WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - 106.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Adjustable Rate Mortgage Trust, 2005-5 1A1 |
|
|
3.336 |
% |
|
|
9/25/35 |
|
|
$ |
83,418 |
|
|
$ |
69,577 |
(b) |
| Adjustable Rate Mortgage Trust, 2005-7 2A21 |
|
|
3.892 |
% |
|
|
10/25/35 |
|
|
|
114,774 |
|
|
|
97,944 |
(b) |
| Adjustable Rate Mortgage Trust, 2005-12 5A1 (1 mo. Term SOFR +
0.614%) |
|
|
5.934 |
% |
|
|
3/25/36 |
|
|
|
187,543 |
|
|
|
53,317 |
(b) |
| Aegis Asset Backed Securities Trust, 2005-3 M3 (1 mo. Term SOFR +
0.849%) |
|
|
6.169 |
% |
|
|
8/25/35 |
|
|
|
3,460,000 |
|
|
|
2,973,651 |
(b)(c) |
| Alternative Loan Trust, 2005-11CB 3A3, IO (-1.000 x 1 mo. Term SOFR +
4.886%) |
|
|
0.000 |
% |
|
|
6/25/35 |
|
|
|
917,672 |
|
|
|
17,097 |
(b) |
| Alternative Loan Trust, 2005-14 3A1 |
|
|
3.449 |
% |
|
|
5/25/35 |
|
|
|
93,833 |
|
|
|
69,693 |
(b) |
| Alternative Loan Trust, 2005-36 4A1 |
|
|
3.959 |
% |
|
|
8/25/35 |
|
|
|
123,882 |
|
|
|
111,044 |
(b) |
| Alternative Loan Trust, 2005-J10 1A1 (1 mo. Term SOFR + 0.614%) |
|
|
5.500 |
% |
|
|
10/25/35 |
|
|
|
431,159 |
|
|
|
271,819 |
(b) |
| Alternative Loan Trust, 2006-HY10 1A1 |
|
|
3.428 |
% |
|
|
5/25/36 |
|
|
|
114,496 |
|
|
|
92,298 |
(b) |
| Alternative Loan Trust, 2006-J8 A5 |
|
|
6.000 |
% |
|
|
2/25/37 |
|
|
|
71,622 |
|
|
|
30,797 |
|
| Alternative Loan Trust, 2007-3T1 2A1 |
|
|
6.000 |
% |
|
|
3/25/27 |
|
|
|
19,744 |
|
|
|
19,186 |
|
| Alternative Loan Trust, 2007-23CB A8 (-4.000 x 1 mo. Term SOFR +
27.942%) |
|
|
6.663 |
% |
|
|
9/25/37 |
|
|
|
374,572 |
|
|
|
254,349 |
(b)(c) |
| Alternative Loan Trust, 2007-OA8 1A1 (1 mo. Term SOFR +
0.474%) |
|
|
5.794 |
% |
|
|
6/25/47 |
|
|
|
714,465 |
|
|
|
586,249 |
(b)(c) |
| American Home Mortgage Assets Trust, 2005-2 2A1A |
|
|
3.001 |
% |
|
|
1/25/36 |
|
|
|
611,435 |
|
|
|
408,986 |
(b) |
| American Home Mortgage Investment Trust, 2007-2 2A (1 mo. Term SOFR
+ 0.914%) |
|
|
6.234 |
% |
|
|
3/25/47 |
|
|
|
12,735,445 |
|
|
|
108,576 |
(b) |
| American Home Mortgage Investment Trust, 2007-A 4A (1 mo. Term SOFR
+ 1.014%) |
|
|
6.338 |
% |
|
|
7/25/46 |
|
|
|
1,736,139 |
|
|
|
457,615 |
(b)(d) |
| Banc of America Funding Corp., 2015-R3 2A2 |
|
|
3.390 |
% |
|
|
2/27/37 |
|
|
|
2,569,602 |
|
|
|
2,225,217 |
(b)(c)(d) |
| Banc of America Funding Trust, 2004-C 3A1 |
|
|
3.929 |
% |
|
|
12/20/34 |
|
|
|
184,786 |
|
|
|
165,714 |
(b) |
| Banc of America Funding Trust, 2006-D 2A1 |
|
|
3.499 |
% |
|
|
5/20/36 |
|
|
|
30,004 |
|
|
|
25,953 |
(b) |
| Banc of America Funding Trust, 2006-F 1A1 |
|
|
4.647 |
% |
|
|
7/20/36 |
|
|
|
61,494 |
|
|
|
56,982 |
(b) |
| Banc of America Funding Trust, 2014-R5 1A2 (6 mo. Term SOFR +
1.928%) |
|
|
3.816 |
% |
|
|
9/26/45 |
|
|
|
3,466,269 |
|
|
|
2,525,808 |
(b)(c)(d) |
| Banc of America Funding Trust, 2015-R2 9A2 |
|
|
4.429 |
% |
|
|
3/27/36 |
|
|
|
3,052,474 |
|
|
|
2,374,244 |
(b)(c)(d) |
| Banc of America Funding Trust, 2015-R4 4A3 |
|
|
7.353 |
% |
|
|
1/27/30 |
|
|
|
15,646,578 |
|
|
|
5,490,885 |
(b)(c)(d) |
| Bayview Financial Asset Trust, 2007-SR1A M1 (1 mo. Term SOFR + 0.914%) |
|
|
6.234 |
% |
|
|
3/25/37 |
|
|
|
1,328,084 |
|
|
|
1,291,041 |
(b)(d) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
1 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bayview Financial Asset Trust, 2007-SR1A M2 (1 mo. Term SOFR + 1.014%) |
