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| Share Name | Share Symbol | Market | Type |
|---|---|---|---|
| Western Asset Mortgage Opportunity Fund Inc | NYSE:DMO | NYSE | Common Stock |
| Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|
| 0.01 | 0.08% | 11.97 | 11.9999 | 11.92 | 11.98 | 43,393 | 22:00:00 |
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Residential Mortgage-Backed Securities(a) — 112.1%
|
|||||
|
Adjustable Rate Mortgage Trust, 2005-5 1A1
|
3.859%
|
9/25/35
|
$72,137
|
$62,390
(b)
|
|
|
Adjustable Rate Mortgage Trust, 2005-7 2A21
|
4.861%
|
10/25/35
|
109,352
|
95,489
(b)
|
|
|
Adjustable Rate Mortgage Trust, 2005-12 5A1 (1 mo. Term SOFR + 0.614%)
|
5.469%
|
3/25/36
|
184,119
|
52,562
(b)
|
|
|
Aegis Asset Backed Securities Trust, 2005-3 M3 (1 mo. Term SOFR + 0.849%)
|
5.704%
|
8/25/35
|
3,460,000
|
2,893,835
(b)(c)
|
|
|
Alternative Loan Trust, 2005-11CB 3A3, IO (-1.000 x 1 mo. Term SOFR +
4.886%, 0.000% floor)
|
0.031%
|
6/25/35
|
837,975
|
52,872
(b)
|
|
|
Alternative Loan Trust, 2005-14 3A1
|
3.605%
|
5/25/35
|
90,899
|
70,733
(b)
|
|
|
Alternative Loan Trust, 2005-36 4A1
|
4.458%
|
8/25/35
|
110,799
|
99,803
(b)
|
|
|
Alternative Loan Trust, 2005-J10 1A1 (1 mo. Term SOFR + 0.614%, 5.469%
cap)
|
5.469%
|
10/25/35
|
395,597
|
234,565
(b)
|
|
|
Alternative Loan Trust, 2006-HY10 1A1
|
3.923%
|
5/25/36
|
110,243
|
93,098
(b)
|
|
|
Alternative Loan Trust, 2006-J8 A5
|
6.000%
|
2/25/37
|
71,694
|
30,896
|
|
|
Alternative Loan Trust, 2007-3T1 2A1
|
6.000%
|
3/25/27
|
16,555
|
16,459
|
|
|
Alternative Loan Trust, 2007-23CB A8 (-4.000 x 1 mo. Term SOFR + 27.942%)
|
8.523%
|
9/25/37
|
369,410
|
348,645
(b)(c)
|
|
|
Alternative Loan Trust, 2007-OA8 1A1 (1 mo. Term SOFR + 0.474%)
|
5.329%
|
6/25/47
|
613,524
|
521,235
(b)(c)
|
|
|
American Home Mortgage Assets Trust, 2005-2 2A1A
|
3.507%
|
1/25/36
|
543,600
|
355,077
(b)
|
|
|
American Home Mortgage Investment Trust, 2007-2 2A (1 mo. Term SOFR +
0.914%)
|
5.769%
|
3/25/47
|
12,735,445
|
87,738
(b)(c)
|
|
|
American Home Mortgage Investment Trust, 2007-A 4A (1 mo. Term SOFR +
1.014%)
|
5.869%
|
7/25/46
|
1,733,247
|
405,046
(b)(c)(d)
|
|
|
Banc of America Funding Corp., 2015-R3 2A2
|
3.571%
|
2/27/37
|
2,400,893
|
2,175,036
(b)(c)(d)
|
|
|
Banc of America Funding Trust, 2004-C 3A1
|
4.742%
|
12/20/34
|
128,780
|
116,951
(b)
|
|
|
Banc of America Funding Trust, 2006-D 2A1
|
3.499%
|
5/20/36
|
28,109
|
25,395
(b)
|
|
|
Banc of America Funding Trust, 2006-F 1A1
|
6.509%
|
7/20/36
|
42,335
|
42,812
(b)
|
|
|
Banc of America Funding Trust, 2014-R5 1A2 (6 mo. Term SOFR + 1.928%)
|
4.298%
|
9/26/45
|
3,107,789
|
2,256,243
(b)(c)(d)
|
|
|
Banc of America Funding Trust, 2015-R2 9A2
|
4.205%
|
3/27/36
|
2,762,690
|
2,305,236
(b)(c)(d)
|
|
|
Bayview Financial Asset Trust, 2007-SR1A M2 (1 mo. Term SOFR + 1.014%)
|
5.869%
|
3/25/37
|
1,466,627
|
1,458,738
(b)(c)(d)
|
|
|
Bayview Financial Asset Trust, 2007-SR1A M3 (1 mo. Term SOFR + 1.264%)
|
6.119%
|
3/25/37
|
664,476
|
666,538
(b)(d)
|
|
|
Bayview Financing INV Trust, 2021-6F A1
|
2.750%
|
12/30/27
|
1,495,475
|
1,423,892
(d)
|
|
|
Bear Stearns ALT-A Trust, 2005-9 25A1
|
4.740%
|
11/25/35
|
129,781
|
87,134
(b)
|
|
|
Bear Stearns Asset Backed Securities Trust, 2005-CL1 A1 (1 mo. Term SOFR +
0.614%)
|
3.465%
|
9/25/34
|
15,005
|
14,755
(b)
|
|
|
CAFL Issuer LLC, 2023-RTL1 A2
|
9.300%
|
12/28/30
|
1,770,000
|
1,814,821
(c)(d)
|
|
|
Chase Mortgage Finance Trust, 2006-S3 2A1
|
—
|
11/25/21
|
122,368
|
43,069
*(e)
|
|
|
Chase Mortgage Finance Trust, 2007-A1 11M1
|
4.684%
|
3/25/37
|
589,868
|
564,936
(b)
|
|
|
ChaseFlex Trust, 2005-2 3A3, IO (-1.000 x 1 mo. Term SOFR + 5.386%)
|
0.531%
|
6/25/35
|
5,513,995
|
674,862
(b)(c)
|
|
|
Chevy Chase Funding LLC Mortgage-Backed Certificates, 2006-2A A1 (1 mo.
