        0.003576841554
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-02-25
          Variable
          2.59787300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Financial Asset Trust
        N/A
        Bayview Financial Asset Trust 2007-SSR1
        07325QAB1
        
          
        
        1604840.30000000
        PA
        USD
        1522407.36000000
        0.928502964978
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-03-25
          Floating
          1.25657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE INTERNATIONAL
        E58DKGMJYYYJLN8C3868
        SWOP CDS CDX.NA.IG.37.V1
        000000000
        
          
        
        55590000.00000000
        NC
        USD
        27840.11000000
        0.016979440167
        N/A
        DCR
        CORP
        GB
        
        N
        2
        
          
            
              CREDIT SUISSE INTERNATIONAL
              E58DKGMJYYYJLN8C3868
            
            Put
            Purchased
            
              
                
                  
                    CREDIT SUISSE INTERNATIONAL
                    E58DKGMJYYYJLN8C3868
                  
                  
                    CREDIT SUISSE INTERNATIONAL
                    E58DKGMJYYYJLN8C3868
                    CDS CDX.NA.IG.37.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.37.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-12-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            55590000.00000000
            USD
            70.00000000
            USD
            2022-04-20
            XXXX
            -97793.29000000
          
        
        
          N
          N
          N
        
      
      
        National Collegiate Student Lo
        635400CI2B1FTO6YXF12
        National Collegiate Student Loan Trust 2006-3
        63543VAG8
        
          
        
        1710000.00000000
        PA
        USD
        1339990.54000000
        0.817248538152
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2032-01-26
          Floating
          0.81657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GMAC Commercial Mortgage Secur
        N/A
        GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust
        361849R46
        
          
          
        
        9770.95000000
        PA
        USD
        9301.46000000
        0.005672879293
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2045-11-10
          Variable
          5.34900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2007-S2
        46630WBC3
        
          
        
        12470.63000000
        PA
        USD
        12735.37000000
        0.007767191039
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-06-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Loanpal Solar Loan Ltd.
        N/A
        Loanpal Solar Loan 2021-1 Ltd
        53948PAC2
        
          
        
        931661.00000000
        PA
        USD
        815126.51000000
        0.497138545998
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2048-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
        46652DAN5
        
          
        
        988000.00000000
        PA
        USD
        893971.64000000
        0.545225502815
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-12-15
          Floating
          4.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -2300000.00000000
        PA
        USD
        -2300000.00000000
        -1.40274993116
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              2339781.04000000
              USD
              2610731.50700000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2005-36
        12667GA29
        
          
        
        171801.58000000
        PA
        USD
        166145.67000000
        0.101330794415
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-08-25
          Variable
          2.84634800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMB Private Education Loan Tru
        549300XC4C7GRVLU6076
        SMB Private Education Loan Trust 2014-A
        784456105
        
          
        
        6875.00000000
        PA
        USD
        994761.73000000
        0.606696499254
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2045-09-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 5 Year US Treasury Note
        000000000
        
          
          
        
        -189.00000000
        NC
        USD
        599167.80000000
        0.365427213133
        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
                
                  
                  
                  
                
              
            
            2022-06-30
            -22275105.30000000
            USD
            599167.80000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYMZ
        46654GAA4
        
          
        
        1250000.00000000
        PA
        USD
        1237569.25000000
        0.754782687066
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2026-06-15
          Floating
          7.64657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2005-11
        12669GUP4
        
          
        
        231454.81000000
        PA
        USD
        187957.81000000
        0.114633828278
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-04-25
          Variable
          2.53149700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0LK3
        
          
        
        1573772.95000000
        PA
        USD
        1561297.18000000
        0.952221526859
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2029-03-25
          Floating
          9.05657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XBQ6
        
          
        
        1864039.16000000
        PA
        USD
        2010846.41000000
        1.226397679659
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2028-08-25
          Floating
          12.20657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1600000.00000000
        PA
        USD
        -1600000.00000000
        -0.97582603907
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
          N
          1.89580000
          2023-05-22
          
            
              19301937.09000000
              USD
              2145071.63500000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing a
        N/A
        Credit-Based Asset Servicing and Securitization LLC
        14983AAC3
        
          
        
        3547367.44000000
        PA
        USD
        193805.10000000
        0.118200039428
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-09-25
          Floating
          0.89657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-4SZN
        12663FAA7
        
          
        
        1750000.00000000
        PA
        USD
        1706358.85000000
        1.040693373645
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2023-11-15
          Floating
          4.26766000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0JZ3
        
          
        
        494399.24000000
        PA
        USD
        525087.94000000
        0.320246552909
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2028-10-25
          Floating
          10.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOHO Trust 2021-SOHO
        N/A
        Soho Trust 2021-SOHO
        83410JAJ7
        
          
        
        1500000.00000000
        PA
        USD
        1232266.05000000
        0.751548311660
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-08-10
          Variable
          2.69658900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, In
        N/A
        RALI Series 2006-QA1 Trust
        761118SZ2
        
          
          
        
        257378.25000000
        PA
        USD
        218428.40000000
        0.133217575245
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-01-25
          Variable
          4.17140000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Tru
        N/A
        IndyMac INDX Mortgage Loan Trust 2006-AR11
        45661KAA8
        
          
        
        305627.96000000
        PA
        USD
        276030.12000000
        0.168348361665
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-06-25
          Variable
          2.72316400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust 2017-4
        64829NAJ3
        
          
        
        2188844.97000000
        PA
        USD
        2198882.47000000
        1.341079231930
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2057-05-25
          Variable
          5.34893700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Tru
        N/A
        IndyMac INDX Mortgage Loan Trust 2005-AR15
        45660LVM8
        
          
          
        
        40970.35000000
        PA
        USD
        37948.35000000
        0.023144367543
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-09-25
          Variable
          2.92248000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        Citigroup Mortgage Loan Trust 2006-AR5
        17309FAS7
        
          
        
        171770.59000000
        PA
        USD
        110058.31000000
        0.067123602946
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-25
          Variable
          2.75169800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BCAP LLC Trust
        N/A
        BCAP LLC 2011-RR2 Trust
        05533TAD3
        
          
          
        
        2558391.35000000
        PA
        USD
        1393748.42000000
        0.850035000095
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-26
          Variable
          2.90043000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corpora
        N/A
        Chase Mortgage Finance Trust Series 2006-S3
        16162XAH0
        
          
          
        
        130443.43000000
        PA
        USD
        66981.68000000
        0.040851542178
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2021-11-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XCR3
        
          
          
        
        1654419.94000000
        PA
        USD
        1816607.03000000
        1.107932776648
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2028-10-25
          Floating
          12.20657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Alternative Loan T
        N/A
        Wells Fargo Alternative Loan 2007-PA1 Trust
        94984TAM1
        
          
        
        1408892.38000000
        PA
        USD
        127341.61000000
        0.077664536809
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-03-25
          Floating
          5.00343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nomura Resecuritization Trust
        N/A
        Nomura Resecuritization Trust 2015-4R
        65540WCA5
        
          
        
        799693.43000000
        PA
        USD
        806434.13000000
        0.491837139282
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-03-26
          Variable
          3.14734600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAA Home Equity Trust
        N/A
        GSAA Resecuritization Mortgage Trust 2005-R1
        36242D3S0
        
          
        
        265960.97000000
        PA
        USD
        50357.85000000
        0.030712813313
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-04-25
          Floating
          4.91400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XDB7
        
          
        
        2613274.78000000
        PA
        USD
        2774009.73000000
        1.691844329485
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2029-01-25
          Floating
          10.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -839000.00000000
        PA
        USD
        -839000.00000000
        -0.51169877923
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              4655177.64000000
              USD
              5883499.29200000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -895000.00000000
        PA
        USD
        -895000.00000000
        -0.54585269060
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
          N
          1.89580000
          2023-05-22
          
            
              11287980.35000000
              USD
              3680970.00200000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Popular ABS Mortgage Pass-Thro
        N/A
        Popular ABS Mortgage Pass-Through Trust 2005-5
        73316PGW4
        
          
        
        2133425.47000000
        PA
        USD
        2034523.92000000
        1.240838386408
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-11-25
          Floating
          1.40157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2007-GG10
        36246LAH4
        
          
          
        
        2271790.91000000
        PA
        USD
        959477.49000000
        0.585176949154
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2045-08-10
          Variable
          5.83076400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        549300R1KUK063S4I339
        Citigroup Mortgage Loan Trust Inc
        17307GJX7
        
          
        
        27999.68000000
        PA
        USD
        27455.68000000
        0.016744979665
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-09-25
          Variable
          2.52408300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Multifamily Structured Credit
        N/A
        Freddie Mac Multifamily Structured Credit Risk
        35563FAC5
        
          
        
        950000.00000000
        PA
        USD
        1024384.81000000
        0.624763357268
        Long
        ABS-MBS
        USGSE
        US
        N
        2
        
          2051-01-25
          Floating
          7.84900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tharaldson Hotel Portfolio Tru
        N/A
        Tharaldson Hotel Portfolio Trust 2018-THPT
        88327HAQ6
        
          
          
        
        769576.25000000
        PA
        USD
        745363.61000000
        0.454590762009
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-11-11
          Floating
          4.54247600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        CDS CMBX.NA.BBB-.12
        000000000
        
          
        
        1.00000000
        NC
        USD
        44418.47000000
        0.027090437276
        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
            40117.32000000
            USD
            0.00000000
            USD
            -500000.00000000
            USD
            4301.15000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300YG8OJES76WL398
        STACR Trust 2018-HRP2
        35564ACC3
        
          
        
        3530000.00000000
        PA
        USD
        3841099.61000000
        2.342653136320
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2047-02-25
          Floating
          10.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Funding Mtg Sec I
        N/A
        RFMSI Series 2007-S6 Trust
        762009AF5
        
          
        
        1108785.14000000
        PA
        USD
        904690.73000000
        0.551762982276
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-06-25
          Floating
          0.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RBSGC Mortgage Pass Through Ce
        N/A
        RBSGC Mortgage Loan Trust 2007-A
        74927WAG9
        
          
        
        2695038.82000000
        PA
        USD
        498214.58000000
        0.303856725131
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-01-25
          Floating
          0.80657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investo
        N/A
        Merrill Lynch Mortgage Investors Trust Series 2006-A1
        59020U5W1
        
          
          
        
        407625.75000000
        PA
        USD
        251159.30000000
        0.153179865559
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-03-25
          Variable
          2.65596400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0PS2
        
          
        
        1767586.33000000
        PA
        USD
        1833456.32000000
        1.118209011599
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2029-10-25
          Floating
          11.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Retail Property Trust
        5493007115G809OI4R97
        Starwood Retail Property Trust 2014-STAR
        85571XAQ0
        
          
        
        1000000.00000000
        PA
        USD
        10.00000000
        0.000006098912
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2027-11-15
          Floating
          3.89700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KNDR Trust 2021-KIND
        N/A
        KIND Trust 2021-KIND
        482606AS9
        
          
        
        1810000.00000000
        PA
        USD
        1784603.71000000
        1.088414231028
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-08-15
          Floating
          4.34700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2020-LOTS Trust
        12597RAA2
        
          
        
        1384000.00000000
        PA
        USD
        1370632.91000000
        0.835937052243
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2022-07-15
          Floating
          4.72450000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Tru
        N/A
        IndyMac INDX Mortgage Loan Trust 2004-AR13
        45660N7J8
        
          
        
        25907.62000000
        PA
        USD
        25546.08000000
        0.015580331287
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-01-25
          Variable
          2.68118500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Alternative Loan T
        N/A
        JP Morgan Alternative Loan Trust 2007-A1
        466287AR0
        
          
        
        205204.06000000
        PA
        USD
        213304.12000000
        0.130092321586
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-03-25
          Variable
          3.33991300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust
        92922F6C7
        
          
        
        534673.27000000
        PA
        USD
        297483.33000000
        0.181432487252
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2045-11-25
          Floating
          1.25657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        Lehman Mortgage Trust 2007-5
        52521RAS0
        
          
          
        
        2580366.61000000
        PA
        USD
        399542.42000000
        0.243677435718
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-06-25
          Floating
          0.78657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mor
        N/A
        Structured Adjustable Rate Mortgage Loan Trust Series 2005-4
        863579MP0
        
          
        
        119002.75000000
        PA
        USD
        107726.37000000
        0.065701373088
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-03-25
          Variable
          2.69789400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Provident Bank Home Equity Loa
        N/A
        Provident Home Equity Loan Trust 2000-2
        743844DA7
        
          
        
        638224.20000000
        PA
        USD
        581397.04000000
        0.354588981670
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2031-08-25
          Floating
          0.99657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        91155.54000000
        0.055594968461
        N/A
        DIR
        CORP
        US
        N
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2028-08-15
            0.00000000
            USD
            -2518.50000000
            USD
            -1714000.00000000
            USD
            93674.04000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Mortgage Securities,
        N/A
        Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
        25157GBJ0
        
          
        
        58629.18000000
        PA
        USD
        13755.26000000
        0.008389213051
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-04-15
          Variable
          10.58222900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2017-RPL1 Trust
        22945AAH2
        
          
        