|
|
6.334 |
% |
|
|
3/25/37 |
|
|
$ |
1,616,889 |
|
|
$ |
1,641,266 |
(b)(c)(d) |
| Bayview Financial Asset Trust, 2007-SR1A M3 (1 mo. Term SOFR + 1.264%) |
|
|
6.584 |
% |
|
|
3/25/37 |
|
|
|
732,554 |
|
|
|
726,466 |
(b)(d) |
| Bayview Financing INV Trust, 2021-6F A1 |
|
|
2.750 |
% |
|
|
12/30/27 |
|
|
|
1,740,030 |
|
|
|
1,551,215 |
(d) |
| Bear Stearns ALT-A Trust, 2005-9
25A1 |
|
|
4.224 |
% |
|
|
11/25/35 |
|
|
|
144,616 |
|
|
|
100,353 |
(b) |
| Bear Stearns Asset Backed Securities Trust, 2003-HE1 M1 (1 mo. Term SOFR +
1.209%) |
|
|
5.555 |
% |
|
|
1/25/34 |
|
|
|
1,282,495 |
|
|
|
1,228,290 |
(b) |
| Bear Stearns Asset Backed Securities Trust, 2005-CL1 A1 |
|
|
3.632 |
% |
|
|
9/25/34 |
|
|
|
21,188 |
|
|
|
20,568 |
(b) |
| Bellemeade Re Ltd., 2018-1A M2 (1 mo. USD LIBOR + 2.900%) |
|
|
8.334 |
% |
|
|
4/25/28 |
|
|
|
117,539 |
|
|
|
117,806 |
(b)(d) |
| Chase Mortgage Finance Trust, 2006-S3 2A1 |
|
|
— |
|
|
|
11/25/21 |
|
|
|
123,629 |
|
|
|
39,158 |
*(e) |
| Chase Mortgage Finance Trust, 2007-A1 11M1 |
|
|
4.099 |
% |
|
|
3/25/37 |
|
|
|
659,344 |
|
|
|
608,433 |
(b) |
| ChaseFlex Trust, 2005-2 3A3, IO (-1.000
x 1 mo. Term SOFR + 5.386%) |
|
|
0.066 |
% |
|
|
6/25/35 |
|
|
|
5,674,219 |
|
|
|
342,184 |
(b)(c) |
| Chevy Chase Funding LLC Mortgage-Backed Certificates, 2006-2A A1 (1 mo. Term
SOFR + 0.244%) |
|
|
5.564 |
% |
|
|
4/25/47 |
|
|
|
47,462 |
|
|
|
47,840 |
(b)(d) |
| CHL Mortgage Pass-Through Trust, 2005-2 2A1 (1 mo. Term SOFR +
0.754%) |
|
|
6.074 |
% |
|
|
3/25/35 |
|
|
|
40,005 |
|
|
|
36,981 |
(b) |
| CHL Mortgage Pass-Through Trust, 2005-11 3A3 |
|
|
3.607 |
% |
|
|
4/25/35 |
|
|
|
183,902 |
|
|
|
132,404 |
(b) |
| CHL Mortgage Pass-Through Trust, 2005-18 A7
(-2.750 x 1 mo. Term SOFR +19.210%) |
|
|
4.581 |
% |
|
|
10/25/35 |
|
|
|
9,692 |
|
|
|
5,569 |
(b) |
| CHL Mortgage Pass-Through Trust, 2005- HY10 1A1 |
|
|
4.315 |
% |
|
|
2/20/36 |
|
|
|
13,278 |
|
|
|
10,876 |
(b) |
| CHL Mortgage Pass-Through Trust, 2005- HYB9 1A1 (12 mo. Term SOFR + 2.465%) |
|
|
7.873 |
% |
|
|
2/20/36 |
|
|
|
71,087 |
|
|
|
61,674 |
(b) |
| Citicorp Mortgage Securities Trust, 2007-8 B1 |
|
|
5.983 |
% |
|
|
9/25/37 |
|
|
|
2,609,881 |
|
|
|
1,629,094 |
(b)(c) |
| Citigroup Mortgage Loan Trust, 2006-AR5 2A1A |
|
|
3.385 |
% |
|
|
7/25/36 |
|
|
|
172,852 |
|
|
|
103,758 |
(b) |
| Citigroup Mortgage Loan Trust, 2008-3 A3 |
|
|
6.100 |
% |
|
|
4/25/37 |
|
|
|
5,306,168 |
|
|
|
2,322,709 |
(c)(d) |
| Citigroup Mortgage Loan Trust Inc., 2004- HYB3 1A |
|
|
4.661 |
% |
|
|
9/25/34 |
|
|
|
26,140 |
|
|
|
22,949 |
(b) |
| Citigroup Mortgage Loan Trust Inc., 2004- UST1 A2 |
|
|
6.588 |
% |
|
|
8/25/34 |
|
|
|
5,862 |
|
|
|
5,410 |
(b) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
2 |
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Citigroup Mortgage Loan Trust Inc., 2005-5 1A5 |
|
|
3.228 |
% |
|
|
8/25/35 |
|
|
$ |
75,093 |
|
|
$ |
59,419 |
(b) |
| Countrywide Asset-Backed Certificates Trust, 2006-SD3 A1 (1 mo. Term
SOFR + 0.774%) |
|
|
6.094 |
% |
|
|
7/25/36 |
|
|
|
134,493 |
|
|
|
131,653 |
(b)(d) |
| Countrywide Asset-Backed Certificates Trust, 2007-SEA1 1A1 (1 mo. Term SOFR + 1.214%) |
|
|
6.534 |
% |
|
|
5/25/47 |
|
|
|
249,223 |
|
|
|
191,269 |
(b)(d) |
| Credit-Based Asset Servicing & Securitization LLC, 2006-SL1 A3 (1 mo.