Term SOFR + 0.244%)
|
5.099%
|
4/25/47
|
44,889
|
41,690
(b)(d)
|
|
|
CHL Mortgage Pass-Through Trust, 2005-2 2A1 (1 mo. Term SOFR + 0.754%)
|
5.609%
|
3/25/35
|
36,426
|
34,865
(b)
|
|
|
CHL Mortgage Pass-Through Trust, 2005-18 A7 (-2.750 x 1 mo. Term SOFR +
19.210%)
|
5.860%
|
10/25/35
|
8,755
|
6,382
(b)
|
|
|
CHL Mortgage Pass-Through Trust, 2005-HY10 1A1
|
5.456%
|
2/20/36
|
12,544
|
10,625
(b)
|
|
|
CHL Mortgage Pass-Through Trust, 2005-HYB9 1A1 (12 mo. Term SOFR +
2.465%)
|
7.210%
|
2/20/36
|
68,114
|
59,082
(b)
|
|
|
CIM Trust, 2021-INV1 AXS, IO
|
0.190%
|
7/1/51
|
46,444,320
|
463,663
(b)(d)
|
|
|
Citicorp Mortgage Securities Trust, 2007-8 B1
|
5.983%
|
9/25/37
|
2,511,680
|
1,727,384
(b)(c)
|
|
|
Citigroup Mortgage Loan Trust, 2006-AR5 2A1A
|
3.920%
|
7/25/36
|
164,895
|
94,416
(b)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Residential Mortgage-Backed Securities(a) — continued
|
|||||
|
Citigroup Mortgage Loan Trust, 2008-3 A3
|
6.100%
|
4/25/37
|
$5,347,330
|
$2,553,255
(c)(d)
|
|
|
Citigroup Mortgage Loan Trust, 2021-J2 A4I2, IO
|
0.180%
|
7/25/51
|
33,563,548
|
337,314
(b)(d)
|
|
|
Citigroup Mortgage Loan Trust, 2021-J2 AIOS, IO
|
0.080%
|
7/25/51
|
68,621,117
|
323,205
(b)(d)
|
|
|
Citigroup Mortgage Loan Trust Inc., 2004-UST1 A2
|
6.733%
|
8/25/34
|
5,380
|
5,063
(b)
|
|
|
Citigroup Mortgage Loan Trust Inc., 2005-5 1A5
|
3.165%
|
8/25/35
|
69,379
|
55,592
(b)
|
|
|
Countrywide Asset-Backed Certificates Trust, 2007-SEA1 1A1 (1 mo. Term
SOFR + 1.214%)
|
6.069%
|
5/25/47
|
235,692
|
190,350
(b)(d)
|
|
|
Credit-Based Asset Servicing & Securitization LLC, 2006-SL1 A3 (1 mo. Term
SOFR + 0.554%)
|
5.409%
|
9/25/36
|
3,406,065
|
133,030
(b)(d)
|
|
|
CSFB Mortgage-Backed Pass-Through Certificates, 2005-10 3A3
|
5.500%
|
11/25/35
|
184,184
|
104,237
|
|
|
CSMC Resecuritization Trust, 2006-1R 1A2 (-2.750 x 1 mo. Term SOFR +
19.210%)
|
5.858%
|
7/27/36
|
155,917
|
154,392
(b)(d)
|
|
|
CSMC Trust, 2014-11R 9A2 (1 mo. Term SOFR + 0.254%)
|
5.672%
|
10/27/36
|
2,675,203
|
2,077,311
(b)(c)(d)
|
|
|
CSMC Trust, 2015-2R 7A2
|
4.701%
|
8/27/36
|
3,060,594
|
2,583,193
(b)(c)(d)
|
|
|
CSMC Trust, 2017-RPL1 B1
|
2.976%
|
7/25/57
|
3,052,442
|
2,185,702
(b)(c)(d)
|
|
|
CSMC Trust, 2017-RPL1 B2
|
2.976%
|
7/25/57
|
3,501,991
|
2,204,585
(b)(c)(d)
|
|
|
CSMC Trust, 2017-RPL1 B3
|
2.976%
|
7/25/57
|
2,977,486
|
1,388,380
(b)(c)(d)
|
|
|
CSMC Trust, 2017-RPL1 B4
|
2.976%
|
7/25/57
|
2,916,255
|
633,201
(b)(c)(d)
|
|
|
CSMC Trust, 2021-INV2 A3X, IO
|
0.500%
|
11/25/56
|
27,900,921
|
796,608
(b)(d)
|
|
|
CSMC Trust, 2021-NQM6 B2
|
4.140%
|
7/25/66
|
1,370,000
|
1,051,051
(b)(c)(d)
|
|
|
CWABS Revolving Home Equity Loan Trust, 2004-L 2A (1 mo. Term SOFR +
0.394%)
|
5.491%
|
2/15/34
|
12,770
|
12,317
(b)
|
|
|
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 2PO, PO
|
0.000%
|
4/15/36
|
10,558
|
4,937
(d)
|
|
|
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS1, IO
|
3.365%
|
4/15/36
|
48,498
|
4,291
(b)(d)
|
|
|
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS2, IO
|
4.547%
|
4/15/36
|
46,337
|
6,483
(b)(d)
|
|
|
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS1, IO
|
1.688%
|
4/15/36
|
41,140
|
6,422
(b)(d)
|
|
|
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS3, IO
|
2.655%
|
4/15/36
|
146,896
|
19,992
(b)(d)
|
|
|
DK Note Backed Trust, 2024-SPT1 A
|
7.086%
|
4/28/66
|
863,533
|
921,980
(c)(d)
|
|
|
Eagle RE Ltd., 2023-1 M2 (30 Day Average SOFR + 5.200%)
|
10.480%
|
9/26/33
|
1,290,000
|
1,363,904
(b)(c)(d)
|
|
|
FARM Mortgage Trust, 2021-1 B
|
3.244%
|
7/25/51
|
1,575,568
|
1,211,228
(b)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency
Credit Risk Debt Notes, 2019-HQA4 B2 (30 Day Average SOFR + 6.714%)
|
11.995%
|
11/25/49
|
1,420,000
|
1,566,879
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency
Credit Risk Debt Notes, 2021-DNA5 B2 (30 Day Average SOFR + 5.500%)
|
10.780%
|
1/25/34
|
1,200,000
|
1,352,662
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency
Credit Risk Debt Notes, 2021-DNA6 B2 (30 Day Average SOFR + 7.500%)
|
12.780%
|
10/25/41
|
1,640,000
|
1,768,723
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency
Credit Risk Debt Notes, 2021-HQA4 B2 (30 Day Average SOFR + 7.000%)
|
12.280%
|
12/25/41
|
1,650,000
|
1,772,366
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2016-1 B, PO
|
0.000%
|
9/25/55
|
12,008,001
|
1,676,401
(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2016-1 BIO, IO
|
1.395%
|
9/25/55
|
20,301,340
|
2,412,467
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2016-1 XSIO, IO
|
0.075%
|
9/25/55
|
129,533,986
|
515,934
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2018-2 BX
|
4.155%
|
11/25/57
|
3,400,993
|
1,319,637
(b)(c)(d)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Residential Mortgage-Backed Securities(a) — continued
|
|||||
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2018-3 BX
|
0.816%
|
8/25/57
|
$3,299,060
|
$1,203,207
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2019-2 M
|
4.750%
|
8/25/58
|
681,000
|
659,149
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2020-1 BXS
|
5.409%
|
8/25/59
|
4,008,775
|
1,843,327
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2021-1 M
|
4.250%
|
9/25/60
|
1,500,000
|
1,445,574
(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2021-3 BXS
|
11.323%
|
3/25/61
|
1,666,100
|
982,799
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2022-2 M
|
5.000%
|
4/25/62
|
1,337,000
|
1,187,927
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2024-1 M
|
5.000%
|
11/25/63
|
1,540,000
|
1,337,367
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2016-DNA2 B (30 Day Average SOFR + 10.614%)
|
15.895%
|
10/25/28
|
490,808
|
545,493
(b)(c)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2016-DNA3 B (30 Day Average SOFR + 11.364%)
|
16.645%
|
12/25/28
|
1,018,613
|
1,149,557
(b)(c)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2016-DNA4 B (30 Day Average SOFR + 8.714%)
|
13.995%
|
3/25/29
|
1,558,783
|
1,736,417
(b)(c)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2017-DNA2 B2 (30 Day Average SOFR + 11.364%)
|
16.645%
|
10/25/29
|
1,751,326
|
2,047,441
(b)(c)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2018-DNA3 B2 (30 Day Average SOFR + 7.864%)
|
13.145%
|
9/25/48
|
2,000,000
|
2,336,628
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2018-HRP1 B2 (30 Day Average SOFR + 11.864%)
|
17.145%
|
5/25/43
|
5,387,617
|
6,570,195
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2018-HRP2 B2 (30 Day Average SOFR + 10.614%)
|
15.895%
|
2/25/47
|
3,530,000
|
4,303,131
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2019-FTR1 B2 (30 Day Average SOFR + 8.464%)
|
13.745%
|
1/25/48
|
715,000
|
852,560
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2019-FTR2 B2 (30 Day Average SOFR + 7.514%)
|
12.795%
|
11/25/48
|
1,270,000
|
1,460,097
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Securitized Participation Interests Trust, 2017-SPI1 B
|
4.110%
|
9/25/47
|
745,445
|
569,455
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Securitized Participation Interests Trust, 2018-SPI2 B
|
3.847%
|
5/25/48
|
1,791,814
|
1,282,650
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Securitized Participation Interests Trust, 2018-SPI4 B
|
4.512%
|
11/25/48
|
3,694,270
|
2,648,623
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2018-HQA2 B2 (30 Day Average SOFR + 11.114%)
|
16.395%
|
10/25/48
|
1,870,000
|
2,386,230
(b)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2019-FTR3 B2 (30 Day Average SOFR + 4.914%)
|
10.263%
|
9/25/47
|
1,200,000
|
1,273,140
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2019-FTR4 B2 (30 Day Average SOFR + 5.114%)
|
10.395%
|
11/25/47
|
1,250,000
|
1,333,930
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2019-HQA3 B2 (30 Day Average SOFR + 7.614%)
|
12.895%
|
9/25/49
|
700,000
|
791,719
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Whole Loan Securities Trust,
2015-SC01 B
|
3.855%
|
5/25/45
|
2,608,656
|
1,878,752
(b)(d)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Residential Mortgage-Backed Securities(a) — continued
|
|||||
|
Federal National Mortgage Association (FNMA), 2012-134 LS, IO (-1.000 x 30
Day Average SOFR + 6.036%)
|
0.755%
|
12/25/42
|
$987,497
|
$127,148
(b)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2016-C01 1B (30
Day Average SOFR + 11.864%)
|
17.145%
|
8/25/28
|
1,853,624
|
2,087,472
(b)(c)(d)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2016-C03 1B (30
Day Average SOFR + 11.864%)
|
17.145%
|
10/25/28
|
1,925,047
|
2,215,791
(b)(c)(d)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2016-C04 1B (30
Day Average SOFR + 10.364%)
|
15.645%
|
1/25/29
|
2,602,031
|
2,968,789
(b)(c)(d)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2016-C06 1B (30
Day Average SOFR + 9.364%)
|
14.645%
|
4/25/29
|
3,495,681
|
3,964,201
(b)(c)(d)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2020-R01 1B1 (30
Day Average SOFR + 3.364%)
|
8.645%
|
1/25/40
|
1,500,000
|
1,557,959
(b)(c)(d)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2021-R01 1B2 (30
Day Average SOFR + 6.000%)
|
11.280%
|
10/25/41
|
1,320,000
|
1,391,939
(b)(c)(d)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2021-R02 2B2 (30
Day Average SOFR + 6.200%)
|
11.480%
|
11/25/41
|
1,500,000
|
1,580,466
(b)(c)(d)
|
|
|
First Horizon Alternative Mortgage Securities Trust, 2005-AA6 3A1
|
4.910%
|
8/25/35
|
191,855
|
169,187
(b)
|
|
|
First Horizon Alternative Mortgage Securities Trust, 2006-FA6 2A1, PAC
|
6.250%
|
11/25/36
|
64,094
|
18,096
|
|
|
GCAT Trust, 2019-RPL1 B2
|
3.750%
|
10/25/68
|
2,008,000
|
1,659,078
(b)(c)(d)
|
|
|
GS Mortgage-Backed Securities Trust, 2021-GR2 AIOS, IO
|
0.190%
|
2/25/52
|
68,741,735
|
743,394
(b)(c)(d)
|
|
|
GS Mortgage-Backed Securities Trust, 2021-PJ2 AIOS, IO
|
0.220%
|
7/25/51
|
62,719,860
|
801,321
(b)(c)(d)
|
|
|
GS Mortgage-Backed Securities Trust, 2022-NQM1 B4
|
4.080%
|
5/25/62
|
1,553,015
|
1,297,128
(b)(c)(d)
|
|
|
GSMPS Mortgage Loan Trust, 2005-RP1 1A4
|
8.500%
|
1/25/35
|
31,402
|
32,280
(d)
|
|
|
GSMPS Mortgage Loan Trust, 2006-RP1 1A2
|
7.500%
|
1/25/36
|
220,195
|
195,978
(d)
|
|
|
Home Partners of America Trust, 2021-2 F
|
3.799%
|
12/17/26
|
1,431,726
|
1,341,999
(c)(d)
|
|
|
Home RE Ltd., 2023-1 M2 (30 Day Average SOFR + 6.000%)
|
11.280%
|
10/25/33
|
1,000,000
|
1,081,777
(b)(c)(d)
|
|
|
HSI Asset Loan Obligation Trust, 2007-AR1 4A1
|
5.118%
|
1/25/37
|
54,520
|
41,977
(b)
|
|
|
Impac CMB Trust, 2004-8 1A (1 mo. Term SOFR + 0.834%)
|
5.689%
|
10/25/34
|
48,142
|
46,756
(b)
|
|
|
IndyMac INDA Mortgage Loan Trust, 2005-AR2 1A1
|
3.690%
|
1/25/36
|
57,703
|
44,834
(b)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2004-AR13 1A1
|
3.561%
|
1/25/35
|
21,448
|
20,000
(b)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2005-AR15 A2
|
4.285%
|
9/25/35
|
32,219
|
26,527
(b)(c)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2005-AR18 1A1 (1 mo. Term SOFR +
0.734%)
|
5.589%
|
10/25/36
|
1,525,145
|
632,042
(b)(c)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2006-AR7 5A1
|
3.906%
|
5/25/36
|
95,038
|
87,342
(b)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2006-AR9 3A3
|
3.534%
|
6/25/36
|
203,333
|
177,295
(b)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2006-AR11 1A1
|
4.551%
|
6/25/36
|
203,283
|
159,034
(b)
|
|
|
JPMorgan Alternative Loan Trust, 2007-A1 3A1
|
4.136%
|
3/25/37
|
170,831
|
136,931
(b)
|
|
|
JPMorgan Mortgage Trust, 2007-S2 3A2
|
6.000%
|
6/25/37
|
22,732
|
22,295
|
|
|
JPMorgan Mortgage Trust, 2007-S2 3A3
|
6.500%
|
6/25/37
|
6,220
|
6,210
|
|
|
JPMorgan Mortgage Trust, 2024-3 AX1, IO
|
0.339%
|
5/25/54
|
21,986,357
|
415,383
(b)(d)
|
|
|
Legacy Mortgage Asset Trust, 2021-GS3 A2
|
6.250%
|
7/25/61
|
1,673,567
|
1,648,885
(c)(d)
|
|
|
Lehman Mortgage Trust, 2006-3 1A7, IO (-1.000 x 1 mo. Term SOFR +
5.286%, 0.000% floor)
|
0.431%
|
7/25/36
|
3,954,383
|
412,346
(b)(c)
|
|
|
Lehman Mortgage Trust, 2007-5 2A3 (1 mo. Term SOFR + 0.444%)
|
5.299%
|
6/25/37
|
2,575,854
|
424,060
(b)
|
|
|
Lehman XS Trust, 2006-19 A4 (1 mo. Term SOFR + 0.454%)
|
5.309%
|
12/25/36
|
308,031
|
293,804
(b)(c)
|
|
|
LHOME Mortgage Trust, 2024-RTL1 A2
|
9.165%
|
1/25/29
|
1,100,000
|
1,129,539
(c)(d)
|
|
|
MASTR Adjustable Rate Mortgages Trust, 2004-12 5A1
|
6.826%
|
10/25/34
|
2,553
|
2,482
(b)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Residential Mortgage-Backed Securities(a) — continued
|
|||||
|
MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. Term SOFR +
0.324%)
|
5.179%
|
4/25/46
|
$89,129
|
$79,056
(b)
|
|
|
MASTR Reperforming Loan Trust, 2005-1 1A4
|
7.500%
|
8/25/34
|
39,307
|
29,698
(d)
|
|
|
Merrill Lynch Mortgage Investors Trust, 2006-A1 2A1
|
4.243%
|
3/25/36
|
302,621
|
148,910
(b)
|
|
|
Morgan Stanley Mortgage Loan Trust, 2006-8AR 1A2 (1 mo. Term SOFR +
0.254%)
|
5.109%
|
6/25/36
|
188,616
|
37,529
(b)
|
|
|
Morgan Stanley Mortgage Loan Trust, 2007-5AX 2A3 (1 mo. Term SOFR +
0.574%)
|
5.429%
|
2/25/37
|
1,316,514
|
276,326
(b)
|
|
|
Morgan Stanley Mortgage Loan Trust, 2007-15AR 4A1
|
3.680%
|
11/25/37
|
233,331
|
198,798
(b)
|
|
|
Morgan Stanley Re-REMIC Trust, 2015-R2 1B (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 0.710%)
|
4.405%
|
12/27/46
|
681,935
|
596,153
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust, 2019-4A B6
|
4.566%
|
12/25/58
|
2,102,851
|
1,446,321
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust, 2019-6A A1IB, IO
|
0.500%
|
9/25/59
|
17,646,858
|
254,803
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust, 2019-NQM4 B2
|
5.166%
|
9/25/59
|
1,608,000
|
1,413,261
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust, 2024-RTL1 M1
|
9.285%
|
3/25/39
|
380,000
|
384,255
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust, 2024-RTL1 M2
|
9.285%
|
3/25/39
|
870,000
|
867,856
(b)(c)(d)
|
|
|
NYMT Loan Trust, 2024-BPL1 A2
|
8.617%
|
2/25/29
|
1,620,000
|
1,645,910
(c)(d)
|
|
|
Popular ABS Mortgage Pass-Through Trust, 2005-5 MV2 (1 mo. Term SOFR +
1.059%)
|
3.533%
|
11/25/35
|
1,794,413
|
1,616,205
(b)(c)
|
|
|
PRKCM Trust, 2023-AFC1 M1
|
7.520%
|
2/25/58
|
1,480,000
|
1,455,430
(b)(c)(d)
|
|
|
PRKCM Trust, 2023-AFC3 B1
|
7.750%
|
9/25/58
|
1,220,000
|
1,236,513
(b)(c)(d)
|
|
|
PRKCM Trust, 2024-AFC1 B2
|
8.471%
|
3/25/59
|
1,450,000
|
1,456,397
(b)(c)(d)
|
|
|
Progress Residential, 2021-SFR4 F
|
3.407%
|
5/17/38
|
835,000
|
787,080
(c)(d)
|
|
|
Provident Home Equity Loan Trust, 2000-2 A1 (1 mo. Term SOFR + 0.654%)
|
5.509%
|
8/25/31
|
470,273
|
441,738
(b)
|
|
|
RAAC Trust, 2007-SP1 M3 (1 mo. Term SOFR + 1.614%)
|
6.469%
|
3/25/37
|
1,426,481
|
1,185,771
(b)(c)
|
|
|
RALI Trust, 2005-QA3 CB4
|
3.836%
|
3/25/35
|
789,956
|
388,585
(b)
|
|
|
RALI Trust, 2006-QA1 A11
|
5.456%
|
1/25/36
|
229,694
|
175,130
(b)
|
|
|
RALI Trust, 2006-QA4 A (1 mo. Term SOFR + 0.474%)
|
5.329%
|
5/25/36
|
114,488
|
104,768
(b)(c)
|
|
|
RALI Trust, 2006-QO2 A1 (1 mo. Term SOFR + 0.554%)
|
5.409%
|
2/25/46
|
165,246
|
29,689
(b)(c)
|
|
|
RAMP Trust, 2004-RS4 MII2 (1 mo. Term SOFR + 1.464%)
|
5.055%
|
4/25/34
|
883,069
|
806,964
(b)(c)
|
|
|
Renaissance Home Equity Loan Trust, 2006-1 AF5
|
6.166%
|
5/25/36
|
516,941
|
252,568
(c)
|
|
|
Renaissance Home Equity Loan Trust, 2007-2 AF2
|
5.675%
|
6/25/37
|
445,054
|
111,898
(c)
|
|
|
Renaissance Home Equity Loan Trust, 2007-3 AF3
|
7.238%
|
9/25/37
|
1,462,236
|
612,726
(c)
|
|
|
Residential Asset Securitization Trust, 2007-A2 1A1
|
6.000%
|
4/25/37
|
176,519
|
93,770
(c)
|
|
|
RFMSI Trust, 2006-S8 A12, IO (-1.000 x 1 mo. Term SOFR + 5.286%, 0.000%
floor)
|
0.431%
|
9/25/36
|
1,731,160
|
136,362
(b)
|
|
|
Saluda Grade Alternative Mortgage Trust, 2024-RTL4 A2
|
7.500%
|
2/25/30
|
1,770,000
|
1,716,102
(c)(d)
|
|
|
Starwood Mortgage Residential Trust, 2020-3 B2
|
4.750%
|
4/25/65
|
1,490,000
|
1,227,180
(b)(c)(d)
|
|
|
Starwood Mortgage Residential Trust, 2021-4 B31
|
4.678%
|
8/25/56
|
2,700,000
|
1,648,285
(b)(d)
|
|
|
Structured Adjustable Rate Mortgage Loan Trust, 2004-18 1A2
|
5.231%
|
12/25/34
|
124,328
|
110,093
(b)
|
|
|
Structured Adjustable Rate Mortgage Loan Trust, 2005-4 1A1
|
4.663%
|
3/25/35
|
87,773
|
73,530
(b)
|
|
|
Structured Adjustable Rate Mortgage Loan Trust, 2005-7 1A3
|
4.992%
|
4/25/35
|
32,036
|
29,369
(b)
|
|
|
Structured Asset Investment Loan Trust, 2004-8 M9 (1 mo. Term SOFR +
3.864%)
|
8.719%
|
9/25/34
|
297,405
|
229,577
(b)(c)
|
|
|
Toorak Mortgage Trust, 2024-RRTL1 B1
|
10.513%
|
2/25/39
|
800,000
|
793,105
(b)(c)(d)
|
|
|
Toorak Mortgage Trust, 2024-RRTL1 B2
|
10.513%
|
2/25/39
|
640,000
|
644,895
(b)(c)(d)
|
|
|
UWM Mortgage Trust, 2021-1 AX4, IO
|
0.250%
|
6/25/51
|
23,292,176
|
308,267
(b)(d)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Residential Mortgage-Backed Securities(a) — continued
|
|||||
|
Verus Securitization Trust, 2022-INV2 M1
|
6.803%
|
10/25/67
|
$1,430,000
|
$1,440,883
(b)(c)(d)
|
|
|
Verus Securitization Trust, 2023-3 B1
|
7.856%
|
3/25/68
|
1,200,000
|
1,219,901
(b)(c)(d)
|
|
|
Verus Securitization Trust, 2023-4 B1
|
8.136%
|
5/25/68
|
1,170,000
|
1,186,558
(b)(c)(d)
|
|
|
Verus Securitization Trust, 2023-5 B1
|
8.099%
|
6/25/68
|
1,200,000
|
1,210,484
(b)(c)(d)
|
|
|
Wachovia Mortgage Loan Trust LLC, 2005-B 2A2
|
6.771%
|
10/20/35
|
4,898
|
4,806
(b)
|
|
|
WaMu Mortgage Pass-Through Certificates Trust, 2005-8 1A6 (-3.667 x 1 mo.
Term SOFR + 22.864%)
|
5.063%
|
10/25/35
|
92,981
|
87,838
(b)
|
|
|
WaMu Mortgage Pass-Through Certificates Trust, 2005-9 5A4 (-7.333 x 1 mo.
Term SOFR + 35.094%, 0.000% floor)
|
0.000%
|
11/25/35
|
36,663
|
34,417
(b)(c)
|
|
|
WaMu Mortgage Pass-Through Certificates Trust, 2005-10 2A3 (1 mo. Term
SOFR + 1.014%, 5.750% cap)
|
5.750%
|
11/25/35
|
61,962
|
52,969
(b)(c)
|
|
|
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR2 B1 (1 mo. Term
SOFR + 0.909%)
|
5.764%
|
1/25/45
|
1,266,261
|
1,113,786
(b)(c)
|
|
|
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR13 A1C3 (1 mo.
Term SOFR + 1.094%)
|
5.949%
|
10/25/45
|
65,338
|
63,085
(b)(c)
|
|
|
WaMu Mortgage Pass-Through Certificates Trust, 2006-AR10 A1 (1 mo. Term
SOFR + 0.314%)
|
5.169%
|
12/25/36
|
230,951
|
113,243
(b)(c)
|
|
|
WaMu Mortgage Pass-Through Certificates Trust, 2006-AR16 2A2
|
4.316%
|
12/25/36
|
93,233
|
82,058
(b)
|
|
|
Wells Fargo Alternative Loan Trust, 2007-PA1 A12, IO (-1.000 x 1 mo. Term
SOFR + 5.346%)
|
0.491%
|
3/25/37
|
977,865
|
78,084
(b)(c)
|
|
|
|
|||||
|
Total Residential Mortgage-Backed Securities (Cost — $148,714,500)
|
156,768,158
|
||||
|
Commercial Mortgage-Backed Securities(a) — 47.4%
|
|||||
|
280 Park Avenue Mortgage Trust, 2017-280P E (1 mo. Term SOFR + 2.419%)
|
7.537%
|
9/15/34
|
3,430,000
|
3,182,131
(b)(d)
|
|
|
280 Park Avenue Mortgage Trust, 2017-280P F (1 mo. Term SOFR + 3.127%)
|
8.245%
|
9/15/34
|
320,000
|
291,357
(b)(d)
|
|
|
BANK, 2021-BN35 H
|
1.766%
|
6/15/64
|
1,860,000
|
648,773
(b)(d)
|
|
|
BANK, 2021-BN35 K
|
1.766%
|
6/15/64
|
4,703,147
|
1,407,330
(b)(d)
|
|
|
BANK, 2022-BNK43 E
|
3.000%
|
8/15/55
|
1,500,000
|
993,858
(d)
|
|
|
BANK, 2022-BNK44 D
|
4.000%
|
11/15/32
|
3,198,000
|
2,558,876
(b)(d)
|
|
|
Benchmark Mortgage Trust, 2019-B12 WMA
|
4.388%
|
8/15/52
|
1,300,000
|
1,176,516
(b)(d)
|
|
|
Benchmark Mortgage Trust, 2023-V3 D
|
4.000%
|
7/15/56
|
1,100,000
|
949,377
(d)
|
|
|
BOCA Commercial Mortgage Trust, 2024-BOCA E (1 mo. Term SOFR +
4.437%)
|
9.534%
|
8/15/41
|
1,130,000
|
1,132,396
(b)(d)
|
|
|
BPR Trust, 2021-TY F (1 mo. Term SOFR + 4.314%)
|
9.411%
|
9/15/38
|
1,000,000
|
985,325
(b)(d)
|
|
|
BSREP Commercial Mortgage Trust, 2021-DC HRR (1 mo. Term SOFR +
5.614%)
|
10.711%
|
8/15/38
|
3,351,089
|
1,787,536
(b)(d)
|
|
|
BWAY Mortgage Trust, 2013-1515 F
|
4.058%
|
3/10/33
|
1,000,000
|
859,900
(b)(d)
|
|
|
BX Commercial Mortgage Trust, 2019-IMC F (1 mo. Term SOFR + 2.946%)
|
8.043%
|
4/15/34
|
2,000,000
|
1,937,787
(b)(d)
|
|
|
BX Commercial Mortgage Trust, 2021-XL2 J (1 mo. Term SOFR + 4.004%)
|
9.101%
|
10/15/38
|
1,750,000
|
1,725,651
(b)(d)
|
|
|
BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%)
|
9.202%
|
2/15/39
|
873,121
|
868,588
(b)(d)
|
|
|
BX Commercial Mortgage Trust, 2024-KING E (1 mo. Term SOFR + 3.688%)
|
8.784%
|
5/15/34
|
1,190,000
|
1,187,638
(b)(d)
|
|
|
BX Trust, 2024-VLT4 E (1 mo. Term SOFR + 2.889%)
|
7.986%
|
7/15/29
|
2,000,000
|
2,000,816
(b)(d)
|
|
|
Citigroup Commercial Mortgage Trust, 2015-P1 E
|
4.514%
|
9/15/48
|
800,000
|
615,512
(b)(d)
|
|
|
CSMC Trust, 2017-CHOP F (PRIME + 1.294%)
|
9.794%
|
7/15/32
|
1,620,000
|
1,583,050
(b)(d)
|
|
|
CSMC Trust, 2017-CHOP H (PRIME + 4.294%)
|
12.794%
|
7/15/32
|
1,509,000
|
1,372,576
(b)(d)
|
|
|
CSMC Trust, 2021-ADV G (1 mo. Term SOFR + 6.364%)
|
11.461%
|
7/15/38
|
2,080,000
|
408,901
(b)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Credit
Risk, 2021-MN1 B1 (30 Day Average SOFR + 7.750%)
|
13.030%
|
1/25/51
|
950,000
|
1,023,270
(b)(d)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Commercial Mortgage-Backed Securities(a) — continued
|
|||||
|
FREMF Mortgage Trust, 2021-F117 CS (30 Day Average SOFR + 6.400%)
|
11.747%
|
7/25/31
|
$852,421
|
$848,906
(b)(d)
|
|
|
FRESB Mortgage Trust, 2018-SB48 B
|
4.767%
|
2/25/38
|
1,122,925
|
582,273
(b)(d)
|
|
|
Government National Mortgage Association (GNMA), 2020-89 IA, IO
|
1.168%
|
4/16/62
|
5,883,186
|
472,419
(b)
|
|
|
Greystone CRE Notes, 2024-HC3 D (1 mo. Term SOFR + 5.333%)
|
10.429%
|
3/15/41
|
610,000
|
610,029
(b)(d)
|
|
|
GS Mortgage Securities Corp., 2024-70P HRR
|
10.333%
|
3/10/41
|
4,420,000
|
4,523,545
(b)(d)
|
|
|
GS Mortgage Securities Corp. Trust, 2000-1A A (1 mo. Term SOFR + 0.464%)
|
5.425%
|
3/20/25
|
7,068
|
7,066
(b)(d)
|
|
|
GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. Term SOFR +
4.747%)
|
9.844%
|
11/15/32
|
2,500,000
|
2,449,845
(b)(d)
|
|
|
GS Mortgage Securities Trust, 2015-GC30 D
|
3.384%
|
5/10/50
|
750,000
|
615,190
|
|
|
GS Mortgage Securities Trust, 2015-GC32 D
|
3.345%
|
7/10/48
|
700,000
|
649,255
|
|
|
Hawaii Hotel Trust, 2019-MAUI F (1 mo. Term SOFR + 3.047%)
|
8.144%
|
5/15/38
|
2,221,000
|
2,202,580
(b)(d)
|
|
|
Hawaii Hotel Trust, 2019-MAUI G (1 mo. Term SOFR + 3.447%)
|
8.544%
|
5/15/38
|
1,697,000
|
1,664,707
(b)(d)
|
|
|
HIH Trust, 2024-61P F (1 mo. Term SOFR + 5.437%)
|
10.387%
|
10/15/41
|
1,500,000
|
1,504,035
(b)(d)(f)
|
|
|
HIT Trust, 2022-HI32 G (1 mo. Term SOFR + 7.228%)
|
12.324%
|
7/9/25
|
1,938,278
|
1,967,763
(b)(d)
|
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST G (1
mo. Term SOFR + 4.864%)
|
9.961%
|
12/15/36
|
988,000
|
4,941
(b)(d)
|
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST H (1
mo. Term SOFR + 7.364%)
|
12.461%
|
12/15/36
|
1,033,000
|
517
(b)(d)
|
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN HFL (1
mo. Term SOFR + 4.364%)
|
9.461%
|
1/16/37
|
120,216
|
109,852
(b)(d)
|
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYMZ M (1
mo. Term SOFR + 7.614%)
|
12.711%
|
6/15/26
|
1,250,000
|
812,115
(b)(d)
|
|
|
KIND Trust, 2021-KIND F (1 mo. Term SOFR + 4.064%)
|
9.164%
|
8/15/38
|
1,299,330
|
1,246,382
(b)(d)
|
|
|
Multifamily CAS Trust, 2019-1 CE (30 Day Average SOFR + 8.864%)
|
14.145%
|
10/25/49
|
2,500,000
|
2,506,311
(b)(d)
|
|
|
Multifamily CAS Trust, 2020-1 CE (30 Day Average SOFR + 7.614%)
|
12.895%
|
3/25/50
|
1,500,000
|
1,541,341
(b)(d)
|
|
|
Natixis Commercial Mortgage Securities Trust, 2019-FAME D
|
4.544%
|
8/15/36
|
1,900,000
|
1,244,500
(b)(d)
|
|
|
Natixis Commercial Mortgage Securities Trust, 2019-FAME E
|
4.544%
|
8/15/36
|
950,000
|
422,750
(b)(d)
|
|
|
Natixis Commercial Mortgage Securities Trust, 2022-JERI G (1 mo. Term
SOFR + 7.458%)
|
12.554%
|
1/15/39
|
3,500,000
|
2,496,264
(b)(d)
|
|
|
Natixis Commercial Mortgage Securities Trust, 2022-RRI E (1 mo. Term SOFR
+ 5.193%)
|
10.290%
|
3/15/35
|
1,272,750
|
1,272,272
(b)(d)
|
|
|
NCMF Trust, 2022-MFP G (1 mo. Term SOFR + 5.128%)
|
10.225%
|
3/15/39
|
2,200,000
|
2,121,074
(b)(d)
|
|
|
RIAL Issuer Ltd., 2022-FL8 E (1 mo. Term SOFR + 5.500%)
|
10.597%
|
1/19/37
|
1,500,000
|
1,402,061
(b)(d)
|
|
|
SMR Mortgage Trust, 2022-IND G (1 mo. Term SOFR + 7.500%)
|
12.597%
|
2/15/39
|
1,831,354
|
1,541,041
(b)(d)
|
|
|
Soho Trust, 2021-SOHO D
|
2.786%
|
8/10/38
|
1,500,000
|
551,834
(b)(d)
|
|
|
Wells Fargo Commercial Mortgage Trust, 2017-C42 D
|
2.800%
|
12/15/50
|
1,000,000
|
747,784
(b)(d)
|
|
|
Wells Fargo Commercial Mortgage Trust, 2022-JS2 G
|
3.569%
|
12/15/39
|
2,200,000
|
1,543,347
(b)(d)
|
|
|
|
|||||
|
Total Commercial Mortgage-Backed Securities (Cost — $75,262,470)
|
66,359,163
|
||||
|
|
|
|
|
Face
Amount/
Units
|
|
|
Asset-Backed Securities — 15.2%
|
|||||
|
AMSR Trust, 2023-SFR2 E1
|
3.950%
|
6/17/40
|
1,690,000
|
1,588,278
(c)(d)
|
|
|
Applebee’s Funding LLC/IHOP Funding LLC, 2023-1A A2
|
7.824%
|
3/5/53
|
1,000,000
|
1,047,868
(d)
|
|
|
BankAmerica Manufactured Housing Contract Trust, 1996-1 B1
|
7.875%
|
10/10/26
|
7,866,000
|
75,447
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount/
Units
|
Value
|
|
Asset-Backed Securities — continued
|
|||||
|
Bayview Opportunity Master Fund LLC, 2024-CAR1 E (30 Day Average SOFR +
3.600%)
|
8.880%
|
12/26/31
|
$1,202,496
|
$1,202,616
(b)(d)
|
|
|
BCMSC Trust, 1998-B A
|
6.530%
|
10/15/28
|
79,226
|
78,873
(b)
|
|
|
Cascade MH Asset Trust, 2019-MH1 M
|
5.985%
|
11/25/44
|
1,150,000
|
1,105,078
(b)(c)(d)
|
|
|
Conseco Finance Corp., 1999-4 A8
|
7.700%
|
5/1/31
|
4,807,328
|
1,671,396
(b)
|
|
|
Conseco Finance Corp., 1999-4 A9
|
7.020%
|
5/1/31
|
10,686,754
|
3,451,173
(b)
|
|
|
Hertz Vehicle Financing LLC, 2023-2A D
|
9.400%
|
9/25/29
|
690,000
|
706,282
(d)
|
|
|
Loanpal Solar Loan Ltd., 2020-3GS C
|
3.500%
|
12/20/47
|
658,802
|
422,100
(d)
|
|
|
Loanpal Solar Loan Ltd., 2021-1GS C
|
3.500%
|
1/20/48
|
705,935
|
471,991
(d)
|
|
|
Lunar Structured Aircraft Portfolio Notes, 2021-1 C
|
5.682%
|
10/15/46
|
1,612,715
|
1,477,903
(d)
|
|
|
National Collegiate Class A-3L Commutation Trust, 2007-4VI O (1 mo. USD
LIBOR + 0.850%)
|
5.819%
|
3/29/38
|
5,942,187
|
685,384
(b)(d)
|
|
|
National Collegiate Student Loan Trust, 2006-3 B (1 mo. Term SOFR +
0.474%)
|
5.329%
|
1/26/32
|
1,710,000
|
1,454,805
(b)
|
|
|
Nelnet Student Loan Trust, 2021-DA D
|
4.380%
|
4/20/62
|
1,200,000
|
1,003,289
(d)
|
|
|
RBS Acceptance Inc., 1995-BA1 B2
|
—
|
8/10/20
|
2,191,561
|
22
*(e)
|
|
|
Renew, 2024-2A B
|
8.223%
|
11/20/60
|
1,000,000
|
1,002,300
(d)
|
|
|
SEB Funding LLC, 2024-1A A2
|
7.386%
|
4/30/54
|
1,020,000
|
1,053,426
(d)
|
|
|
Sierra Timeshare Receivables Funding LLC, 2024-1A D
|
8.020%
|
1/20/43
|
589,180
|
603,604
(d)
|
|
|
SMB Private Education Loan Trust, 2014-A R
|
44.471%
|
9/15/45
|
6,875
|
407,494
(d)(g)
|
|
|
SoFi Professional Loan Program LLC, 2017-F R1
|
44.335%
|
1/25/41
|
34,000
|
270,181
(d)(g)
|
|
|
Stonepeak, 2021-1A B
|
3.821%
|
2/28/33
|
807,984
|
750,065
(d)
|
|
|
Sunnova Hellios II Issuer LLC, 2018-1A B
|
7.710%
|
7/20/48
|
866,214
|
729,927
(d)
|
|
|
|
|||||
|
Total Asset-Backed Securities (Cost — $26,523,331)
|
21,259,502
|
||||
|
|
|
|
|
Shares
|
|
|
Preferred Stocks — 2.5%
|
|||||
|
Financials — 2.5%
|
|||||
|
Mortgage Real Estate Investment Trusts (REITs) — 2.5%
|
|||||
|
AGNC Investment Corp., Non Voting Shares (6.125% to 4/15/25 then 3 mo.
USD LIBOR + 4.697%)
|
6.125%
|
|
45,661
|
1,119,608
(b)
|
|
|
Chimera Investment Corp., Non Voting Shares
|
8.000%
|
|
32,036
|
784,561
|
|
|
Chimera Investment Corp., Non Voting Shares (7.750% to 9/30/25 then 3 mo.
USD LIBOR + 4.743%)
|
7.750%
|
|
24,074
|
545,276
(b)
|
|
|
MFA Financial Inc., Non Voting Shares (6.500% to 3/31/25 then 3 mo. USD
LIBOR + 5.345%)
|
6.500%
|
|
42,047
|
996,514
(b)
|
|
|
|
|||||
|
Total Preferred Stocks (Cost — $3,285,623)
|
|
|
|
|
3,445,959
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Corporate Bonds & Notes — 2.4%
|
|||||
|
Consumer Discretionary — 0.7%
|
|||||
|
Hotels, Restaurants & Leisure — 0.7%
|
|||||
|
Full House Resorts Inc., Senior Secured Notes
|
8.250%
|
2/15/28
|
$1,050,000
|
$1,052,321
(d)
|
|
|
|
|||||
|
Financials — 1.1%
|
|||||
|
Banks — 0.6%
|
|||||
|
Lloyds Banking Group PLC, Junior Subordinated Notes (8.000% to 3/27/30
then 5 year Treasury Constant Maturity Rate + 3.913%)
|
8.000%
|
9/27/29
|
750,000
|
805,400
(b)(h)
|
|
|
Insurance — 0.5%
|
|||||
|
Allianz SE, Junior Subordinated Notes (3.200% to 4/30/28 then 5 year
Treasury Constant Maturity Rate + 2.165%)
|
3.200%
|
10/30/27
|
800,000
|
687,058
(b)(d)(h)
|
|
|
|
|||||
|
Total Financials
|
1,492,458
|
||||
|
Real Estate — 0.6%
|
|||||
|
Real Estate Management & Development — 0.6%
|
|||||
|
Cushman & Wakefield US Borrower LLC, Senior Secured Notes
|
8.875%
|
9/1/31
|
150,000
|
163,902
(d)
|
|
|
Five Point Operating Co. LP/Five Point Capital Corp., Senior Notes, Step bond
(10.500% to 11/15/24 then 11.000%)
|
10.500%
|
1/15/28
|
600,000
|
614,424
(d)
|
|
|
|
|||||
|
Total Real Estate
|
778,326
|
||||
|
Total Corporate Bonds & Notes (Cost — $3,018,868)
|
3,323,105
|
||||
|
Convertible Bonds & Notes — 2.4%
|
|||||
|
Financials — 2.4%
|
|||||
|
Mortgage Real Estate Investment Trusts (REITs) — 2.4%
|
|||||
|
PennyMac Corp., Senior Notes
|
5.500%
|
3/15/26
|
1,550,000
|
1,508,925
|
|
|
Two Harbors Investment Corp., Senior Notes
|
6.250%
|
1/15/26
|
1,835,000
|
1,793,713
|
|
|
|
|||||
|
Total Convertible Bonds & Notes (Cost — $3,167,943)
|
3,302,638
|
||||
|
Senior Loans — 1.4%
|
|||||
|
Financials — 1.0%
|
|||||
|
Financial Services — 0.7%
|
|||||
|
Greystone Select Holdings LLC, Term Loan B (3 mo. Term SOFR + 5.262%)
|
10.541%
|
6/16/28
|
984,177
|
981,717
(b)(i)(j)
|
|
|
Mortgage Real Estate Investment Trusts (REITs) — 0.3%
|
|||||
|
Apollo Commercial Real Estate Finance Inc., Initial Term Loan (1 mo. Term
SOFR + 2.864%)
|
7.710%
|
5/15/26
|
494,792
|
491,081
(b)(i)(j)(k)
|
|
|
|
|||||
|
Total Financials
|
1,472,798
|
||||
|
Real Estate — 0.4%
|
|||||
|
Real Estate Management & Development — 0.4%
|
|||||
|
Cushman & Wakefield US Borrower LLC, 2024 Term Loan (1 mo. Term SOFR +
3.750%)
|
8.595%
|
1/31/30
|
498,750
|
499,685
(b)(i)(j)
|
|
|
|
|||||
|
Total Senior Loans (Cost — $1,952,416)
|
1,972,483
|
||||
|
Total Investments before Short-Term Investments (Cost — $261,925,151)
|
256,431,008
|
||||
|
|
|
|
|
Shares
|
|
|
Short-Term Investments — 2.3%
|
|||||
|
Western Asset Premier Institutional Government Reserves, Premium Shares
(Cost — $3,286,666)
|
4.886%
|
|
3,286,666
|
3,286,666
(l)(m)
|
|
|
Total Investments — 185.7% (Cost — $265,211,817)
|
259,717,674
|
||||
|
Liabilities in Excess of Other Assets — (85.7)%
|
(119,884,236
)
|
||||
|
Total Net Assets — 100.0%
|
$139,833,438
|
||||
|
*
|
Non-income producing security.
|
|
(a)
|
Collateralized mortgage obligations are secured by an underlying pool of mortgages
or mortgage pass-through certificates that are structured to direct
payments on underlying collateral to different series or classes of the obligations.
The interest rate may change positively or inversely in relation to one or
more interest rates, financial indices or other financial indicators and may be subject
to an upper and/or lower limit.
|
|
(b)
|
Variable rate security. Interest rate disclosed is as of the most recent information
available. Certain variable rate securities are not based on a published
reference rate and spread but are determined by the issuer or agent and are based
on current market conditions. These securities do not indicate a
reference rate and spread in their description above.
|
|
(c)
|
All or a portion of this security is held by the counterparty as collateral for open
reverse repurchase agreements.
|
|
(d)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933.
This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers. This security has been deemed
liquid pursuant to guidelines approved by the Board of Directors.
|
|
(e)
|
The maturity principal is currently in default as of September 30, 2024.
|
|
(f)
|
Securities traded on a when-issued or delayed delivery basis.
|
|
(g)
|
Rate shown is the current yield based on income received over the trailing twelve
months.
|
|
(h)
|
Security has no maturity date. The date shown represents the next call date.
|
|
(i)
|
Interest rates disclosed represent the effective rates on senior loans. Ranges in
interest rates are attributable to multiple contracts under the same loan.
|
|
(j)
|
Senior loans may be considered restricted in that the Fund ordinarily is contractually
obligated to receive approval from the agent bank and/or borrower
prior to the disposition of a senior loan.
|
|
(k)
|
Security is valued using significant unobservable inputs (Note 1).
|
|
(l)
|
Rate shown is one-day yield as of the end of the reporting period.
|
|
(m)
|
In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding
voting securities of an issuer, or a company which is under common ownership or control
with the Fund. At September 30, 2024, the total market value of
investments in Affiliated Companies was $3,286,666 and the cost was $3,286,666 (Note 2).
|
|
Abbreviation(s) used in this schedule:
|
||
|
CAS
|
—
|
Connecticut Avenue Securities
|
|
CMT
|
—
|
Constant Maturity Treasury
|
|
IO
|
—
|
Interest Only
|
|
LIBOR
|
—
|
London Interbank Offered Rate
|
|
PAC
|
—
|
Planned Amortization Class
|
|
PO
|
—
|
Principal Only
|
|
REMIC
|
—
|
Real Estate Mortgage Investment Conduit
|
|
Re-REMIC
|
—
|
Resecuritization of Real Estate Mortgage Investment Conduit
|
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
USD
|
—
|
United States Dollar
|
|
Counterparty
|
Rate
|
Effective
Date
|
Maturity
Date
|
Face Amount
of Reverse
Repurchase
Agreements
|
Asset Class
of Collateral*
|
Collateral
Value**
|
|
Nomura
Securities Inc.
|
7.294%
|
7/22/2024
|
2/20/2026
|
$3,691,000
|
Residential Mortgage-Backed Securities
|
$4,460,509
|
|
Nomura
Securities Inc.
|
7.298%
|
7/16/2024
|
2/20/2026
|
111,417,000
|
Residential Mortgage-Backed Securities
Asset-Backed Securities
|
132,417,834
2,704,655
|
|
Nomura
Securities Inc.
|
7.298%
|
7/17/2024
|
2/20/2026
|
1,381,000
|
Residential Mortgage-Backed Securities
|
1,583,336
|
|
|
|
|
|
$116,489,000
|
|
$141,166,334
|
|
*
|
Refer to the Schedule of Investments for positions held at the counterparty as collateral
for reverse repurchase agreements.
|
|
**
|
Including accrued interest.
|
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Contracts to Sell:
|
|
|
|
|
|
|
U.S. Treasury Long-Term Bonds
|
44
|
12/24
|
$5,454,549
|
$5,464,250
|
$(9,701)
|
|
U.S. Treasury Ultra 10-Year Notes
|
79
|
12/24
|
9,340,758
|
9,345,453
|
(4,695)
|
|
U.S. Treasury Ultra Long-Term Bonds
|
20
|
12/24
|
2,674,844
|
2,661,875
|
12,969
|
|
Net unrealized depreciation on open futures contracts
|
$(1,427)
|
||||
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
CNH
|
98,113,000
|
USD
|
13,860,450
|
JPMorgan Chase & Co.
|
10/18/24
|
$163,409
|
|
USD
|
13,549,274
|
CNH
|
98,113,000
|
JPMorgan Chase & Co.
|
10/18/24
|
(474,586)
|
|
Net unrealized depreciation on open forward foreign currency contracts
|
$(311,177)
|
|||||
|
Abbreviation(s) used in this table:
|
||
|
CNH
|
—
|
Chinese Offshore Yuan
|
|
USD
|
—
|
United States Dollar
|
|
ASSETS
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Long-Term Investments†:
|
|
|
|
|
|
Residential Mortgage-Backed Securities
|
—
|
$156,768,158
|
—
|
$156,768,158
|
|
Commercial Mortgage-Backed Securities
|
—
|
66,359,163
|
—
|
66,359,163
|
|
Asset-Backed Securities
|
—
|
21,259,502
|
—
|
21,259,502
|
|
Preferred Stocks
|
$3,445,959
|
—
|
—
|
3,445,959
|
|
Corporate Bonds & Notes
|
—
|
3,323,105
|
—
|
3,323,105
|
|
Convertible Bonds & Notes
|
—
|
3,302,638
|
—
|
3,302,638
|
|
Senior Loans:
|
|
|
|
|
|
Financials
|
—
|
981,717
|
$491,081
|
1,472,798
|
|
Real Estate
|
—
|
499,685
|
—
|
499,685
|
|
Total Long-Term Investments
|
3,445,959
|
252,493,968
|
491,081
|
256,431,008
|
|
Short-Term Investments†
|
3,286,666
|
—
|
—
|
3,286,666
|
|
Total Investments
|
$6,732,625
|
$252,493,968
|
$491,081
|
$259,717,674
|
|
Other Financial Instruments:
|
|
|
|
|
|
Futures Contracts††
|
$12,969
|
—
|
—
|
$12,969
|
|
Forward Foreign Currency Contracts††
|
—
|
$163,409
|
—
|
163,409
|
|
Total Other Financial Instruments
|
$12,969
|
$163,409
|
—
|
$176,378
|
|
Total
|
$6,745,594
|
$252,657,377
|
$491,081
|
$259,894,052
|
|
LIABILITIES
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Other Financial Instruments:
|
|
|
|
|
|
Futures Contracts††
|
$14,396
|
—
|
—
|
$14,396
|
|
Forward Foreign Currency Contracts††
|
—
|
$474,586
|
—
|
474,586
|
|
Total
|
$14,396
|
$474,586
|
—
|
$488,982
|
|
†
|
See Schedule of Investments for additional detailed categorizations.
|
|
††
|
Reflects the unrealized appreciation (depreciation) of the instruments.
|
|
|
Affiliate
Value at
December 31, 2023
|
Purchased
|
Sold
|
||
|
Cost
|
Shares
|
Proceeds
|
Shares
|
||
|
Western Asset Premier
Institutional Government
Reserves, Premium
Shares
|
$564,509
|
$59,665,809
|
59,665,809
|
$56,943,652
|
56,943,652
|
|
(cont’d)
|
Realized
Gain (Loss)
|
Dividend
Income
|
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
|
Affiliate
Value at
September 30,
2024
|
|
Western Asset Premier
Institutional Government
Reserves, Premium Shares
|
—
|
$98,532
|
—
|
$3,286,666
|
1 Year Western Asset Mortgage O... Chart |
1 Month Western Asset Mortgage O... Chart |
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