        3119793.65000000
        PA
        USD
        680857.53000000
        0.415249066670
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2057-07-25
          Variable
          2.97310000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DBUBS Mortgage Trust
        N/A
        DBUBS 2011-LC3 Mortgage Trust
        23305YAQ2
        
          
        
        2599999.99000000
        PA
        USD
        72488.00000000
        0.044209798700
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2044-08-10
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Investm
        N/A
        American Home Mortgage Investment Trust 2007-A
        026933AA9
        
          
        
        1746273.33000000
        PA
        USD
        663635.90000000
        0.404745744802
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2046-07-25
          Floating
          1.35657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Financial Mortgage T
        N/A
        Ellington Financial Mortgage Trust 2020-1
        31574PAF2
        
          
        
        1550000.00000000
        PA
        USD
        1556161.25000000
        0.949089167966
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2065-05-25
          Variable
          5.18613600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hawaii Hotel Trust 2019-MAUI
        N/A
        Hawaii Hotel Trust 2019-MAUI
        41975AAN2
        
          
        
        1697000.00000000
        PA
        USD
        1625862.44000000
        0.991599315564
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-05-15
          Floating
          3.54657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2017-2
        35563PBK4
        
          
        
        11212186.30000000
        PA
        USD
        3440158.88000000
        2.098122883533
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2056-08-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LADDER CAP FIN LLLP/CORP
        N/A
        Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
        505742AP1
        
          
          
        
        2000000.00000000
        PA
        USD
        1888820.00000000
        1.151974836951
        Long
        DBT
        CORP
        US
        N
        2
        
          2029-06-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MULTIFAMILY CONNECTICUT AVENUE
        5493002KQF9IH3CTQZ40
        Multifamily Connecticut Avenue Securities Trust 2020-01
        62548QAF8
        
          
        
        1500000.00000000
        PA
        USD
        1511368.95000000
        0.921770735035
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2050-03-25
          Floating
          7.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BSREP Commercial Mortgage Trus
        N/A
        BSREP Commercial Mortgage Trust 2021-DC
        05591UAQ0
        
          
        
        3536000.00000000
        PA
        USD
        3495370.30000000
        2.131795846839
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-08-15
          Floating
          5.89700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        Radnor RE 2021-1 Ltd
        75279YAC5
        
          
        
        1225000.00000000
        PA
        USD
        1155590.64000000
        0.704784648138
        Long
        ABS-MBS
        CORP
        BM
        
        N
        2
        
          2033-12-27
          Floating
          2.79900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -840000.00000000
        PA
        USD
        -840000.00000000
        -0.51230867051
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              1029407.09000000
              USD
              1132336.00800000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust
        92922FD96
        
          
        
        1415097.29000000
        PA
        USD
        1185176.39000000
        0.722828738910
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2045-01-25
          Floating
          1.25157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G1DQ7
        
          
        
        3737192.63000000
        PA
        USD
        3406491.44000000
        2.077589405645
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2048-11-25
          Variable
          4.50394100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1818000.00000000
        PA
        USD
        -1818000.00000000
        -1.10878233689
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87730000
          2023-05-22
          
            
              4075180.76400000
              USD
              2331396.35200000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        AFC Home Equity Loan Trust
        N/A
        AFC Trust Series 2000-3
        00105HEL6
        
          
        
        634689.93000000
        PA
        USD
        606433.53000000
        0.369858518463
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2030-10-25
          Floating
          0.93686000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -678000.00000000
        PA
        USD
        -678000.00000000
        -0.41350628405
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              1299117.82700000
              USD
              18356174.91000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT US Long Bond
        000000000
        
          
          
        
        16.00000000
        NC
        USD
        -72648.46000000
        -0.04430766185
        N/A
        DIR
        CORP
        US
        N
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            2473648.46000000
            USD
            -72648.46000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AATJ4
        
          
        
        1544951.54000000
        PA
        USD
        248822.63000000
        0.151754750915
        Long
        ABS-MBS
        USGSE
        US
        N
        2
        
          2042-12-25
          Floating
          5.69343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, In
        N/A
        RALI Series 2007-QA2 Trust
        74922PAA2
        
          
          
        
        38682.71000000
        PA
        USD
        46840.09000000
        0.028567362184
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-02-25
          Floating
          0.71657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -2400000.00000000
        PA
        USD
        -2400000.00000000
        -1.46373905861
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87860000
          2023-05-22
          
            
              4027914.30200000
              USD
              4462503.78600000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust
        93934FCK6
        
          
        
        115768.51000000
        PA
        USD
        119801.75000000
        0.073066041985
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-10-25
          Floating
          21.60924200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ML-CFC Commercial Mortgage Tru
        N/A
        ML-CFC Commercial Mortgage Trust 2007-9
        60688CAJ5
        
          
          
        
        23579.18000000
        PA
        USD
        23235.81000000
        0.014171317773
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2049-09-12
          Variable
          6.19300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2018-3
        35563PGW3
        
          
        
        3358275.91000000
        PA
        USD
        1387639.61000000
        0.846309290179
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2057-08-25
          Variable
          0.96934000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        N/A
        Banc of America Funding 2006-F Trust
        05950HAA9
        
          
          
        
        98934.40000000
        PA
        USD
        100569.88000000
        0.061336692281
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-20
          Variable
          2.65707000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1903000.00000000
        PA
        USD
        -1903000.00000000
        -1.16062309522
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              2440000.00000000
              USD
              2236065.44900000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Tharaldson Hotel Portfolio Tru
        N/A
        Tharaldson Hotel Portfolio Trust 2018-THPT
        88327HAN3
        
          
        
        1012600.33000000
        PA
        USD
        974822.54000000
        0.594535761254
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-11-11
          Floating
          3.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Thrust Engine Leasing
        N/A
        Thrust Engine Leasing 2021 DAC
        88603UAA7
        
          
        
        1665813.70000000
        PA
        USD
        1560652.21000000
        0.951828165284
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2040-07-15
          Fixed
          4.16300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Funding Mtg Sec I
        N/A
        RFMSI Series 2007-S6 Trust
        762009AN8
        
          
        
        1108785.14000000
        PA
        USD
        136083.42000000
        0.082996090451
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-06-25
          Floating
          5.04343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Multifamily Connecticut Avenue
        549300HG8ZEWVWVSN227
        Multifamily Connecticut Avenue Securities Trust 2019-01
        62547NAD1
        
          
        
        2500000.00000000
        PA
        USD
        2520006.50000000
        1.536929975833
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2049-10-15
          Floating
          9.20657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        SWOP CDS CDX.NA.IG.37.V1
        000000000
        
          
        
        -90000000.00000000
        NC
        USD
        -63845.85000000
        -0.03893902682
        N/A
        DCR
        CORP
        US
        N
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    CDS CDX.NA.IG.37.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.37.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-12-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -90000000.00000000
            USD
            100.00000000
            USD
            2022-06-15
            XXXX
            82404.15000000
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1499000.00000000
        PA
        USD
        -1499000.00000000
        -0.91422702035
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87730000
          2023-05-22
          
            
              2977486.00000000
              USD
              2158109.84000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2020-1
        35563PPP8
        
          
        
        4066671.00000000
        PA
        USD
        2308313.22000000
        1.407820091508
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2059-08-25
          Variable
          6.13290700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aegis Asset Backed Securities
        N/A
        Aegis Asset Backed Securities Trust 2005-3
        00764MFT9
        
          
        
        3460000.00000000
        PA
        USD
        3149285.77000000
        1.920721911780
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-08-25
          Floating
          1.19157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mor
        N/A
        CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10
        225470DY6
        
          
        
        219323.86000000
        PA
        USD
        149656.97000000
        0.091274480159
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-11-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -969000.00000000
        PA
        USD
        -969000.00000000
        -0.59098464491
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87230000
          2023-05-22
          
            
              1700000.00000000
              USD
              1227751.22000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -2268000.00000000
        PA
        USD
        -2268000.00000000
        -1.38323341038
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              3750000.00000000
              USD
              3308981.25000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CME Ultra Long Term US Treasury Bond
        000000000
        
          
          
        
        19.00000000
        NC
        USD
        -124272.23000000
        -0.07579254872
        N/A
        DIR
        CORP
        US
        N
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            3489647.23000000
            USD
            -124272.23000000
          
        
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortga
        N/A
        UBS-Barclays Commercial Mortgage Trust 2012-C2
        90269CAZ3
        
          
        
        3149979.18000000
        PA
        USD
        16030.24000000
        0.009776703502
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2063-05-10
          Variable
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        Washington Mutual Mortgage Pass-Through Certificates WMALT Ser 2006-AR10 Trust
        93935YAA8
        
          
        
        270578.39000000
        PA
        USD
        166077.50000000
        0.101289218127
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-12-25
          Floating
          0.65657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Se
        N/A
        Natixis Commercial Mortgage Securities Trust 2019-FAME
        63873VAL7
        
          
        
        1900000.00000000
        PA
        USD
        1744020.26000000
        1.063662738987
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-08-15
          Variable
          4.39750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        SWOP CDS CDX.NA.IG.37.V1
        000000000
        
          
        
        90000000.00000000
        NC
        USD
        148384.44000000
        0.090498375215
        N/A
        DCR
        CORP
        US
        N
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Purchased
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    CDS CDX.NA.IG.37.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.37.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-12-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            90000000.00000000
            USD
            75.00000000
            USD
            2022-06-15
            XXXX
            -117115.56000000
          
        
        
          N
          N
          N
        
      
      
        Adjustable Rate Mortgage Trust
        N/A
        Adjustable Rate Mortgage Trust 2005-7
        007036MT0
        
          
          
        
        144507.99000000
        PA
        USD
        131606.91000000
        0.080265906062
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-10-25
          Variable
          2.38223500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        mrcd 2019-prkc mortgage trust
        N/A
        MRCD 2019-PRKC Mortgage Trust
        55348UAA6
        
          
        
        2048000.00000000
        PA
        USD
        1776077.82000000
        1.083214365110
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-12-15
          Variable
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE INTERNATIONAL
        E58DKGMJYYYJLN8C3868
        SWOP CDS CDX.NA.IG.37.V1
        000000000
        
          
        
        -55590000.00000000
        NC
        USD
        -8163.11000000
        -0.00497860956
        N/A
        DCR
        CORP
        GB
        
        N
        2
        
          
            
              CREDIT SUISSE INTERNATIONAL
              E58DKGMJYYYJLN8C3868
            
            Put
            Written
            
              
                
                  
                    CREDIT SUISSE INTERNATIONAL
                    E58DKGMJYYYJLN8C3868
                  
                  
                    CREDIT SUISSE INTERNATIONAL
                    E58DKGMJYYYJLN8C3868
                    CDS CDX.NA.IG.37.V1
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    GB
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.37.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-12-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -55590000.00000000
            USD
            90.00000000
            USD
            2022-04-20
            XXXX
            55209.49000000
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -3503000.00000000
        PA
        USD
        -3503000.00000000
        -2.13644913429
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              4511429.37800000
              USD
              4993574.65300000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Investm
        N/A
        American Home Mortgage Investment Trust 2007-2
        02660CAH3
        
          
        
        12735444.86000000
        PA
        USD
        242007.84000000
        0.147598469957
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2047-03-25
          Floating
          1.25657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2005-S3
        466247ZN6
        
          
        
        635219.03000000
        PA
        USD
        430057.51000000
        0.262288322848
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-01-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-ADV
        12660WAS4
        
          
        
        2080000.00000000
        PA
        USD
        2071126.93000000
        1.263162242825
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-07-15
          Floating
          6.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G1CW5
        
          
        
        1795113.33000000
        PA
        USD
        1639529.78000000
        0.999934906975
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2048-05-25
          Variable
          3.80931600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securitizati
        N/A
        Residential Asset Securitization Trust 2006-A1
        45660L6P9
        
          
          
        
        2724283.87000000
        PA
        USD
        526103.89000000
        0.320866171949
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-04-25
          Floating
          5.04343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1054000.00000000
        PA
        USD
        -1054000.00000000
        -0.64282540323
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87930000
          2023-05-22
          
            
              1500000.00000000
              USD
              1400707.05000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1119000.00000000
        PA
        USD
        -1119000.00000000
        -0.68246833607
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              3150462.62900000
              USD
              21712883.22000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2017-2
        35563PBN8
        
          
        
        390452156.52000000
        PA
        USD
        1145196.18000000
        0.698445157682
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2056-08-25
          Variable
          0.07500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2005-2
        12669GPR6
        
          
          
        
        48229.34000000
        PA
        USD
        46593.75000000
        0.028417121567
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-03-25
          Floating
          1.09657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2005-HYB9
        126670JP4
        
          
          
        
        87438.25000000
        PA
        USD
        82859.38000000
        0.050535212865
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-02-20
          Floating
          1.98700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Se
        N/A
        Natixis Commercial Mortgage Securities Trust 2019-FAME
        63873VAN3
        
          
        
        950000.00000000
        PA
        USD
        818953.58000000
        0.499472642597
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-08-15
          Variable
          4.39750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1224000.00000000
        PA
        USD
        -1224000.00000000
        -0.74650691989
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              12125166.93000000
              USD
              4613874.20100000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        Bear Stearns Asset Backed Securities I Trust 2005-CL1
        073879U97
        
          
          
        
        33384.84000000
        PA
        USD
        32390.11000000
        0.019754445466
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-09-25
          Floating
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        New Residential Mortgage Loan Trust 2019-6
        64828GAH3
        
          
        
        27308023.78000000
        PA
        USD
        452308.26000000
        0.275858861122
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2059-09-25
          Variable
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRESB Multifamily Mortgage Pas
        N/A
        FRESB 2018-SB48 Mortgage Trust
        30296RAJ9
        
          
        
        3547117.80000000
        PA
        USD
        2826617.66000000
        1.723929446957
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-02-25
          Variable
          3.65514400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac CMB Trust
        N/A
        Impac CMB Trust Series 2004-8
        45254NKQ9
        
          
          
        
        118406.64000000
        PA
        USD
        115508.01000000
        0.070447327424
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-10-25
          Floating
          1.17657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G1CG0
        
          
        
        752574.52000000
        PA
        USD
        699235.05000000
        0.426457355764
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2047-09-25
          Variable
          4.04229000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2016-1
        35563PAG4
        
          
        
        23323023.31000000
        PA
        USD
        2568517.91000000
        1.566516661502
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2055-09-25
          Variable
          0.88766500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greenwich Capital Acceptance I
        213800OU9AJE7513ME91
        RBS Acceptance Inc
        396782EG5
        
          
        
        2191561.00000000
        PA
        USD
        262.99000000
        0.000160395306
        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
        MASTR Reperforming Loan Trust 2005-1
        576436AU3
        
          
        
        47901.89000000
        PA
        USD
        45538.59000000
        0.027773588690
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-08-25
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust
        92925GAD5
        
          
          
        
        128094.05000000
        PA
        USD
        121865.59000000
        0.074324759993
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-12-25
          Variable
          2.38816500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMR 2022-IND Mortgage Trust
        N/A
        SMR 2022-IND Mortgage Trust
        78458MAN4
        
          
        
        1929180.95000000
        PA
        USD
        1919684.94000000
        1.170799094543
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2039-02-15
          Floating
          7.80116000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bombardier Capital Mortgage Se
        N/A
        BCMSC Trust 1998-B
        09774XAJ1
        
          
        
        273938.33000000
        PA
        USD
        270044.41000000
        0.164697729365
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2028-10-15
          Variable
          6.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
        46652BAS8
        
          
        
        322621.54000000
        PA
        USD
        311640.99000000
        0.190067120552
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-01-16
          Floating
          3.43057000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1889000.00000000
        PA
        USD
        -1889000.00000000
        -1.15208461738
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              3052442.00000000
              USD
              2473149.10000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust
        92922F4V7
        
          
        
        106143.08000000
        PA
        USD
        104547.92000000
        0.063762864166
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2045-10-25
          Floating
          1.43657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cascade MH Asset Trust
        N/A
        Cascade MH Asset Trust 2019-MH1
        14732FAC6
        
          
        
        1150000.00000000
        PA
        USD
        1139163.55000000
        0.694765909283
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2044-11-25
          Variable
          5.98500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adjustable Rate Mortgage Trust
        N/A
        Adjustable Rate Mortgage Trust 2005-12
        2254W0MM4
        
          
          
        
        195780.14000000
        PA
        USD
        78211.74000000
        0.047700657783
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-03-25
          Floating
          0.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -983000.00000000
        PA
        USD
        -983000.00000000
        -0.59952312275
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87930000
          2023-05-22
          
            
              1640000.00000000
              USD
              1539042.26000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2022-LP2
        05610HAN3
        
          
        
        1150000.00000000
        PA
        USD
        1125594.36000000
        0.686490178701
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2039-02-15
          Floating
          4.41080000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nomura Resecuritization Trust
        N/A
        Nomura Resecuritization Trust 2014-5R
        65540HAJ1
        
          
        
        1748402.91000000
        PA
        USD
        1680953.02000000
        1.025198579609
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-06-26
          Variable
          5.76988900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOLRR Aircraft 2021-1 Limited
        N/A
        Lunar 2021-1 Structured Aircraft Portfolio Notes
        83438LAC5
        
          
        
        1969264.53000000
        PA
        USD
        1655092.99000000
        1.009426772956
        Long
        ABS-O
        CORP
        IE
        
        N
        2
        
          2046-10-15
          Fixed
          5.68200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XDY7
        
          
        
        3509470.95000000
        PA
        USD
        3652423.28000000
        2.227581088963
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2029-04-25
          Floating
          9.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Applebees/IHOP Funding LLC
        N/A
        Applebee's Funding LLC / IHOP Funding LLC
        03789XAE8
        
          
        
        990000.00000000
        PA
        USD
        990479.46000000
        0.604084780147
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2049-06-05
          Fixed
          4.72300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2006-J8
        23245LAE0
        
          
        
        77204.53000000
        PA
        USD
        44983.40000000
        0.027434983153
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-02-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1139000.00000000
        PA
        USD
        -1139000.00000000
        -0.69466616156
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              1753541.63300000
              USD
              1832238.79200000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        First Horizon Alternative Mort
        N/A
        First Horizon Alternative Mortgage Securities Trust 2005-AA6
        32051GQA6
        
          
          
        
        305173.58000000
        PA
        USD
        284567.99000000
        0.173555534080
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-08-25
          Variable
          2.89194000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        Lehman Mortgage Trust 2006-3
        52520CAK1
        
          
        
        4356156.47000000
        PA
        USD
        853918.62000000
        0.520797515403
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-25
          Floating
          4.94343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Trust 2017-CHOP
        12651QAU3
        
          
        
        2459000.00000000
        PA
        USD
        2061871.50000000
        1.257517436827
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2032-07-15
          Floating
          7.74700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Financial Asset Trust
        N/A
        Bayview Financial Asset Trust 2007-SSR1
        07325QAC9
        
          
        
        1953829.36000000
        PA
        USD
        2027261.43000000
        1.236409057126
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-03-25
          Floating
          1.35657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1417000.00000000
        PA
        USD
        -1417000.00000000
        -0.86421593585
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              1793964.52900000
              USD
              2947012.84100000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        CHEVY CHASE MORTGAGE FUNDING C
        5493002S53YJRKTJK143
        Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-2
        16678WAA4
        
          
          
        
        61158.78000000
        PA
        USD
        66449.80000000
        0.040527153207
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2047-04-25
          Floating
          0.58657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        Lehman Mortgage Trust 2006-7
        52520QAY0
        
          
        
        4983662.82000000
        PA
        USD
        1058013.68000000
        0.645273311649
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-11-25
          Floating
          6.69343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        54930023UHZHF7UJ8596
        Banc of America Funding Corp
        05990QAE3
        
          
        
        2635323.28000000
        PA
        USD
        2404371.45000000
        1.466405167821
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-02-27
          Variable
          0.31686000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -2338000.00000000
        PA
        USD
        -2338000.00000000
        -1.42592579959
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              26217056.84000000
              USD
              3313388.10400000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mor
        N/A
        Structured Adjustable Rate Mortgage Loan Trust Series 2004-18
        863579FR4
        
          
          
        
        162220.56000000
        PA
        USD
        157301.92000000
        0.095937068457
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-12-25
          Variable
          2.56595600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Pro
        N/A
        RAMP Series 2004-RS4 Trust
        7609853J8
        
          
        
        925329.91000000
        PA
        USD
        874540.31000000
        0.533374504198
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-04-25
          Floating
          2.48157000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securitizati
        N/A
        Residential Asset Securitization Trust 2006-A1
        45660L6N4
        
          
        
        1314466.97000000
        PA
        USD
        415408.37000000
        0.253353940184
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-04-25
          Floating
          0.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
        46652DAQ8
        
          
        
        1033000.00000000
        PA
        USD
        886036.33000000
        0.540385826486
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-12-15
          Floating
          7.14700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2020-VIVA
        12433XAJ8
        
          
        
        2000000.00000000
        PA
        USD
        1759702.40000000
        1.073227139337
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2044-03-11
          Variable
          3.54875000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        254900YVLP8CB4GC2O97
        Radnor RE 2020-1 Ltd
        750493AE8
        
          
        
        2345000.00000000
        PA
        USD
        2218851.19000000
        1.353257980019
        Long
        ABS-MBS
        CORP
        BM
        
        N
        2
        
          2030-01-25
          Floating
          2.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Assets
        N/A
        American Home Mortgage Assets Trust 2005-2
        02660VBH0
        
          
          
        
        698575.46000000
        PA
        USD
        552344.61000000
        0.336870158112
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-01-25
          Variable
          2.75131900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2005-14
        12667GCF8
        
          
          
        
        121889.15000000
        PA
        USD
        86829.63000000
        0.052956633698
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-05-25
          Variable
          2.44924700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2021-KF100 Mortgage Trust
        30320YAE5
        
          
        
        1900000.00000000
        PA
        USD
        1935595.08000000
        1.180502550103
        Long
        ABS-MBS
        USGSE
        US
        N
        2
        
          2031-07-25
          Floating
          6.44967000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Pro
        N/A
        RAMP Series 2004-SL3 Trust
        76112BBR0
        
          
          
        
        31523.99000000
        PA
        USD
        30644.32000000
        0.018689703378
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2031-12-25
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHMZ
        46650BAA9
        
          
        
        3000000.00000000
        PA
        USD
        60075.00000000
        0.036639218310
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-06-15
          Floating
          8.75465000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pas
        N/A
        Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust
        93934FGB2
        
          
          
        
        83221.01000000
        PA
        USD
        78112.03000000
        0.047639845524
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-11-25
          Floating
          1.35657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mor
        N/A
        Structured Adjustable Rate Mortgage Loan Trust
        863579PF9
        
          
          
        
        42867.24000000
        PA
        USD
        43478.60000000
        0.026517218764
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-04-25
          Variable
          2.95593500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA5
        35564KJB6
        
          
        
        1200000.00000000
        PA
        USD
        1108023.72000000
        0.675773998679
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-01-25
          Floating
          5.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1793000.00000000
        PA
        USD
        -1793000.00000000
        -1.09353505503
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              1866152.56100000
              USD
              2030954.87400000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -991000.00000000
        PA
        USD
        -991000.00000000
        -0.60440225295
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87860000
          2023-05-22
          
            
              1640000.00000000
              USD
              1562061.13000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        156857.42000000
        0.095665971786
        N/A
        DIR
        CORP
        US
        N
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2047-05-15
            17458.73000000
            USD
            0.00000000
            USD
            -2016000.00000000
            USD
            139398.69000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2019-RIO
        12597HAC0
        
          
        
        3000000.00000000
        PA
        USD
        2927649.60000000
        1.785547945601
        Long
        DBT
        CORP
        US
        N
        2
        
          2022-12-15
          Floating
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSI Asset Loan Obligation
        N/A
        HSI Asset Loan Obligation Trust 2007-AR1
        40431LAF5
        
          
        
        77324.38000000
        PA
        USD
        67128.47000000
        0.040941068118
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-01-25
          Variable
          3.81480300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        National Collegiate Commutatio
        N/A
        National Collegiate VI 2007-4 Class A-3L Commutation Trust
        63546VAA8
        
          
        
        6037832.92000000
        PA
        USD
        1431274.33000000
        0.872921725169
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2038-03-29
          Floating
          1.30657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wachovia Mortgage Loan Trust,
        N/A
        Wachovia Mortgage Loan Trust LLC Series 2005-B Trust
        92977YBU4
        
          
        
        8097.08000000
        PA
        USD
        8049.33000000
        0.004909216131
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-10-20
          Variable
          2.19407400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -788000.00000000
        PA
        USD
        -788000.00000000
        -0.48059432424
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              1484225.88900000
              USD
              2998496.26700000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        549300XYOVNMTJWOZ135
        Morgan Stanley Capital I Trust 2007-IQ16
        61756UAH4
        
          
          
        
        84323.63000000
        PA
        USD
        32522.11000000
        0.019834951114
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2049-12-12
          Variable
          5.67390100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST
        N/A
        PMT Credit Risk Transfer Trust 2019-2R
        69345WAA6
        
          
        
        1009891.34000000
        PA
        USD
        1002385.32000000
        0.611346060275
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2023-05-27
          Floating
          3.19514000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Adjustable Rate Mortgage
        N/A
        MASTR Adjustable Rate Mortgages Trust 2004-12
        576433UC8
        
          
        
        29969.34000000
        PA
        USD
        30825.05000000
        0.018799929028
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-10-25
          Variable
          2.60723700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        CDS CMBX.NA.BBB-.8
        000000000
        
          
        
        1.00000000
        NC
        USD
        -64693.50000000
        -0.03945600116
        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
            -21331.89000000
            USD
            500000.00000000
            USD
            -43361.61000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2017-RPL1 Trust
        22945AAE9
        
          
        
        3052442.00000000
        PA
        USD
        2473149.10000000
        1.508352056431
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2057-07-25
          Variable
          2.97310000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-NQM6
        12662KAF6
        
          
        
        1370000.00000000
        PA
        USD
        1259071.37000000
        0.767896642436
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2066-07-25
          Variable
          4.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2018-LUAU
        36256AAS1
        
          
        
        2500000.00000000
        PA
        USD
        2440931.00000000
        1.488702518363
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2032-11-15
          Floating
          4.84657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2007-S2
        46630WBB5
        
          
        
        36577.76000000
        PA
        USD
        37540.80000000
        0.022895806354
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-06-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan T
        N/A
        Renaissance Home Equity Loan Trust 2007-2
        75970QAE0
        
          
        
        445054.35000000
        PA
        USD
        165261.85000000
        0.100791760309
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-06-25
          Variable
          5.67500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2019-IMC
        05608BAQ3
        
          
        
        2000000.00000000
        PA
        USD
        1953380.00000000
        1.191349417628
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-04-15
          Floating
          3.29700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        Bear Stearns ALT-A Trust 2005-9
        07386HYF2
        
          
        
        193925.18000000
        PA
        USD
        156175.63000000
        0.095250154014
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-11-25
          Variable
          2.73656900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Tru
        N/A
        IndyMac INDX Mortgage Loan Trust 2006-AR7
        45661EDE1
        
          
          
        
        145173.04000000
        PA
        USD
        123957.89000000
        0.075600835506
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-05-25
          Variable
          3.01187000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Western Asset Premier Institutional Government Reserves
        549300WB3XRN9YTWFB76
        Western Asset Premier Institutional Government Reserves
        52470G494
        
          
          
        
        5466379.91000000
        NS
        USD
        5466379.91000000
        3.333897409778
        Long
        STIV
        RF
        US
        N
        1
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -939000.00000000
        PA
        USD
        -939000.00000000
        -0.57268790668
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              6623286.87800000
              USD
              14273338.55000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Inve
        N/A
        Structured Asset Mortgage Investments II Trust 2006-AR5
        86360JAN1
        
          
        
        432280.67000000
        PA
        USD
        150974.33000000
        0.092077926528
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2046-05-25
          Floating
          0.89657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vivint Solar Financing LLC
        549300KHKRGT8VQJON84
        Vivint Solar Financing VI LLC
        92854JAB8
        
          
        
        1296795.07000000
        PA
        USD
        1271090.78000000
        0.775227175718
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2023-08-29
          Floating
          5.25786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        N/A
        Citigroup Mortgage Loan Trust 2008-3
        17314TAC5
        
          
          
        
        5397610.90000000
        PA
        USD
        2481819.33000000
        1.513639954056
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-04-25
          Fixed
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -3121000.00000000
        PA
        USD
        -3121000.00000000
        -1.90347066746
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              3516681.07800000
              USD
              3688947.51300000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -2493000.00000000
        PA
        USD
        -2493000.00000000
        -1.52045894713
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              3460000.00000000
              USD
              3149285.77000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Resecuritization Trust 2006-1R
        12638FAB7
        
          
        
        207901.72000000
        PA
        USD
        277948.80000000
        0.169518547855
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-27
          Floating
          18.29536500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Investment Lo
        N/A
        Structured Asset Investment Loan Trust 2004-8
        86358EMH6
        
          
        
        297405.43000000
        PA
        USD
        322279.20000000
        0.196555272007
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-09-25
          Floating
          4.20657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2021-3
        35563P6W4
        
          
        
        1700000.00000000
        PA
        USD
        1227751.22000000
        0.748794756237
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2061-03-25
          Variable
          5.31227800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        549300R847L762RQF071
        Banc of America Funding 2015-R4 Trust
        05990RAM3
        
          
        
        13956463.66000000
        PA
        USD
        4928711.19000000
        3.005977948921
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2030-01-27
          Variable
          8.02281700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan T
        N/A
        Alternative Loan Trust 2005-11CB
        12667GJT1
        
          
        
        1098883.34000000
        PA
        USD
        99021.81000000
        0.060392537896
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-06-25
          Floating
          4.54343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -876000.00000000
        PA
        USD
        -876000.00000000
        -0.53426475639
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87930000
          2023-05-22
          
            
              1200000.00000000
              USD
              1108023.72000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -618000.00000000
        PA
        USD
        -618000.00000000
        -0.37691280759
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              994798.67260000
              USD
              4347490.94200000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1716000.00000000
        PA
        USD
        -1716000.00000000
        -1.04657342690
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              3501991.00000000
              USD
              2938332.59000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2016-1
        35563PAH2
        
          
        
        152752226.53000000
        PA
        USD
        408153.95000000
        0.248929532725
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2055-09-25
          Variable
          0.07500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citicorp Mortgage Securities,
        N/A
        Citicorp Mortgage Securities Trust Series 2007-8
        17312DAL2
        
          
        
        2738434.55000000
        PA
        USD
        1778782.75000000
        1.084864078315
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-09-25
          Variable
          5.98247000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        UBS Commercial Mortgage Trust 2018-NYCH
        90266HAS1
        
          
        
        962000.00000000
        PA
        USD
        910580.81000000
        0.555355290674
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2032-02-15
          Floating
          5.23530000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRR Re-Remic Trust
        N/A
        FRR Re-REMIC Trust 2018-C1
        30307WAY2
        
          
          
        
        2400000.00000000
        PA
        USD
        2294688.00000000
        1.399510188718
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2047-08-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Funding Mtg Sec I
        N/A
        RFMSI Series 2006-S8 Trust
        74957XAM7
        
          
        
        2203470.94000000
        PA
        USD
        197709.74000000
        0.120581445294
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-09-25
          Floating
          4.94343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Retail Property Trust
        5493007115G809OI4R97
        Starwood Retail Property Trust 2014-STAR
        85571XAS6
        
          
        
        1600000.00000000
        PA
        USD
        16.00000000
        0.000009758260
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2027-11-15
          Floating
          4.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -1531000.00000000
        PA
        USD
        -1531000.00000000
        -0.93374354113
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              2114657.61700000
              USD
              3153512.07600000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -2001000.00000000
        PA
        USD
        -2001000.00000000
        -1.22039244011
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              3445191.57000000
              USD
              3258195.11600000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan T
        N/A
        Renaissance Home Equity Loan Trust 2007-3
        75971FAF0
        
          
          
        
        1573509.24000000
        PA
        USD
        864015.34000000
        0.526955416831
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-09-25
          Variable
          7.23800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Adjustable Rate Mortgage
        N/A
        MASTR Adjustable Rate Mortgages Trust 2006-OA1
        576433G42
        
          
        
        114936.94000000
        PA
        USD
        107637.73000000
        0.065647312325
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2046-04-25
          Floating
          0.66657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -2336000.00000000
        PA
        USD
        -2336000.00000000
        -1.42470601704
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.87730000
          2023-05-22
          
            
              3500000.00000000
              USD
              3235657.95000000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Trust 2017-CHOP
        12651QAQ2
        
          
        
        1620000.00000000
        PA
        USD
        1517508.92000000
        0.925515449163
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2032-07-15
          Floating
          4.74700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Helios Issuer, LLC
        N/A
        SUNNOVA HELIOS II ISSUER LLC 2018-1
        86745JAB3
        
          
        
        1061303.51000000
        PA
        USD
        1042628.81000000
        0.635890213678
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2048-07-20
          Fixed
          7.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 10 Year US Treasury Note
        000000000
        
          
          
        
        20.00000000
        NC
        USD
        -66753.40000000
        -0.04071231619
        N/A
        DIR
        CORP
        US
        N
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            2524253.40000000
            USD
            -66753.40000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2005-HY10
        126694VH8
        
          
        
        31307.86000000
        PA
        USD
        26904.31000000
        0.016408703913
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-02-20
          Variable
          3.05932900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDA Mortgage Loan Tru
        N/A
        IndyMac INDA Mortgage Loan Trust 2005-AR2
        45660LY60
        
          
        
        64832.58000000
        PA
        USD
        57181.69000000
        0.034874613787
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-01-25
          Variable
          2.86238300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Financial Asset Trust
        N/A
        Bayview Financial Asset Trust 2007-SSR1
        07325QAD7
        
          
        
        885209.53000000
        PA
        USD
        923546.71000000
        0.563263079949
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-03-25
          Floating
          1.60657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        549300O2GEH6GH9NO762
        Bellemeade Re 2018-1 Ltd
        078768AE8
        
          
        
        454976.06000000
        PA
        USD
        453725.83000000
        0.276723424696
        Long
        ABS-MBS
        CORP
        BM
        
        N
        2
        
          2028-04-25
          Floating
          3.35657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA SECURITIES INTERNATIONAL, INC.
        OXTKY6Q8X53C9ILVV871
        NOMURA SECURITIES INTERNATIONAL, INC.
        000000000
        
          
        
        -2811000.00000000
        PA
        USD
        -2811000.00000000
        -1.71440437239
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.89090000
          2023-05-22
          
            
              4103543.77400000
              USD
              3776764.07600000
              USD
              AMBS
            
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12
        46632HAL5
        
          
          
        
        72401.74000000
        PA
        USD
        65805.94000000
        0.040134468611
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2051-02-15
          Variable
          6.22198500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        63408.69000000
        0.038672406753
        N/A
        DIR
        CORP
        US
        N
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2028-08-15
            6034.70000000
            USD
            0.00000000
            USD
            -1081000.00000000
            USD
            57373.99000000
          
        
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortga
        N/A
        UBS-Barclays Commercial Mortgage Trust 2012-C2
        90269CAX8
        
          
        
        3130000.00000000
        PA
        USD
        24060.31000000
        0.014674173128
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2063-05-10
          Variable
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPR Trust
        N/A
        BPR Trust 2021-TY
        05592AAQ3
        
          
        
        1000000.00000000
        PA
        USD
        979656.90000000
        0.597484195236
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-09-15
          Floating
          4.59700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Horizon Alternative Mort
        N/A
        First Horizon Alternative Mortgage Securities Trust 2006-FA6
        32052FAH9
        
          
        
        70192.89000000
        PA
        USD
        33269.02000000
        0.020290485006
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-11-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, In
        N/A
        RALI Series 2005-QA3 Trust
        76110H2N8
        
          
        
        853865.04000000
        PA
        USD
        418536.12000000
        0.255261527617
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-03-25
          Variable
          3.42619800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, In
        N/A
        RALI Series 2006-QA4 Trust
        748939AA3
        
          
        
        147652.15000000
        PA
        USD
        139639.60000000
        0.085164973603
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-05-25
          Floating
          0.81657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-XL2
        05609KAQ2
        
          
        
        2439909.64000000
        PA
        USD
        2353469.74000000
        1.435360659039
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-10-15
          Floating
          4.28700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan T
        N/A
        Morgan Stanley Mortgage Loan Trust 2007-5AX
        61751GAD9
        
          
          
        
        1517319.35000000
        PA
        USD
        520008.86000000
        0.317148866335
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-02-25
          Floating
          0.91657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan T
        N/A
        Morgan Stanley Mortgage Loan Trust 2006-8AR
        61749LAB7
        
          
        
        198640.19000000
        PA
        USD
        51739.10000000
        0.031555225636
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-06-25
          Floating
          0.59657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securitizati
        N/A
        Residential Asset Securitization Trust 2007-A2
        761120AA2
        
          
        
        182318.69000000
        PA
        USD
        136776.90000000
        0.083419037852
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-04-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300D2VO9JVX6KU482
        STACR Trust 2018-HRP1
        3137G0VB2
        
          
        
        5493168.45000000
        PA
        USD
        5936692.36000000
        3.620736869285
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2043-05-25
          Floating
          12.20657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Progr
        N/A
        SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC
        83401B106
        
          
        
        34000.00000000
        PA
        USD
        707444.70000000
        0.431464349665
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2041-01-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Mortgage Pro
        N/A
        RAMP Series 2005-SL2 Trust
        76112BUZ1
        
          
        
        269385.32000000
        PA
        USD
        164156.65000000
        0.100117708473
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2031-10-25
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        549300818AKCJ4Q9TD76
        CSMC 2014-USA OA LLC
        12649AAS8
        
          
          
        
        2720000.00000000
        PA
        USD
        2036049.20000000
        1.241768641371
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-09-15
          Fixed
          4.37330000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Mortgage Trust
        N/A
        Home Equity Mortgage Trust 2006-1
        225470XL2
        
          
        
        3500000.00000000
        PA
        USD
        3235657.95000000
        1.973399550715
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-05-25
          Floating
          0.95657000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      2022-05-20
      Western Asset Mortgage Opportunity Fund Inc.
      Christopher Berarducci
      Christopher Berarducci
      Principal Financial Officer
    
  
  XXXX

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
                            
RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - 94.3%

 

        

Adjustable Rate Mortgage Trust, 2005-5 1A1

      2.872 %      9/25/35      $ 89,376      $ 79,424 (b) 

Adjustable Rate Mortgage Trust, 2005-7 2A21

      2.382 %      10/25/35        144,508        131,607 (b) 

Adjustable Rate Mortgage Trust, 2005-12 5A1 (1 mo. USD LIBOR + 0.500%)

      0.957 %      3/25/36        195,780        78,212 (b) 

Aegis Asset Backed Securities Trust, 2005-3 M3 (1 mo. USD LIBOR + 0.735%)

      1.192 %      8/25/35        3,460,000        3,149,286 (b)(c) 

AFC Trust, 2000-3 1A (1 mo. USD LIBOR + 0.750%)

      0.937 %      10/25/30        634,690        606,434 (b)(d) 

Alternative Loan Trust, 2005-11CB 3A3, IO (-1.000 x 1 mo. USD LIBOR + 5.000%)

      4.543 %      6/25/35        1,098,883        99,022 (b) 

Alternative Loan Trust, 2005-14 3A1

      2.449 %      5/25/35        121,889        86,830 (b) 

Alternative Loan Trust, 2005-36 4A1

      2.846 %      8/25/35        171,802        166,146 (b) 

Alternative Loan Trust, 2005-J10 1A1 (1 mo. USD LIBOR + 0.500%)

      0.957 %      10/25/35        515,712        360,030 (b) 

Alternative Loan Trust, 2006-HY10 1A1

      2.707 %      5/25/36        152,502        143,349 (b) 

Alternative Loan Trust, 2006-J8 A5

      6.000 %      2/25/37        77,205        44,983  

Alternative Loan Trust, 2007-3T1 2A1

      6.000 %      3/25/27        24,895        24,982  

Alternative Loan Trust, 2007-23CB A8 (-4.000 x 1 mo. USD LIBOR + 28.400%)

      26.574 %      9/25/37        402,120        423,396 (b) 

Alternative Loan Trust, 2007-OA8 1A1 (1 mo. USD LIBOR + 0.360%)

      0.817 %      6/25/47        841,076        734,373 (b)(c) 

American Home Mortgage Assets Trust, 2005-2 2A1A

      2.751 %      1/25/36        698,575        552,345 (b) 

American Home Mortgage Investment Trust, 2007-2 2A (1 mo. USD LIBOR + 0.800%)

      1.257 %      3/25/47        12,735,445        242,008 (b) 

American Home Mortgage Investment Trust, 2007-A 4A (1 mo. USD LIBOR + 0.900%)

      1.357 %      7/25/46        1,746,273        663,636 (b)(d) 

Banc of America Funding Corp., 2015-R3 2A2

      0.317 %      2/27/37        2,635,323        2,404,371 (b)(c)(d) 

Banc of America Funding Trust, 2004-C 3A1

      2.931 %      12/20/34        219,933        215,787 (b) 

Banc of America Funding Trust, 2006-D 2A1

      3.499 %      5/20/36        32,681        31,857 (b) 

Banc of America Funding Trust, 2006-F 1A1

      2.657 %      7/20/36        98,934        100,570 (b) 

Banc of America Funding Trust, 2014-R5 1A2 (6 mo. USD LIBOR + 1.500%)

      2.326 %      9/26/45        3,750,000        3,308,981 (b)(c)(d) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report    

  

 

 

1

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
                            
RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued)

 

        

Banc of America Funding Trust, 2015-R2 9A2

      0.713 %      3/27/36      $ 3,756,538      $ 3,592,500 (b)(c)(d) 

Banc of America Funding Trust, 2015-R4 4A3

      8.023 %      1/27/30        13,956,464        4,928,711 (b)(d) 

Bayview Financial Asset Trust, 2007-SR1A M1 (1 mo. USD LIBOR + 0.800%)

      1.257 %      3/25/37        1,604,840        1,522,407 (b)(d) 

Bayview Financial Asset Trust, 2007-SR1A

           

M2 (1 mo. USD LIBOR + 0.900%)

      1.357 %      3/25/37        1,953,829        2,027,261 (b)(d) 

Bayview Financial Asset Trust, 2007-SR1A

           

M3 (1 mo. USD LIBOR + 1.150%)

      1.607 %      3/25/37        885,210        923,547 (b)(d) 

BCAP LLC Trust, 2011-RR2 1A4

      2.900 %      7/26/36        2,558,391        1,393,748 (b)(c)(d) 

Bear Stearns ALT-A Trust, 2005-9 25A1

      2.737 %      11/25/35        193,925        156,176 (b) 

Bear Stearns Asset Backed Securities I Trust, 2005-CL1 A1 (1 mo. USD LIBOR + 0.500%)

      0.500 %      9/25/34        33,385        32,390 (b) 

Bellemeade Re Ltd., 2017-1 B1 (1 mo. USD LIBOR + 4.750%)

      5.207 %      10/25/27        1,070,000        1,073,115 (b)(d) 

Bellemeade Re Ltd., 2018-1A M2 (1 mo. USD LIBOR + 2.900%)

      3.357 %      4/25/28        454,976        453,726 (b)(d) 

Chase Mortgage Finance Trust, 2006-S3 2A1

      5.500 %      11/25/21        130,443        66,982  

ChaseFlex Trust, 2005-2 3A3, IO (-1.000 x 1 mo. USD LIBOR + 5.500%)

      5.043 %      6/25/35        6,326,045        934,731 (b)(c) 

Chevy Chase Funding LLC Mortgage- Backed Certificates, 2006-2A A1 (1 mo. USD LIBOR + 0.130%)

      0.587 %      4/25/47        61,159        66,450 (b)(d) 

CHL Mortgage Pass-Through Trust, 2005-2 2A1 (1 mo. USD LIBOR + 0.640%)

      1.097 %      3/25/35        48,229        46,594 (b) 

CHL Mortgage Pass-Through Trust, 2005-11 3A3

      2.531 %      4/25/35        231,455        187,958 (b) 

CHL Mortgage Pass-Through Trust, 2005-11 6A1 (1 mo. USD LIBOR + 0.600%)

      1.057 %      3/25/35        37,397        29,250 (b) 

CHL Mortgage Pass-Through Trust, 2005-18 A7 (-2.750 x 1 mo. USD LIBOR + 19.525%)

      18.269 %      10/25/35        10,770        10,013 (b) 

CHL Mortgage Pass-Through Trust, 2005- HY10 1A1

      3.059 %      2/20/36        31,308        26,904 (b) 

CHL Mortgage Pass-Through Trust, 2005- HYB9 1A1 (12 mo. USD LIBOR + 1.750%)

      1.987 %      2/20/36        87,438        82,859 (b) 

Citicorp Mortgage Securities Trust, 2007-8 B1

      5.982 %      9/25/37        2,738,435        1,778,783 (b)(c) 

 

See Notes to Schedule of Investments.

 

 

 

2

  

    Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report

  

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
                            
RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued)

 

        

Citigroup Mortgage Loan Trust, 2006-AR5 2A1A

      2.752 %      7/25/36      $ 171,771      $ 110,058 (b) 

Citigroup Mortgage Loan Trust, 2008-3 A3

      6.100 %      4/25/37        5,397,611        2,481,819 (c)(d) 

Citigroup Mortgage Loan Trust Inc., 2004- HYB3 1A

      2.524 %      9/25/34        28,000        27,456 (b) 

Citigroup Mortgage Loan Trust Inc., 2004- UST1 A2

      1.269 %      8/25/34        18,632        18,385 (b) 

Citigroup Mortgage Loan Trust Inc., 2005-5 1A5

      2.462 %      8/25/35        92,771        86,362 (b) 

Countrywide Asset-Backed Certificates Trust, 2006-SD3 A1 (1 mo. USD LIBOR + 0.660%)

      1.117 %      7/25/36        219,505        214,495 (b)(d) 

Countrywide Asset-Backed Certificates Trust, 2007-SEA1 1A1 (1 mo. USD LIBOR + 0.550%)

      1.007 %      5/25/47        327,037        276,707 (b)(d) 

Credit-Based Asset Servicing & Securitization LLC, 2006-SL1 A3
(1 mo. USD LIBOR + 0.440%)

      0.897 %      9/25/36        3,547,367        193,805 (b)(d) 

CSFB Mortgage-Backed Pass-Through Certificates, 2005-10 3A3

      5.500 %      11/25/35        219,324        149,657  

CSMC Resecuritization Trust, 2006-1R 1A2 (-2.750 x 1 mo. USD LIBOR + 19.525%)

      18.295 %      7/27/36        207,902        277,949 (b)(d) 

CSMC Trust, 2014-11R 9A2 (1 mo. USD LIBOR + 0.140%)

      0.467 %      10/27/36        3,456,748        2,927,724 (b)(c)(d) 

CSMC Trust, 2015-2R 7A2

      2.720 %      8/27/36        3,441,811        3,016,847 (b)(c)(d) 

CSMC Trust, 2017-RPL1 B1

      2.973 %      7/25/57        3,052,442        2,473,149 (b)(c)(d) 

CSMC Trust, 2017-RPL1 B2

      2.973 %      7/25/57        3,501,991        2,938,333 (b)(c)(d) 

CSMC Trust, 2017-RPL1 B3

      2.973 %      7/25/57        2,977,486        2,158,110 (b)(c)(d) 

CSMC Trust, 2017-RPL1 B4

      2.973 %      7/25/57        3,119,794        680,858 (b)(d) 

CSMC Trust, 2021-NQM6 B2

      4.140 %      7/25/66        1,370,000        1,259,071 (b)(c)(d) 

CWABS Revolving Home Equity Loan Trust, 2004-L 2A (1 mo. USD LIBOR + 0.280%)

      0.677 %      2/15/34        33,284        31,943 (b) 

Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 2PO, PO

      0.000 %      4/15/36        13,504        10,968 (d) 

Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS1, IO

      8.975 %      4/15/36        137,722        17,900 (b)(d) 

Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS2, IO

      15.587 %      4/15/36        131,372        27,723 (b)(d) 

Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS1, IO

      10.582 %      4/15/36        58,629        13,755 (b)(d) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report    

  

 

 

3

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
                            
RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued)

 

        

Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS3, IO

      7.350 %      4/15/36      $ 211,255      $ 38,938 (b)(d) 

Ellington Financial Mortgage Trust, 2020-1 B2

      5.186 %      5/25/65        1,550,000        1,556,161 (b)(d) 

FARM Mortgage Trust, 2021-1 B

      3.247 %      7/25/51        1,312,638        1,161,288 (b)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA5 B2 (30 Day Average SOFR + 5.500%)

      5.599 %      1/25/34        1,200,000        1,108,024 (b)(c)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA6 B2 (30 Day Average SOFR + 7.500%)

      7.599 %      10/25/41        1,640,000        1,562,061 (b)(c)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2016-1 B, PO

      0.000 %      9/25/55        12,097,569        4,352,711 (c)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2016-1 BIO, IO

      0.888 %      9/25/55        23,323,023        2,568,518 (b)(c)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2016-1 XSIO, IO

      0.075 %      9/25/55        152,752,227        408,154 (b)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 B, PO

      0.000 %      8/25/56        11,212,186        3,440,159 (c)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 BIO, IO

      1.943 %      8/25/56        19,227,629        2,062,569 (b)(c)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 XSIO, IO

      0.075 %      8/25/56        390,452,157        1,145,196 (b)(c)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2018-3 BX

      0.969 %      8/25/57        3,358,276        1,387,640 (b)(c)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2019-2 M

      4.750 %      8/25/58        681,000        657,245 (b)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2020-1 BXS

      6.133 %      8/25/59        4,066,671        2,308,313 (b)(c)(d) 

 

See Notes to Schedule of Investments.

 

 

 

4

  

    Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report

  

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
                            
RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued)

 

        

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2021-3 BXS

      5.312 %      3/25/61      $ 1,700,000      $ 1,227,751 (b)(c)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA2 B (1 mo. USD LIBOR + 10.500%)

      10.957 %      10/25/28        494,399        525,088 (b) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA3 B (1 mo. USD LIBOR + 11.250%)

      11.707 %      12/25/28        1,027,776        1,121,125 (b)(c) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA4 B (1 mo. USD LIBOR + 8.600%)

      9.057 %      3/25/29        1,573,773        1,561,297 (b)(c) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA2 B2 (1 mo. USD LIBOR + 11.250%)

      11.707 %      10/25/29        1,767,586        1,833,456 (b)(c) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-SPI1 B

      4.042 %      9/25/47        752,575        699,235 (b)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP1 B2 (1 mo. USD LIBOR + 11.750%)

      12.207 %      5/25/43        5,493,168        5,936,692 (b)(c)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP2 B2 (1 mo. USD LIBOR + 10.500%)

      10.957 %      2/25/47        3,530,000        3,841,100 (b)(c)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-SPI2 B

      3.809 %      5/25/48        1,795,113        1,639,530 (b)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-SPI4 B

      4.504 %      11/25/48        3,737,193        3,406,491 (b)(c)(d) 

Federal National Mortgage Association (FNMA), 2012-134 LS, IO (-1.000 x 1 mo. USD LIBOR + 6.150%)

      5.693 %      12/25/42        1,544,952        248,823 (b) 

Federal National Mortgage Association (FNMA) - CAS, 2016-C01 1B (1 mo. USD LIBOR + 11.750%)

      12.207 %      8/25/28        1,864,039        2,010,846 (b)(c)(d) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report    

  

 

 

5

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
                            
RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued)

 

        

Federal National Mortgage Association (FNMA) - CAS, 2016-C02 1B (1 mo. USD LIBOR + 12.250%)

      12.707 %      9/25/28      $ 2,338,090      $ 2,584,883 (b)(c)(d) 

Federal National Mortgage Association (FNMA) - CAS, 2016-C03 1B (1 mo. USD LIBOR + 11.750%)

      12.207 %      10/25/28        1,654,420        1,816,607 (b)(c)(d) 

Federal National Mortgage Association (FNMA) - CAS, 2016-C04 1B (1 mo. USD LIBOR + 10.250%)

      10.707 %      1/25/29        2,613,275        2,774,010 (b)(c)(d) 

Federal National Mortgage Association (FNMA) - CAS, 2016-C06 1B (1 mo. USD LIBOR + 9.250%)

      9.707 %      4/25/29        3,509,471        3,652,423 (b)(c)(d) 

Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1B1 (1 mo. USD LIBOR + 3.250%)

      3.707 %      1/25/40        1,500,000        1,400,707 (b)(c)(d) 

First Horizon Alternative Mortgage Securities Trust, 2005-AA6 3A1

      2.892 %      8/25/35        305,174        284,568 (b) 

First Horizon Alternative Mortgage Securities Trust, 2006-FA6 2A1, PAC

      6.250 %      11/25/36        70,193        33,269  

GS Mortgage Securities Corp. II, 2000-1A A (1 mo. USD LIBOR + 0.350%)

      0.521 %      3/20/23        13,164        13,167 (b)(d) 

GSAA Resecuritization Mortgage Trust, 2005-R1 1A2, IO (-1.000 x 1 mo. USD LIBOR + 5.000%)

      4.914 %      4/25/35        265,961        50,358 (b)(d) 

GSMPS Mortgage Loan Trust, 2005-RP1 1A4

      8.500 %      1/25/35        43,991        46,329 (d) 

GSMPS Mortgage Loan Trust, 2006-RP1 1A2

      7.500 %      1/25/36        296,682        294,506 (d) 

HarborView Mortgage Loan Trust, 2006-2 1A

      2.598 %      2/25/36        13,688        5,865 (b) 

Home Equity Mortgage Trust, 2006-1 A3 (1 mo. USD LIBOR + 0.500%)

      0.957 %      5/25/36        3,500,000        3,235,658 (b)(c) 

HSI Asset Loan Obligation Trust, 2007-AR1 4A1

      3.815 %      1/25/37        77,324        67,128 (b) 

Impac CMB Trust, 2004-8 1A (1 mo. USD LIBOR + 0.720%)

      1.177 %      10/25/34        118,407        115,508 (b) 

IndyMac INDA Mortgage Loan Trust, 2005- AR2 1A1

      2.862 %      1/25/36        64,833        57,182 (b) 

IndyMac INDX Mortgage Loan Trust, 2004- AR13 1A1

      2.681 %      1/25/35        25,908        25,546 (b) 

 

See Notes to Schedule of Investments.

 

 

 

6

  

    Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report

  

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
                            
RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued)

 

        

IndyMac INDX Mortgage Loan Trust, 2005-AR15 A2

      2.922 %      9/25/35      $ 40,970      $ 37,948 (b) 

IndyMac INDX Mortgage Loan Trust, 2006-AR7 5A1

      3.012 %      5/25/36        145,173        123,958 (b) 

IndyMac INDX Mortgage Loan Trust, 2006-AR9 3A3

      2.938 %      6/25/36        230,314        225,320 (b) 

IndyMac INDX Mortgage Loan Trust, 2006-AR11 1A1

      2.723 %      6/25/36        305,628        276,030 (b) 

JPMorgan Alternative Loan Trust, 2007-A1 3A1

      3.340 %      3/25/37        205,204        213,304 (b) 

JPMorgan Mortgage Trust, 2005-S3 1A1

      6.500 %      1/25/36        635,219        430,057  

JPMorgan Mortgage Trust, 2007-S2 3A2

      6.000 %      6/25/37        36,578        37,541  

JPMorgan Mortgage Trust, 2007-S2 3A3

      6.500 %      6/25/37        12,471        12,735  

JPMorgan Mortgage Trust, 2007-S3 1A18 (1 mo. USD LIBOR + 0.500%)

      0.957 %      8/25/37        1,935,380        688,086 (b) 

Legacy Mortgage Asset Trust, 2021-GS3 A2, Step bond (3.250% to 6/25/24, 6.250% to 6/25/25 then 7.250%)

      3.250 %      7/25/61        1,640,000        1,539,042 (c)(d) 

Lehman Mortgage Trust, 2006-3 1A7, IO (-1.000 x 1 mo. USD LIBOR + 5.400%)

      4.943 %      7/25/36        4,356,156        853,919 (b)(c) 

Lehman Mortgage Trust, 2006-7 1A3, IO (-1.000 x 1 mo. USD LIBOR + 5.350%)

      4.893 %      11/25/36        3,639,343        563,842 (b) 

Lehman Mortgage Trust, 2006-7 1A8 (1 mo. USD LIBOR + 0.180%)

      0.637 %      11/25/36        2,678,639        1,382,106 (b)(c) 

Lehman Mortgage Trust, 2006-7 3A2, IO (-1.000 x 1 mo. USD LIBOR + 7.150%)

      6.693 %      11/25/36        4,983,663        1,058,014 (b)(c) 

Lehman Mortgage Trust, 2007-5 2A3 (1 mo. USD LIBOR + 0.330%)

      0.787 %      6/25/37        2,580,367        399,542 (b) 

Lehman XS Trust, 2006-19 A4 (1 mo. USD LIBOR + 0.340%)

      0.797 %      12/25/36        417,591        387,892 (b) 

MASTR Adjustable Rate Mortgages Trust, 2004-12 5A1

      2.607 %      10/25/34        29,969        30,825 (b) 

MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. USD LIBOR + 0.210%)

      0.667 %      4/25/46        114,937        107,638 (b) 

MASTR Reperforming Loan Trust, 2005-1 1A4

      7.500 %      8/25/34        47,902        45,539 (d) 

Merrill Lynch Mortgage Investors Trust, 2006-A1 2A1

      2.656 %      3/25/36        407,626        251,159 (b) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report    

  

 

 

7

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
                            
RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued)

 

        

Morgan Stanley Mortgage Loan Trust, 2006-8AR 1A2 (1 mo. USD LIBOR + 0.140%)

      0.597 %      6/25/36      $ 198,640      $ 51,739 (b) 

Morgan Stanley Mortgage Loan Trust, 2007-5AX 2A3 (1 mo. USD LIBOR + 0.460%)

      0.917 %      2/25/37        1,517,319        520,009 (b) 

Morgan Stanley Mortgage Loan Trust, 2007-15AR 4A1

      2.838 %      11/25/37        367,194        343,992 (b) 

Morgan Stanley Re-REMIC Trust, 2015-R2 1B (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 0.710%)

      0.814 %      12/27/46        890,975        833,972 (b)(d) 

New Century Home Equity Loan Trust, 2004-3 M3 (1 mo. USD LIBOR + 1.065%)

      1.522 %      11/25/34        368,807        372,054 (b) 

New Residential Mortgage Loan Trust, 2017-4A B4

      5.349 %      5/25/57        2,188,845        2,198,882 (b)(c)(d) 

New Residential Mortgage Loan Trust, 2019-6A A1IB, IO

      0.500 %      9/25/59        27,308,024        452,308 (b)(d) 

NewRez Warehouse Securitization Trust, 2021-1 F (1 mo. USD LIBOR + 5.250%)

      5.707 %      5/25/55        2,460,000        2,433,335 (b)(d) 

Nomura Resecuritization Trust, 2014-5R 1A9

      5.770 %      6/26/35        1,748,403        1,680,953 (b)(c)(d) 

Nomura Resecuritization Trust, 2015-4R 4A7

      3.147 %      3/26/37        799,693        806,434 (b)(d) 

PMT Credit Risk Transfer Trust, 2019-2R A (1 mo. USD LIBOR + 2.750%)

      3.195 %      5/27/23        1,009,891        1,002,385 (b)(c)(d) 

Popular ABS Mortgage Pass-Through Trust, 2005-5 MV2 (1 mo. USD LIBOR + 0.945%)

      1.402 %      11/25/35        2,133,425        2,034,524 (b)(c) 

Provident Home Equity Loan Trust, 2000-2 A1 (1 mo. USD LIBOR + 0.540%)

      0.997 %      8/25/31        638,224        581,397 (b) 

Radnor RE Ltd., 2020-1 M2B (1 mo. USD LIBOR + 2.250%)

      2.707 %      1/25/30        2,345,000        2,218,851 (b)(d) 

Radnor RE Ltd., 2021-1 M1C (30 Day Average SOFR + 2.700%)

      2.799 %      12/27/33        1,225,000        1,155,591 (b)(d) 

RALI Trust, 2005-QA3 CB4

      3.426 %      3/25/35        853,865        418,536 (b) 

RALI Trust, 2006-QA1 A11

      4.171 %      1/25/36        257,378        218,428 (b) 

RALI Trust, 2006-QA4 A (1 mo. USD LIBOR + 0.360%)

      0.817 %      5/25/36        147,652        139,640 (b) 

RALI Trust, 2006-QO2 A1 (1 mo. USD LIBOR + 0.440%)

      0.897 %      2/25/46        168,368        42,772 (b) 

 

See Notes to Schedule of Investments.

 

 

 

8

  

    Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report

  

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
                            
RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued)

 

        

RALI Trust, 2007-QA2 A1 (1 mo. USD LIBOR + 0.260%)

      0.717 %      2/25/37      $ 38,683      $ 46,840 (b) 

RAMP Trust, 2004-RS4 MII2 (1 mo. USD LIBOR + 1.350%)

      2.482 %      4/25/34        925,330        874,540 (b)(c) 

RAMP Trust, 2004-SL3 A3

      7.500 %      12/25/31        31,524        30,644  

RAMP Trust, 2005-SL2 A5

      8.000 %      10/25/31        269,385        164,157  

RBSGC Mortgage Loan Trust, 2007-A 3A1 (1 mo. USD LIBOR + 0.350%)

      0.807 %      1/25/37        2,695,039        498,215 (b) 

Redwood Funding Trust, 2019-1 PT, Step bond (4.213% to 8/27/22, 4.468% to 8/27/23 then 4.968%)

      4.213 %      9/27/24        2,147,984        2,144,204 (d) 

Renaissance Home Equity Loan Trust, 2006-1 AF5

      6.166 %      5/25/36        523,799        345,521  

Renaissance Home Equity Loan Trust, 2007-2 AF2

      5.675 %      6/25/37        445,054        165,262  

Renaissance Home Equity Loan Trust, 2007-3 AF3

      7.238 %      9/25/37        1,573,509        864,015 (c) 

Residential Asset Securitization Trust, 2006-A1 1A6 (1 mo. USD LIBOR + 0.500%)

      0.957 %      4/25/36        1,314,467        415,408 (b) 

Residential Asset Securitization Trust, 2006-A1 1A7, IO (-1.000 x 1 mo. USD LIBOR + 5.500%)

      5.043 %      4/25/36        2,724,284        526,104 (b) 

Residential Asset Securitization Trust, 2007-A2 1A1

      6.000 %      4/25/37        182,319        136,777  

RFMSI Trust, 2006-S8 A12, IO (-1.000 x 1 mo. USD LIBOR + 5.400%)

      4.943 %      9/25/36        2,203,471        197,710 (b) 

RFMSI Trust, 2007-S6 1A6 (1 mo. USD LIBOR + 0.500%)

      0.957 %      6/25/37        1,108,785        904,691 (b)(c) 

RFMSI Trust, 2007-S6 1A13, IO (-1.000 x 1 mo. USD LIBOR + 5.500%)

      5.043 %      6/25/37        1,108,785        136,083 (b) 

Structured Adjustable Rate Mortgage Loan Trust, 2004-18 1A2

      2.566 %      12/25/34        162,221        157,302 (b) 

Structured Adjustable Rate Mortgage Loan Trust, 2005-4 1A1

      2.698 %      3/25/35        119,003        107,726 (b) 

Structured Adjustable Rate Mortgage Loan Trust, 2005-7 1A3

      2.956 %      4/25/35        42,867        43,479 (b) 

Structured Asset Investment Loan Trust, 2004-8 M9 (1 mo. USD LIBOR + 3.750%)

      4.207 %      9/25/34        297,405        322,279 (b) 

Structured Asset Mortgage Investments II Trust, 2006-AR5 4A1 (1 mo. USD LIBOR + 0.440%)

      0.897 %      5/25/46        432,281        150,974 (b) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report    

  

 

 

9

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
                            
RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued)

 

        

Vivint Solar Financing VI LLC, 2018-2A B (3 mo. USD LIBOR + 4.750%)

      5.258 %      8/29/23      $ 1,296,795      $ 1,271,091 (b)(d) 

Wachovia Mortgage Loan Trust LLC, 2005-B 2A2

      2.194 %      10/20/35        8,097        8,049 (b) 

WaMu Mortgage Pass-Through Certificates Trust, 2005-AR2 B1 (1 mo. USD LIBOR + 0.795%)

      1.252 %      1/25/45        1,415,097        1,185,176 (b)(c) 

WaMu Mortgage Pass-Through Certificates Trust, 2005-8 1A6 (-3.667 x 1 mo. USD LIBOR + 23.283%)

      21.609 %      10/25/35        115,769        119,802 (b) 

WaMu Mortgage Pass-Through Certificates Trust, 2005-9 5A4 (-7.333 x 1 mo. USD LIBOR + 35.933%)

      32.585 %      11/25/35        43,580        61,490 (b) 

WaMu Mortgage Pass-Through Certificates Trust, 2005-10 2A3 (1 mo. USD LIBOR + 0.900%)

      1.357 %      11/25/35        83,221        78,112 (b) 

WaMu Mortgage Pass-Through Certificates Trust, 2005-AR13 A1C3 (1 mo. USD LIBOR + 0.980%)

      1.437 %      10/25/45        106,143        104,548 (b) 

WaMu Mortgage Pass-Through Certificates Trust, 2005-AR15 A1C4 (1 mo. USD LIBOR + 0.800%)

      1.257 %      11/25/45        534,673        297,483 (b) 

WaMu Mortgage Pass-Through Certificates Trust, 2006-AR10 A1 (1 mo. USD LIBOR + 0.200%)

      0.657 %      12/25/36        270,578        166,077 (b) 

WaMu Mortgage Pass-Through Certificates Trust, 2006-AR16 2A2

      2.388 %      12/25/36        128,094        121,866 (b) 

Wells Fargo Alternative Loan Trust, 2007- PA1 A12, IO (-1.000 x 1 mo. USD LIBOR + 5.460%)

      5.003 %      3/25/37        1,408,892        127,342 (b) 
          

 

 

  

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost - $141,860,358)

 

      154,584,199  
          

 

 

  
COMMERCIAL MORTGAGE-BACKED SECURITIES(a) - 41.5%

 

        

BPR Trust, 2021-TY F (1 mo. USD LIBOR + 4.200%)

      4.597 %      9/15/38        1,000,000        979,657 (b)(d) 

BSREP Commercial Mortgage Trust, 2021-DC HRR (1 mo. USD LIBOR + 5.500%)

      5.897 %      8/15/38        3,536,000        3,495,370 (b)(d) 

BX Commercial Mortgage Trust, 2020- VIVA E

      3.549 %      3/11/44        2,000,000        1,759,702 (b)(d) 

BX Commercial Mortgage Trust, 2019-IMC F (1 mo. USD LIBOR + 2.900%)

      3.297 %      4/15/34        2,000,000        1,953,380 (b)(d) 

 

See Notes to Schedule of Investments.

 

 

 

10

  

    Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report

  

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
                            
COMMERCIAL MORTGAGE-BACKED SECURITIES(a) - (continued)

 

      

BX Commercial Mortgage Trust, 2021-XL2 J (1 mo. USD LIBOR + 3.890%)

      4.287 %      10/15/38      $ 2,439,910      $ 2,353,470 (b)(d) 

BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%)

      4.411 %      2/15/39        1,150,000        1,125,594 (b)(d) 

Credit Suisse Mortgage Capital Trust, 2021-4SZN A (1 mo. Term SOFR + 3.967%)

      4.268 %      11/15/23        1,750,000        1,706,359 (b)(d) 

CSMC OA LLC, 2014-USA F

      4.373 %      9/15/37        2,720,000        2,036,049 (d) 

CSMC Trust, 2017-CHOP F (1 mo. USD LIBOR + 4.350%)

      4.747 %      7/15/32        1,620,000        1,517,509 (b)(d) 

CSMC Trust, 2017-CHOP H (1 mo. USD LIBOR + 7.350%)

      7.747 %      7/15/32        2,459,000        2,061,871 (b)(d) 

CSMC Trust, 2019-RIO B (1 mo. USD LIBOR + 7.000%, 8.000% floor)

      8.000 %      12/15/22        3,000,000        2,927,650 (b)(d) 

CSMC Trust, 2020-LOTS A (1 mo. USD LIBOR + 3.975%, 4.725% floor)

      4.725 %      7/15/22        1,384,000        1,370,633 (b)(d) 

CSMC Trust, 2021-ADV G (1 mo. USD LIBOR + 6.250%)

      6.647 %      7/15/38        2,080,000        2,071,127 (b)(d) 

DBUBS Mortgage Trust, 2011-LC3A G

      3.750 %      8/10/44        2,600,000        72,488 (d) 

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Credit Risk, 2021-MN1 B1 (30 Day Average SOFR + 7.750%)

      7.849 %      1/25/51        950,000        1,024,385 (b)(d) 

FREMF Mortgage Trust, 21K-F117 CS (30 Day Average SOFR + 6.400%)

      6.450 %      7/25/31        1,900,000        1,935,595 (b)(d) 

FRESB Mortgage Trust, 2018-SB48 B

      3.655 %      2/25/38        3,547,118        2,826,618 (b)(d) 

FRR Re-REMIC Trust, 2018-C1 D720

      0.000 %      8/27/47        2,400,000        2,294,688 (d) 

GMAC Commercial Mortgage Securities Inc., 2006-C1 AJ

      5.349 %      11/10/45        9,771        9,301 (b) 

GS Mortgage Securities Corp. Trust, 2018- LUAU G (1 mo. USD LIBOR + 4.450%)

      4.847 %      11/15/32        2,500,000        2,440,931 (b)(d) 

GS Mortgage Securities Corp. Trust, 2019- SMP G (1 mo. USD LIBOR + 4.250%)

      4.647 %      8/15/32        1,500,000        1,386,003 (b)(d) 

GS Mortgage Securities Trust, 2007-GG10 AJ

      5.831 %      8/10/45        2,271,791        959,477 (b) 

Hawaii Hotel Trust, 2019-MAUI F (1 mo. USD LIBOR + 2.750%)

      3.147 %      5/15/38        1,000,000        976,051 (b)(d) 

Hawaii Hotel Trust, 2019-MAUI G (1 mo. USD LIBOR + 3.150%)

      3.547 %      5/15/38        1,697,000        1,625,862 (b)(d) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ

      6.222 %      2/15/51        72,402        65,806 (b) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report    

  

 

 

11

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
                            
COMMERCIAL MORTGAGE-BACKED SECURITIES(a) - (continued)

 

      

JPMorgan Chase Commercial Mortgage Securities Trust, 2018-PHMZ M
(1 mo. USD LIBOR + 8.358%)

      8.755 %      6/15/35      $ 3,000,000      $ 60,075 (b)(d) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST G
(1 mo. USD LIBOR + 4.250%)

      4.647 %      12/15/36        988,000        893,972 (b)(d) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST H
(1 mo. USD LIBOR + 6.750%)

      7.147 %      12/15/36        1,033,000        886,036 (b)(d) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFL
(1 mo. USD LIBOR + 3.000%)

      3.431 %      1/16/37        322,621        311,641 (b)(d) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN HFL
(1 mo. USD LIBOR + 4.000%)

      4.431 %      1/16/37        646,000        615,925 (b)(d) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYMZ M
(1 mo. USD LIBOR + 7.250%)

      7.647 %      6/15/26        1,250,000        1,237,569 (b)(d) 

KIND Trust, 2021-KIND F (1 mo. USD LIBOR + 3.950%)

      4.347 %      8/15/38        1,810,000        1,784,604 (b)(d) 

MBRT, 2019-MBR H1 (1 mo. USD LIBOR + 4.250%)

      4.647 %      11/15/36        2,000,000        1,959,967 (b)(d) 

Med Trust, 2021-MDLN F (1 mo. USD LIBOR + 4.000%)

      4.397 %      11/15/38        1,100,000        1,078,457 (b)(d) 

ML-CFC Commercial Mortgage Trust, 2007-5 AJ

      5.408 %      8/12/48        44,730        21,996 (b) 

ML-CFC Commercial Mortgage Trust, 2007-9 AJ

      6.193 %      9/12/49        23,579        23,236 (b) 

ML-CFC Commercial Mortgage Trust, 2007-9 AJA

      6.222 %      9/12/49        5,494        5,414 (b) 

Morgan Stanley Capital I Trust, 2007-IQ16 AJ

      5.674 %      12/12/49        84,324        32,522 (b) 

Motel Trust, 2021-MTL6 H (1 mo. USD LIBOR + 6.000%)

      6.397 %      9/15/38        849,412        848,744 (b)(d) 

MRCD Mortgage Trust, 2019-PRKC A

      4.250 %      12/15/36        2,048,000        1,776,078 (b)(d) 

Multifamily CAS Trust, 2019-1 CE (1 mo. USD LIBOR + 8.750%)

      9.207 %      10/15/49        2,500,000        2,520,006 (b)(d) 

Multifamily CAS Trust, 2020-1 CE (1 mo. USD LIBOR + 7.500%)

      7.957 %      3/25/50        1,500,000        1,511,369 (b)(d) 

Natixis Commercial Mortgage Securities Trust, 2019-FAME D

      4.398 %      8/15/36        1,900,000        1,744,020 (b)(d) 

 

See Notes to Schedule of Investments.

 

 

 

12

  

    Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report

  

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
                            
COMMERCIAL MORTGAGE-BACKED SECURITIES(a) - (continued)

 

      

Natixis Commercial Mortgage Securities Trust, 2019-FAME E

      4.398 %      8/15/36      $ 950,000      $ 818,954 (b)(d) 

River Haus, 2021 A-2

      6.950 %      8/15/24        1,500,000        1,500,900 (e)(f)(g) 

SMR Mortgage Trust, 2022-IND G (1 mo. Term SOFR + 7.500%)

      7.801 %      2/15/39        1,929,181        1,919,685 (b)(d) 

Soho Trust, 2021-SOHO D

      2.697 %      8/10/38        1,500,000        1,232,266 (b)(d) 

Starwood Retail Property Trust, 2014-STAR D (1 mo. USD LIBOR + 3.500%)

      3.897 %      11/15/27        1,000,000        10 (b)(d) 

Starwood Retail Property Trust, 2014-STAR E (1 mo. USD LIBOR + 4.400%)

      4.797 %      11/15/27        1,600,000        16 (b)(d) 

Tharaldson Hotel Portfolio Trust, 2018-THL E (1 mo. USD LIBOR + 3.480%)

      3.770 %      11/11/34        1,012,600        974,823 (b)(d) 

Tharaldson Hotel Portfolio Trust, 2018-THL F (1 mo. USD LIBOR + 4.252%)

      4.542 %      11/11/34        769,576        745,364 (b)(d) 

UBS Commercial Mortgage Trust, 2018- NYCH G (1 mo. USD LIBOR + 4.838%)

      5.235 %      2/15/32        962,000        910,581 (b)(d) 

UBS-Barclays Commercial Mortgage Trust, 2012-C2 G

      5.000 %      5/10/63        3,130,000        24,060 (b)(d) 

UBS-Barclays Commercial Mortgage Trust, 2012-C2 H

      5.000 %      5/10/63        3,149,979        16,030 (b)(d) 

Wells Fargo Commercial Mortgage Trust, 2022-JS2 G

      3.454 %      12/15/39        2,200,000        1,631,402 (b)(d) 
          

 

 

  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost - $81,940,850)

 

         68,061,298  
          

 

 

  
                  FACE
AMOUNT/
UNITS		         
ASSET-BACKED SECURITIES - 9.3%           

AccessLex Institute, 2004-A B1 (28 day Auction Rate Security)

      0.000 %      7/1/39        250,000        235,953 (b) 

Applebee’s Funding LLC/IHOP Funding LLC, 2019-1A A2II

      4.723 %      6/5/49        990,000        990,479 (d) 

BankAmerica Manufactured Housing Contract Trust, 1996-1 B1

      7.875 %      10/10/26        7,866,000        528,228  

BCMSC Trust, 1998-B A

      6.530 %      10/15/28        273,938        270,044 (b) 

BCMSC Trust, 1999-A A3

      5.980 %      3/15/29        60,808        60,646 (b) 

Cascade MH Asset Trust, 2019-MH1 M

      5.985 %      11/25/44        1,150,000        1,139,164 (b)(d) 

Firstfed Corp. Manufactured Housing Contract, 1997-2 B

      8.110 %      5/15/24        121,324        347 (d) 

Loanpal Solar Loan Ltd., 2020-3GS C

      3.500 %      12/20/47        830,000        730,594 (d) 

Loanpal Solar Loan Ltd., 2021-1GS C

      3.500 %      1/20/48        931,661        815,126 (d) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report    

  

 

 

13

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT/
UNITS		      VALUE  
ASSET-BACKED SECURITIES - (continued)           

Lunar Structured Aircraft Portfolio Notes, 2021-1 C

      5.682 %      10/15/46      $ 1,969,264      $ 1,655,093 (d) 

National Collegiate Student Loan Trust, 2006-3 B (1 mo. USD LIBOR +0.360%)

      0.817 %      1/26/32        1,710,000        1,339,991 (b) 

National Collegiate Class A-3L Commutation Trust, 2007-4VI O (1 mo. USD LIBOR + 0.850%)

      1.307 %      3/29/38        6,037,833        1,431,274 (b)(d) 

RBS Acceptance Inc., 1995-BA1 B2

      9.000 %      8/10/20        2,191,561        263  

SMB Private Education Loan Trust, 2014-A R

      0.000 %      9/15/45        6,875        994,762 (d) 

SoFi Professional Loan Program LLC, 2017-F R1

      0.000 %      1/25/41        34,000        707,445 (d) 

Stonepeak, 2021-1A B

      3.821 %      2/28/33        1,576,607        1,421,831 (d) 

Sunnova Hellios II Issuer LLC, 2018-1A B

      7.710 %      7/20/48        1,061,303        1,042,629 (d) 

Thrust Engine Leasing, 2021-1A A

      4.163 %      7/15/40        1,665,814        1,560,652 (d) 

Voya CLO Ltd., 2017-2A D (3 mo. USD LIBOR + 6.020%)

      6.261 %      6/7/30        400,000        388,832 (b)(d) 
          

 

 

  

TOTAL ASSET-BACKED SECURITIES
(Cost - $19,330,129)

 

           15,313,353  
          

 

 

  
                  FACE
AMOUNT		         
CORPORATE BONDS & NOTES - 1.5%           
CONSUMER STAPLES - 0.3%           

Food & Staples Retailing - 0.3%

           

CVS Pass-Through Trust

      9.350 %      1/10/23        479,444        509,100 (d) 
          

 

 

  
FINANCIALS - 1.2%           

Mortgage Real Estate Investment Trusts (REITs) - 1.2%

 

        

Ladder Capital Finance Holdings LLLP/

           

Ladder Capital Finance Corp., Senior Notes

      4.750 %      6/15/29        2,000,000        1,888,820 (d) 
          

 

 

  

TOTAL CORPORATE BONDS & NOTES
(Cost - $2,481,908)

 

           2,397,920  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

14

  

    Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report

  

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    March 31, 2022

 

SECURITY‡

    COUNTERPARTY      EXPIRATION
DATE		     CONTRACTS      NOTIONAL
AMOUNT		      VALUE  
PURCHASED OPTIONS - 0.1%              
OTC PURCHASED OPTIONS - 0.1%

 

           

Credit default swaption to buy protection on Markit CDX.NA.IG.37 Index, Put @ $70.00

      Credit Suisse        4/20/22       55,590,000      $ 55,590,000      $ 27,840  

Credit default swaption to buy protection on Markit CDX.NA.IG.37 Index, Put @ $75.00

     

 Morgan
Stanley &
Co. Inc.		  
 
 		      6/15/22       90,000,000        90,000,000        148,384  
             

 

 

  

TOTAL PURCHASED OPTIONS
(Cost - $391,133)

 

              176,224  
             

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost $246,004,378)

 

      240,532,994  
             

 

 

  
            RATE            SHARES         
SHORT-TERM INVESTMENTS - 3.3%

 

           

Western Asset Premier Institutional Government Reserves, Premium Shares
(Cost - $5,474,978)

         0.195 %         5,474,978        5,474,978 (h) 
             

 

 

  

TOTAL INVESTMENTS - 150.0%
(Cost - $251,479,356)

 

           246,007,972  

Liabilities in Excess of Other Assets - (50.0)%

 

              (82,004,271 ) 
             

 

 

  

TOTAL NET ASSETS - 100.0%

 

            $ 164,003,701  
             

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report    

  

 

 

15

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2022

 

‡

Securities held by the Fund are subject to a lien, granted to the lender, to the extent of the borrowing outstanding and any additional expenses.

 

(a)

Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit.

 

(b)

Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

 

(c)

All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements.

 

(d)

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

 

(e)

Security is valued in good faith in accordance with procedures approved by the Board of Directors (Note 1).

 

(f)

Security is valued using significant unobservable inputs (Note 1).

 

(g)

This security is traded on a to-be-announced (“TBA”) basis. At March 31, 2022, the Fund held TBA securities with a total cost of $1,500,000.

 

(h)

In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At March 31, 2022, the total market value of investments in Affiliated Companies was $5,474,978 and the cost was $5,474,978 (Note 2).

Abbreviation(s) used in this schedule:

 

CAS    —    Connecticut Avenue Securities
CLO    —    Collateralized Loan Obligation
CMT    —    Constant Maturity Treasury
IO    —    Interest Only
LIBOR    —    London Interbank Offered Rate
PAC    —    Planned Amortization Class
PO    —    Principal Only
REMIC    —    Real Estate Mortgage Investment Conduit
Re-REMIC    —    Resecuritization of Real Estate Mortgage Investment Conduit
SOFR    —    Secured Overnight Financing Rate
USD    —    United States Dollar

At March 31, 2022, the Fund had the following open reverse repurchase agreements:

 

Counterparty

    Rate     Effective
Date		      Maturity
Date		      Face Amount
of Reverse
Repurchase
Agreements		      Asset Class
of Collateral*		    Collateral
Value**		  

Nomura Securities

International Inc.

      1.872 %      10/18/2021        5/22/2023      $ 5,040,000      Residential Mortgage-
Backed Securities		    $ 5,771,287  

Nomura Securities

International Inc.

      1.877 %      8/11/2021        5/22/2023        7,520,000      Residential Mortgage-
Backed Securities		      10,240,150  

 

See Notes to Schedule of Investments.

 

 

 

16

  

    Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report

  

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

    March 31, 2022

 

Counterparty

    Rate     Effective
Date		      Maturity
Date		      Face Amount
of Reverse
Repurchase
Agreements		      Asset Class
of Collateral*		    Collateral
Value**		  

Nomura Securities

International Inc.

      1.879 %      9/24/2021        5/22/2023      $ 5,022,000      Residential Mortgage-
Backed Securities		    $ 7,005,470  

Nomura Securities

International Inc.

      1.879 %      11/1/2021        5/22/2023        3,391,000      Residential Mortgage-
Backed Securities		      4,985,002  

Nomura Securities

International Inc.

      1.891 %      5/27/2021        5/22/2023        57,833,000      Residential Mortgage-
Backed Securities		      73,241,818  

Nomura Securities

International Inc.

      1.896 %      7/2/2021        5/22/2023        2,495,000      Residential Mortgage-
Backed Securities		      5,533,866  
          

 

 

        

 

 

  
           $ 81,301,000         $ 106,777,593  
          

 

 

        

 

 

  

 

*

Refer to the Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements.

 

**

Including accrued interest.

Schedule of Written Options

OTC Written Options

 

SECURITY

    COUNTERPARTY    EXPIRATION
DATE		      STRIKE
PRICE		      CONTRACTS      NOTIONAL
AMOUNT†		      VALUE  

Credit default swaption to sell protection on Markit CDX.NA.IG.37 Index, Put

    Credit Suisse      4/20/22      $ 90.00        55,590,000      $ 55,590,000      $ (8,163 ) 

Credit default swaption to sell protection on Markit CDX.NA.IG.37 Index, Put

    Morgan Stanley & Co. Inc.      6/15/22        100.00        90,000,000        90,000,000        (63,845 ) 
                 

 

 

  

Total OTC Written Options

(Premiums received - $209,622)

 

 

          $ (72,008 ) 
                 

 

 

  

 

†

Notional amount denominated in U.S. dollar unless otherwise noted.

At March 31, 2022, the Fund had the following open futures contracts:

 

     Number of
Contracts		      Expiration
Date		      Notional
Amount		      Market
Value		      Unrealized
Appreciation
(Depreciation)		  
Contracts to Buy:               

U.S. Treasury 10-Year Notes

      20        6/22      $ 2,524,253      $ 2,457,500      $ (66,753 ) 

U.S. Treasury Long-Term Bonds

      16        6/22        2,473,649        2,401,000        (72,649 ) 

U.S. Treasury Ultra Long- Term Bonds

      19        6/22        3,489,647        3,365,375        (124,272 ) 
              

 

 

  
                 (263,674 ) 
              

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report    

  

 

 

17

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

    March 31, 2022

 

     Number of
Contracts		      Expiration
Date		      Notional
Amount		      Market Value      Unrealized
Appreciation
(Depreciation)		  
Contracts to Sell:               

U.S. Treasury 5-Year Notes

      189        6/22      $ 22,275,105      $ 21,675,937      $ 599,168  
              

 

 

  
Net unrealized appreciation on open futures contracts

 

          $ 335,494  
              

 

 

  

At March 31, 2022, the Fund had the following open swap contracts:

 

     CENTRALLY CLEARED INTEREST RATE SWAPS
     NOTIONAL
AMOUNT		      TERMINATION
DATE		      PAYMENTS
MADE BY
THE FUND†		     

PAYMENTS

RECEIVED BY

THE FUND†

   UPFRONT
PREMIUMS PAID
(RECEIVED)		     UNREALIZED
APPRECIATION		  
     $1,081,000        8/15/28       

 1.130%

annually

  

 

    Daily SOFR Compound annually    $ 6,035     $ 60,325  
       1,714,000        8/15/28       

 1.220%

annually

  

 

    Daily SOFR Compound annually      (2,519 )      98,531  
       2,016,000        5/15/47       

 1.650%

annually

  

 

    Daily SOFR Compound annually      17,459       139,475  
  

 

 

              

 

 

    

 

 

  

Total

    $ 4,811,000               $ 20,975     $ 298,331  
  

 

 

              

 

 

    

 

 

  

 

OTC CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION1

  

SWAP COUNTERPARTY

(REFERENCE ENTITY)

    NOTIONAL
AMOUNT2		      TERMINATION
DATE		      PERIODIC
PAYMENTS
RECEIVED
BY THE
FUND† 		     MARKET
VALUE3		     UPFRONT
PREMIUMS PAID
(RECEIVED)		     UNREALIZED
DEPRECIATION		  

Morgan Stanley & Co. Inc.

(Markit CMBX.NA.BBB-.8 Index)

    $ 500,000        10/17/57       

 3.000%

monthly

  

 

    $ (64,985 )    $ (21,332 )    $ (43,653 ) 

OTC CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION4

  

SWAP COUNTERPARTY

(REFERENCE ENTITY)

    NOTIONAL
AMOUNT2		      TERMINATION
DATE		      PERIODIC
PAYMENTS
MADE BY
THE FUND†		      MARKET
VALUE3		     UPFRONT
PREMIUMS PAID
(RECEIVED)		     UNREALIZED
APPRECIATION		  

Morgan Stanley & Co. Inc.

(Markit CMBX.NA.BBB-.12 Index)

    $ 500,000        8/17/61       

 3.000%

Monthly

  

 

    $ 44,710     $ 40,117     $ 4,593  

 

See Notes to Schedule of Investments.

 

 

 

18

  

    Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report

  

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

 

    March 31, 2022

 

1

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

2

The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

 

3

The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

4

If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index.

 

†

Percentage shown is an annual percentage rate.

Abbreviation(s) used in this table:

 

SOFR    —    Secured Overnight Financing Rate

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

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report    

  

 

 

19

Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

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

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).

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

The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the

 

 

 

20

    

Notes to Schedule of Investments (unaudited) (continued)

 

effectiveness of the Fund’s pricing policies, and reporting to the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

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

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

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

 

   

 

 

21

Notes to Schedule of Investments (unaudited) (continued)

 

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

 

  •  

Level 1 – quoted prices in active markets for identical investments

 

  •  

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

 

  •  

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

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

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

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Long-Term Investments†:

            

Residential Mortgage-Backed Securities

      —        $ 154,584,199        —        $ 154,584,199  

Commercial Mortgage-Backed Securities

      —          66,560,398      $ 1,500,900        68,061,298  

Asset-Backed Securities

      —          15,313,353        —          15,313,353  

Corporate Bonds & Notes

      —          2,397,920        —          2,397,920  

Purchased Options

      —          176,224        —          176,224  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      —          239,032,094        1,500,900        240,532,994  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

    $ 5,474,978        —          —          5,474,978  
  

 

 

     

 

 

     

 

 

     

 

 

  
Total investments    $ 5,474,978      $ 239,032,094      $ 1,500,900      $ 246,007,972  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:

            

Futures Contracts††

    $ 599,168        —          —        $ 599,168  

Centrally Cleared Interest Rate Swaps††

      —        $ 298,331        —          298,331  

OTC Credit Default Swaps on Credit Indices - Buy Protection‡

      —          44,710        —          44,710  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total other financial instruments

    $ 599,168      $ 343,041        —        $ 942,209  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 6,074,146      $ 239,375,135      $ 1,500,900      $ 246,950,181  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

 

 

22

    

Notes to Schedule of Investments (unaudited) (continued)

 

LIABILITIES

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Other Financial Instruments:

            

Written Options

      —        $ 72,008        —        $ 72,008  

Futures Contracts††

    $ 263,674        —          —          263,674  

OTC Credit Default Swaps on Credit Indices - Sell Protection‡

      —          64,985        —          64,985  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 263,674      $ 136,993        —        $ 400,667  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

††

Reflects the unrealized appreciation (depreciation) of the instruments.

 

‡

Value includes any premium paid or received with respect to swap contracts.

2. Transactions with affiliated company

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended March 31, 2022. The following transactions were effected in such company for the period ended March 31, 2022.

 

    

 Affiliate

Value at

December 31,

2021

  

 

 

 

         
     Purchased      Sold  
     Cost      Shares      Cost      Shares  
Western Asset Premier Institutional Government Reserves, Premium Shares    $ 1,385,262      $ 11,414,736        11,414,736      $ 7,325,020        7,325,020  

 

(cont’d)

    Realized
Gain (Loss)		      Dividend
Income		      Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		      Affiliate
Value at
March 31,
2022		  
Western Asset Premier Institutional Government Reserves, Premium Shares      —        $ 362        —        $ 5,474,978  

 

   

 

 

23


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