Term SOFR + 0.554%) |
|
|
5.874 |
% |
|
|
9/25/36 |
|
|
|
3,465,459 |
|
|
|
203,587 |
(b)(d) |
| CSFB Mortgage-Backed Pass-Through Certificates, 2005-10 3A3 |
|
|
5.500 |
% |
|
|
11/25/35 |
|
|
|
184,745 |
|
|
|
101,688 |
|
| CSMC Resecuritization Trust, 2006-1R 1A2
(-2.750 x 1 mo. Term SOFR + 19.210%) |
|
|
4.587 |
% |
|
|
7/27/36 |
|
|
|
166,344 |
|
|
|
150,898 |
(b)(d) |
| CSMC Trust, 2014-11R 9A2 (1 mo. Term SOFR + 0.254%) |
|
|
5.709 |
% |
|
|
10/27/36 |
|
|
|
2,809,692 |
|
|
|
2,145,110 |
(b)(c)(d) |
| CSMC Trust, 2015-2R 7A2 |
|
|
4.386 |
% |
|
|
8/27/36 |
|
|
|
3,247,699 |
|
|
|
2,493,176 |
(b)(c)(d) |
| CSMC Trust, 2017-RPL1 B1 |
|
|
2.962 |
% |
|
|
7/25/57 |
|
|
|
3,052,442 |
|
|
|
1,855,101 |
(b)(c)(d) |
| CSMC Trust, 2017-RPL1 B2 |
|
|
2.962 |
% |
|
|
7/25/57 |
|
|
|
3,501,991 |
|
|
|
1,835,594 |
(b)(c)(d) |
| CSMC Trust, 2017-RPL1 B3 |
|
|
2.962 |
% |
|
|
7/25/57 |
|
|
|
2,977,486 |
|
|
|
1,169,961 |
(b)(c)(d) |
| CSMC Trust, 2017-RPL1 B4 |
|
|
2.962 |
% |
|
|
7/25/57 |
|
|
|
3,021,974 |
|
|
|
549,776 |
(b)(c)(d) |
| CSMC Trust, 2021-NQM6 B2 |
|
|
4.140 |
% |
|
|
7/25/66 |
|
|
|
1,370,000 |
|
|
|
772,755 |
(b)(c)(d) |
| CWABS Revolving Home Equity Loan Trust, 2004-L 2A (1 mo. Term SOFR
+ 0.394%) |
|
|
5.727 |
% |
|
|
2/15/34 |
|
|
|
18,162 |
|
|
|
17,215 |
(b) |
| Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 2PO,
PO |
|
|
0.000 |
% |
|
|
4/15/36 |
|
|
|
12,033 |
|
|
|
6,349 |
(d) |
| Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS1,
IO |
|
|
3.422 |
% |
|
|
4/15/36 |
|
|
|
73,875 |
|
|
|
5,283 |
(b)(d) |
| Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS2,
IO |
|
|
4.649 |
% |
|
|
4/15/36 |
|
|
|
70,470 |
|
|
|
7,317 |
(b)(d) |
| Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS1,
IO |
|
|
1.731 |
% |
|
|
4/15/36 |
|
|
|
47,479 |
|
|
|
4,744 |
(b)(d) |
| Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS3,
IO |
|
|
2.672 |
% |
|
|
4/15/36 |
|
|
|
169,648 |
|
|
|
18,411 |
(b)(d) |
| Eagle RE Ltd., 2023-1 M2 (30 Day Average SOFR + 5.200%) |
|
|
10.515 |
% |
|
|
9/26/33 |
|
|
|
1,290,000 |
|
|
|
1,306,884 |
(b)(d)(f) |
| Ellington Financial Mortgage Trust, 2020-1 B2 |
|
|
5.112 |
% |
|
|
5/25/65 |
|
|
|
1,550,000 |
|
|
|
1,404,602 |
(b)(c)(d) |
| FARM Mortgage Trust, 2021-1 B |
|
|
3.240 |
% |
|
|
7/25/51 |
|
|
|
1,195,177 |
|
|
|
821,548 |
(b)(d) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
3 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA3 B1 (30 Day Average
SOFR + 5.214%) |
|
|
10.529 |
% |
|
|
6/25/50 |
|
|
$ |
1,055,542 |
|
|
$ |
1,143,634 |
(b)(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA5 B1 (30 Day Average
SOFR + 4.800%) |
|
|
10.115 |
% |
|
|
10/25/50 |
|
|
|
1,000,000 |
|
|
|
1,089,898 |
(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%) |
|
|
10.815 |
% |
|
|
1/25/34 |
|
|
|
1,200,000 |
|
|
|
1,172,348 |
(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%) |
|
|
12.815 |
% |
|
|
10/25/41 |
|
|
|
1,640,000 |
|
|
|
1,691,467 |
(b)(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2016-1 B, PO |
|
|
0.000 |
% |
|
|
9/25/55 |
|
|
|
12,009,584 |
|
|
|
1,082,730 |
(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2016-1 BIO, IO |
|
|
1.285 |
% |
|
|
9/25/55 |
|
|
|
21,261,884 |
|
|
|
2,414,457 |
(b)(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2016-1 XSIO, IO |
|
|
0.075 |
% |
|
|
9/25/55 |
|
|
|
136,900,934 |
|
|
|
604,691 |
(b)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2017-2 B, PO |
|
|
0.000 |
% |
|
|
8/25/56 |
|
|
|
11,048,668 |
|
|
|
933,263 |
(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2017-2 BIO, IO |
|
|
1.263 |
% |
|
|
8/25/56 |
|
|
|
18,079,516 |
|
|
|
1,948,551 |
(b)(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2017-2 XSIO, IO |
|
|
0.075 |
% |
|
|
8/25/56 |
|
|
|
352,829,790 |
|
|
|
1,561,272 |
(b)(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2018-3 BX |
|
|
0.928 |
% |
|
|
8/25/57 |
|
|
|
3,316,097 |
|
|
|
1,005,202 |
(b)(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2019-2 M |
|
|
4.750 |
% |
|
|
8/25/58 |
|
|
|
681,000 |
|
|
|
607,573 |
(b)(c)(d) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
4 |
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2020-1 BXS |
|
|
3.883 |
% |
|
|
8/25/59 |
|
|
$ |
4,033,360 |
|
|
$ |
1,305,357 |
(b)(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2021-3 BXS |
|
|
10.944 |
% |
|
|
3/25/61 |
|
|
|
1,690,698 |
|
|
|
838,632 |
(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 |
|
|
|
1,064,361 |
(b)(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2015-DNA3 B (30 Day Average SOFR
+ 9.464%) |
|
|
14.779 |
% |
|
|
4/25/28 |
|
|
|
1,474,246 |
|
|
|
1,611,667 |
(b)(c) |
| 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 |
|
|
|
493,518 |
|
|
|
558,513 |
(b)(c) |
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA3 B (30 Day Average SOFR
+ 11.364%) |
|
|
16.679 |
% |
|
|
12/25/28 |
|
|
|
1,024,414 |
|
|
|
1,182,818 |
(b)(c) |
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA4 B (30 Day Average SOFR
+ 8.714%) |
|
|
14.029 |
% |
|
|
3/25/29 |
|
|
|
1,570,307 |
|
|
|
1,726,140 |
(b)(c) |
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA2 B2 (30 Day Average SOFR
+ 11.364%) |
|
|
16.679 |
% |
|
|
10/25/29 |
|
|
|
1,763,553 |
|
|
|
2,045,072 |
(b)(c) |
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-SPI1 B |
|
|
4.119 |
% |
|
|
9/25/47 |
|
|
|
747,410 |
|
|
|
505,740 |
(b)(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-DNA3 B2 (30 Day Average SOFR
+ 7.864%) |
|
|
13.179 |
% |
|
|
9/25/48 |
|
|
|
2,000,000 |
|
|
|
2,224,509 |
(b)(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP1 B2 (30 Day Average SOFR
+ 11.864%) |
|
|
17.179 |
% |
|
|
5/25/43 |
|
|
|
5,439,944 |
|
|
|
6,287,478 |
(b)(c)(d) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
5 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP2 B2 (30 Day Average SOFR
+ 10.614%) |
|
|
15.929 |
% |
|
|
2/25/47 |
|
|
$ |
3,530,000 |
|
|
$ |
4,093,219 |
(b)(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-SPI2 B |
|
|
3.837 |
% |
|
|
5/25/48 |
|
|
|
1,792,160 |
|
|
|
1,125,675 |
(b)(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-SPI4 B |
|
|
4.512 |
% |
|
|
11/25/48 |
|
|
|
3,694,979 |
|
|
|
2,266,290 |
(b)(c)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2019-FTR1 B2 (30 Day Average SOFR
+ 8.464%) |
|
|
13.779 |
% |
|
|
1/25/48 |
|
|
|
715,000 |
|
|
|
815,023 |
(b)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2019-HQA3 B2 (30 Day Average SOFR
+ 7.614%) |
|
|
12.929 |
% |
|
|
9/25/49 |
|
|
|
700,000 |
|
|
|
763,243 |
(b)(d) |
| Federal National Mortgage Association (FNMA), 2012-134 LS, IO (-1.000 x 30 Day Average SOFR + 6.036%) |
|
|
0.721 |
% |
|
|
12/25/42 |
|
|
|
1,045,578 |
|
|
|
82,976 |
(b) |
| Federal National Mortgage Association (FNMA) - CAS, 2016-C01 1B (30 Day Average
SOFR + 11.864%) |
|
|
17.179 |
% |
|
|
8/25/28 |
|
|
|
1,859,122 |
|
|
|
2,148,596 |
(b)(c)(d) |
| Federal National Mortgage Association (FNMA) - CAS, 2016-C02 1B (30 Day Average
SOFR + 12.364%) |
|
|
17.679 |
% |
|
|
9/25/28 |
|
|
|
2,336,455 |
|
|
|
2,751,201 |
(b)(c)(d) |
| Federal National Mortgage Association (FNMA) - CAS, 2016-C03 1B (30 Day Average
SOFR + 11.864%) |
|
|
17.179 |
% |
|
|
10/25/28 |
|
|
|
1,929,587 |
|
|
|
2,254,061 |
(b)(c)(d) |
| Federal National Mortgage Association (FNMA) - CAS, 2016-C04 1B (30 Day Average
SOFR + 10.364%) |
|
|
15.679 |
% |
|
|
1/25/29 |
|
|
|
2,609,366 |
|
|
|
2,962,389 |
(b)(c)(d) |
| Federal National Mortgage Association (FNMA) - CAS, 2016-C06 1B (30 Day Average
SOFR + 9.364%) |
|
|
14.679 |
% |
|
|
4/25/29 |
|
|
|
3,505,578 |
|
|
|
3,920,480 |
(b)(c)(d) |
| Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1B1 (30 Day
Average SOFR + 3.364%) |
|
|
8.679 |
% |
|
|
1/25/40 |
|
|
|
1,500,000 |
|
|
|
1,487,891 |
(b)(c)(d) |
| First Horizon Alternative Mortgage Securities Trust, 2005-AA6 3A1 |
|
|
4.583 |
% |
|
|
8/25/35 |
|
|
|
206,779 |
|
|
|
181,039 |
(b) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
6 |
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| First Horizon Alternative Mortgage Securities Trust, 2006-FA6 2A1, PAC |
|
|
6.250 |
% |
|
|
11/25/36 |
|
|
$ |
64,097 |
|
|
$ |
19,631 |
|
| GCAT Trust, 2019-RPL1 B2 |
|
|
3.750 |
% |
|
|
10/25/68 |
|
|
|
2,008,000 |
|
|
|
1,417,230 |
(b)(d) |
| GSMPS Mortgage Loan Trust, 2005-RP1 1A4 |
|
|
8.500 |
% |
|
|
1/25/35 |
|
|
|
34,817 |
|
|
|
34,279 |
(d) |
| GSMPS Mortgage Loan Trust, 2006-RP1 1A2 |
|
|
7.500 |
% |
|
|
1/25/36 |
|
|
|
237,585 |
|
|
|
203,029 |
(d) |
| HarborView Mortgage Loan Trust, 2006-2 1A |
|
|
5.525 |
% |
|
|
2/25/36 |
|
|
|
13,653 |
|
|
|
4,688 |
(b) |
| Home Partners of America Trust, 2021-2 F |
|
|
3.799 |
% |
|
|
12/17/26 |
|
|
|
1,434,349 |
|
|
|
1,226,086 |
(c)(d) |
| HSI Asset Loan Obligation Trust, 2007-AR1 4A1 |
|
|
4.492 |
% |
|
|
1/25/37 |
|
|
|
63,415 |
|
|
|
48,965 |
(b) |
| Impac CMB Trust, 2004-8 1A (1 mo. Term SOFR + 0.834%) |
|
|
6.154 |
% |
|
|
10/25/34 |
|
|
|
81,871 |
|
|
|
76,655 |
(b) |
| IndyMac INDA Mortgage Loan Trust, 2005- AR2 1A1 |
|
|
3.382 |
% |
|
|
1/25/36 |
|
|
|
58,967 |
|
|
|
44,920 |
(b) |
| IndyMac INDX Mortgage Loan Trust, 2005- AR18 1A1 (1 mo. Term SOFR + 0.734%) |
|
|
6.054 |
% |
|
|
10/25/36 |
|
|
|
1,567,652 |
|
|
|
672,819 |
(b) |
| IndyMac INDX Mortgage Loan Trust, 2004- AR13 1A1 |
|
|
3.216 |
% |
|
|
1/25/35 |
|
|
|
23,510 |
|
|
|
22,349 |
(b) |
| IndyMac INDX Mortgage Loan Trust, 2005- AR15 A2 |
|
|
3.755 |
% |
|
|
9/25/35 |
|
|
|
35,760 |
|
|
|
31,233 |
(b) |
| IndyMac INDX Mortgage Loan Trust, 2006- AR7 5A1 |
|
|
3.639 |
% |
|
|
5/25/36 |
|
|
|
110,569 |
|
|
|
98,380 |
(b) |
| IndyMac INDX Mortgage Loan Trust, 2006- AR9 3A3 |
|
|
3.321 |
% |
|
|
6/25/36 |
|
|
|
206,754 |
|
|
|
171,211 |
(b) |
| IndyMac INDX Mortgage Loan Trust, 2006- AR11 1A1 |
|
|
4.169 |
% |
|
|
6/25/36 |
|
|
|
251,633 |
|
|
|
204,593 |
(b) |
| JPMorgan Alternative Loan Trust, 2007-A1 3A1 |
|
|
3.970 |
% |
|
|
3/25/37 |
|
|
|
177,074 |
|
|
|
159,270 |
(b) |
| JPMorgan Mortgage Trust, 2007-S2 3A2 |
|
|
6.000 |
% |
|
|
6/25/37 |
|
|
|
28,326 |
|
|
|
26,553 |
|
| JPMorgan Mortgage Trust, 2007-S2 3A3 |
|
|
6.500 |
% |
|
|
6/25/37 |
|
|
|
7,868 |
|
|
|
7,507 |
|
| Legacy Mortgage Asset Trust, 2021-GS3 A2 |
|
|
3.250 |
% |
|
|
7/25/61 |
|
|
|
1,640,000 |
|
|
|
1,348,599 |
(c)(d) |
| Lehman Mortgage Trust, 2006-3 1A7, IO
(-1.000 x 1 mo. Term SOFR + 5.286%) |
|
|
0.000 |
% |
|
|
7/25/36 |
|
|
|
4,000,602 |
|
|
|
206,583 |
(b)(c) |
| Lehman Mortgage Trust, 2007-5 2A3 (1 mo. Term SOFR + 0.444%) |
|
|
5.764 |
% |
|
|
6/25/37 |
|
|
|
2,575,729 |
|
|
|
407,790 |
(b) |
| Lehman XS Trust, 2006-19 A4 (1 mo. Term SOFR + 0.454%) |
|
|
5.774 |
% |
|
|
12/25/36 |
|
|
|
347,661 |
|
|
|
320,197 |
(b) |
| LSTAR Securities Investment Ltd., 2023-1 A1 (SOFR + 3.500%) |
|
|
8.810 |
% |
|
|
1/1/28 |
|
|
|
1,366,681 |
|
|
|
1,372,319 |
(b)(d) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
7 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MASTR Adjustable Rate Mortgages Trust, 2004-12 5A1 |
|
|
5.175 |
% |
|
|
10/25/34 |
|
|
$ |
7,960 |
|
|
$ |
7,448 |
(b) |
| MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. Term SOFR
+ 0.324%) |
|
|
5.644 |
% |
|
|
4/25/46 |
|
|
|
94,661 |
|
|
|
82,958 |
(b) |
| MASTR Reperforming Loan Trust, 2005-1 1A4 |
|
|
7.500 |
% |
|
|
8/25/34 |
|
|
|
41,925 |
|
|
|
32,121 |
(d) |
| Merrill Lynch Mortgage Investors Trust, 2006-A1 2A1 |
|
|
3.716 |
% |
|
|
3/25/36 |
|
|
|
372,569 |
|
|
|
207,046 |
(b) |
| Morgan Stanley Mortgage Loan Trust, 2006- 8AR 1A2 (1 mo. Term SOFR + 0.254%) |
|
|
5.574 |
% |
|
|
6/25/36 |
|
|
|
189,822 |
|
|
|
39,242 |
(b) |
| Morgan Stanley Mortgage Loan Trust, 2007- 5AX 2A3 (1 mo. Term SOFR + 0.574%) |
|
|
5.894 |
% |
|
|
2/25/37 |
|
|
|
1,341,925 |
|
|
|
295,034 |
(b) |
| Morgan Stanley Mortgage Loan Trust, 2007- 15AR 4A1 |
|
|
3.514 |
% |
|
|
11/25/37 |
|
|
|
259,443 |
|
|
|
218,843 |
(b) |
| Morgan Stanley Re-REMIC Trust, 2015-R2
1B (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 0.710%) |
|
|
4.230 |
% |
|
|
12/27/46 |
|
|
|
723,532 |
|
|
|
623,755 |
(b)(d) |
| New Residential Mortgage Loan Trust, 2019-6A A1IB, IO |
|
|
0.500 |
% |
|
|
9/25/59 |
|
|
|
20,939,234 |
|
|
|
318,867 |
(b)(d) |
| New Residential Mortgage Loan Trust, 2019-NQM4 B2 |
|
|
4.862 |
% |
|
|
9/25/59 |
|
|
|
1,608,000 |
|
|
|
1,270,951 |
(b)(c)(d) |
| NewRez Warehouse Securitization Trust, 2021-1 F (1 mo. Term SOFR +
5.364%) |
|
|
10.684 |
% |
|
|
5/25/55 |
|
|
|
2,132,000 |
|
|
|
2,133,951 |
(b)(d) |
| OBX Trust, 2022-NQM9 A3 |
|
|
6.450 |
% |
|
|
9/25/62 |
|
|
|
1,382,320 |
|
|
|
1,361,136 |
(c)(d) |
| PMT Credit Risk Transfer Trust, 2019-2R A (1 mo. Term SOFR +
3.864%) |
|
|
9.182 |
% |
|
|
5/30/25 |
|
|
|
1,500,929 |
|
|
|
1,500,604 |
(b)(c)(d) |
| Popular ABS Mortgage Pass-Through Trust, 2005-5 MV2 (1 mo. Term SOFR
+ 1.059%) |
|
|
3.331 |
% |
|
|
11/25/35 |
|
|
|
1,921,454 |
|
|
|
1,690,842 |
(b)(c) |
| PRKCM Trust, 2023-AFC1 A3 |
|
|
7.304 |
% |
|
|
2/25/58 |
|
|
|
1,458,096 |
|
|
|
1,459,856 |
(c)(d) |
| PRKCM Trust, 2023-AFC1 M1 |
|
|
7.652 |
% |
|
|
2/25/58 |
|
|
|
1,480,000 |
|
|
|
1,427,726 |
(b)(c)(d) |
| PRKCM Trust, 2023-AFC3 B1 |
|
|
7.829 |
% |
|
|
9/25/58 |
|
|
|
1,220,000 |
|
|
|
1,145,317 |
(b)(c)(d) |
| Progress Residential, 2021-SFR4 F |
|
|
3.407 |
% |
|
|
5/17/38 |
|
|
|
835,000 |
|
|
|
731,155 |
(c)(d) |
| Provident Home Equity Loan Trust, 2000-2 A1 (1 mo. Term SOFR +
0.654%) |
|
|
5.974 |
% |
|
|
8/25/31 |
|
|
|
541,715 |
|
|
|
483,765 |
(b) |
| RALI Trust, 2005-QA3 CB4 |
|
|
3.639 |
% |
|
|
3/25/35 |
|
|
|
820,337 |
|
|
|
391,835 |
(b) |
| RALI Trust, 2006-QA1 A11 |
|
|
5.023 |
% |
|
|
1/25/36 |
|
|
|
247,077 |
|
|
|
187,012 |
(b) |
| RALI Trust, 2006-QA4 A (1 mo. Term SOFR + 0.474%) |
|
|
5.794 |
% |
|
|
5/25/36 |
|
|
|
124,305 |
|
|
|
110,565 |
(b) |
| RALI Trust, 2006-QO2 A1 (1 mo. Term SOFR + 0.554%) |
|
|
5.874 |
% |
|
|
2/25/46 |
|
|
|
165,246 |
|
|
|
32,735 |
(b) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
8 |
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| RALI Trust, 2007-QA2 A1 (1 mo. Term SOFR + 0.374%) |
|
|
5.694 |
% |
|
|
2/25/37 |
|
|
$ |
407 |
|
|
$ |
5,457 |
(b) |
| RAMP Trust, 2004-RS4 MII2 (1 mo. Term SOFR + 1.464%) |
|
|
4.934 |
% |
|
|
4/25/34 |
|
|
|
925,330 |
|
|
|
792,872 |
(b)(c) |
| Redwood Funding Trust, 2019-1 PT |
|
|
4.968 |
% |
|
|
9/27/24 |
|
|
|
2,042,585 |
|
|
|
2,040,485 |
(d) |
| Renaissance Home Equity Loan Trust, 2006-1 AF5 |
|
|
6.166 |
% |
|
|
5/25/36 |
|
|
|
516,958 |
|
|
|
268,634 |
|
| Renaissance Home Equity Loan Trust, 2007-2 AF2 |
|
|
5.675 |
% |
|
|
6/25/37 |
|
|
|
445,054 |
|
|
|
117,733 |
|
| Renaissance Home Equity Loan Trust, 2007-3 AF3 |
|
|
7.238 |
% |
|
|
9/25/37 |
|
|
|
1,493,524 |
|
|
|
634,984 |
(c) |
| Residential Asset Securitization Trust, 2007-A2 1A1 |
|
|
6.000 |
% |
|
|
4/25/37 |
|
|
|
175,335 |
|
|
|
97,230 |
|
| RFMSI Trust, 2006-S8 A12, IO (-1.000 x
1 mo. Term SOFR + 5.286%) |
|
|
0.000 |
% |
|
|
9/25/36 |
|
|
|
1,888,192 |
|
|
|
67,139 |
(b) |
| Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2018-2 BX |
|
|
2.780 |
% |
|
|
11/25/57 |
|
|
|
3,434,228 |
|
|
|
1,008,946 |
(b)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2021-1 M |
|
|
4.250 |
% |
|
|
9/25/60 |
|
|
|
1,500,000 |
|
|
|
1,308,515 |
(c)(d) |
| Starwood Mortgage Residential Trust, 2020-3 B2 |
|
|
4.750 |
% |
|
|
4/25/65 |
|
|
|
1,490,000 |
|
|
|
1,055,019 |
(b)(c)(d) |
| Structured Adjustable Rate Mortgage Loan Trust, 2004-18 1A2 |
|
|
4.854 |
% |
|
|
12/25/34 |
|
|
|
133,313 |
|
|
|
115,480 |
(b) |
| Structured Adjustable Rate Mortgage Loan Trust, 2005-4 1A1 |
|
|
4.821 |
% |
|
|
3/25/35 |
|
|
|
97,949 |
|
|
|
81,719 |
(b) |
| Structured Adjustable Rate Mortgage Loan Trust, 2005-7 1A3 |
|
|
4.872 |
% |
|
|
4/25/35 |
|
|
|
35,279 |
|
|
|
31,707 |
(b) |
| Structured Asset Investment Loan Trust, 2004-8 M9 (1 mo. Term SOFR +
3.864%) |
|
|
9.184 |
% |
|
|
9/25/34 |
|
|
|
297,405 |
|
|
|
237,549 |
(b) |
| Verus Securitization Trust, 2022-INV2 M1 |
|
|
6.813 |
% |
|
|
10/25/67 |
|
|
|
1,430,000 |
|
|
|
1,386,755 |
(b)(c)(d) |
| Verus Securitization Trust, 2023-3 B1 |
|
|
7.979 |
% |
|
|
3/25/68 |
|
|
|
1,200,000 |
|
|
|
1,165,245 |
(b)(c)(d) |
| Verus Securitization Trust, 2023-4 B1 |
|
|
8.230 |
% |
|
|
5/25/68 |
|
|
|
1,170,000 |
|
|
|
1,147,394 |
(b)(c)(d) |
| Verus Securitization Trust, 2023-5 B1 |
|
|
8.124 |
% |
|
|
6/25/68 |
|
|
|
1,200,000 |
|
|
|
1,173,828 |
(b)(c)(d) |
| Verus Securitization Trust, 2023-INV1 A3 |
|
|
6.758 |
% |
|
|
2/25/68 |
|
|
|
1,338,273 |
|
|
|
1,327,609 |
(c)(d) |
| Wachovia Mortgage Loan Trust LLC, 2005-B 2A2 |
|
|
5.035 |
% |
|
|
10/20/35 |
|
|
|
6,914 |
|
|
|
6,617 |
(b) |
| WaMu Mortgage Pass-Through Certificates Trust, 2005-8 1A6 (-3.667 x 1 mo. Term SOFR + 22.864%) |
|
|
3.358 |
% |
|
|
10/25/35 |
|
|
|
100,688 |
|
|
|
74,862 |
(b) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
9 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| WaMu Mortgage Pass-Through Certificates Trust, 2005-9 5A4 (-7.333 x 1 mo. Term SOFR + 35.094%) |
|
|
0.000 |
% |
|
|
11/25/35 |
|
|
$ |
39,786 |
|
|
$ |
22,596 |
(b) |
| WaMu Mortgage Pass-Through Certificates Trust, 2005-10 2A3
(1 mo. Term SOFR + 1.014%) |
|
|
5.750 |
% |
|
|
11/25/35 |
|
|
|
69,789 |
|
|
|
58,269 |
(b) |
| WaMu Mortgage Pass-Through Certificates Trust, 2005-AR2 B1 (1 mo. Term
SOFR + 0.909%) |
|
|
6.229 |
% |
|
|
1/25/45 |
|
|
|
1,325,677 |
|
|
|
1,065,706 |
(b)(c) |
| WaMu Mortgage Pass-Through Certificates Trust, 2005-AR13 A1C3 (1 mo. Term SOFR + 1.094%) |
|
|
6.414 |
% |
|
|
10/25/45 |
|
|
|
78,602 |
|
|
|
72,935 |
(b) |
| WaMu Mortgage Pass-Through Certificates Trust, 2006-AR10 A1 (1 mo. Term SOFR + 0.314%) |
|
|
5.534 |
% |
|
|
12/25/36 |
|
|
|
242,348 |
|
|
|
118,986 |
(b) |
| WaMu Mortgage Pass-Through Certificates Trust, 2006-AR16 2A2 |
|
|
3.444 |
% |
|
|
12/25/36 |
|
|
|
100,762 |
|
|
|
86,509 |
(b) |
| Wells Fargo Alternative Loan Trust, 2007- PA1 A12, IO (-1.000 x 1 mo. Term SOFR
+ 5.346%) |
|
|
0.026 |
% |
|
|
3/25/37 |
|
|
|
1,106,129 |
|
|
|
27,468 |
(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost -
$148,542,418) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
144,718,739 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES(a) - 45.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 280 Park Avenue Mortgage Trust, 2017-280P E (1 mo. Term SOFR + 2.169%) |
|
|
7.749 |
% |
|
|
9/15/34 |
|
|
|
1,180,000 |
|
|
|
1,025,863 |
(b)(d) |
| BANK, 2021-BN35 K |
|
|
1.766 |
% |
|
|
6/15/64 |
|
|
|
4,703,147 |
|
|
|
979,524 |
(b)(d) |
| BANK, 2022-BNK43 E |
|
|
3.000 |
% |
|
|
8/15/55 |
|
|
|
1,500,000 |
|
|
|
705,486 |
(d) |
| Benchmark Mortgage Trust, 2019-B12 WMA |
|
|
4.388 |
% |
|
|
8/15/52 |
|
|
|
1,300,000 |
|
|
|
941,427 |
(b)(d) |
| Benchmark Mortgage Trust, 2023-V3 D |
|
|
4.000 |
% |
|
|
7/15/56 |
|
|
|
1,100,000 |
|
|
|
774,347 |
(d) |
| BPR Trust, 2021-TY F (1 mo. Term SOFR + 4.314%) |
|
|
9.647 |
% |
|
|
9/15/38 |
|
|
|
1,000,000 |
|
|
|
930,996 |
(b)(d) |
| BSREP Commercial Mortgage Trust, 2021-DC HRR (1 mo. Term SOFR +
5.614%) |
|
|
10.947 |
% |
|
|
8/15/38 |
|
|
|
3,351,089 |
|
|
|
2,037,835 |
(b)(d) |
| BX Commercial Mortgage Trust, 2019-IMC F (1 mo. Term SOFR +
3.014%) |
|
|
8.346 |
% |
|
|
4/15/34 |
|
|
|
2,000,000 |
|
|
|
1,962,019 |
(b)(d) |
| BX Commercial Mortgage Trust, 2021-XL2 J (1 mo. Term SOFR +
4.004%) |
|
|
9.336 |
% |
|
|
10/15/38 |
|
|
|
1,954,825 |
|
|
|
1,850,114 |
(b)(d) |
| BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR +
4.106%) |
|
|
9.438 |
% |
|
|
2/15/39 |
|
|
|
931,580 |
|
|
|
890,507 |
(b)(d) |
| CSMC OA LLC, 2014-USA F |
|
|
4.373 |
% |
|
|
9/15/37 |
|
|
|
2,720,000 |
|
|
|
1,106,805 |
(d) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
10 |
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES(a) - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CSMC Trust, 2017-CHOP F (PRIME + 1.294%) |
|
|
9.794 |
% |
|
|
7/15/32 |
|
|
$ |
1,620,000 |
|
|
$ |
1,490,137 |
(b)(d) |
| CSMC Trust, 2017-CHOP H (PRIME + 4.294%) |
|
|
12.794 |
% |
|
|
7/15/32 |
|
|
|
1,509,000 |
|
|
|
1,380,371 |
(b)(d) |
| CSMC Trust, 2021-4SZN A (1 mo. Term SOFR + 3.967%) |
|
|
9.300 |
% |
|
|
11/15/23 |
|
|
|
1,750,000 |
|
|
|
1,697,414 |
(b)(d) |
| CSMC Trust, 2021-ADV G (1 mo. Term SOFR + 6.364%) |
|
|
11.697 |
% |
|
|
7/15/38 |
|
|
|
2,080,000 |
|
|
|
1,598,315 |
(b)(d) |
| Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Credit Risk,
2021-MN1 B1 (30 Day Average SOFR + 7.750%) |
|
|
13.065 |
% |
|
|
1/25/51 |
|
|
|
950,000 |
|
|
|
949,161 |
(b)(d) |
| FREMF Mortgage Trust, 2021-F117 CS (30 Day Average SOFR + 6.400%) |
|
|
11.711 |
% |
|
|
7/25/31 |
|
|
|
1,145,808 |
|
|
|
1,141,684 |
(b)(d) |
| FRESB Mortgage Trust, 2018-SB48 B |
|
|
4.308 |
% |
|
|
2/25/38 |
|
|
|
3,069,328 |
|
|
|
2,390,159 |
(b)(d) |
| GS Mortgage Securities Corp. Trust, 2018- LUAU G (1 mo. Term SOFR + 4.497%) |
|
|
9.829 |
% |
|
|
11/15/32 |
|
|
|
2,500,000 |
|
|
|
2,455,354 |
(b)(d) |
| GS Mortgage Securities Corp. Trust, 2000-1A A (1 mo. Term SOFR +
0.464%) |
|
|
5.789 |
% |
|
|
3/20/24 |
|
|
|
7,178 |
|
|
|
7,177 |
(b)(d) |
| GS Mortgage Securities Corp. Trust, 2019- SMP G (1 mo. Term SOFR + 4.614%) |
|
|
9.947 |
% |
|
|
8/15/32 |
|
|
|
1,500,000 |
|
|
|
1,394,990 |
(b)(d) |
| GS Mortgage Securities Trust, 2007-GG10 AJ |
|
|
5.818 |
% |
|
|
8/10/45 |
|
|
|
1,004,811 |
|
|
|
218,546 |
(b) |
| GS Mortgage Securities Trust, 2015-GC30 D |
|
|
3.384 |
% |
|
|
5/10/50 |
|
|
|
750,000 |
|
|
|
605,805 |
|
| GS Mortgage Securities Trust, 2015-GC32 D |
|
|
3.345 |
% |
|
|
7/10/48 |
|
|
|
700,000 |
|
|
|
593,138 |
|
| Hawaii Hotel Trust, 2019-MAUI F (1 mo. Term SOFR + 2.797%) |
|
|
8.129 |
% |
|
|
5/15/38 |
|
|
|
1,000,000 |
|
|
|
972,749 |
(b)(d) |
| Hawaii Hotel Trust, 2019-MAUI G (1 mo. Term SOFR + 3.197%) |
|
|
8.529 |
% |
|
|
5/15/38 |
|
|
|
1,697,000 |
|
|
|
1,623,727 |
(b)(d) |
| HIT Trust, 2022-HI32 G (1 mo. Term SOFR + 7.228%) |
|
|
12.560 |
% |
|
|
7/15/24 |
|
|
|
1,938,278 |
|
|
|
1,915,881 |
(b)(d) |
| JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ |
|
|
6.561 |
% |
|
|
2/15/51 |
|
|
|
22,739 |
|
|
|
20,402 |
(b) |
| JPMorgan Chase Commercial Mortgage Securities Trust, 2018-PHMZ M (1 mo. Term SOFR + 8.622%) |
|
|
13.955 |
% |
|
|
6/15/35 |
|
|
|
3,000,000 |
|
|
|
30 |
*(b)(d)(g) |
| JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST G (1 mo. Term SOFR + 4.614%) |
|
|
9.946 |
% |
|
|
12/15/36 |
|
|
|
988,000 |
|
|
|
98,868 |
(b)(d) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
11 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES(a) - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST H (1 mo. Term SOFR + 7.114%) |
|
|
12.446 |
% |
|
|
12/15/36 |
|
|
$ |
1,033,000 |
|
|
$ |
49,139 |
(b)(d) |
| JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN HFL (1 mo. Term
SOFR + 4.364%) |
|
|
9.695 |
% |
|
|
1/16/37 |
|
|
|
120,216 |
|
|
|
106,752 |
(b)(d) |
| JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYMZ M (1 mo. Term SOFR + 7.364%) |
|
|
12.697 |
% |
|
|
6/15/26 |
|
|
|
1,250,000 |
|
|
|
1,213,588 |
(b)(d) |
| KIND Trust, 2021-KIND F (1 mo. Term SOFR + 4.064%) |
|
|
9.396 |
% |
|
|
8/15/38 |
|
|
|
1,797,012 |
|
|
|
1,655,944 |
(b)(d) |
| