0001752724-23-266904.txt : 20231127 0001752724-23-266904.hdr.sgml : 20231127 20231127132936 ACCESSION NUMBER: 0001752724-23-266904 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230929 FILED AS OF DATE: 20231127 DATE AS OF CHANGE: 20231127 PERIOD START: 20231231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LEGG MASON PARTNERS INCOME TRUST CENTRAL INDEX KEY: 0000764624 IRS NUMBER: 000000000 STATE OF INCORPORATION: MD FISCAL YEAR END: 0731 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04254 FILM NUMBER: 231439383 BUSINESS ADDRESS: STREET 1: LEGG MASON & CO., LLC STREET 2: 620 EIGHTH AVENUE, 49TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 1-877-721-1926 MAIL ADDRESS: STREET 1: LEGG MASON & CO., LLC STREET 2: 620 EIGHTH AVENUE, 49TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10018 FORMER COMPANY: FORMER CONFORMED NAME: LEGG MASON PARTNERS INCOME FUNDS DATE OF NAME CHANGE: 20060407 FORMER COMPANY: FORMER CONFORMED NAME: SMITH BARNEY INCOME FUNDS DATE OF NAME CHANGE: 19941228 FORMER COMPANY: FORMER CONFORMED NAME: SMITH BARNEY SHEARSON INCOME FUNDS DATE OF NAME CHANGE: 19931015 0000764624 S000016649 Western Asset Mortgage Total Return Fund C000046506 Class A SGVAX C000046508 Class C1 SGSLX C000046509 Class I SGSYX C000046510 Class 1 SGVSX C000088509 Class C LWMSX C000118880 Class IS LMBSX NPORT-P 1 primary_doc.xml NPORT-P false 0000764624 XXXXXXXX S000016649 C000088509 C000046506 C000046510 C000046509 C000046508 C000118880 Legg Mason Partners Income Trust 811-04254 0000764624 549300Y1U2UCLTK83X35 620 Eighth Avenue 47th Floor New York 10018 1-877-656-3863 Western Asset Mortgage Total Return Fund S000016649 549300GQXDFRVF4XT215 2023-12-31 2023-09-29 N 598779822.46 148156806.18 450623016.28 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 132296129.13000000 0.00000000 3059622.80000000 USD N Bloomberg US Mortgage Backed Securities N/A Freddie Mac - STACR 549300D2VO9JVX6KU482 STACR Trust 2018-HRP1 3137G0VB2 4917785.00000000 PA USD 5683968.03000000 1.261357681399 Long ABS-MBS CORP US N 2 2043-05-25 Floating 17.17943000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XCDQ8 1579795.94000000 PA USD 1324468.23000000 0.293919347691 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38383ASM7 4614376.63000000 PA USD 657700.48000000 0.145953592301 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371JPV0 1205.16000000 PA USD 1210.69000000 0.000268670253 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BHK40 2879778.93000000 PA USD 363171.80000000 0.080593264631 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207LFG8 1885.65000000 PA USD 1900.17000000 0.000421676197 Long ABS-MBS USGA US N 2 2030-12-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UMP4 1500111.69000000 PA USD 1481871.89000000 0.328849578575 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31389FXQ0 7842.38000000 PA USD 7819.49000000 0.001735262007 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 7.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US 10yr Ultra 000000000 -119.00000000 NC USD 337900.99000000 0.074985293203 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 2023-12-19 -13613838.49000000 USD 337900.99000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179R7J2 220072.74000000 PA USD 195964.05000000 0.043487359260 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31387VS91 1519.20000000 PA USD 1516.69000000 0.000336576238 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371JDS0 927.46000000 PA USD 948.44000000 0.000210473048 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QLZ82 605409.46000000 PA USD 486131.39000000 0.107879840229 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379EHN5 509669.78000000 PA USD 45992.40000000 0.010206402766 Long ABS-MBS USGA US N 2 2044-08-20 Floating 0.76068000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3617MKMK2 1989992.15000000 PA USD 1782381.24000000 0.395537106540 Long ABS-MBS USGA US N 2 2050-06-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XKKC3 1412145.33000000 PA USD 1092501.05000000 0.242442354369 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31397UUU1 138776.39000000 PA USD 138574.44000000 0.030751744805 Long ABS-MBS USGSE US N 2 2041-07-25 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BGVA6 972822.09000000 PA USD 135468.10000000 0.030062401410 Long ABS-MBS USGSE US N 2 2049-04-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XCYK8 132519.83000000 PA USD 114588.59000000 0.025428925256 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FF2J5 5394236.47000000 PA USD 519897.05000000 0.115372946169 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31396QRA9 247185.20000000 PA USD 240122.35000000 0.053286747752 Long ABS-MBS USGSE US N 2 2039-08-25 Variable 4.69695300 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F0206A2 3000000.00000000 PA USD 2282578.11000000 0.506538287556 Long ABS-MBS USGSE US N 2 2053-10-15 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XASE3 82368.84000000 PA USD 66056.98000000 0.014659033740 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212EGD3 186.61000000 PA USD 186.34000000 0.000041351638 Long ABS-MBS USGA US N 2 2030-08-15 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133BSPH9 89396.02000000 PA USD 88641.40000000 0.019670854971 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31384VNK4 1084.79000000 PA USD 1095.89000000 0.000243194413 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137H3WN8 5312254.62000000 PA USD 718078.71000000 0.159352426320 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377UJK5 17605.52000000 PA USD 239.36000000 0.000053117570 Long ABS-MBS USGA US N 2 2025-12-16 Fixed 4.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F0626A4 8100000.00000000 PA USD 8137335.98000000 1.805796793775 Long ABS-MBS USGSE US N 2 2053-10-15 Fixed 6.50000000 N N N N N N Social Professional Loan Progr N/A SoFi Professional Loan Program 2020-ATrust 83406TAC6 3200000.00000000 PA USD 2469930.88000000 0.548114674742 Long ABS-O CORP US N 2 2046-05-15 Fixed 3.12000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133A2BZ2 187312.98000000 PA USD 156576.37000000 0.034746642835 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617MKP78 71285.45000000 PA USD 57074.43000000 0.012665671290 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2017-2 35563PBM0 16396313.14000000 PA USD 1767140.52000000 0.392154962387 Long ABS-MBS CORP US N 2 2056-08-25 Variable 1.26306900 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418AJX7 1192391.10000000 PA USD 1051237.31000000 0.233285312117 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617Q0FZ7 1125017.55000000 PA USD 1020443.03000000 0.226451599925 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 4.00000000 N N N N N N BENCHMARK Mortgage Trust N/A Benchmark 2021-B25 Mortgage Trust 08163DAG2 16788962.72000000 PA USD 922519.92000000 0.204720994416 Long ABS-MBS CORP US N 2 2054-04-15 Variable 1.21330200 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H3EX6 9996500.40000000 PA USD 316518.19000000 0.070240129457 Long ABS-MBS USGSE US N 2 2031-08-25 Variable 0.60785500 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SLS4 15755.82000000 PA USD 14017.55000000 0.003110704401 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L5GZ3 76979.22000000 PA USD 60208.78000000 0.013361230524 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 Freddie Mac Structured Agency Credit Risk Debt Notes 3137G0JZ3 2378757.67000000 PA USD 2692033.87000000 0.597402656487 Long ABS-MBS CORP US N 2 2028-10-25 Floating 15.92943000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140M33H1 435159.84000000 PA USD 349940.31000000 0.077656998723 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Castlelake Aircraft Securitiza N/A Castlelake Aircraft Structured Trust 2021-1 14856GAA8 554217.50000000 PA USD 511892.19000000 0.113596547780 Long ABS-O CORP US N 2 2046-01-15 Fixed 3.47400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XFPJ4 1306806.00000000 PA USD 1050905.80000000 0.233211745080 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382X6W0 5067219.51000000 PA USD 694866.29000000 0.154201242478 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XGRZ4 166889.84000000 PA USD 142812.72000000 0.031692282648 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179WDR6 5795722.12000000 PA USD 4749886.44000000 1.054070979154 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382HYG9 6358049.76000000 PA USD 865204.68000000 0.192001883779 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140KLVW9 126145.41000000 PA USD 97733.11000000 0.021688441661 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L6TB0 73355.60000000 PA USD 56850.61000000 0.012616002278 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617B9A63 3375725.82000000 PA USD 3002915.72000000 0.666391997636 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 3.50000000 N N N N N N BENCHMARK Mortgage Trust N/A Benchmark 2020-IG3 Mortgage Trust 08162QAQ2 2000000.00000000 PA USD 941469.00000000 0.208926079225 Long ABS-MBS CORP US N 2 2048-09-15 Variable 3.39088800 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137F86B4 669886.80000000 PA USD 105835.48000000 0.023486478980 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31389QPB8 1274.64000000 PA USD 1271.86000000 0.000282244793 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A2R38 51562.81000000 PA USD 46029.82000000 0.010214706825 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XKW89 5779965.90000000 PA USD 4437725.86000000 0.984797868656 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379WWN8 1590382.97000000 PA USD 141293.44000000 0.031355131650 Long ABS-MBS USGA US N 2 2046-04-20 Floating 0.61068000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F0426A6 4400000.00000000 PA USD 4040093.77000000 0.896557349278 Long ABS-MBS USGSE US N 2 2053-10-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H0306A7 -900000.00000000 PA USD -762890.62000000 -0.16929686066 Short ABS-MBS USGA US N 2 2053-10-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B6LX9 3642121.36000000 PA USD 352014.67000000 0.078117330292 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 0.57057000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140KLH47 136121.60000000 PA USD 109698.11000000 0.024343654459 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B4B98 1055628.47000000 PA USD 207468.36000000 0.046040338044 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31388NC53 1434.94000000 PA USD 1441.02000000 0.000319783932 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UPD8 243979.84000000 PA USD 241093.09000000 0.053502169505 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 5.50000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2016-1 35563PAH2 50085451.92000000 PA USD 221227.44000000 0.049093684079 Long ABS-MBS CORP US N 2 2055-09-25 Variable 0.07500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381H8D6 1999897.31000000 PA USD 122883.49000000 0.027269687867 Long ABS-MBS USGA US N 2 2064-06-16 Variable 0.61116000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38383M3M8 1200000.00000000 PA USD 1034511.60000000 0.229573626429 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382DWM7 895304.53000000 PA USD 82116.70000000 0.018222926267 Long ABS-MBS USGA US N 2 2047-07-20 Floating 0.71068000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137F6P92 141353.36000000 PA USD 24445.28000000 0.005424773950 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132AEPM2 61106.02000000 PA USD 53515.91000000 0.011875982376 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137H4HJ2 4700000.00000000 PA USD 2877676.05000000 0.638599438119 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X6M99 114656.48000000 PA USD 107315.40000000 0.023814895405 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 4.50000000 N N N N N N GS Mortgage Securities Trust N/A GS Mortgage Securities Corp Trust 2018-SRP5 36255TAN2 4450678.23000000 PA USD 869326.50000000 0.192916577403 Long ABS-MBS CORP US N 2 2031-09-15 Floating 11.94748000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38374HYS3 346153.72000000 PA USD 344712.58000000 0.076496887097 Long ABS-MBS USGA US N 2 2034-08-16 Floating 5.74505000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XJ7B3 5682266.03000000 PA USD 5371373.40000000 1.191988248701 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J9H53 944664.36000000 PA USD 841188.01000000 0.186672224810 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QFA33 73685.80000000 PA USD 56467.71000000 0.012531031030 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BMY69 6733244.76000000 PA USD 4464943.88000000 0.990837955162 Long ABS-MBS USGSE US N 2 2042-06-25 Fixed 1.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36211FRS6 415.46000000 PA USD 415.41000000 0.000092185704 Long ABS-MBS USGA US N 2 2030-12-15 Fixed 7.50000000 N N N N N N New Residential Mortgage Loan N/A New Residential Mortgage Loan Trust 2014-1 64828AAA1 459161.24000000 PA USD 425382.86000000 0.094398831092 Long ABS-MBS CORP US N 2 2054-01-25 Variable 3.75000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FYTY2 14948171.40000000 PA USD 562994.47000000 0.124936909492 Long ABS-MBS USGSE US N 2 2036-02-25 Variable 0.57782200 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 Freddie Mac Structured Agency Credit Risk Debt Notes 3137G0MY2 2517499.90000000 PA USD 2807744.98000000 0.623080685753 Long ABS-MBS CORP US N 2 2029-07-25 Floating 15.42943000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B3HQ6 1433633.42000000 PA USD 1268715.40000000 0.281546959246 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 3.50000000 N N N N N N Credit Suisse Mortgage Trust N/A CSMC 2017-RPL1 Trust 22945AAE9 4076582.00000000 PA USD 2477515.40000000 0.549797793386 Long ABS-MBS CORP US N 2 2057-07-25 Variable 2.96164000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378BUS6 807160.89000000 PA USD 398.01000000 0.000088324383 Long ABS-MBS USGA US N 2 2052-08-16 Variable 0.09364000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UUN0 1633123.15000000 PA USD 1614050.92000000 0.358182086064 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X8SG3 72216.38000000 PA USD 57509.56000000 0.012762233157 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N BENCHMARK Mortgage Trust N/A Benchmark 2020-B16 Mortgage Trust 08161NAE7 1450000.00000000 PA USD 1199508.01000000 0.266188802316 Long ABS-MBS CORP US N 2 2053-02-15 Fixed 2.48300000 N N N N N N Multifamily Trust N/A Multifamily Trust 2016-1 62547L103 642771.25000000 PA USD 642542.42000000 0.142589791640 Long ABS-MBS CORP US N 2 2046-04-25 Variable 0.68101000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 Avis Budget Rental Car Funding AESOP LLC 05377RHP2 3700000.00000000 PA USD 3717365.40000000 0.824939087818 Long ABS-O CORP US N 2 2030-02-20 Fixed 7.34000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133AGRD3 74203.86000000 PA USD 57509.06000000 0.012762122200 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31386HMR9 211.34000000 PA USD 210.69000000 0.000046755268 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137AQUW6 112288.28000000 PA USD 3866.24000000 0.000857976592 Long ABS-MBS USGSE US N 2 2027-05-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380BB46 5417124.00000000 PA USD 3531075.36000000 0.783598536344 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379FFB0 1985329.93000000 PA USD 380994.54000000 0.084548397715 Long ABS-MBS USGA US N 2 2045-04-16 Fixed 4.00000000 N N N N N N MED Trust N/A Med Trust 2021-MDLN 58403YAX4 3542996.33000000 PA USD 3376949.20000000 0.749395631824 Long ABS-MBS CORP US N 2 2038-11-15 Floating 9.44648000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381BDT8 953315.04000000 PA USD 879989.77000000 0.195282916808 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.00000000 N N N N N N Aqua Finance Trust N/A Aqua Finance Trust 2020-A 038413AC4 3200000.00000000 PA USD 2751651.52000000 0.610632706406 Long ABS-O CORP US N 2 2046-07-17 Fixed 3.97000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMWN1 244703.57000000 PA USD 196584.92000000 0.043625139617 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AAHN8 579394.68000000 PA USD 23104.35000000 0.005127201488 Long ABS-MBS USGSE US N 2 2027-12-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X9SV8 281881.80000000 PA USD 226098.18000000 0.050174574274 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 3136FCVW3 526580.73000000 PA USD 80177.36000000 0.017792557659 Long ABS-MBS USGSE US N 2 2035-08-25 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140M2CH3 1624755.94000000 PA USD 1255985.93000000 0.278722099099 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178WGQ6 136315.91000000 PA USD 117141.95000000 0.025995554103 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379RPH0 509634.05000000 PA USD 14455.62000000 0.003207918698 Long ABS-MBS USGA US N 2 2058-07-16 Variable 0.59164000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140KVQF0 164306.68000000 PA USD 127102.06000000 0.028205851767 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XBLK4 81061.40000000 PA USD 67875.94000000 0.015062688222 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QFA25 220088.86000000 PA USD 168986.23000000 0.037500576733 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DNS46 940550.51000000 PA USD 719966.82000000 0.159771426223 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X6KQ3 387251.07000000 PA USD 363661.92000000 0.080702029603 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 4.50000000 N N N N N N OPG Trust N/A OPG Trust 2021-PORT 67118AAA3 459431.43000000 PA USD 448079.89000000 0.099435642169 Long ABS-MBS CORP US N 2 2036-10-15 Floating 5.93148000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F0426A6 -1000000.00000000 PA USD -918203.13000000 -0.20376303402 Short ABS-MBS USGSE US N 2 2053-10-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L7M41 78937.29000000 PA USD 61289.49000000 0.013601056267 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140KKH80 131868.67000000 PA USD 102177.59000000 0.022674738375 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132AEFK7 135194.76000000 PA USD 127139.53000000 0.028214166921 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617Q6VQ6 1305320.35000000 PA USD 1110267.14000000 0.246384915969 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140JBVE3 183920.44000000 PA USD 142025.69000000 0.031517628897 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Starwood Retail Property Trust 5493007115G809OI4R97 Starwood Retail Property Trust 2014-STAR 85571XAN7 2324000.00000000 PA USD 241115.00000000 0.053507031662 Long ABS-MBS CORP US N 2 2027-11-15 Floating 8.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XFBK6 74200.38000000 PA USD 62486.70000000 0.013866735107 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B5UN3 1897112.56000000 PA USD 209670.21000000 0.046528961554 Long ABS-MBS USGSE US N 2 2049-08-25 Floating 0.62057000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A4XC8 658665.23000000 PA USD 7144.54000000 0.001585480488 Long ABS-MBS USGSE US N 2 2040-12-25 Floating 1.12057000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385JBP2 931.15000000 PA USD 944.38000000 0.000209572073 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133B3XG7 794431.97000000 PA USD 639105.44000000 0.141827074275 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H74C4 66426764.88000000 PA USD 1622487.02000000 0.360054183071 Long ABS-MBS USGSE US N 2 2055-04-25 Variable 0.45007700 N N N N N N Social Professional Loan Progr N/A SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC 83401B106 25000.00000000 PA USD 318458.60000000 0.070670735513 Long ABS-O CORP US N 2 2041-01-25 None 0.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179VDR8 131510.74000000 PA USD 123252.27000000 0.027351525676 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31392XUX4 43907.18000000 PA USD 42350.95000000 0.009398310443 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 4.50000000 N N N N N N Fannie Mae - CAS N/A Connecticut Avenue Securities Trust 2021-R03 20754AAJ2 500000.00000000 PA USD 498656.55000000 0.110659360925 Long ABS-MBS CORP US N 2 2041-12-25 Floating 10.81495000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H4C73 14685199.31000000 PA USD 477875.48000000 0.106047730083 Long ABS-MBS USGSE US N 2 2031-10-25 Variable 0.62617800 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31288QFR6 1694482.75000000 PA USD 1572326.35000000 0.348922778729 Long ABS-MBS USGSE US N 2 2048-11-01 Floating 3.00500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140Q9HZ9 675756.09000000 PA USD 634187.56000000 0.140735723007 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F0606A8 11100000.00000000 PA USD 10955179.74000000 2.431118550143 Long ABS-MBS USGSE US N 2 2053-10-15 Fixed 6.00000000 N N N N N N Structured Asset Securities Co N/A Structured Asset Securities Corp 86359DMC8 137632.72000000 PA USD 125645.42000000 0.027882601522 Long ABS-MBS CORP US N 2 2035-06-25 Floating 5.78420000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X9R23 116048.65000000 PA USD 93658.19000000 0.020784155850 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377XSM5 745237.81000000 PA USD 736901.43000000 0.163529469951 Long ABS-MBS USGA US N 2 2039-06-20 Fixed 5.00000000 N N N N N N J.G. Wentworth XLI LLC N/A J.G. Wentworth XLI LLC 46651TAB7 1836191.81000000 PA USD 1515557.65000000 0.336324953507 Long ABS-O CORP US N 2 2074-10-15 Fixed 4.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380RRS1 1158869.40000000 PA USD 849632.75000000 0.188546239163 Long ABS-MBS USGA US N 2 2063-06-16 Fixed 1.34000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179WG51 457094.07000000 PA USD 403064.80000000 0.089446119136 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FVHM7 5026560.58000000 PA USD 869385.37000000 0.192929641538 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.50000000 N N N N N N Small Business Administration N/A SBA Small Business Investment Cos 831641FW0 2060000.00000000 PA USD 2066565.53000000 0.458601859057 Long ABS-MBS USGA US N 2 2033-09-10 Fixed 5.68800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617MB5S4 89009.24000000 PA USD 82407.86000000 0.018287539034 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 4.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 31395Q3F5 6210938.80000000 PA USD 1044882.13000000 0.231875002441 Long ABS-MBS USGSE US N 2 2043-08-25 Fixed 3.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F0226A8 14400000.00000000 PA USD 11431663.06000000 2.536857339061 Long ABS-MBS USGSE US N 2 2053-10-15 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H0426A2 4600000.00000000 PA USD 4249789.03000000 0.943091869803 Long ABS-MBS USGA US N 2 2053-10-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385H2H4 8935.92000000 PA USD 9056.00000000 0.002009662106 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 8.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X92S3 663238.49000000 PA USD 514966.47000000 0.114278776581 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418B6J0 366760.00000000 PA USD 327509.39000000 0.072679241443 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L0FH5 84441.32000000 PA USD 64657.82000000 0.014348539170 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N SMB Private Education Loan Tru 549300XC4C7GRVLU6076 SMB Private Education Loan Trust 2014-A 784456105 22179.00000000 PA USD 1611265.97000000 0.357564063926 Long ABS-O CORP US N 2 2045-09-15 None 0.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617Q0FV6 911331.94000000 PA USD 838521.84000000 0.186080561734 Long ABS-MBS USGA US N 2 2050-07-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382NT31 730304.21000000 PA USD 121573.74000000 0.026979034715 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.50000000 N N N N N N PRKCM Trust N/A PRKCM 2023-AFC1 Trust 693981AC6 2651083.62000000 PA USD 2654282.95000000 0.589025161633 Long ABS-MBS CORP US N 2 2058-02-25 Variable 7.30400000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378ALL3 774109.57000000 PA USD 60535.68000000 0.013433774532 Long ABS-MBS USGA US N 2 2041-11-16 Floating 0.65495000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ET7D2 219288.29000000 PA USD 195926.48000000 0.043479021914 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 3.00000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2016-1 35563PAG4 7778301.31000000 PA USD 883288.34000000 0.196014918920 Long ABS-MBS CORP US N 2 2055-09-25 Variable 1.28489000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137F2X43 1135793.40000000 PA USD 114266.15000000 0.025357370989 Long ABS-MBS USGSE US N 2 2047-08-15 Floating 0.72224000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136BASJ4 18663169.19000000 PA USD 1089063.11000000 0.241679423965 Long ABS-MBS USGSE US N 2 2032-12-25 Variable 1.33306000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L2PV9 160199.99000000 PA USD 122840.53000000 0.027260154400 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Conseco Financial Corp N/A Conseco Finance Corp 393505UW0 455757.31000000 PA USD 454167.90000000 0.100786662818 Long ABS-O CORP US N 2 2029-02-15 Variable 7.22000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H0506A5 9300000.00000000 PA USD 8813203.22000000 1.955781862354 Long ABS-MBS USGA US N 2 2053-10-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36208AZY0 13625.39000000 PA USD 13602.83000000 0.003018671818 Long ABS-MBS USGA US N 2 2058-08-20 Floating 6.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XAH96 406108.28000000 PA USD 310962.21000000 0.069007174237 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140KSMA2 82400.38000000 PA USD 66167.13000000 0.014683477676 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 Fannie Mae Connecticut Avenue Securities 30711XDB7 4596042.57000000 PA USD 5217844.85000000 1.157917962796 Long ABS-MBS CORP US N 2 2029-01-25 Floating 15.67943000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136ATLX0 5282200.05000000 PA USD 767704.39000000 0.170365108364 Long ABS-MBS USGSE US N 2 2038-06-25 Fixed 4.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FTZS9 994244.34000000 PA USD 82264.07000000 0.018255629878 Long ABS-MBS USGSE US N 2 2030-04-25 Variable 1.81293600 N N N N N N MASTR Adjustable Rate Mortgage N/A MASTR Adjustable Rate Mortgages Trust 2006-OA1 576433G42 242220.62000000 PA USD 212273.75000000 0.047106726094 Long ABS-MBS CORP US N 2 2046-04-25 Floating 5.64420000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 Freddie Mac Strips 3132HTWA0 2535585.63000000 PA USD 1929618.72000000 0.428211309739 Long ABS-MBS USGSE US N 2 2043-11-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371KNJ6 1111.51000000 PA USD 1121.61000000 0.000248902066 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378TZT0 1955334.94000000 PA USD 137753.74000000 0.030569619176 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133AGRB7 74402.50000000 PA USD 57450.50000000 0.012749126858 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140LRUQ9 263885.31000000 PA USD 211406.16000000 0.046914194872 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N EverBank Mortgage Loan Trust N/A EverBank Mortgage Loan Trust 18-1 29978CCF5 2291956.25000000 PA USD 870189.32000000 0.193108050091 Long ABS-MBS CORP US N 2 2048-02-25 Variable 3.57502700 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XCXQ6 848688.35000000 PA USD 682118.66000000 0.151372352355 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31297VKT4 1758.54000000 PA USD 1708.93000000 0.000379237175 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371JXA7 1563.92000000 PA USD 1605.79000000 0.000356348864 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XJCE1 653147.22000000 PA USD 500318.52000000 0.111028176973 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H0306A7 4500000.00000000 PA USD 3814453.08000000 0.846484298891 Long ABS-MBS USGA US N 2 2053-10-15 Fixed 3.00000000 N N N N N N Credit Suisse Mortgage Trust N/A CSMC Trust 2017-CHOP 12651QAU3 1472000.00000000 PA USD 1346524.81000000 0.298814033316 Long ABS-MBS CORP US N 2 2032-07-15 Floating 12.79400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L13J2 61093.61000000 PA USD 46726.28000000 0.010369261735 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380QDH2 48634.56000000 PA USD 47370.50000000 0.010512223807 Long ABS-MBS USGA US N 2 2070-07-20 Floating 5.53088000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KGFZ6 138900.85000000 PA USD 129828.37000000 0.028810860810 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136ANE86 222091.19000000 PA USD 187856.65000000 0.041688205709 Long ABS-MBS USGSE US N 2 2045-06-25 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620AL7M0 111086.96000000 PA USD 107923.65000000 0.023949875195 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 5.00000000 N N N N N N SMB Private Education Loan Tru 549300GD7VLLBVPDNJ81 SMB Private Education Loan Trust 2015-C 78448R106 2751.00000000 PA USD 837068.43000000 0.185758028276 Long ABS-O CORP US N 2 2046-09-18 None 0.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382MZ77 21877937.45000000 PA USD 1307108.31000000 0.290066921301 Long ABS-MBS USGA US N 2 2050-12-20 Floating 0.86068000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31393ANU7 44685.12000000 PA USD 7035.61000000 0.001561307289 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622A3CN8 1322744.13000000 PA USD 1210527.20000000 0.268634125702 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140Q8K87 968431.59000000 PA USD 902040.92000000 0.200176397434 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.50000000 N N N N N N Freddie Mac Multiclass Certifi N/A Freddie Mac Multifamily PC REMIC Trust 2019-RR01 3137FQ3M3 2300000.00000000 PA USD 133476.25000000 0.029620380046 Long ABS-MBS USGSE US N 2 2028-06-25 Variable 1.53400000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TXX8 47579.85000000 PA USD 45841.32000000 0.010172875850 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179T4Q5 313224.97000000 PA USD 292964.84000000 0.065013288140 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 4.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F0406A0 7100000.00000000 PA USD 6321773.40000000 1.402896250659 Long ABS-MBS USGSE US N 2 2053-10-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137AXDQ3 1559466.69000000 PA USD 146252.24000000 0.032455563678 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380R4W7 4516561.70000000 PA USD 271329.28000000 0.060212033162 Long ABS-MBS USGA US N 2 2062-10-16 Variable 0.87042000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DM5J0 437401.97000000 PA USD 351813.72000000 0.078072736475 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DQJ23 942836.94000000 PA USD 949704.91000000 0.210753751071 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.50000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 Freddie Mac Structured Agency Credit Risk Debt Notes 3137G1CG0 1813836.33000000 PA USD 1227343.96000000 0.272366016749 Long ABS-MBS CORP US N 2 2047-09-25 Variable 4.11883500 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137H0YV4 2465853.62000000 PA USD 301605.95000000 0.066930879938 Long ABS-MBS USGSE US N 2 2051-06-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140KXAB2 71107.97000000 PA USD 57303.89000000 0.012716591902 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178NF95 61627.76000000 PA USD 53670.42000000 0.011910270461 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382KQ97 622100.00000000 PA USD 82805.12000000 0.018375696981 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375KW40 347846.42000000 PA USD 21454.96000000 0.004761177131 Long ABS-MBS USGA US N 2 2037-07-20 Floating 1.16068000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371KDN8 1421.49000000 PA USD 1430.44000000 0.000317436071 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 7.50000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 Fannie Mae Connecticut Avenue Securities 30711XDY7 3743244.08000000 PA USD 4186275.73000000 0.928997316772 Long ABS-MBS CORP US N 2 2029-04-25 Floating 14.67943000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X4TQ9 63537.99000000 PA USD 59436.75000000 0.013189905498 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133AJBJ1 75718.16000000 PA USD 58466.28000000 0.012974543662 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617MYQZ5 1124355.25000000 PA USD 1031844.06000000 0.228981659329 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BCD80 1041474.46000000 PA USD 156500.08000000 0.034729712940 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FXFC1 3830522.23000000 PA USD 3732993.23000000 0.828407137481 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FXG89 1487617.32000000 PA USD 1375659.27000000 0.305279406577 Long ABS-MBS USGSE US N 2 2057-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KL6J1 424749.91000000 PA USD 326072.43000000 0.072360358485 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B5PY5 2055682.81000000 PA USD 196236.51000000 0.043547822217 Long ABS-MBS USGSE US N 2 2049-08-25 Floating 0.62057000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378NDN0 0.02000000 PA USD 0.00000000 0.000000 Long ABS-MBS USGA US N 2 2044-09-16 Fixed 0.00100000 N N N N N N Renew Financial N/A Renew 2023-1 75973HAA5 1710238.86000000 PA USD 1598042.06000000 0.354629480134 Long ABS-O CORP US N 2 2058-11-20 Fixed 5.90000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179USX1 180574.01000000 PA USD 178779.65000000 0.039673883388 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L8DJ6 141483.00000000 PA USD 114526.01000000 0.025415037817 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410LVU3 2314759.32000000 PA USD 2074215.39000000 0.460299477626 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140EXDX8 210086.18000000 PA USD 177778.00000000 0.039451602243 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617MKK99 626294.82000000 PA USD 569039.36000000 0.126278361167 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 4.00000000 N N N N N N Stonepeak N/A Stonepeak 2021-1 ABS 78433XAC4 1786741.51000000 PA USD 1515326.54000000 0.336273666735 Long ABS-O CORP US N 2 2033-02-28 Fixed 3.82100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XABM3 81234.99000000 PA USD 62743.58000000 0.013923740628 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140LRT40 427654.45000000 PA USD 342659.24000000 0.076041220181 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DVL52 5003360.31000000 PA USD 4028456.65000000 0.893974897965 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XGSP5 277179.61000000 PA USD 241107.04000000 0.053505265219 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XADY5 79810.42000000 PA USD 61968.82000000 0.013751809774 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B5EN1 3712937.45000000 PA USD 297903.08000000 0.066109157596 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 0.64794000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XBSR2 158496.90000000 PA USD 129336.65000000 0.028701740773 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A54N3 156036.51000000 PA USD 164330.79000000 0.036467464834 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KKJ34 312036.52000000 PA USD 241366.19000000 0.053562774487 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31368HKV4 1104.38000000 PA USD 1135.28000000 0.000251935644 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 7.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 3136FFNR6 38754.15000000 PA USD 6739.09000000 0.001495505057 Long ABS-MBS USGSE US N 2 2037-07-25 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31388DW38 31493.61000000 PA USD 31443.19000000 0.006977715044 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 7.50000000 N N N N N N Wells Fargo Commercial Mortgag N/A Wells Fargo Commercial Mortgage Trust 2019-C51 95001VAU4 1370000.00000000 PA USD 1173803.53000000 0.260484593017 Long ABS-MBS CORP US N 2 2052-06-15 Fixed 3.31100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XBW71 231906.15000000 PA USD 187108.12000000 0.041522095685 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FUXW9 11737046.30000000 PA USD 1831210.44000000 0.406373037737 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.50000000 N N N N N N GS Mortgage Securities Trust N/A GS Mortgage Securities Corportation Trust 2021-IP 36262MAA6 360000.00000000 PA USD 343469.48000000 0.076221024579 Long ABS-MBS CORP US N 2 2036-10-15 Floating 6.39748000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XADE9 331892.54000000 PA USD 254100.62000000 0.056388735333 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Credit Suisse Mortgage Trust N/A CSMC 2022-NWPT 12663MAA2 1750000.00000000 PA USD 1767262.00000000 0.392181920619 Long ABS-MBS CORP US N 2 2024-09-09 Floating 8.47520000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133AJFA6 77060.10000000 PA USD 59502.31000000 0.013204454244 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UEB4 77099.80000000 PA USD 74223.86000000 0.016471386795 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BGKD2 811757.97000000 PA USD 113217.02000000 0.025124553320 Long ABS-MBS USGSE US N 2 2049-05-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31288QFW5 464918.71000000 PA USD 438438.27000000 0.097296022209 Long ABS-MBS USGSE US N 2 2050-02-01 Floating 3.09700000 N N N N N N Starwood Retail Property Trust 5493007115G809OI4R97 Starwood Retail Property Trust 2014-STAR 85571XAQ0 650000.00000000 PA USD 26000.00000000 0.005769789615 Long ABS-MBS CORP US N 2 2027-11-15 Floating 8.50000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2017-2 35563PBK4 7819694.76000000 PA USD 660517.10000000 0.146578642487 Long ABS-MBS CORP US N 2 2056-08-25 None 0.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3132XCSJ5 366526.42000000 PA USD 342684.46000000 0.076046816877 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.50000000 N N N N N N JP Morgan Chase Commercial Mor N/A JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST 46652DAQ8 2106000.00000000 PA USD 100180.31000000 0.022231512013 Long ABS-MBS CORP US N 2 2036-12-15 Floating 12.44648000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622ABP55 3269248.85000000 PA USD 2784030.50000000 0.617818087274 Long ABS-MBS USGA US N 2 2052-02-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137AW2C8 2624611.62000000 PA USD 434200.79000000 0.096355661897 Long ABS-MBS USGSE US N 2 2042-11-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XAFA5 151813.94000000 PA USD 122525.31000000 0.027190202358 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371H6S2 1717.08000000 PA USD 1756.77000000 0.000389853588 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140Q9NR0 376749.14000000 PA USD 353129.85000000 0.078364805445 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376ETM7 157806.65000000 PA USD 157853.96000000 0.035030159201 Long ABS-MBS USGA US N 2 2059-11-20 Floating 6.58932000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FXET5 1116518.08000000 PA USD 950996.26000000 0.211040320987 Long ABS-MBS USGSE US N 2 2057-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385HU42 704.69000000 PA USD 707.28000000 0.000156956030 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 7.50000000 N N N N N N NovaStar Mortgage-Backed Notes N/A NovaStar Mortgage Funding Trust Series 2006-MTA1 66988UAB6 56299.50000000 PA USD 50903.41000000 0.011296229478 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.47556900 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EKLG8 155539.05000000 PA USD 137984.55000000 0.030620839374 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XGGR4 1536981.59000000 PA USD 1235219.83000000 0.274113790324 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N CSEMC 2020-1OTF A N/A CSEMC 2020-1OTF A 000000000 2788944.73000000 PA USD 2708483.67000000 0.601053113611 Long DBT CORP US N 2 2024-08-09 Fixed 7.38970700 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140JA4J4 1172927.36000000 PA USD 952675.15000000 0.211412891836 Long ABS-MBS USGSE US N 2 2035-01-01 Variable 2.78900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381E2F4 1854771.85000000 PA USD 754694.05000000 0.167477918955 Long ABS-MBS USGA US N 2 2063-10-16 Variable 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XAEW8 419172.67000000 PA USD 321993.85000000 0.071455260465 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133A4XP6 189656.11000000 PA USD 160341.28000000 0.035582132782 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378NPT4 3033121.84000000 PA USD 41117.61000000 0.009124613815 Long ABS-MBS USGA US N 2 2055-06-16 Variable 0.44936000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AA3G8 1127623.11000000 PA USD 39606.07000000 0.008789180438 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L3H79 160531.16000000 PA USD 124413.61000000 0.027609244424 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 Freddie Mac Strips 31352DC24 248355.70000000 PA USD 12308.87000000 0.002731522704 Long ABS-MBS USGSE US N 2 2038-02-15 Variable 0.01000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 31329PBA0 533795.91000000 PA USD 468550.61000000 0.103978401695 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XBQ52 203495.47000000 PA USD 163802.00000000 0.036350118409 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N BENCHMARK Mortgage Trust N/A Benchmark 2019-B13 Mortgage Trust 08162DAD0 1440000.00000000 PA USD 1222961.62000000 0.271393509833 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 2.70100000 N N N N N N GoodLeap Sustainable Home Impr N/A GoodLeap Sustainable Home Solutions Trust 2021-5 38237HAC1 1372661.89000000 PA USD 947762.78000000 0.210322763320 Long ABS-O CORP US N 2 2048-10-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KKT82 947860.08000000 PA USD 763505.89000000 0.169433398298 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L0AZ0 81004.68000000 PA USD 62174.34000000 0.013797417742 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382EDP9 497203.48000000 PA USD 85091.95000000 0.018883178827 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B6RW5 1223562.76000000 PA USD 110681.90000000 0.024561972203 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 0.57057000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XGV97 171455.32000000 PA USD 146717.57000000 0.032558827378 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H0206A8 3500000.00000000 PA USD 2767597.63000000 0.614171387171 Long ABS-MBS USGA US N 2 2053-10-15 Fixed 2.00000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A WaMu Mortgage Pass-Through Certificates Series 2003-AR5 Trust 929227R65 17561.92000000 PA USD 17289.59000000 0.003836819109 Long ABS-MBS CORP US N 2 2033-06-25 Variable 4.82534200 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XFTH4 535859.29000000 PA USD 431005.67000000 0.095646616890 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385JBM9 104.72000000 PA USD 106.33000000 0.000023596220 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38374JQT6 342932.41000000 PA USD 11754.66000000 0.002608535200 Long ABS-MBS USGA US N 2 2034-10-16 Floating 0.75495000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BJK95 12247638.98000000 PA USD 1940373.85000000 0.430598034254 Long ABS-MBS USGSE US N 2 2051-10-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BK3H3 2108254.94000000 PA USD 307961.86000000 0.068341351611 Long ABS-MBS USGSE US N 2 2052-01-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137ASD35 1061701.42000000 PA USD 810266.95000000 0.179810378237 Long ABS-MBS USGSE US N 2 2041-05-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B45U8 2328124.53000000 PA USD 1480134.97000000 0.328464129999 Long ABS-MBS USGSE US N 2 2049-07-25 Fixed 2.75000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F0326A7 7500000.00000000 PA USD 6450585.98000000 1.431481692446 Long ABS-MBS USGSE US N 2 2053-10-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380RTP5 2964413.65000000 PA USD 2183892.13000000 0.484638389762 Long ABS-MBS USGA US N 2 2063-06-16 Fixed 1.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BAS21 1173811.42000000 PA USD 627382.84000000 0.139225653669 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WHWE8 140746.30000000 PA USD 119106.73000000 0.026431568228 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38383D7E2 4299571.64000000 PA USD 665897.88000000 0.147772718201 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140EVVB0 128352.58000000 PA USD 108617.07000000 0.024103755484 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FL2N3 39897421.27000000 PA USD 1344415.43000000 0.298345930285 Long ABS-MBS USGSE US N 2 2034-01-25 Variable 0.63643100 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137F8D59 2140890.59000000 PA USD 372910.81000000 0.082754496891 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379BMC9 2342903.06000000 PA USD 174366.58000000 0.038694557024 Long ABS-MBS USGA US N 2 2044-04-16 Floating 0.65495000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138X6PV1 148815.34000000 PA USD 127491.28000000 0.028292225517 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XCCC0 149424.84000000 PA USD 126267.77000000 0.028020710313 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137H6V44 2800000.00000000 PA USD 1910182.12000000 0.423898036937 Long ABS-MBS USGSE US N 2 2052-04-25 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H0GP7 6181360.32000000 PA USD 142100.82000000 0.031534301370 Long ABS-MBS USGSE US N 2 2028-03-25 Variable 0.86700700 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213T5Z2 1323.14000000 PA USD 1322.89000000 0.000293569114 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BH3Z0 5512599.37000000 PA USD 757754.74000000 0.168157131931 Long ABS-MBS USGSE US N 2 2048-12-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375JSU0 2084046.53000000 PA USD 60691.81000000 0.013468422119 Long ABS-MBS USGA US N 2 2037-04-20 Floating 0.81068000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F0306A1 -5800000.00000000 PA USD -4796554.64000000 -1.06442735206 Short ABS-MBS USGSE US N 2 2053-10-15 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H8UB5 20086471.29000000 PA USD 410868.77000000 0.091177937024 Long ABS-MBS USGSE US N 2 2032-07-25 Variable 0.39108100 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 THREE-MONTH SOFR 000000000 -100.00000000 NC USD 143540.00000000 0.031853676979 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 -23996040.00000000 USD 143540.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J9GE5 42420.69000000 PA USD 36345.57000000 0.008065626629 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137H6H81 1054184.12000000 PA USD 928681.18000000 0.206088270338 Long ABS-MBS USGSE US N 2 2049-09-25 Fixed 3.00000000 N N N N N N Wells Fargo Commercial Mortgag N/A Wells Fargo Commercial Mortgage Trust 2021-C59 95003CBU3 12401914.25000000 PA USD 944832.40000000 0.209672468086 Long ABS-MBS CORP US N 2 2054-04-15 Variable 1.65686900 N N N N N N BX Trust N/A BX Trust 2021-ARIA 05608RAQ8 1070000.00000000 PA USD 1003892.19000000 0.222778720511 Long ABS-MBS CORP US N 2 2036-10-15 Floating 8.58858000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379UVH6 2755103.79000000 PA USD 74127.17000000 0.016449929835 Long ABS-MBS USGA US N 2 2058-08-16 Variable 0.64208000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LU50 998909.17000000 PA USD 992614.64000000 0.220276063170 Long ABS-MBS USGA US N 2 2070-01-20 Floating 5.41382000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371KA68 1648.07000000 PA USD 1705.40000000 0.000378453815 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376G5V8 2547247.68000000 PA USD 25.47000000 0.000005652174 Long ABS-MBS USGA US N 2 2046-09-16 Variable 0.01000000 N N N N N N JPMDB Commercial Mortgage Secu N/A JPMDB Commercial Mortgage Securities Trust 2017-C7 46648KAZ9 420000.00000000 PA USD 345719.14000000 0.076720257845 Long ABS-MBS CORP US N 2 2050-10-15 Fixed 3.98540000 N N N N N N Natixis Commercial Mortgage Se N/A Natixis Commercial Mortgage Securities Trust 2019-FAME 63873VAN3 2077000.00000000 PA USD 1135142.19000000 0.251905062322 Long ABS-MBS CORP US N 2 2036-08-15 Variable 4.54408300 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137BEKJ2 263768.97000000 PA USD 7628.62000000 0.001692905094 Long ABS-MBS USGSE US N 2 2032-07-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622AB4Z2 190577.17000000 PA USD 183195.47000000 0.040653820018 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L3JA0 141636.41000000 PA USD 109366.06000000 0.024269967589 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A JPMCC Commercial Mortgage Securities Trust 2019-COR5 46591EAY3 15630981.01000000 PA USD 860447.99000000 0.190946302988 Long ABS-MBS CORP US N 2 2052-06-13 Variable 1.62525200 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ETDS2 974450.55000000 PA USD 890745.14000000 0.197669694582 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410LWC2 38614.57000000 PA USD 32681.24000000 0.007252456891 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SB89 55774.55000000 PA USD 49763.50000000 0.011043266367 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BN3N4 904326.66000000 PA USD 831297.13000000 0.184477290321 Long ABS-MBS USGSE US N 2 2052-09-25 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FXLU4 651257.63000000 PA USD 602244.81000000 0.133647148113 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410LVE9 1770766.58000000 PA USD 1562129.35000000 0.346659911625 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31384SPY9 3165.32000000 PA USD 3162.74000000 0.000701859400 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138W5GH5 71973.51000000 PA USD 61576.12000000 0.013664663760 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QEYV8 220228.41000000 PA USD 168936.94000000 0.037489638544 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH 46654EAQ4 360000.00000000 PA USD 299043.22000000 0.066362171748 Long ABS-MBS CORP US N 2 2038-06-15 Floating 8.83748000 N N N N N N Natixis Commercial Mortgage Se N/A Natixis Commercial Mortgage Securities Trust 2019-FAME 63873VAL7 1950000.00000000 PA USD 1269513.38000000 0.281724042966 Long ABS-MBS CORP US N 2 2036-08-15 Variable 4.54408300 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382HMZ0 2309634.26000000 PA USD 315642.93000000 0.070045896147 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XFUG4 440005.62000000 PA USD 353706.04000000 0.078492670640 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133BRGS7 297158.66000000 PA USD 288668.84000000 0.064059941363 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.50000000 N N N N N N Morgan Stanley ReRemic Trust N/A Morgan Stanley Resecuritization Trust 2015-R6 61690XAA2 19234.20000000 PA USD 19194.62000000 0.004259573813 Long ABS-MBS CORP US N 2 2045-07-26 Floating 4.24852000 N N N N N N Freddie Mac Reference Remic S6XOOCT0IEG5ABCC6L87 Freddie Mac Reference REMIC 31396NRF5 338836.48000000 PA USD 344333.25000000 0.076412708086 Long ABS-MBS USGSE US N 2 2036-05-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3132L6ZW4 3010924.50000000 PA USD 2763939.84000000 0.613359668757 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31397ELD5 26680.63000000 PA USD 1323.58000000 0.000293722236 Long ABS-MBS USGSE US N 2 2037-01-15 Floating 0.71224000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382FVN1 1252663.22000000 PA USD 212421.12000000 0.047139429706 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212J4T0 2345.53000000 PA USD 2342.13000000 0.000519753744 Long ABS-MBS USGA US N 2 2030-10-15 Fixed 7.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F0506A9 5400000.00000000 PA USD 5094984.40000000 1.130653387849 Long ABS-MBS USGSE US N 2 2053-10-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BBP30 2390477.13000000 PA USD 303745.26000000 0.067405624885 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36201MRC8 215355.02000000 PA USD 214168.59000000 0.047527219485 Long ABS-MBS USGA US N 2 2032-11-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XGWP0 173484.39000000 PA USD 139846.86000000 0.031034113870 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179VKP4 304248.89000000 PA USD 282845.28000000 0.062767606132 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140HBJB5 505402.12000000 PA USD 475076.35000000 0.105426561191 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382DV48 5474650.32000000 PA USD 599204.31000000 0.132972415600 Long ABS-MBS USGA US N 2 2050-03-20 Floating 0.66068000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H0326A3 -1000000.00000000 PA USD -876015.63000000 -0.19440099558 Short ABS-MBS USGA US N 2 2053-10-15 Fixed 3.50000000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 CSMC 2014-USA OA LLC 12649AAL3 2500000.00000000 PA USD 1894103.25000000 0.420329894739 Long ABS-MBS CORP US N 2 2037-09-15 Fixed 4.33550000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UQ88 240227.82000000 PA USD 237375.13000000 0.052677098466 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 5.50000000 N N N N N N GS Mortgage Securities Trust N/A GS Mortgage Securities Trust 2019-GC39 36260JAF4 43297374.66000000 PA USD 1725716.45000000 0.382962340504 Long ABS-MBS CORP US N 2 2052-05-10 Variable 1.25956400 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 3136FG4Y0 28984.17000000 PA USD 6318.39000000 0.001402145423 Long ABS-MBS USGSE US N 2 2038-01-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ERTC4 19524.17000000 PA USD 17344.59000000 0.003849024433 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620E0DH6 1632203.08000000 PA USD 1653296.53000000 0.366891275028 Long ABS-MBS USGA US N 2 2060-06-20 Floating 6.92400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMZE8 74795.58000000 PA USD 64729.00000000 0.014364335078 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3.50000000 N N N N N N GSMPS Mortgage Loan Trust N/A GSMPS Mortgage Loan Trust 2006-RP2 36298XAA0 1022257.79000000 PA USD 835158.55000000 0.185334197284 Long ABS-MBS CORP US N 2 2036-04-25 Floating 5.83420000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XBYG9 582278.60000000 PA USD 471595.51000000 0.104654110634 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178WDM8 114732.59000000 PA USD 99917.46000000 0.022173181659 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137AGE55 211431.19000000 PA USD 14546.66000000 0.003228121838 Long ABS-MBS USGSE US N 2 2041-10-15 Floating 0.52224000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L4F53 160366.28000000 PA USD 124152.94000000 0.027551397845 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371JL36 1009.09000000 PA USD 1026.61000000 0.000227820142 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382EG84 1196659.75000000 PA USD 216727.17000000 0.048095006728 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XLTR9 777246.62000000 PA USD 682503.60000000 0.151457776310 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381D6B1 2335172.42000000 PA USD 157580.24000000 0.034969416631 Long ABS-MBS USGA US N 2 2063-11-16 Variable 0.91144000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US TREASURY LONG BOND 000000000 385.00000000 NC USD -2224524.90000000 -0.49365541031 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 2023-12-19 46030306.15000000 USD -2224524.90000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QGUA3 173173.93000000 PA USD 156819.57000000 0.034800612559 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 4.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUZK3 4340361.62000000 PA USD 509421.73000000 0.113048315686 Long ABS-MBS USGSE US N 2 2035-05-25 Variable 1.62865700 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KJA69 121374.32000000 PA USD 97539.82000000 0.021645547714 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TQN8 6824144.52000000 PA USD 5869619.28000000 1.302556475799 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380PWC4 4710307.17000000 PA USD 258415.46000000 0.057346262987 Long ABS-MBS USGA US N 2 2060-05-16 Variable 0.83965000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FRK34 1558342.32000000 PA USD 137994.33000000 0.030623009703 Long ABS-MBS USGSE US N 2 2050-03-25 Floating 0.62057000 N N N N N N PMT CREDIT RISK TRANSFER TRUST N/A PMT Credit Risk Transfer Trust 2019-2R 69345WAA6 984984.32000000 PA USD 984771.07000000 0.218535457449 Long ABS-MBS CORP US N 2 2025-05-30 Floating 9.18193000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FXKP6 1163734.46000000 PA USD 1076155.77000000 0.238815091799 Long ABS-MBS USGSE US N 2 2058-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X9MC6 46427.51000000 PA USD 42675.12000000 0.009470248624 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TXW0 18800.98000000 PA USD 17634.41000000 0.003913339834 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.50000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2017-2 35563PBN8 312196612.56000000 PA USD 1381470.01000000 0.306568896858 Long ABS-MBS CORP US N 2 2056-08-25 Variable 0.07500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 10 YEAR US TREASURY NOTE 000000000 -343.00000000 NC USD 406173.45000000 0.090135975155 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short WI TREAS. NT/BD United States Treasury Note/Bond - When Issued 2023-12-19 -37471610.95000000 USD 406173.45000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385H5H1 187.66000000 PA USD 190.12000000 0.000042190476 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382MKC2 3958537.73000000 PA USD 656672.32000000 0.145725428190 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379CPE0 923884.13000000 PA USD 52931.82000000 0.011746364053 Long ABS-MBS USGA US N 2 2044-06-16 Floating 0.15495000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622AAZZ0 336201.32000000 PA USD 257772.95000000 0.057203680390 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UH70 907194.73000000 PA USD 897665.20000000 0.199205359595 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418AS82 1747906.19000000 PA USD 1595852.47000000 0.354143577301 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BGCD1 8435987.63000000 PA USD 1085666.90000000 0.240925754073 Long ABS-MBS USGSE US N 2 2048-11-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FKPG5 1457590.32000000 PA USD 275387.64000000 0.061112644061 Long ABS-MBS USGSE US N 2 2049-01-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137H1X92 8000188.53000000 PA USD 1067236.35000000 0.236835738842 Long ABS-MBS USGSE US N 2 2048-07-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31288QFS4 360885.17000000 PA USD 341701.76000000 0.075828741021 Long ABS-MBS USGSE US N 2 2047-11-01 Floating 2.87100000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TE35 110849.93000000 PA USD 104365.84000000 0.023160343841 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H0526A1 3400000.00000000 PA USD 3299593.72000000 0.732229291623 Long ABS-MBS USGA US N 2 2053-10-15 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BKJT0 4081350.42000000 PA USD 670059.38000000 0.148696217412 Long ABS-MBS USGSE US N 2 2050-02-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417EY21 2773499.04000000 PA USD 2372868.07000000 0.526574982695 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KKS75 2827529.02000000 PA USD 2283329.78000000 0.506705094393 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179WNE4 498261.50000000 PA USD 407903.94000000 0.090519996818 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622ABUF7 1048033.98000000 PA USD 893682.41000000 0.198321518811 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FXTS1 892755.54000000 PA USD 687928.30000000 0.152661598530 Long ABS-MBS USGSE US N 2 2061-09-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H0626A0 5100000.00000000 PA USD 5129085.96000000 1.138221035033 Long ABS-MBS USGA US N 2 2053-10-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B6HG1 1796057.62000000 PA USD 157988.23000000 0.035059955726 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 0.57057000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137AYYC9 1302968.57000000 PA USD 74857.50000000 0.016612001006 Long ABS-MBS USGSE US N 2 2033-01-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133ALHV3 158472.08000000 PA USD 129139.69000000 0.028658032398 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XCQ68 221132.03000000 PA USD 187675.82000000 0.041648076822 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X7HG7 141377.54000000 PA USD 118504.42000000 0.026297906613 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.00000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2016-1 35563PAF6 4392218.52000000 PA USD 395982.66000000 0.087874486143 Long ABS-MBS CORP US N 2 2055-09-25 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140LRU55 162399.21000000 PA USD 130140.42000000 0.028880109381 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133AJE90 64836.55000000 PA USD 50156.40000000 0.011130456764 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FVFM9 5921925.85000000 PA USD 739329.94000000 0.164068392711 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.50000000 N N N N N N Credit Suisse Mortgage Trust N/A CSMC 2017-RPL1 Trust 22945AAG4 3976476.00000000 PA USD 1562500.18000000 0.346742204359 Long ABS-MBS CORP US N 2 2057-07-25 Variable 2.96164000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140HF4E6 308673.05000000 PA USD 248656.96000000 0.055180705604 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L7FS6 67511.78000000 PA USD 54422.06000000 0.012077070640 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N BPR Trust N/A BPR Trust 2021-TY 05592AAJ9 1060000.00000000 PA USD 991860.44000000 0.220108694888 Long ABS-MBS CORP US N 2 2038-09-15 Floating 7.14748000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XBX62 485400.55000000 PA USD 390441.81000000 0.086644888497 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DNXP3 5720803.90000000 PA USD 4995988.17000000 1.108684640931 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L6TA2 75859.29000000 PA USD 58899.74000000 0.013070734931 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N SMB Private Education Loan Tru N/A SMB Private Education Loan Trust 2020-A 78449UAD0 2000000.00000000 PA USD 1683002.00000000 0.373483363964 Long ABS-O CORP US N 2 2045-08-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31396Q3B3 656014.15000000 PA USD 643829.74000000 0.142875467239 Long ABS-MBS USGSE US N 2 2039-09-25 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179Q6P1 9781.07000000 PA USD 8716.39000000 0.001934297558 Long ABS-MBS USGA US N 2 2045-03-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31388XKY9 7260.82000000 PA USD 7251.39000000 0.001609192104 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XB4K3 165382.59000000 PA USD 133946.90000000 0.029724824334 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FXSE9 17683264.94000000 PA USD 2822869.77000000 0.626437103302 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31398G4Z9 240389.73000000 PA USD 40798.99000000 0.009053907263 Long ABS-MBS USGSE US N 2 2040-02-25 Fixed 5.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H6ZT5 34193468.48000000 PA USD 736923.96000000 0.163534469695 Long ABS-MBS USGSE US N 2 2032-02-25 Variable 0.40697800 N N N N N N Deephaven Residential Mortgage N/A Deephaven Residential Mortgage Trust 2020-2 24380NAC3 3140000.00000000 PA USD 3034128.62000000 0.673318607879 Long ABS-MBS CORP US N 2 2065-05-25 Fixed 2.85600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133D3X67 74795.23000000 PA USD 62362.70000000 0.013839217649 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FUNG5 3628144.39000000 PA USD 1944215.19000000 0.431450485163 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.00000000 N N N N N N ML-CFC Commercial Mortgage Tru N/A ML-CFC Commercial Mortgage Trust 2007-5 55312YAR3 497439.12000000 PA USD 125684.36000000 0.027891242892 Long ABS-MBS CORP US N 2 2048-08-12 Variable 5.45000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38374YVW0 1228.60000000 PA USD 6.40000000 0.000001420255 Long ABS-MBS USGA US N 2 2040-01-20 Floating 1.21068000 N N N N N N Credit Suisse Mortgage Trust N/A CSMC 2017-RPL1 Trust 22945AAF6 4676961.00000000 PA USD 2451463.25000000 0.544016430904 Long ABS-MBS CORP US N 2 2057-07-25 Variable 2.96164000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31398TUX7 592332.00000000 PA USD 43129.59000000 0.009571102327 Long ABS-MBS USGSE US N 2 2040-08-25 Floating 1.13057000 N N N N N N Morgan Stanley Mortgage Loan T N/A Morgan Stanley Mortgage Loan Trust 2006-8AR 61749LAB7 29455.17000000 PA USD 6089.25000000 0.001351295823 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.57420000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XC6P8 80833.82000000 PA USD 65640.20000000 0.014566544013 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UGE6 92847.76000000 PA USD 89481.36000000 0.019857254682 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622ABUA8 760708.36000000 PA USD 646559.60000000 0.143481264081 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133AGKB4 247728.14000000 PA USD 191641.11000000 0.042528034094 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XBY38 62021.47000000 PA USD 54355.93000000 0.012062395402 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FPWG6 3331433.58000000 PA USD 2152096.43000000 0.477582447467 Long ABS-MBS USGSE US N 2 2049-11-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31397PM49 234452.38000000 PA USD 18493.84000000 0.004104060230 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 1.57224000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382KK44 4905665.80000000 PA USD 809036.03000000 0.179537218644 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N Banc of America Merrill Lynch N/A BAMLL Re-REMIC Trust 2016-RRGG10 059427AA2 1828406.31000000 PA USD 397678.37000000 0.088250789603 Long ABS-MBS CORP US N 2 2045-08-10 Variable 5.81808300 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FXFB3 1873903.14000000 PA USD 1825681.00000000 0.405145972141 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381B4T8 642908.99000000 PA USD 567770.61000000 0.125996806529 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XFN23 173234.38000000 PA USD 146230.60000000 0.032450761438 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137AWSU0 1067580.61000000 PA USD 74115.08000000 0.016447246883 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 3.00000000 N N N N N N Structured Asset Securities Co N/A Structured Asset Securities Corp Mortgage Loan Trust 2006-ARS1 86358LAA8 1356251.28000000 PA USD 28868.89000000 0.006406439297 Long ABS-O CORP US N 2 2036-02-25 Floating 5.65420000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31386NCC0 722.68000000 PA USD 720.20000000 0.000159823172 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WPG24 1004087.81000000 PA USD 859036.01000000 0.190632963467 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31377UW82 1700000.00000000 PA USD 1593546.39000000 0.353631823592 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 3.79000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137H53L9 4400000.00000000 PA USD 2753478.64000000 0.611038171714 Long ABS-MBS USGSE US N 2 2042-01-25 Fixed 2.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 2 YEAR US TREASURY NOTE 000000000 212.00000000 NC USD 17852.10000000 0.003961648507 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 2023-12-29 42956866.76000000 USD 17852.10000000 N N N Tharaldson Hotel Portfolio Tru N/A Tharaldson Hotel Portfolio Trust 2018-THPT 88327HAN3 4836179.16000000 PA USD 4683386.85000000 1.039313723622 Long ABS-MBS CORP US N 2 2034-11-11 Floating 8.92248000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TSG1 49176.65000000 PA USD 43500.97000000 0.009653517114 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137B1W73 3342375.36000000 PA USD 2507871.80000000 0.556534333444 Long ABS-MBS USGSE US N 2 2043-05-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QKDE5 79939.47000000 PA USD 66595.17000000 0.014778466166 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QRDB6 645612.91000000 PA USD 653803.49000000 0.145088791823 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6.50000000 N N N N N N GS Mortgage Securities Trust N/A GS Mortgage Securities Trust 2020-GC47 36258RBC6 16937783.27000000 PA USD 954393.27000000 0.211794168411 Long ABS-MBS CORP US N 2 2053-05-12 Variable 1.24275400 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L4HK8 241001.60000000 PA USD 186144.22000000 0.041308191831 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Avenue of Americas N/A AOA 2021-1177 Mortgage Trust 00192NAA5 670000.00000000 PA USD 608139.70000000 0.134955312540 Long ABS-MBS CORP US N 2 2038-10-15 Floating 6.32188000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133AXXZ0 418162.07000000 PA USD 323722.55000000 0.071838884900 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 3136FG4Z7 21802.09000000 PA USD 3757.69000000 0.000833887720 Long ABS-MBS USGSE US N 2 2038-01-25 Fixed 6.00000000 N N N N N N Impac CMB Trust N/A Impac CMB Trust Series 2007-A 452550AA4 194352.10000000 PA USD 181172.44000000 0.040204879345 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.93420000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136ABQF3 151870.10000000 PA USD 157600.55000000 0.034973923724 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137AJXH2 1450273.30000000 PA USD 93928.40000000 0.020844119498 Long ABS-MBS USGSE US N 2 2041-12-15 Floating 0.47224000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3132HBZS7 2044861.15000000 PA USD 1869144.58000000 0.414791191854 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617GSZQ5 80186.29000000 PA USD 74153.59000000 0.016455792829 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132AAK52 251399.82000000 PA USD 224984.26000000 0.049927378733 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FDK68 402408.93000000 PA USD 27028.28000000 0.005997980356 Long ABS-MBS USGSE US N 2 2045-09-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140LN5G8 327503.12000000 PA USD 262264.34000000 0.058200387136 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382X4G7 7977331.04000000 PA USD 1092196.34000000 0.242374734654 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N La Hipotecaria SA N/A La Hipotecaria El Salvadorian Mortgage Trust 2019-1 50346WAA5 1288559.58000000 PA USD 1217688.80000000 0.270223392061 Long ABS-MBS NUSS PA N 3 2046-09-29 Fixed 4.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178WDN6 158896.29000000 PA USD 136515.76000000 0.030294892863 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382JZK5 153484.54000000 PA USD 21005.77000000 0.004661495139 Long ABS-MBS USGA US N 2 2050-09-20 Fixed 2.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 3136FCYW0 41515.44000000 PA USD 6425.80000000 0.001425981312 Long ABS-MBS USGSE US N 2 2035-09-25 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378K2R9 2074282.01000000 PA USD 37576.66000000 0.008338823948 Long ABS-MBS USGA US N 2 2051-09-16 Variable 0.97603000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418BSJ6 160099.56000000 PA USD 143173.58000000 0.031772362890 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212QR36 1688.87000000 PA USD 1692.99000000 0.000375699850 Long ABS-MBS USGA US N 2 2030-12-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418CEE0 528860.78000000 PA USD 472248.59000000 0.104799038872 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SEH6 113857.18000000 PA USD 101620.38000000 0.022551085126 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622AAKS2 60283.19000000 PA USD 51475.29000000 0.011423138219 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133AGNG0 23746.93000000 PA USD 18404.30000000 0.004084189962 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 3136FFNP0 52018.15000000 PA USD 9540.97000000 0.002117284216 Long ABS-MBS USGSE US N 2 2038-01-25 Fixed 5.50000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136B86Y0 6741216.78000000 PA USD 480679.77000000 0.106670044057 Long ABS-MBS USGSE US N 2 2029-01-25 Variable 1.87184000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36212CKK6 7548.41000000 PA USD 7551.07000000 0.001675695587 Long ABS-MBS USGA US N 2 2030-10-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XFA68 346210.19000000 PA USD 278271.28000000 0.061752566989 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N GS Mortgage Securities Trust 54930070360RBP384M53 GS Mortgage Securities Trust 2015-GC34 36250VAM4 2500000.00000000 PA USD 1758540.50000000 0.390246489075 Long ABS-MBS CORP US N 2 2048-10-10 Fixed 2.97900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A6X74 972309.04000000 PA USD 89299.68000000 0.019816937167 Long ABS-MBS USGSE US N 2 2042-07-25 Floating 1.17057000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X9LZ6 60777.85000000 PA USD 49051.54000000 0.010885271774 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BHH4 411.81000000 PA USD 417.34000000 0.000092613999 Long ABS-MBS USGA US N 2 2030-01-15 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38383YKD3 5949174.54000000 PA USD 4162611.84000000 0.923745944972 Long ABS-MBS USGA US N 2 2064-08-16 Fixed 2.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L3G88 215881.43000000 PA USD 166695.07000000 0.036992133996 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Credit Suisse Mortgage Trust N/A CSMC 2017-RPL1 Trust 22945AAH2 4035891.84000000 PA USD 734233.66000000 0.162937451810 Long ABS-MBS CORP US N 2 2057-07-25 Variable 2.96164000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 3136FG2G1 1402004.09000000 PA USD 238572.35000000 0.052942779525 Long ABS-MBS USGSE US N 2 2041-02-25 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31396ATN4 16452.33000000 PA USD 392.56000000 0.000087114946 Long ABS-MBS USGSE US N 2 2029-05-15 Floating 0.72224000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380C3A9 2323720.93000000 PA USD 174677.59000000 0.038763574804 Long ABS-MBS USGA US N 2 2047-02-16 Floating 0.70495000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36178DH20 104513.25000000 PA USD 91151.35000000 0.020227850488 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31397M5P8 242026.68000000 PA USD 231040.19000000 0.051271280350 Long ABS-MBS USGSE US N 2 2049-02-25 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3131XW2N2 96139.69000000 PA USD 84270.08000000 0.018700793558 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418BKY1 133286.77000000 PA USD 122574.09000000 0.027201027371 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L1UL7 226942.43000000 PA USD 175884.62000000 0.039031432848 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Credit Suisse Mortgage Trust N/A CSMC 2017-RPL3 Trust 12651YAS1 2783572.01000000 PA USD 2551117.02000000 0.566131095801 Long ABS-MBS CORP US N 2 2057-08-01 Variable 4.47693000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140KRQ69 159834.98000000 PA USD 128970.05000000 0.028620386740 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QNL26 1009616.44000000 PA USD 811027.53000000 0.179979162337 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X7YH6 139434.78000000 PA USD 116759.81000000 0.025910751511 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L7PC0 73690.00000000 PA USD 57094.07000000 0.012670029700 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N SMB Private Education Loan Tru N/A SMB Private Education Loan Trust 2021-A 78448YAE1 4683732.52000000 PA USD 3926263.37000000 0.871296677744 Long ABS-O CORP US N 2 2053-01-15 Fixed 2.99000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XDN69 79762.91000000 PA USD 64167.06000000 0.014239632171 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3131XUM38 114962.03000000 PA USD 101085.58000000 0.022432404992 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UCC4 174458.52000000 PA USD 163550.55000000 0.036294317886 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382EDT1 209937.53000000 PA USD 35011.26000000 0.007769523245 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMT62 142178.58000000 PA USD 111203.04000000 0.024677620978 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EQXF4 951537.05000000 PA USD 865850.03000000 0.192145096614 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AKWC3 927965.16000000 PA USD 47415.31000000 0.010522167818 Long ABS-MBS USGSE US N 2 2044-08-25 Variable 0.01000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140MGQV6 94149.96000000 PA USD 82067.10000000 0.018211919283 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F0406A0 -1000000.00000000 PA USD -890390.62000000 -0.19759102128 Short ABS-MBS USGSE US N 2 2053-10-15 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UQ70 66810.39000000 PA USD 64166.45000000 0.014239496803 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KYVS5 585981.33000000 PA USD 470290.88000000 0.104364593686 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 2.00000000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 Freddie Mac Strips 31325UST4 1083687.48000000 PA USD 89829.22000000 0.019934450029 Long ABS-MBS USGSE US N 2 2043-09-15 Floating 0.52224000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L05E3 70070.33000000 PA USD 54108.27000000 0.012007435937 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133AJ6W8 81766.85000000 PA USD 63952.40000000 0.014191995901 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A22Z5 224870.66000000 PA USD 263203.33000000 0.058408763088 Long ABS-MBS USGSE US N 2 2038-01-25 Variable 12.09296800 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XCC30 1851942.87000000 PA USD 1653986.09000000 0.367044298725 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KKK24 1152322.38000000 PA USD 930862.85000000 0.206572415604 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622ACCK4 288630.96000000 PA USD 275927.10000000 0.061232358319 Long ABS-MBS USGA US N 2 2053-01-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133A4XN1 58839.39000000 PA USD 49543.50000000 0.010994445070 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.00000000 N N N N N N MULTIFAMILY CONNECTICUT AVENUE 5493002KQF9IH3CTQZ40 Multifamily Connecticut Avenue Securities Trust 2020-01 62548QAF8 4500000.00000000 PA USD 4479856.20000000 0.994147222434 Long ABS-MBS CORP US N 2 2050-03-25 Floating 12.92943000 N N N N N N TWO HARBORS INV CORP 549300ZUIBT6KH4HU823 Two Harbors Investment Corp 90187BAB7 1600000.00000000 PA USD 1480000.00000000 0.328434178133 Long DBT CORP US N 2 2026-01-15 Fixed 6.25000000 N N N N N Two Harbors Investment Corp Two Harbors Investment Corp USD XXXX N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382MTZ2 746060.54000000 PA USD 729719.87000000 0.161935774169 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133AQPP6 1707443.28000000 PA USD 1373976.62000000 0.304906001327 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B0UH7 4185338.57000000 PA USD 813315.92000000 0.180486990370 Long ABS-MBS USGSE US N 2 2048-02-25 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DVKW4 277043.47000000 PA USD 232967.67000000 0.051699017046 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N EverBank Mortgage Loan Trust N/A EverBank Mortgage Loan Trust 18-1 29978CBA7 51049810.21000000 PA USD 71913.87000000 0.015958765398 Long ABS-MBS CORP US N 2 2048-02-25 Variable 0.07502700 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137B2DY3 519124.08000000 PA USD 34556.07000000 0.007668509763 Long ABS-MBS USGSE US N 2 2042-09-15 Floating 0.82224000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TV77 166059.21000000 PA USD 155822.77000000 0.034579407702 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617B83A4 511470.40000000 PA USD 454900.12000000 0.100949153408 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620AMA44 236866.32000000 PA USD 230129.03000000 0.051069080292 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133AF6L0 87860.32000000 PA USD 67843.25000000 0.015055433821 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Navient Student Loan Trust N/A Navient Private Education Refi Loan Trust 2020-B 63941GAC8 5000000.00000000 PA USD 3815436.50000000 0.846702534525 Long ABS-O CORP US N 2 2069-01-15 Fixed 2.77000000 N N N N N N Structured Asset Mortgage Inve N/A Structured Asset Mortgage Investments II Trust 2006-AR6 86360UAA4 70005.60000000 PA USD 57058.31000000 0.012662094020 Long ABS-MBS CORP US N 2 2046-07-25 Floating 5.79420000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XBQ60 82931.76000000 PA USD 66691.22000000 0.014799781100 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378NEU3 2228161.66000000 PA USD 48258.19000000 0.010709215520 Long ABS-MBS USGA US N 2 2046-02-16 Variable 1.01175000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3617MB5P0 63824.17000000 PA USD 58181.87000000 0.012911428821 Long ABS-MBS USGA US N 2 2050-03-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WHLP5 30477.08000000 PA USD 25789.38000000 0.005723049881 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 3136FG5L7 233803.98000000 PA USD 39609.06000000 0.008789843964 Long ABS-MBS USGSE US N 2 2038-01-25 Fixed 5.00000000 N N N N N N Impac CMB Trust N/A Impac CMB Trust Series 2004-10 45254NLM7 70978.46000000 PA USD 67293.58000000 0.014933453811 Long ABS-MBS CORP US N 2 2035-03-25 Floating 6.13420000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132D9F74 2470372.80000000 PA USD 2048984.91000000 0.454700456029 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381HDN8 800000.00000000 PA USD 353139.60000000 0.078366969116 Long ABS-MBS USGA US N 2 2063-10-16 Variable 2.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378NF99 1026511.59000000 PA USD 25256.39000000 0.005604771413 Long ABS-MBS USGA US N 2 2055-09-16 Variable 0.62821000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XHD61 87510.73000000 PA USD 69815.24000000 0.015493047953 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382M5G0 4740023.93000000 PA USD 800421.77000000 0.177625585263 Long ABS-MBS USGA US N 2 2051-01-16 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381XPT7 15718635.80000000 PA USD 193370.66000000 0.042911847156 Long ABS-MBS USGA US N 2 2049-07-20 Floating 0.01000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133AKJH4 71685.51000000 PA USD 55556.59000000 0.012328839849 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N EverBank Mortgage Loan Trust N/A EverBank Mortgage Loan Trust 18-1 29978CCE8 2298929.76000000 PA USD 1440261.10000000 0.319615520727 Long ABS-MBS CORP US N 2 2048-02-25 Variable 3.57502700 N N N N N N Capital Automotive Reit N/A CARS-DB7 LP 12510HAS9 1260000.00000000 PA USD 1238017.16000000 0.274734559770 Long ABS-O CORP US N 2 2053-09-15 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QQWS0 92449.14000000 PA USD 93611.97000000 0.020773898939 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FGKF1 1192482.73000000 PA USD 124852.23000000 0.027706580775 Long ABS-MBS USGSE US N 2 2048-07-15 Floating 0.77224000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36210Y2E4 3003.38000000 PA USD 3007.34000000 0.000667373811 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140JXFU7 103530.08000000 PA USD 86544.81000000 0.019205590232 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136B9NK9 40569008.84000000 PA USD 1058015.41000000 0.234789474078 Long ABS-MBS USGSE US N 2 2032-04-25 Variable 0.53800000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136B4C71 14841593.45000000 PA USD 651070.28000000 0.144482251566 Long ABS-MBS USGSE US N 2 2029-06-25 Variable 1.18654800 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371HVD7 3700.08000000 PA USD 3732.69000000 0.000828339846 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136B9YP6 1555625.79000000 PA USD 130082.98000000 0.028867362584 Long ABS-MBS USGSE US N 2 2050-05-25 Floating 0.52057000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H0326A3 3400000.00000000 PA USD 2978453.14000000 0.660963384557 Long ABS-MBS USGA US N 2 2053-10-15 Fixed 3.50000000 N N N N N N JP Morgan Chase Commercial Mor N/A JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN 46652BBQ1 2530000.00000000 PA USD 1806395.21000000 0.400866166338 Long ABS-MBS CORP US N 2 2037-01-16 Variable 4.84446300 N N N N N N BHMS Mortgage Trust N/A BHMS 2018-MZB 05549GAS0 1070000.00000000 PA USD 958847.33000000 0.212782591070 Long ABS-MBS CORP US N 2 2025-07-15 Floating 12.26571000 N N N N N N SOLRR Aircraft 2021-1 Limited N/A Lunar 2021-1 Structured Aircraft Portfolio Notes 83438LAB7 833534.22000000 PA USD 685365.26000000 0.152092821546 Long ABS-O CORP IE N 2 2046-10-15 Fixed 3.43200000 N N N N N N RAAC Series N/A RAAC Series 2006-RP3 Trust 74919RAA3 2449.52000000 PA USD 2443.25000000 0.000542193787 Long ABS-O CORP US N 2 2036-05-25 Floating 5.70420000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FPHB4 2921020.51000000 PA USD 273935.64000000 0.060790423503 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 0.62057000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379U5F9 8067386.99000000 PA USD 279046.88000000 0.061924684252 Long ABS-MBS USGA US N 2 2058-10-16 Variable 0.63274000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J9NP2 1201453.10000000 PA USD 1066008.43000000 0.236563244993 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140H1XP0 84014.27000000 PA USD 76245.66000000 0.016920054512 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376LPQ6 997406.41000000 PA USD 58927.77000000 0.013076955208 Long ABS-MBS USGA US N 2 2041-05-20 Floating 0.01000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BGZ61 5716167.22000000 PA USD 839922.75000000 0.186391444656 Long ABS-MBS USGSE US N 2 2051-09-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140L4CZ0 78732.40000000 PA USD 60794.39000000 0.013491186158 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FYCR5 8110434.09000000 PA USD 952548.59000000 0.211384806276 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133BAUR0 87998.48000000 PA USD 76669.33000000 0.017014073234 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382HJ27 4655917.84000000 PA USD 631120.37000000 0.140055067583 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BBYB2 1704871.18000000 PA USD 202372.98000000 0.044909596866 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418BLU8 82133.48000000 PA USD 75532.66000000 0.016761829127 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SGL5 57419.58000000 PA USD 51101.83000000 0.011340261849 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133AJ6U2 454812.92000000 PA USD 353021.57000000 0.078340776490 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BDCD8 1984290.34000000 PA USD 292191.12000000 0.064841588077 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.50000000 N N N N N N Applebees/IHOP Funding LLC N/A Applebee's Funding LLC / IHOP Funding LLC 03789XAE8 298980.00000000 PA USD 278966.94000000 0.061906944368 Long ABS-O CORP US N 2 2049-06-05 Fixed 4.72300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179QGC9 72862.90000000 PA USD 65283.44000000 0.014487373623 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMY41 344373.09000000 PA USD 263772.80000000 0.058535137014 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137AURP6 1568552.71000000 PA USD 153886.78000000 0.034149782510 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UZW5 679905.42000000 PA USD 655088.27000000 0.145373903758 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617MB4M8 396968.98000000 PA USD 367880.13000000 0.081638113613 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KLVJ3 654666.74000000 PA USD 502713.82000000 0.111559729937 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H73R2 17089796.09000000 PA USD 357163.07000000 0.079259837402 Long ABS-MBS USGSE US N 2 2032-03-25 Variable 0.40304500 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140X9VH5 49640.24000000 PA USD 45023.69000000 0.009991431501 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWHV5 993483.17000000 PA USD 71852.68000000 0.015945186420 Long ABS-MBS USGSE US N 2 2030-07-25 Variable 1.52782200 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A9YQ5 763126.82000000 PA USD 73149.60000000 0.016232992403 Long ABS-MBS USGSE US N 2 2032-11-25 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381H8H7 2899851.09000000 PA USD 2073086.73000000 0.460049011058 Long ABS-MBS USGA US N 2 2064-06-16 Fixed 2.00000000 N N N N N N Western Asset Premier Institutional Government Reserves 549300WB3XRN9YTWFB76 Western Asset Premier Institutional Government Reserves 52470G494 107327.65000000 NS USD 107327.65000000 0.023817613864 Long STIV RF US N 1 N N N Bank N/A BANK 2021-BNK32 06542BBN6 6078054.04000000 PA USD 238015.38000000 0.052819179536 Long ABS-MBS CORP US N 2 2054-04-15 Variable 0.88421600 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XJBJ1 709826.68000000 PA USD 621890.43000000 0.138006805585 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWG95 995756.45000000 PA USD 68262.79000000 0.015148536034 Long ABS-MBS USGSE US N 2 2030-06-25 Variable 1.42723100 N N N N N N Ellington Financial Mortgage T N/A Ellington Financial Mortgage Trust 2020-1 31574PAF2 3570000.00000000 PA USD 3235116.51000000 0.717920832519 Long ABS-MBS CORP US N 2 2065-05-25 Variable 5.11165800 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Three-Month SOFR 000000000 -95.00000000 NC USD 90050.50000000 0.019983555377 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2024-12-17 -22673925.50000000 USD 90050.50000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3622A3CG3 185127.22000000 PA USD 167039.49000000 0.037068565955 Long ABS-MBS USGA US N 2 2048-06-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137ARUW4 357482.58000000 PA USD 11378.96000000 0.002525161740 Long ABS-MBS USGSE US N 2 2027-06-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140KYDF8 159902.80000000 PA USD 129961.22000000 0.028840342216 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FUWV2 2280340.42000000 PA USD 336420.90000000 0.074656839053 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.50000000 N N N N N N JP Morgan Chase Commercial Mor N/A JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST 46652DAN5 2018000.00000000 PA USD 201939.24000000 0.044813343461 Long ABS-MBS CORP US N 2 2036-12-15 Floating 9.94648000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QFB32 816989.13000000 PA USD 659224.23000000 0.146291735260 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TZ65 369638.97000000 PA USD 346616.70000000 0.076919439859 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137H2TB0 981923.86000000 PA USD 140474.71000000 0.031173443194 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.50000000 N N N N N N College Ave Student Loans N/A College Ave Student Loans 2021-C LLC 19424WAE7 1500000.00000000 PA USD 1285997.70000000 0.285382160595 Long ABS-O CORP US N 2 2055-07-26 Fixed 4.11000000 N N N N N N Countrywide Alternative Loan T N/A Alternative Loan Trust 2006-OA9 02146YAD8 72517.55000000 PA USD 57461.27000000 0.012751516883 Long ABS-MBS CORP US N 2 2046-07-20 Floating 5.63932000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132D9BV5 1301721.21000000 PA USD 1130283.88000000 0.250826930530 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FGSM8 305517.08000000 PA USD 259447.52000000 0.057575292567 Long ABS-MBS USGSE US N 2 2048-08-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377EEZ3 3997.18000000 PA USD 370.04000000 0.000082117421 Long ABS-MBS USGA US N 2 2040-04-20 Floating 1.04068000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378CMW4 265626.04000000 PA USD 15440.68000000 0.003426518274 Long ABS-MBS USGA US N 2 2041-02-20 Floating 1.21068000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138W9BG4 158725.37000000 PA USD 135926.91000000 0.030164218224 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XFSY8 88632.23000000 PA USD 71415.71000000 0.015848216229 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WTZS8 2147957.12000000 PA USD 1967997.06000000 0.436728038493 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133AGRE1 75695.06000000 PA USD 59204.89000000 0.013138452289 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377FWL1 254900.74000000 PA USD 9349.27000000 0.002074743113 Long ABS-MBS USGA US N 2 2040-05-16 Floating 0.55495000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F0526A5 15300000.00000000 PA USD 14786613.09000000 3.281371025401 Long ABS-MBS USGSE US N 2 2053-10-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31335BAU0 423632.22000000 PA USD 398392.88000000 0.088409350079 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 4.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 Fannie Mae Interest Strip 31395QC40 2655839.95000000 PA USD 434918.31000000 0.096514890337 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XFF97 350368.00000000 PA USD 281756.84000000 0.062526064985 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UEA6 713933.14000000 PA USD 669292.26000000 0.148525981989 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617MB5B1 375500.62000000 PA USD 346786.20000000 0.076957054449 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137BDBZ8 2618038.50000000 PA USD 1931899.57000000 0.428717464533 Long ABS-MBS USGSE US N 2 2044-08-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QKQY7 650428.97000000 PA USD 540910.61000000 0.120036170026 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 2.50000000 N N N N N N AREIT CRE Trust N/A AREIT 2021-CRE5 Trust 04002PAA2 710915.72000000 PA USD 696588.99000000 0.154583535424 Long ABS-CBDO CORP KY N 2 2038-11-17 Floating 6.52505000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3131XYTP4 3010979.00000000 PA USD 2643884.84000000 0.586717665206 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N BENCHMARK Mortgage Trust N/A Benchmark 2019-B13 Mortgage Trust 08162DAF5 10019966.79000000 PA USD 436087.99000000 0.096774459857 Long ABS-MBS CORP US N 2 2057-08-15 Variable 1.25157300 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H0226A4 700000.00000000 PA USD 572221.47000000 0.126984519060 Long ABS-MBS USGA US N 2 2053-10-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J9VM0 192722.19000000 PA USD 180463.08000000 0.040047461731 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225AFB1 2952.21000000 PA USD 2949.73000000 0.000654589289 Long ABS-MBS USGA US N 2 2025-06-15 Fixed 8.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382NZ83 1121816.32000000 PA USD 1074196.68000000 0.238380340371 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 5.00000000 N N N N N N Countrywide Asset-Backed Certi N/A CWABS Asset-Backed Notes Trust 2006-SD2 23244AAA3 67246.55000000 PA USD 65826.44000000 0.014607873460 Long ABS-O CORP US N 2 2036-07-25 Floating 6.09420000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378YJ59 832676.55000000 PA USD 177096.40000000 0.039300344989 Long ABS-MBS USGA US N 2 2044-01-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380JKP2 1430364.19000000 PA USD 49813.29000000 0.011054315514 Long ABS-MBS USGA US N 2 2060-03-16 Variable 0.61782000 N N N N N N Countrywide Asset-Backed Certi N/A Countrywide Asset-Backed Certificates 126671RX6 1862.56000000 PA USD 1326.68000000 0.000294410172 Long ABS-O CORP US N 2 2032-05-25 Variable 4.80000000 N N N N N N JP Morgan Chase Commercial Mor N/A JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7 46644PAG4 2873011.62000000 PA USD 2556405.74000000 0.567304742022 Long ABS-MBS CORP US N 2 2028-05-15 Floating 9.19300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BCAY6 151117.71000000 PA USD 24372.10000000 0.005408534211 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31384VUX8 779.20000000 PA USD 777.01000000 0.000172430162 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 7.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380CK51 3498879.30000000 PA USD 742321.88000000 0.164732349032 Long ABS-MBS USGA US N 2 2040-02-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XKW71 1832346.15000000 PA USD 1415376.86000000 0.314093334975 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382KS87 230407.00000000 PA USD 32787.91000000 0.007276128563 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DWBP7 3798465.41000000 PA USD 2904698.73000000 0.644596175752 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617MQCZ7 474825.43000000 PA USD 388558.62000000 0.086226980416 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N MAGNOLIA FINANCE X DAC 2019-1 213800FNSN9L4EI3LC40 Credit Suisse European Mortgage Capital Ltd 55960WAB7 4625000.00000000 PA USD 4501908.63000000 0.999040987112 Long ABS-O CORP IE N 2 2024-08-09 Floating 8.53073000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AKTB9 651205.40000000 PA USD 29936.82000000 0.006643428967 Long ABS-MBS USGSE US N 2 2044-08-25 Variable 0.01000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3132WLUX2 1082971.53000000 PA USD 985834.70000000 0.218771492885 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617JYLP6 544736.12000000 PA USD 477845.01000000 0.106040968334 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31387N3T2 1063.23000000 PA USD 1060.33000000 0.000235303116 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A35F4 40221.60000000 PA USD 40511.38000000 0.008990082294 Long ABS-MBS USGSE US N 2 2039-06-25 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XBPQ7 78134.28000000 PA USD 62926.84000000 0.013964408768 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XD6D3 175565.54000000 PA USD 140890.50000000 0.031265713225 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N Tharaldson Hotel Portfolio Tru N/A Tharaldson Hotel Portfolio Trust 2018-THPT 88327HAQ6 3602426.92000000 PA USD 3474881.91000000 0.771128367717 Long ABS-MBS CORP US N 2 2034-11-11 Floating 9.69495500 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132ADUS5 346928.50000000 PA USD 292383.25000000 0.064884224603 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137F9Y21 4598300.77000000 PA USD 628700.83000000 0.139518135400 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31386EB23 531.96000000 PA USD 530.14000000 0.000117646010 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 7.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F0306A1 6400000.00000000 PA USD 5292749.95000000 1.174540526955 Long ABS-MBS USGSE US N 2 2053-10-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132ACQ37 55882.33000000 PA USD 52330.56000000 0.011612935449 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382LXR7 1180716.88000000 PA USD 127612.23000000 0.028319066135 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SQV2 17990.27000000 PA USD 15499.69000000 0.003439613477 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622ABU83 611703.52000000 PA USD 521180.02000000 0.115657656438 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 3.00000000 N N N N N N REDWOOD FUNDING TRUST 2019-1 N/A Redwood Funding Trust 2019-1 75806BAA1 6468184.81000000 PA USD 6461535.52000000 1.433911559454 Long ABS-MBS CORP US N 2 2024-09-27 Variable 4.96800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H0406A6 2400000.00000000 PA USD 2162531.23000000 0.479898085954 Long ABS-MBS USGA US N 2 2053-10-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XCZ68 326272.82000000 PA USD 262477.94000000 0.058247788177 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N Credit Suisse First Boston Mor N/A Credit Suisse First Boston Mortgage Securities Corp 22540VQ47 125268.23000000 PA USD 124611.14000000 0.027653079292 Long ABS-MBS CORP US N 2 2032-05-25 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KLGL5 549333.61000000 PA USD 423274.26000000 0.093930901154 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UH62 140784.75000000 PA USD 135395.36000000 0.030046259313 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137F1U48 212.66000000 PA USD 0.04000000 0.000000008876 Long ABS-MBS USGSE US N 2 2044-07-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179XDA1 2714938.11000000 PA USD 2223256.03000000 0.493373829049 Long ABS-MBS USGA US N 2 2052-08-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UK27 89098.89000000 PA USD 87681.15000000 0.019457761106 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UKZ4 88606.06000000 PA USD 85127.94000000 0.018891165547 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.00000000 N N N N N N Hertz Vehicle Financing LLC 549300MNOMKDMDFI8J66 Hertz Vehicle Financing III LLC 42806MCG2 1750000.00000000 PA USD 1756136.55000000 0.389713016547 Long ABS-O CORP US N 2 2030-03-25 Fixed 7.51000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3132XCRW7 16673321.09000000 PA USD 14144686.56000000 3.138917908980 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DVL94 3007787.29000000 PA USD 2407952.69000000 0.534360785624 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Morgan Stanley Capital I Trust 549300XYOVNMTJWOZ135 Morgan Stanley Capital I Trust 2007-IQ16 61756UAH4 39657.19000000 PA USD 19622.34000000 0.004354491291 Long ABS-MBS CORP US N 2 2049-12-12 Variable 6.28181900 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae 21H0606A4 8000000.00000000 PA USD 7927500.08000000 1.759231063127 Long ABS-MBS USGA US N 2 2053-10-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140JHYV9 154160.25000000 PA USD 144305.63000000 0.032023581749 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132ADGQ5 773338.84000000 PA USD 682124.80000000 0.151373714913 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.50000000 N N N N N N Thrust Engine Leasing N/A Thrust Engine Leasing 2021 DAC 88603UAA7 897952.40000000 PA USD 774897.00000000 0.171961256306 Long ABS-O CORP US N 2 2040-07-15 Fixed 4.16300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KLA98 71722.46000000 PA USD 57468.25000000 0.012753065849 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380Y4L6 1440959.70000000 PA USD 108081.20000000 0.023984837901 Long ABS-MBS USGA US N 2 2048-09-20 Floating 0.81068000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QCW28 153211.54000000 PA USD 133676.80000000 0.029664885096 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N NewRez Warehouse Securitizatio N/A NewRez Warehouse Securitization Trust 2021-1 65246PAF8 1157000.00000000 PA USD 1158058.66000000 0.256990570424 Long ABS-MBS CORP US N 2 2055-05-25 Floating 10.68420000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3622ABU91 189072.78000000 PA USD 163878.67000000 0.036367132631 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 3.50000000 N N N N N N JP Morgan Chase Commercial Mor N/A JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 46632HAL5 16864.40000000 PA USD 15131.49000000 0.003357904379 Long ABS-MBS CORP US N 2 2051-02-15 Variable 6.56060700 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140QKDU9 320685.89000000 PA USD 267713.52000000 0.059409641835 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376TX56 735888.05000000 PA USD 14342.90000000 0.003182904441 Long ABS-MBS USGA US N 2 2034-11-16 Floating 0.65495000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213S4X0 4982.43000000 PA USD 4986.22000000 0.001106516937 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133ANC36 338641.16000000 PA USD 272653.39000000 0.060505873013 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133APLD9 338412.93000000 PA USD 272394.97000000 0.060448525743 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BKN7 3600.18000000 PA USD 3609.01000000 0.000800893400 Long ABS-MBS USGA US N 2 2030-08-15 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137FLVX9 1624862.55000000 PA USD 148891.36000000 0.033041223954 Long ABS-MBS USGSE US N 2 2049-05-15 Floating 0.62224000 N N N N N N GS Mortgage Securities Trust N/A GS Mortgage Securities Corp Trust 2018-LUAU 36256AAS1 1070000.00000000 PA USD 1050891.30000000 0.233208527312 Long ABS-MBS CORP US N 2 2032-11-15 Floating 9.82920000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BDVZ8 5534662.07000000 PA USD 786068.68000000 0.174440419508 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.50000000 N N N N N N Tharaldson Hotel Portfolio Tru N/A Tharaldson Hotel Portfolio Trust 2018-THPT 88327HAL7 2223670.32000000 PA USD 2166800.84000000 0.480845576394 Long ABS-MBS CORP US N 2 2034-11-11 Floating 7.74248000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 Fannie Mae or Freddie Mac 01F0326A7 -6000000.00000000 PA USD -5160468.78000000 -1.14518535306 Short ABS-MBS USGSE US N 2 2053-10-15 Fixed 3.50000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136B9J99 5401171.18000000 PA USD 486830.78000000 0.108035045350 Long ABS-MBS USGSE US N 2 2037-01-25 Variable 1.70293000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133B1TB7 167524.12000000 PA USD 134929.52000000 0.029942882437 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N BHMS Mortgage Trust N/A BHMS 2018-ATLS 05549GAJ0 2250000.00000000 PA USD 2160320.18000000 0.479407420826 Long ABS-MBS CORP US N 2 2035-07-15 Floating 7.52920000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36213QCY3 21444.96000000 PA USD 21442.68000000 0.004758452015 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136ABQH9 1229756.75000000 PA USD 1228273.29000000 0.272572249003 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3133KLA31 903698.22000000 PA USD 756833.50000000 0.167952694970 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380R4L1 4614870.36000000 PA USD 269606.26000000 0.059829669204 Long ABS-MBS USGA US N 2 2063-05-16 Variable 0.82593000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385H7C0 3622.16000000 PA USD 3669.63000000 0.000814345887 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ERNP1 161851.36000000 PA USD 136759.22000000 0.030348920285 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N mrcd 2019-prkc mortgage trust N/A MRCD 2019-PRKC Mortgage Trust 55348UAA6 2097000.00000000 PA USD 1634598.92000000 0.362741995181 Long ABS-MBS CORP US N 2 2036-12-15 Variable 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137H1RF5 7599477.46000000 PA USD 1016199.85000000 0.225509974698 Long ABS-MBS USGSE US N 2 2048-05-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Pool 3132DMPF6 226171.90000000 PA USD 208507.09000000 0.046270847796 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BAM4 737613.38000000 PA USD 734106.84000000 0.162909308552 Long ABS-MBS USGA US N 2 2060-02-20 Floating 6.12331000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 US 5 YEAR TREASURY NOTE 000000000 965.00000000 NC USD -656359.54000000 -0.14565601762 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 2023-12-29 102328161.24000000 USD -656359.54000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179V7F1 103050.41000000 PA USD 88045.09000000 0.019538524846 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380L7G2 7104690.94000000 PA USD 217353.81000000 0.048234067534 Long ABS-MBS USGA US N 2 2070-04-01 Variable 0.02601000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381HMU2 6500000.00000000 PA USD 4469608.00000000 0.991872993283 Long ABS-MBS USGA US N 2 2063-10-16 Fixed 2.20000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380QGQ9 508185.73000000 PA USD 492367.84000000 0.109263801939 Long ABS-MBS USGA US N 2 2070-07-20 Floating 5.00022000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38381ATU0 2175833.23000000 PA USD 170412.13000000 0.037817005311 Long ABS-MBS USGA US N 2 2048-10-20 Floating 0.76068000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140XDML7 605572.24000000 PA USD 544538.33000000 0.120841215456 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AKTJ2 1191547.08000000 PA USD 46594.97000000 0.010340122079 Long ABS-MBS USGSE US N 2 2044-08-25 Variable 0.01000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617VKGV5 74667.88000000 PA USD 60014.04000000 0.013318014799 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 2.50000000 N N N N N N 2023-11-21 Legg Mason Partners Income Trust Christopher Berarducci Christopher Berarducci Principal Financial Officer XXXX NPORT-EX 2 LMF4800LM093023.htm HTML

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
MORTGAGE-BACKED SECURITIES - 61.4%           

FHLMC - 13.3%

           

Federal Home Loan Mortgage Corp. (FHLMC)

      3.500 %      4/1/33-8/1/52      $ 10,860,515      $ 9,522,943  

Federal Home Loan Mortgage Corp. (FHLMC)

      3.000 %      2/1/40-2/1/51        3,265,198        2,778,928  

Federal Home Loan Mortgage Corp. (FHLMC)

      2.500 %      4/1/41-2/1/52        19,864,153        16,051,063  

Federal Home Loan Mortgage Corp. (FHLMC)

      2.000 %      9/1/41-2/1/52        9,580,017        7,379,789  

Federal Home Loan Mortgage Corp. (FHLMC)

      4.500 %      7/1/45-7/1/49        420,955        390,666  

Federal Home Loan Mortgage Corp. (FHLMC)

      5.500 %      12/1/52        297,159        288,669  

Federal Home Loan Mortgage Corp. (FHLMC)

      6.000 %      12/1/52        89,396        88,641  

Federal Home Loan Mortgage Corp. (FHLMC)

      6.500 %      5/1/53        942,837        949,705  

Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.619%)

      2.871 %      11/1/47        360,885        341,702 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.621%)

      3.097 %      2/1/50        464,919        438,438 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.628%)

      3.005 %      11/1/48        1,694,483        1,572,326 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      4.000 %      12/1/33-3/1/47        6,138,757        5,618,920  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      5.500 %      11/1/35        1,759        1,709  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      4.500 %      9/1/46-4/1/49        790,158        741,077  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      3.000 %      10/1/46        16,673,321        14,144,687  
          

 

 

  

Total FHLMC

              60,309,263  
          

 

 

  

FNMA - 29.5%

           

Federal National Mortgage Association (FNMA)

      3.790 %      8/1/28        1,700,000        1,593,546  

Federal National Mortgage Association (FNMA)

      7.500 %      8/1/29-4/1/32        79,343        79,591  

Federal National Mortgage Association (FNMA)

      8.500 %      10/1/30        8,936        9,056  

Federal National Mortgage Association (FNMA)

      3.500 %      12/1/34-3/1/57        11,233,261        9,917,099  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

1

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

FNMA - (continued)

           

Federal National Mortgage Association (FNMA)

      2.789 %      1/1/35      $ 1,172,927      $ 952,675 (a)  

Federal National Mortgage Association (FNMA)

      3.000 %      7/1/35-1/1/52        11,643,710        10,057,703  

Federal National Mortgage Association (FNMA)

      2.500 %      4/1/41-9/1/61        16,433,499        13,215,658  

Federal National Mortgage Association (FNMA)

      4.000 %      5/1/42-8/1/50        6,079,039        5,553,510  

Federal National Mortgage Association (FNMA)

      5.000 %      11/1/45-10/1/46        5,704,425        5,558,674  

Federal National Mortgage Association (FNMA)

      4.500 %      2/1/48-1/1/59        12,423,542        11,645,051  

Federal National Mortgage Association (FNMA)

      2.000 %      8/1/50-3/1/52        16,280,863        12,542,350  

Federal National Mortgage Association (FNMA)

      6.500 %      11/1/52-1/1/53        738,062        747,415  

Federal National Mortgage Association (FNMA)

      2.000 %      10/1/53        3,000,000        2,282,578 (b)  

Federal National Mortgage Association (FNMA)

      2.500 %      10/1/53        12,900,000        10,240,865 (b)  

Federal National Mortgage Association (FNMA)

      3.500 %      10/1/53        1,500,000        1,290,117 (b)  

Federal National Mortgage Association (FNMA)

      4.000 %      10/1/53        6,100,000        5,431,383 (b)  

Federal National Mortgage Association (FNMA)

      4.500 %      10/1/53        3,400,000        3,121,891 (b)  

Federal National Mortgage Association (FNMA)

      5.000 %      10/1/53        5,400,000        5,094,984 (b)  

Federal National Mortgage Association (FNMA)

      5.500 %      10/1/53        15,300,000        14,786,613 (b)  

Federal National Mortgage Association (FNMA)

      6.000 %      10/1/53        11,100,000        10,955,180 (b)  

Federal National Mortgage Association (FNMA)

      6.500 %      10/1/53        8,100,000        8,137,336 (b)  
          

 

 

  

Total FNMA

              133,213,275  
          

 

 

  

GNMA - 18.6%

           

Government National Mortgage Association (GNMA)

      8.500 %      6/15/25        2,952        2,950  

Government National Mortgage Association (GNMA)

      7.500 %      4/15/29-9/15/31        48,836        48,872  

 

See Notes to Schedule of Investments.

 

 

 

2

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

GNMA - (continued)

           

Government National Mortgage Association (GNMA)

      6.000 %      11/15/32      $ 215,355      $ 214,169  

Government National Mortgage Association (GNMA)

      5.000 %      4/15/40-5/15/40        347,953        338,053  

Government National Mortgage Association (GNMA)

      3.000 %      9/15/42-11/15/42        576,086        498,396  

Government National Mortgage Association (GNMA)

      3.500 %      6/15/48-6/15/50        2,175,119        1,949,421  

Government National Mortgage Association (GNMA)

      4.000 %      3/15/50        63,824        58,182  

Government National Mortgage Association (GNMA) II

      3.500 %      6/20/44-3/20/52        5,724,364        5,078,603  

Government National Mortgage Association (GNMA) II

      3.000 %      11/20/46-3/20/52        14,000,483        11,980,359  

Government National Mortgage Association (GNMA) II

      4.000 %      7/20/47-8/20/50        5,059,891        4,628,927  

Government National Mortgage Association (GNMA) II

      4.500 %      8/20/47-7/20/50        3,294,244        3,069,021  

Government National Mortgage Association (GNMA) II

      5.000 %      5/20/48-1/20/53        1,672,842        1,608,446  

Government National Mortgage Association (GNMA) II

      5.500 %      12/20/48-6/20/49        4,794,311        4,738,517  

Government National Mortgage Association (GNMA) II

      2.500 %      12/20/50-8/20/52        9,629,700        7,886,693  

Government National Mortgage Association (GNMA) II

      2.000 %      3/20/51        336,201        257,773  

Government National Mortgage Association (GNMA) II

      2.000 %      10/20/53        3,500,000        2,767,598 (b)  

Government National Mortgage Association (GNMA) II

      2.500 %      10/20/53        700,000        572,222 (b)  

Government National Mortgage Association (GNMA) II

      3.000 %      10/20/53        3,600,000        3,051,563 (b)  

Government National Mortgage Association (GNMA) II

      3.500 %      10/20/53        2,400,000        2,102,438 (b)  

Government National Mortgage Association (GNMA) II

      4.000 %      10/20/53        2,400,000        2,162,531 (b)  

Government National Mortgage Association (GNMA) II

      4.500 %      10/20/53        4,600,000        4,249,789 (b)  

Government National Mortgage Association (GNMA) II

      5.000 %      10/20/53        9,300,000        8,813,203 (b)  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

3

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

GNMA - (continued)

           

Government National Mortgage Association (GNMA) II

      5.500 %      10/20/53      $ 3,400,000      $ 3,299,594 (b) 

Government National Mortgage Association (GNMA) II

      6.000 %      10/20/53        8,000,000        7,927,500 (b)  

Government National Mortgage Association (GNMA) II

      6.500 %      10/20/53        5,100,000        5,129,086 (b)  

Government National Mortgage Association (GNMA) II (1 mo. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.778%)

      6.924 %      6/20/60        1,632,203        1,653,297 (a) 

Government National Mortgage Association (GNMA) II (1 year Treasury Constant Maturity Rate + 1.077%)

      6.350 %      8/20/58        13,625        13,603 (a)  
          

 

 

  

Total GNMA

              84,100,806  
          

 

 

  

TOTAL MORTGAGE-BACKED SECURITIES
(Cost - $305,609,748)

              277,623,344  
          

 

 

  
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - 50.5%           

Alternative Loan Trust, 2006-OA9 2A1B (1 mo. Term SOFR + 0.314%)

      5.639 %      7/20/46        72,518        57,461 (a)  

AOA Mortgage Trust, 2021-1177 A (1 mo. Term SOFR + 0.989%)

      6.322 %      10/15/38        670,000        608,140 (a)(d)  

AREIT Trust, 2021-CRE5 A (1 mo. Term SOFR + 1.194%)

      6.525 %      11/17/38        710,916        696,589 (a)(d)  

BAMLL Re-REMIC Trust, 2016-GG10 AJA

      5.818 %      8/10/45        1,828,406        397,678 (a)(d)  

BANK, 2021-BN32 XA, IO

      0.884 %      4/15/54        6,078,054        238,015 (a)  

Benchmark Mortgage Trust, 2019-B13 A3

      2.701 %      8/15/57        1,440,000        1,222,962  

Benchmark Mortgage Trust, 2019-B13 XA, IO

      1.252 %      8/15/57        10,019,967        436,088 (a)  

Benchmark Mortgage Trust, 2020-B16 A4

      2.483 %      2/15/53        1,450,000        1,199,508  

Benchmark Mortgage Trust, 2020-IG3 C

      3.391 %      9/15/48        2,000,000        941,469 (a)(d)  

Benchmark Mortgage Trust, 2021-B25 XA, IO

      1.213 %      4/15/54        16,788,963        922,520 (a)  

BHMS Mortgage Trust, 2018-ATLS C (1 mo. Term SOFR + 2.197%)

      7.529 %      7/15/35        2,250,000        2,160,320 (a)(d) 

BHMS Mortgage Trust, 2018-MZB (1 mo. Term SOFR + 6.934%)

      12.266 %      7/15/25        1,070,000        958,847 (a)(d)  

BPR Trust, 2021-TY C (1 mo. Term SOFR + 1.814%)

      7.147 %      9/15/38        1,060,000        991,860 (a)(d)  

BX Trust, 2021-ARIA G (1 mo. Term SOFR + 3.257%)

      8.589 %      10/15/36        1,070,000        1,003,892 (a)(d) 

Credit Suisse First Boston Mortgage Securities Corp., 2002-10 2A1

      7.500 %      5/25/32        125,268        124,611  

CSMC Trust, 2014-USA C

      4.336 %      9/15/37        2,500,000        1,894,103 (d)  

CSMC Trust, 2017-CHOP H (PRIME + 4.294%)

      12.794 %      7/15/32        1,472,000        1,346,525 (a)(d) 

 

See Notes to Schedule of Investments.

 

 

 

4

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)           

CSMC Trust, 2017-RPL1 B1

      2.962 %      7/25/57      $ 4,076,582      $ 2,477,515 (a)(d) 

CSMC Trust, 2017-RPL1 B2

      2.962 %      7/25/57        4,676,961        2,451,463 (a)(d) 

CSMC Trust, 2017-RPL1 B3

      2.962 %      7/25/57        3,976,476        1,562,500 (a)(d) 

CSMC Trust, 2017-RPL1 B4

      2.962 %      7/25/57        4,035,892        734,234 (a)(d) 

CSMC Trust, 2017-RPL3 B3

      4.477 %      8/1/57        2,783,572        2,551,117 (a)(d) 

CSMC Trust, 2022-NWPT A (1 mo. Term SOFR + 3.143%)

      8.475 %      9/9/24        1,750,000        1,767,262 (a)(d) 

Deephaven Residential Mortgage Trust, 2020-2 A3

      2.856 %      5/25/65        3,140,000        3,034,129 (d) 

Ellington Financial Mortgage Trust, 2020-1 B2

      5.112 %      5/25/65        3,570,000        3,235,117 (a)(d) 

EverBank Mortgage Loan Trust, 2018-1 AX1, IO

      0.075 %      2/25/48        51,049,810        71,914 (a)(d)  

EverBank Mortgage Loan Trust, 2018-1 B4

      3.575 %      2/25/48        2,298,930        1,440,261 (a)(d) 

EverBank Mortgage Loan Trust, 2018-1 B5

      3.575 %      2/25/48        2,291,956        870,189 (a)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily PC REMIC Trust, 2019-RR01 X, IO

      1.534 %      6/25/28        2,300,000        133,476 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K110 X1, IO

      1.813 %      4/25/30        994,244        82,264 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K115 X1, IO

      1.427 %      6/25/30        995,756        68,263 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K116 X1, IO

      1.528 %      7/25/30        993,483        71,853 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K132 X1, IO

      0.608 %      8/25/31        9,996,500        316,518 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K141 X1, IO

      0.407 %      2/25/32        34,193,468        736,924 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K142 X1, IO

      0.403 %      3/25/32        17,089,796        357,163 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K143 X1, IO

      0.450 %      4/25/55        66,426,765        1,622,487 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K148 X1, IO

      0.391 %      7/25/32        20,086,471        410,869 (a)  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

5

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)           

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K742 X1, IO

      0.867 %      3/25/28      $ 6,181,360      $ 142,101 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1510 X1, IO

      0.636 %      1/25/34        39,897,421        1,344,415 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1516 X1, IO

      1.629 %      5/25/35        4,340,362        509,422 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1520 X1, IO

      0.578 %      2/25/36        14,948,171        562,994 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, KG06 X1, IO

      0.626 %      10/25/31        14,685,199        477,875 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Reference REMIC, R007 ZA

      6.000 %      5/15/36        338,836        344,333  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 2525 AM

      4.500 %      4/15/32        43,907        42,351  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3027 AS, IO (-1.000 x 30 Day Average SOFR + 6.036%)

      0.722 %      5/15/29        16,452        393 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3265 SB, IO (-1.000 x 30 Day Average SOFR + 6.026%)

      0.712 %      1/15/37        26,681        1,324 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3397 GS, IO (-1.000 x 30 Day Average SOFR + 6.886%)

      1.572 %      12/15/37        234,452        18,494 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3947 SG, IO (-1.000 x 30 Day Average SOFR + 5.836%)

      0.522 %      10/15/41        211,431        14,547 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3966 SA, IO (-1.000 x 30 Day Average SOFR + 5.786%)

      0.472 %      12/15/41        1,450,273        93,928 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4048 IK, IO

      3.000 %      5/15/27        112,288        3,866  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4077 TO, PO

      0.000 %      5/15/41        1,061,701        810,267  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4085 IO, IO

      3.000 %      6/15/27        357,483        11,379  

 

See Notes to Schedule of Investments.

 

 

 

6

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)           

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4114 LI, IO

      3.500 %      10/15/32      $ 1,568,553      $ 153,887  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4134 IM, IO, PAC

      3.500 %      11/15/42        2,624,612        434,201  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4144 GI, IO, PAC-1

      3.000 %      12/15/32        1,067,581        74,115  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4147 IN, IO

      3.500 %      12/15/32        1,559,467        146,252  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4170 PI, IO, PAC-1

      3.000 %      1/15/33        1,302,969        74,858  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4203 PS, IO, PAC (-1.000 x 30 Day Average SOFR + 6.136%)

      0.822 %      9/15/42        519,124        34,556 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4210 Z

      3.000 %      5/15/43        3,342,375        2,507,872  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4377 UZ

      3.000 %      8/15/44        2,618,038        1,931,900  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4403 IG, IO

      3.500 %      7/15/32        263,769        7,629  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4700 QI, IO

      3.500 %      7/15/44        213        0 (e)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4715 JS, IO (-1.000 x 30 Day Average SOFR + 6.036%)

      0.722 %      8/15/47        1,135,793        114,266 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4759 MI, IO, PAC

      4.000 %      9/15/45        402,409        27,028  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4808 SB, IO (-1.000 x 30 Day Average SOFR + 6.086%)

      0.772 %      7/15/48        1,192,483        124,852 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4813 CJ

      3.000 %      8/15/48        305,517        259,448  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4856 IO, IO

      5.000 %      1/15/49        1,457,590        275,388  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4882 S, IO, PAC (-1.000 x 30 Day Average SOFR + 5.936%)

      0.622 %      5/15/49        1,624,863        148,891 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4921 SN, IO (-1.000 x 30 Day Average SOFR + 5.936%)

      0.621 %      10/25/49        2,921,021        273,936 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4931 DZ, PAC

      2.500 %      11/25/49        3,331,434        2,152,096  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

7

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)           

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4962 SP, IO, PAC (-1.000 x 30 Day Average SOFR + 5.936%)

      0.621 %      3/25/50      $ 1,558,342      $ 137,994 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4988 AZ

      2.000 %      7/25/50        3,628,144        1,944,215  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4995 IQ, IO, PAC

      2.500 %      7/25/50        2,280,340        336,421  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4995 QI, IO, PAC

      2.500 %      7/25/50        11,737,046        1,831,210  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5000 IB, IO

      2.500 %      7/25/50        5,921,926        739,330  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5000 UI, IO

      2.500 %      7/25/50        5,026,561        869,385  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5040 IB, IO

      2.500 %      11/25/50        141,353        24,445  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5058 IL, IO

      2.500 %      1/25/51        2,140,891        372,911  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5059 IB, IO

      2.500 %      1/25/51        669,887        105,835  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5070 NI, IO

      2.000 %      2/25/51        4,598,301        628,701  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5078 EI, IO

      1.500 %      1/25/51        5,394,236        519,897  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5085 IK, IO

      2.500 %      3/25/51        17,683,265        2,822,870  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5092 IU, IO

      2.500 %      2/25/51        8,110,434        952,549  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5113 NI, IO, PAC

      2.500 %      6/25/51        2,465,854        301,606  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5134 KI, IO

      2.500 %      7/25/48        8,000,189        1,067,236  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5135 DI, IO

      2.500 %      5/25/48        7,599,477        1,016,200  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5149 NI, IO, PAC

      2.500 %      1/25/51        981,924        140,475  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5160 IU, IO

      2.500 %      11/25/50        5,312,255        718,079  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5169 PW, PAC

      2.000 %      9/25/51        4,700,000        2,877,676  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5178 CY

      2.000 %      1/25/42        4,400,000        2,753,479  

 

See Notes to Schedule of Investments.

 

 

 

8

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)

 

      

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5200 KQ, PAC

      3.000 %      9/25/49      $ 1,054,184      $ 928,681  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5209 EQ

      3.000 %      4/25/52        2,800,000        1,910,182  

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

      0.000 %      9/25/55        4,392,219        395,983 (d)  

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

      1.285 %      9/25/55        7,778,301        883,288 (a)(d) 

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

      0.075 %      9/25/55        50,085,452        221,227 (a)(d) 

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

      0.000 %      8/25/56        7,819,695        660,517 (d)  

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

      1.263 %      8/25/56        16,396,313        1,767,141 (a)(d) 

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

      0.075 %      8/25/56        312,196,613        1,381,470 (a)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 312 S1, IO (-1.000 x 30 Day Average SOFR + 5.836%)

      0.522 %      9/15/43        1,083,687        89,829 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 317 PO, PO

      0.000 %      11/15/43        2,535,586        1,929,619  

Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 328 S4, IO

      0.000 %      2/15/38        248,356        12,309 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA2 B (30 Day Average SOFR + 10.614%)

      15.929 %      10/25/28        2,378,758        2,692,034 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA1 B2 (30 Day Average SOFR + 10.114%)

      15.429 %      7/25/29        2,517,500        2,807,745 (a) 

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

      4.119 %      9/25/47        1,813,836        1,227,344 (a)(d) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

9

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)           

Federal Home Loan Mortgage Corp. (FHLMC)

           

Structured Agency Credit Risk Debt Notes, 2018-HRP1 B2 (30 Day Average SOFR + 11.864%)

      17.179 %      5/25/43      $ 4,917,785      $ 5,683,968 (a)(d) 

Federal National Mortgage Association (FNMA) - CAS, 2016-C04 1B (30 Day Average SOFR + 10.364%)

      15.679 %      1/25/29        4,596,043        5,217,845 (a)(d) 

Federal National Mortgage Association (FNMA) - CAS, 2016-C06 1B (30 Day Average SOFR + 9.364%)

      14.679 %      4/25/29        3,743,244        4,186,276 (a)(d) 

Federal National Mortgage Association (FNMA) - CAS, 2021-R03 1B2 (30 Day Average SOFR + 5.500%)

      10.815 %      12/25/41        500,000        498,657 (a)(d) 

Federal National Mortgage Association (FNMA) ACES, 2019-M11 X1, IO

      1.187 %      6/25/29        14,841,593        651,070 (a)  

Federal National Mortgage Association (FNMA) ACES, 2020-M11 IO, IO

      1.872 %      1/25/29        6,741,217        480,680 (a)  

Federal National Mortgage Association (FNMA) ACES, 2020-M16 X1, IO

      0.538 %      4/25/32        40,569,009        1,058,015 (a) 

Federal National Mortgage Association (FNMA) ACES, 2020-M24 X1, IO

      1.703 %      1/25/37        5,401,171        486,831 (a)  

Federal National Mortgage Association (FNMA) ACES, 2020-M31 X2, IO

      1.333 %      12/25/32        18,663,169        1,089,063 (a) 

Federal National Mortgage Association (FNMA) REMIC, 2003-22 IO, IO

      6.000 %      4/25/33        44,685        7,036  

Federal National Mortgage Association (FNMA) REMIC, 2009-6 KZ

      5.000 %      2/25/49        242,027        231,040  

Federal National Mortgage Association (FNMA) REMIC, 2009-59 LB

      4.697 %      8/25/39        247,185        240,122 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2009-74 TX, PAC

      5.000 %      9/25/39        656,014        643,830  

Federal National Mortgage Association (FNMA) REMIC, 2010-2 AI, IO

      5.500 %      2/25/40        240,390        40,799  

Federal National Mortgage Association (FNMA) REMIC, 2010-84 SK, IO (-1.000 x 30 Day Average SOFR + 6.446%)

      1.131 %      8/25/40        592,332        43,130 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2011-59 NZ

      5.500 %      7/25/41        138,776        138,574  

Federal National Mortgage Association (FNMA) REMIC, 2011-144 PT

      12.093 %      1/25/38        224,871        263,203 (a)  

 

See Notes to Schedule of Investments.

 

 

 

10

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)

           

Federal National Mortgage Association (FNMA) REMIC, 2012-14 SL, IO (-1.000 x 30 Day Average SOFR + 6.436%)

      1.121 %      12/25/40      $ 658,665      $ 7,145 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2012-28 B

      6.500 %      6/25/39        40,222        40,511  

Federal National Mortgage Association (FNMA) REMIC, 2012-51 B

      7.000 %      5/25/42        156,037        164,331  

Federal National Mortgage Association (FNMA) REMIC, 2012-75 NS, IO (-1.000 x 30 Day Average SOFR + 6.486%)

      1.171 %      7/25/42        972,309        89,300 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2012-123 BI, IO

      3.500 %      11/25/32        763,127        73,150  

Federal National Mortgage Association (FNMA) REMIC, 2012-135 AI, IO

      3.000 %      12/25/27        579,395        23,104  

Federal National Mortgage Association (FNMA) REMIC, 2012-149 AI, IO

      3.000 %      1/25/28        1,127,623        39,606  

Federal National Mortgage Association (FNMA) REMIC, 2013-9 BC

      6.500 %      7/25/42        151,870        157,601  

Federal National Mortgage Association (FNMA) REMIC, 2013-9 CB

      5.500 %      4/25/42        1,229,757        1,228,273  

Federal National Mortgage Association (FNMA) REMIC, 2014-47 AI, IO

      0.000 %      8/25/44        651,205        29,937 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2014-47 IA, IO

      0.000 %      8/25/44        1,191,547        46,595 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2014-49 KS, IO

      0.000 %      8/25/44        927,965        47,415 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2015-39 LZ

      3.000 %      6/25/45        222,091        187,857  

Federal National Mortgage Association (FNMA) REMIC, 2016-48 IA, IO

      4.500 %      6/25/38        5,282,200        767,704  

Federal National Mortgage Association (FNMA) REMIC, 2018-74 AB

      3.500 %      10/25/48        1,433,633        1,268,715  

Federal National Mortgage Association (FNMA) REMIC, 2018-3 IO, IO

      4.000 %      2/25/48        4,185,339        813,316  

Federal National Mortgage Association (FNMA) REMIC, 2019-25 PI, IO

      5.000 %      5/25/48        1,055,628        207,468  

Federal National Mortgage Association (FNMA) REMIC, 2019-33 ZJ

      2.750 %      7/25/49        2,328,125        1,480,135  

Federal National Mortgage Association (FNMA) REMIC, 2019-38 SH, IO (-1.000 x 30 Day Average SOFR + 5.936%)

      0.648 %      7/25/49        3,712,937        297,903 (a)  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

11

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)

           

Federal National Mortgage Association (FNMA) REMIC, 2019-44 SM, IO (-1.000 x 30 Day Average SOFR + 5.936%)

      0.621 %      8/25/49      $ 1,897,113      $ 209,670 (a) 

Federal National Mortgage Association (FNMA) REMIC, 2019-45 BS, IO (-1.000 x 30 Day Average SOFR + 5.936%)

      0.621 %      8/25/49        2,055,683        196,237 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2019-57 NS, IO (-1.000 x 30 Day Average SOFR + 5.886%)

      0.571 %      10/25/49        1,223,563        110,682 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2019-58 HS, IO (-1.000 x 30 Day Average SOFR + 5.886%)

      0.571 %      10/25/49        1,796,058        157,988 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2019-59 SH, IO (-1.000 x 30 Day Average SOFR + 5.886%)

      0.571 %      10/25/49        3,642,121        352,015 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2020-26 SA, IO (-1.000 x 30 Day Average SOFR + 5.836%)

      0.521 %      5/25/50        1,555,626        130,083 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2020-47 GZ

      2.000 %      7/25/50        1,173,811        627,383  

Federal National Mortgage Association (FNMA) REMIC, 2020-62 BI, IO

      2.000 %      9/25/50        1,704,871        202,373  

Federal National Mortgage Association (FNMA) REMIC, 2020-67 IH, IO

      2.000 %      9/25/50        2,390,477        303,745  

Federal National Mortgage Association (FNMA) REMIC, 2020-74 EI, IO

      2.500 %      10/25/50        151,118        24,372  

Federal National Mortgage Association (FNMA) REMIC, 2020-88 GI, IO

      2.500 %      12/25/50        1,984,290        292,191  

Federal National Mortgage Association (FNMA) REMIC, 2020-89 DI, IO

      2.500 %      12/25/50        1,041,474        156,500  

Federal National Mortgage Association (FNMA) REMIC, 2020-93 LI, IO, PAC

      2.500 %      1/25/51        5,534,662        786,069  

Federal National Mortgage Association (FNMA) REMIC, 2021-42 NI, IO

      2.500 %      11/25/48        8,435,988        1,085,667  

Federal National Mortgage Association (FNMA) REMIC, 2021-46 BI, IO

      2.500 %      12/25/48        5,512,599        757,755  

Federal National Mortgage Association (FNMA) REMIC, 2021-49 GI, IO

      2.500 %      10/25/48        2,879,779        363,172  

Federal National Mortgage Association (FNMA) REMIC, 2021-54 KI, IO

      2.500 %      5/25/49        811,758        113,217  

 

See Notes to Schedule of Investments.

 

 

 

12

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)

           

Federal National Mortgage Association (FNMA) REMIC, 2021-59 TI, IO

      2.500 %      9/25/51      $ 5,716,167      $ 839,923  

Federal National Mortgage Association (FNMA) REMIC, 2021-61 KI, IO

      2.500 %      4/25/49        972,822        135,468  

Federal National Mortgage Association (FNMA) REMIC, 2021-74 IO, IO

      2.500 %      10/25/51        12,247,639        1,940,374  

Federal National Mortgage Association (FNMA) REMIC, 2021-85 IN, IO

      2.500 %      2/25/50        4,081,350        670,059  

Federal National Mortgage Association (FNMA) REMIC, 2021-91 IG, IO

      2.500 %      1/25/52        2,108,255        307,962  

Federal National Mortgage Association (FNMA) REMIC, 2022-29 KZ

      1.500 %      6/25/42        6,733,245        4,464,944  

Federal National Mortgage Association (FNMA) REMIC, 2022-57 BC

      4.000 %      9/25/52        904,327        831,297  

Federal National Mortgage Association (FNMA) STRIPS, 362 6, IO

      5.000 %      8/25/35        526,581        80,177  

Federal National Mortgage Association (FNMA) STRIPS, 364 13, IO

      6.000 %      9/25/35        41,515        6,426  

Federal National Mortgage Association (FNMA) STRIPS, 383 18, IO

      5.500 %      1/25/38        52,018        9,541  

Federal National Mortgage Association (FNMA) STRIPS, 383 20, IO

      5.500 %      7/25/37        38,754        6,739  

Federal National Mortgage Association (FNMA) STRIPS, 406 2, IO

      4.000 %      2/25/41        1,402,004        238,572  

Federal National Mortgage Association (FNMA) STRIPS, 407 41, IO

      6.000 %      1/25/38        28,984        6,318  

Federal National Mortgage Association (FNMA) STRIPS, 407 42, IO

      6.000 %      1/25/38        21,802        3,758  

Federal National Mortgage Association (FNMA) STRIPS, 407 C10, IO

      5.000 %      1/25/38        233,804        39,609  

Federal National Mortgage Association (FNMA) STRIPS, 417 C5, IO

      3.500 %      2/25/43        2,655,840        434,918  

Federal National Mortgage Association (FNMA) STRIPS, 418 C15, IO

      3.500 %      8/25/43        6,210,939        1,044,882  

Government National Mortgage Association (GNMA), 2004-59 FP (1 mo. Term SOFR + 0.414%)

      5.745 %      8/16/34        346,154        344,713 (a)  

Government National Mortgage Association (GNMA), 2004-81 SK, IO (-1.000 x 1 mo. Term SOFR + 6.086%)

      0.755 %      10/16/34        342,932        11,755 (a)  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

13

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)           

Government National Mortgage Association (GNMA), 2007-17 IB, IO (-1.000 x 1 mo. Term SOFR + 6.136%)

      0.811 %      4/20/37      $ 2,084,047      $ 60,692 (a) 

Government National Mortgage Association (GNMA), 2007-45 QB, IO, PAC (-1.000 x 1 mo. Term SOFR + 6.486%)

      1.161 %      7/20/37        347,846        21,455 (a) 

Government National Mortgage Association (GNMA), 2009-H01 FA (1 mo. Term SOFR + 1.264%)

      6.589 %      11/20/59        157,807        157,854 (a) 

Government National Mortgage Association (GNMA), 2010-4 SI, IO (-1.000 x 1 mo. Term SOFR + 5.986%)

      0.655 %      11/16/34        735,888        14,343 (a) 

Government National Mortgage Association (GNMA), 2010-42 BS, IO (-1.000 x 1 mo. Term SOFR + 6.366%)

      1.041 %      4/20/40        3,997        370 (a)  

Government National Mortgage Association (GNMA), 2010-59 SM, IO (-1.000 x 1 mo. Term SOFR + 5.886%)

      0.555 %      5/16/40        254,901        9,349 (a)  

Government National Mortgage Association (GNMA), 2010-85 HS, IO, PAC (-1.000 x 1 mo. Term SOFR + 6.536%)

      1.211 %      1/20/40        1,229        6 (a)  

Government National Mortgage Association (GNMA), 2010-H02 FA (1 mo. Term SOFR + 0.794%)

      6.123 %      2/20/60        737,613        734,107 (a) 

Government National Mortgage Association (GNMA), 2011-40 EI, IO

      4.000 %      12/16/25        17,606        239  

Government National Mortgage Association (GNMA), 2011-79 KS, IO (-1.000 x 1 mo. Term SOFR + 5.286%)

      0.000 %      5/20/41        997,406        58,928 (a) 

Government National Mortgage Association (GNMA), 2011-113 PQ

      5.000 %      6/20/39        745,238        736,901  

Government National Mortgage Association (GNMA), 2011-142 IO, IO

      0.000 %      9/16/46        2,547,248        25 (a)  

Government National Mortgage Association (GNMA), 2011-146 KS, IO (-1.000 x 1 mo. Term SOFR + 5.986%)

      0.655 %      11/16/41        774,110        60,536 (a) 

Government National Mortgage Association (GNMA), 2012-13 SK, IO (-1.000 x 1 mo. Term SOFR + 6.536%)

      1.211 %      2/20/41        265,626        15,441 (a)  

Government National Mortgage Association (GNMA), 2012-70 IO, IO

      0.094 %      8/16/52        807,161        398 (a)  

 

See Notes to Schedule of Investments.

 

 

 

14

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)

 

        

Government National Mortgage Association (GNMA), 2013-90 PI, IO, PAC-1

      3.500 %      10/20/41      $ 1,955,335      $ 137,754  

Government National Mortgage Association (GNMA), 2013-142 IO, IO

      0.976 %      9/16/51        2,074,282        37,577 (a)  

Government National Mortgage Association (GNMA), 2013-163 IO, IO

      1.012 %      2/16/46        2,228,162        48,258 (a)  

Government National Mortgage Association (GNMA), 2014-2 CI, IO

      4.500 %      1/20/44        832,677        177,096  

Government National Mortgage Association (GNMA), 2014-16 IO, IO

      0.449 %      6/16/55        3,033,122        41,118 (a)  

Government National Mortgage Association (GNMA), 2014-50 IO, IO

      0.628 %      9/16/55        1,026,512        25,256 (a)  

Government National Mortgage Association (GNMA), 2014-60 SA, IO (-1.000 x 1 mo. Term SOFR + 5.986%)

      0.655 %      4/16/44        2,342,903        174,367 (a)  

Government National Mortgage Association (GNMA), 2014-91 SB, IO (-1.000 x 1 mo. Term SOFR + 5.486%)

      0.155 %      6/16/44        923,884        52,932 (a)  

Government National Mortgage Association (GNMA), 2014-118 HS, IO (-1.000 x 1 mo. Term SOFR + 6.086%)

      0.761 %      8/20/44        509,670        45,992 (a)  

Government National Mortgage Association (GNMA), 2015-167 OI, IO

      4.000 %      4/16/45        1,985,330        380,995  

Government National Mortgage Association (GNMA), 2016-51 NS, IO (-1.000 x 1 mo. Term SOFR + 5.936%)

      0.611 %      4/20/46        1,590,383        141,293 (a)  

Government National Mortgage Association (GNMA), 2016-87 IO, IO

      0.642 %      8/16/58        2,755,104        74,127 (a)  

Government National Mortgage Association (GNMA), 2016-156 PB

      2.000 %      11/20/46        5,417,124        3,531,075  

Government National Mortgage Association (GNMA), 2017-19 SE, IO (-1.000 x 1 mo. Term SOFR + 6.036%)

      0.705 %      2/16/47        2,323,721        174,678 (a)  

Government National Mortgage Association (GNMA), 2017-21 IO, IO

      0.633 %      10/16/58        8,067,387        279,047 (a)  

Government National Mortgage Association (GNMA), 2017-26 IQ, IO

      5.000 %      2/20/40        3,498,879        742,322  

Government National Mortgage Association (GNMA), 2017-41 IO, IO

      0.592 %      7/16/58        509,634        14,456 (a)  

Government National Mortgage Association (GNMA), 2017-190 IO, IO

      0.618 %      3/16/60        1,430,364        49,813 (a)  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

15

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)           

Government National Mortgage Association (GNMA), 2018-168 PA, PAC

      4.000 %      8/20/48      $ 953,315      $ 879,990  

Government National Mortgage Association (GNMA), 2018-125 HS, IO (-1.000 x 1 mo. Term SOFR + 6.136%)

      0.811 %      9/20/48        1,440,960        108,081 (a) 

Government National Mortgage Association (GNMA), 2018-134 SM, IO (-1.000 x 1 mo. Term SOFR + 6.086%)

      0.761 %      10/20/48        2,175,833        170,412 (a) 

Government National Mortgage Association (GNMA), 2019-18 TP, PAC

      3.500 %      2/20/49        642,909        567,771  

Government National Mortgage Association (GNMA), 2019-85 LS, IO (-1.000 x 1 mo. Term SOFR + 3.176%)

      0.000 %      7/20/49        15,718,636        193,371 (a) 

Government National Mortgage Association (GNMA), 2020-33 SD, IO (-1.000 x 1 mo. Term SOFR + 6.036%)

      0.711 %      7/20/47        895,305        82,117 (a)  

Government National Mortgage Association (GNMA), 2020-36 GS, IO (-1.000 x 1 mo. Term SOFR + 5.986%)

      0.661 %      3/20/50        5,474,650        599,204 (a) 

Government National Mortgage Association (GNMA), 2020-47 MI, IO, PAC

      3.500 %      4/20/50        497,203        85,092  

Government National Mortgage Association (GNMA), 2020-47 NI, IO, PAC

      3.500 %      4/20/50        209,938        35,011  

Government National Mortgage Association (GNMA), 2020-61 CI, IO, PAC

      4.000 %      3/20/50        1,196,660        216,727  

Government National Mortgage Association (GNMA), 2020-85 CI, IO, PAC

      3.500 %      4/20/50        1,252,663        212,421  

Government National Mortgage Association (GNMA), 2020-109 AI, IO

      0.840 %      5/16/60        4,710,307        258,415 (a) 

Government National Mortgage Association (GNMA), 2020-116 GI, IO

      2.500 %      8/20/50        6,358,050        865,205  

Government National Mortgage Association (GNMA), 2020-122 IM, IO

      2.500 %      8/20/50        2,309,634        315,643  

Government National Mortgage Association (GNMA), 2020-123 EI, IO

      2.500 %      8/20/50        4,655,918        631,120  

Government National Mortgage Association (GNMA), 2020-129 IE, IO

      2.500 %      9/20/50        153,485        21,006  

Government National Mortgage Association (GNMA), 2020-160 QI, IO

      2.500 %      10/20/50        4,905,666        809,036  

Government National Mortgage Association (GNMA), 2020-160 VI, IO

      2.500 %      10/20/50        230,407        32,788  

 

See Notes to Schedule of Investments.

 

 

 

16

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)           

Government National Mortgage Association (GNMA), 2020-160 YI, IO

      2.500 %      10/20/50      $ 622,100      $ 82,805  

Government National Mortgage Association (GNMA), 2020-181 WI, IO

      2.000 %      12/20/50        1,180,717        127,612  

Government National Mortgage Association (GNMA), 2020-191 IX, IO

      2.500 %      12/20/50        3,958,538        656,672  

Government National Mortgage Association (GNMA), 2020-H02 FG (1 mo. Term SOFR + 0.714%)

      5.414 %      1/20/70        998,909        992,615 (a)  

Government National Mortgage Association (GNMA), 2020-H08 BI, IO

      0.026 %      4/1/70        7,104,691        217,354 (a)  

Government National Mortgage Association (GNMA), 2020-H12 F (1 mo. Term SOFR + 0.614%)

      5.531 %      7/20/70        48,635        47,371 (a)  

Government National Mortgage Association (GNMA), 2020-H13 FA (1 mo. Term SOFR + 0.564%)

      5.000 %      7/20/70        508,186        492,368 (a)  

Government National Mortgage Association (GNMA), 2021-8 AQ

      5.000 %      1/20/51        746,061        729,720  

Government National Mortgage Association (GNMA), 2021-14 AB

      1.340 %      6/16/63        1,158,869        849,633  

Government National Mortgage Association (GNMA), 2021-21 AH

      1.400 %      6/16/63        2,964,414        2,183,892  

Government National Mortgage Association (GNMA), 2021-29 AG

      5.000 %      2/20/51        1,121,816        1,074,197  

Government National Mortgage Association (GNMA), 2021-216 NI, IO

      3.000 %      12/20/51        4,299,572        665,898  

Government National Mortgage Association (GNMA), 2021-7 TI, IO

      2.500 %      1/16/51        4,740,024        800,422  

Government National Mortgage Association (GNMA), 2021-15 TQ, IO (-1.000 x 1 mo. Term SOFR + 6.186%)

      0.861 %      12/20/50        21,877,937        1,307,108 (a) 

Government National Mortgage Association (GNMA), 2021-29 TI, IO

      2.500 %      2/20/51        730,304        121,574  

Government National Mortgage Association (GNMA), 2021-60 IO, IO

      0.826 %      5/16/63        4,614,870        269,606 (a)  

Government National Mortgage Association (GNMA), 2021-68 IO, IO

      0.870 %      10/16/62        4,516,562        271,329 (a)  

Government National Mortgage Association (GNMA), 2021-156 IE, IO

      2.500 %      9/20/51        4,614,377        657,700  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

17

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)           

Government National Mortgage Association (GNMA), 2021-158 IN, IO

      2.500 %      9/20/51      $ 7,977,331      $ 1,092,196  

Government National Mortgage Association (GNMA), 2021-158 XB, IO

      2.500 %      9/20/51        5,067,219        694,866  

Government National Mortgage Association (GNMA), 2021-180 IO, IO

      0.911 %      11/16/63        2,335,172        157,580 (a)  

Government National Mortgage Association (GNMA), 2022-54 Z

      2.000 %      10/16/63        1,854,772        754,694 (a)  

Government National Mortgage Association (GNMA), 2022-139 AL

      4.000 %      7/20/51        1,200,000        1,034,512  

Government National Mortgage Association (GNMA), 2022-147 B

      2.200 %      10/16/63        6,500,000        4,469,608  

Government National Mortgage Association (GNMA), 2022-158 AL

      2.100 %      8/16/64        5,949,175        4,162,612  

Government National Mortgage Association (GNMA), 2022-86 C

      2.250 %      10/16/63        800,000        353,140 (a)  

Government National Mortgage Association (GNMA), 2023-92 AH

      2.000 %      6/16/64        2,899,851        2,073,087  

Government National Mortgage Association (GNMA), 2023-92 IA, IO

      0.611 %      6/16/64        1,999,897        122,884 (a)  

GS Mortgage Securities Corp. II, 2018-SRP5 D (1 mo. Term SOFR + 6.614%)

      11.947 %      9/15/31        4,450,678        869,327 (a)(d) 

GS Mortgage Securities Corp. Trust, 2018- LUAU G (1 mo. Term SOFR + 4.497%)

      9.829 %      11/15/32        1,070,000        1,050,891 (a)(d) 

GS Mortgage Securities Corp. Trust, 2021-IP A (1 mo. Term SOFR + 1.064%)

      6.397 %      10/15/36        360,000        343,469 (a)(d) 

GS Mortgage Securities Trust, 2015-GC34 D

      2.979 %      10/10/48        2,500,000        1,758,541  

GS Mortgage Securities Trust, 2019-GC39 XA, IO

      1.260 %      5/10/52        43,297,375        1,725,716 (a) 

GS Mortgage Securities Trust, 2020-GC47 XA, IO

      1.243 %      5/12/53        16,937,783        954,393 (a)  

GSMPS Mortgage Loan Trust, 2006-RP2 1AF1 (1 mo. Term SOFR + 0.514%)

      5.834 %      4/25/36        1,022,258        835,159 (a)(d) 

Impac CMB Trust, 2004-10 3A1 (1 mo. Term SOFR + 0.814%)

      6.134 %      3/25/35        70,978        67,294 (a)  

Impac CMB Trust, 2007-A A (1 mo. Term SOFR + 0.614%)

      5.934 %      5/25/37        194,352        181,172 (a)(d) 

JPMDB Commercial Mortgage Securities Trust, 2017-C7 B

      3.985 %      10/15/50        420,000        345,719  

JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ

      6.561 %      2/15/51        16,864        15,132 (a)  

 

See Notes to Schedule of Investments.

 

 

 

18

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)           

JPMorgan Chase Commercial Mortgage Securities Trust, 2015-FL7 D (PRIME + 0.693%)

      9.193 %      5/15/28      $ 2,873,012      $ 2,556,406 (a)(d) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2019-COR5 XA, IO

      1.625 %      6/13/52        15,630,981        860,448 (a)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST G (1 mo. Term SOFR + 4.614%)

      9.946 %      12/15/36        2,018,000        201,939 (a)(d) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST H (1 mo. Term SOFR + 7.114%)

      12.446 %      12/15/36        2,106,000        100,180 (a)(d) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX

      4.844 %      1/16/37        2,530,000        1,806,395 (a)(d) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYAH H (1 mo. Term SOFR + 3.504%)

      8.837 %      6/15/38        360,000        299,043 (a)(d) 

La Hipotecaria El Salvadorian Mortgage Trust, 2019-1A AAA

      4.250 %      9/29/46        1,288,560        1,217,689 (d)(f)(g) 

MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. Term SOFR + 0.324%)

      5.644 %      4/25/46        242,221        212,274 (a)  

Med Trust, 2021-MDLN F (1 mo. Term SOFR + 4.114%)

      9.446 %      11/15/38        3,542,996        3,376,949 (a)(d) 

ML-CFC Commercial Mortgage Trust, 2007-5 AJFL

      5.450 %      8/12/48        497,439        125,684 (a)(d) 

Morgan Stanley Capital I Trust, 2007-IQ16 AJ

      6.282 %      12/12/49        39,657        19,622 (a)  

Morgan Stanley Mortgage Loan Trust, 2006-8AR 1A2 (1 mo. Term SOFR + 0.254%)

      5.574 %      6/25/36        29,455        6,089 (a)  

Morgan Stanley Re-REMIC Trust, 2015-R6 1A1 (1 mo. Term SOFR + 0.374%)

      4.249 %      7/26/45        19,234        19,195 (a)(d)  

MRCD Mortgage Trust, 2019-PRKC A

      4.250 %      12/15/36        2,097,000        1,634,599 (a)(d) 

Multifamily CAS Trust, 2020-1 CE (30 Day Average SOFR + 7.614%)

      12.929 %      3/25/50        4,500,000        4,479,856 (a)(d) 

Multifamily Trust, 2016-1 B

      0.681 %      4/25/46        642,771        642,542 (a)(d) 

Natixis Commercial Mortgage Securities Trust, 2019-FAME D

      4.544 %      8/15/36        1,950,000        1,269,513 (a)(d) 

Natixis Commercial Mortgage Securities Trust, 2019-FAME E

      4.544 %      8/15/36        2,077,000        1,135,142 (a)(d) 

New Residential Mortgage Loan Trust, 2014-1A A

      3.750 %      1/25/54        459,161        425,383 (a)(d) 

NewRez Warehouse Securitization Trust, 2021-1 F (1 mo. Term SOFR + 5.364%)

      10.684 %      5/25/55        1,157,000        1,158,059 (a)(d) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

19

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)

 

      

NovaStar Mortgage Funding Trust, 2006- MTA1 2A1A (1 mo. Term SOFR + 0.494%)

      0.476 %      9/25/46      $ 56,299      $ 50,903 (a)  

OPG Trust, 2021-PORT A (1 mo. Term SOFR + 0.598%)

      5.931 %      10/15/36        459,431        448,080 (a)(d)  

PMT Credit Risk Transfer Trust, 2019-2R A (1 mo. Term SOFR + 3.864%)

      9.182 %      5/30/25        984,984        984,771 (a)(d)  

PRKCM Trust, 2023-AFC1 A3

      7.304 %      2/25/58        2,651,084        2,654,283 (d)  

Redwood Funding Trust, 2019-1 PT

      4.968 %      9/27/24        6,468,185        6,461,536 (d)  

Starwood Retail Property Trust, 2014-STAR C

      8.500 %      11/15/27        2,324,000        241,115 (a)(d)  

Starwood Retail Property Trust, 2014-STAR D

      8.500 %      11/15/27        650,000        26,000 (a)(d)  

Structured Asset Mortgage Investments II Trust, 2006-AR6 1A1 (1 mo. Term SOFR + 0.474%)

      5.794 %      7/25/46        70,006        57,058 (a)  

Structured Asset Securities Corp., 2005-RF3 1A (1 mo. Term SOFR + 0.464%)

      5.784 %      6/25/35        137,633        125,645 (a)(d)  

Tharaldson Hotel Portfolio Trust, 2018-THL D (1 mo. Term SOFR + 2.414%)

      7.742 %      11/11/34        2,223,670        2,166,801 (a)(d) 

Tharaldson Hotel Portfolio Trust, 2018-THL E (1 mo. Term SOFR + 3.594%)

      8.922 %      11/11/34        4,836,179        4,683,387 (a)(d) 

Tharaldson Hotel Portfolio Trust, 2018-THL F (1 mo. Term SOFR + 4.367%)

      9.695 %      11/11/34        3,602,427        3,474,882 (a)(d) 

WaMu Mortgage Pass-Through Certificates Trust, 2003-AR5 A7

      4.825 %      6/25/33        17,562        17,290 (a)  

Wells Fargo Commercial Mortgage Trust, 2019-C51 A4

      3.311 %      6/15/52        1,370,000        1,173,804  

Wells Fargo Commercial Mortgage Trust, 2021-C59 XA, IO

      1.657 %      4/15/54        12,401,914        944,832 (a)  
          

 

 

  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost - $270,934,400)

 

           228,349,084  
          

 

 

  
                  FACE
AMOUNT/
UNITS		         
ASSET-BACKED SECURITIES - 9.5%           

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

      4.723 %      6/5/49        298,980        278,967 (d)  

Aqua Finance Trust, 2020-AA C

      3.970 %      7/17/46        3,200,000        2,751,651 (d)  

Avis Budget Rental Car Funding AESOP LLC, 2023-8A C

      7.340 %      2/20/30        3,700,000        3,717,365 (d)  

CARS-DB7 LP, 2023-1A A1

      5.750 %      9/15/53        1,260,000        1,238,017 (d)  

Castlelake Aircraft Structured Trust, 2021-1A A

      3.474 %      1/15/46        554,217        511,892 (d)  

 

See Notes to Schedule of Investments.

 

 

 

20

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

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

 

        

College Ave Student Loans LLC, 2021-C D

      4.110 %      7/26/55      $ 1,500,000      $ 1,285,998 (d) 

Conseco Finance Corp., 1997-4 M1

      7.220 %      2/15/29        455,757        454,168 (a)  

Countrywide Asset-Backed Certificates Trust, 2002-S3 M1

      4.800 %      5/25/32        1,863        1,327 (a)  

Countrywide Asset-Backed Certificates Trust, 2006-SD3 A1 (1 mo. Term SOFR + 0.774%)

      6.094 %      7/25/36        67,247        65,826 (a)(d)  

Credit Suisse European Mortgage Capital Ltd., 2019-1OTF A (3 mo. USD LIBOR + 2.900%)

      8.531 %      8/9/24        4,625,000        4,501,909 (a)(d) 

Credit Suisse European Mortgage Capital Ltd., 2020-1OTF A (3 mo. USD LIBOR + 2.900%)

      7.390 %      8/9/24        2,788,945        2,708,484 (d) 

GoodLeap Sustainable Home Solutions Trust, 2021-5CS C

      3.500 %      10/20/48        1,372,662        947,763 (d)  

Hertz Vehicle Financing LLC, 2023-4A C

      7.510 %      3/25/30        1,750,000        1,756,137 (d) 

J.G. Wentworth LLC, 2018-1A B

      4.700 %      10/15/74        1,836,192        1,515,558 (d) 

Lunar Structured Aircraft Portfolio Notes, 2021-1 B

      3.432 %      10/15/46        833,534        685,365 (d)  

Navient Private Education Refi Loan Trust, 2020-BA B

      2.770 %      1/15/69        5,000,000        3,815,436 (d) 

RAAC Trust, 2006-RP3 A (1 mo. USD LIBOR + 0.270%)

      5.704 %      5/25/36        2,450        2,443 (a)(d)  

Renew, 2023-1A A

      5.900 %      11/20/58        1,710,239        1,598,042 (d) 

SBA Small Business Investment Cos., 2023-10B 1

      5.688 %      9/10/33        2,060,000        2,066,565  

SMB Private Education Loan Trust, 2014-A R

      0.000 %      9/15/45        22,179        1,611,266 (d) 

SMB Private Education Loan Trust, 2015-C R

      0.000 %      9/18/46        2,751        837,068 (d)  

SMB Private Education Loan Trust, 2020-A B

      3.000 %      8/15/45        2,000,000        1,683,002 (d) 

SMB Private Education Loan Trust, 2021-A C

      2.990 %      1/15/53        4,683,733        3,926,263 (d) 

SoFi Professional Loan Program LLC, 2017-F R1

      0.000 %      1/25/41        25,000        318,459 (d)  

SoFi Professional Loan Program Trust, 2020-A BFX

      3.120 %      5/15/46        3,200,000        2,469,931 (d) 

Stonepeak, 2021-1A B

      3.821 %      2/28/33        1,786,741        1,515,327 (d) 

Structured Asset Securities Corp. Mortgage Loan Trust, 2006-ARS1 A1 (1 mo. Term SOFR + 0.334%)

      5.649 %      2/25/36        1,356,251        28,869 (a)(d) 

Thrust Engine Leasing, 2021-1A A

      4.163 %      7/15/40        897,952        774,897 (d)  
          

 

 

  

TOTAL ASSET-BACKED SECURITIES
(Cost - $60,885,721)

 

           43,067,995  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

21

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
CONVERTIBLE BONDS & NOTES - 0.4%           
FINANCIALS - 0.4%           

Mortgage Real Estate Investment Trusts (REITs) - 0.4%

           

Two Harbors Investment Corp., Senior Notes
(Cost - $1,462,895)

      6.250 %      1/15/26      $ 1,600,000      $ 1,480,000  
          

 

 

  

TOTAL INVESTMENTS - 121.8%
(Cost - $638,892,764)

 

           550,520,423  

Liabilities in Excess of Other Assets - (21.8)%

              (98,444,546 ) 
          

 

 

  

TOTAL NET ASSETS - 100.0%

            $ 452,075,877  
          

 

 

  

 

(a)

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.

(b)

This security is traded on a to-be-announced (“TBA”) basis. At September 30, 2023, the Fund held TBA securities with a total cost of $102,964,401.

 

(c)

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.

 

(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 Trustees.

 

(e)

Value is less than $1.

 

(f)

Security is valued in good faith in accordance with procedures approved by the Board of Trustees (Note 1). (g) Security is valued using significant unobservable inputs (Note 1).

Abbreviation(s) used in this schedule:

 

ACES    — Alternative Credit Enhancement Securities
CAS    — Connecticut Avenue Securities
IBOR    — Interbank Offered Rate
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
STRIPS    — Separate Trading of Registered Interest and Principal Securities
USD    — United States Dollar

 

See Notes to Schedule of Investments.

 

 

 

22

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

 

At September 30, 2023, 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 2-Year Notes

      212        12/23      $ 42,956,867      $ 42,974,719      $ 17,852  

U.S. Treasury 5-Year Notes

      965        12/23        102,328,161        101,671,802        (656,359 ) 

U.S. Treasury Long-Term Bonds

      385        12/23        46,030,306        43,805,781        (2,224,525 ) 
              

 

 

  
                 (2,863,032 ) 
              

 

 

  
Contracts to Sell:               

3-Month SOFR

      95        12/24        22,673,926        22,583,875        90,051  

3-Month SOFR

      100        3/25        23,996,040        23,852,500        143,540  

U.S. Treasury 10-Year Notes

      343        12/23        37,471,611        37,065,438        406,173  

U.S. Treasury Ultra 10-Year Notes

      119        12/23        13,613,839        13,275,938        337,901  
              

 

 

  
                 977,665  
              

 

 

  
Net unrealized depreciation on open futures contracts

 

          $ (1,885,367 ) 
              

 

 

  

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 Total Return Fund 2023 Quarterly Report    

  

 

 

23

Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

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

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

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

Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Trustees. When determining the reliability of third

 

 

 

24

    

Notes to Schedule of Investments (unaudited) (continued)

 

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 Trustees, 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 Trustees 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.

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

 

  •  

Level 1 – unadjusted quoted prices in active markets for identical investments

 

  •  

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

 

  •  

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

 

   

 

 

25

Notes to Schedule of Investments (unaudited) (continued)

 

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†:

            

Mortgage-Backed Securities

      —        $ 277,623,344        —        $ 277,623,344  

Collateralized Mortgage Obligations

      —          227,131,395      $ 1,217,689        228,349,084  

Asset-Backed Securities

      —          43,067,995        —          43,067,995  

Convertible Bonds & Notes

      —          1,480,000        —          1,480,000  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

      —        $ 549,302,734      $ 1,217,689      $ 550,520,423  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:

            

Futures Contracts††

    $ 995,517        —          —        $ 995,517  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 995,517      $ 549,302,734      $ 1,217,689      $ 551,515,940  
  

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES

  

DESCRIPTION

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

Other Financial Instruments:

            

Futures Contracts††

    $ 2,880,884        —          —        $ 2,880,884  

 

†

See Schedule of Investments for additional detailed categorizations.

 

††

Reflects the unrealized appreciation (depreciation) of the instruments.

2. Transactions with affiliated company

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for

 

 

 

26

    

Notes to Schedule of Investments (unaudited) (continued)

 

all or some portion of the period ended September 30, 2023. The following transactions were effected in such company for the period ended September 30, 2023.

 

     Affiliate
Value at
December 31,
2022		      Purchased      Sold  
     Cost      Shares      Proceeds      Shares  

Western Asset Premier Institutional Government Reserves, Premium Shares

      —      $ 65,513,729        65,513,729      $ 65,513,729        65,513,729  

(cont’d)

    Realized
Gain (Loss)		      Dividend
Income		      Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		      Affiliate
Value at
September 30,
2023		  

Western Asset Premier Institutional Government Reserves, Premium Shares

      —      $ 28,679        —        —  

 

   

 

 

27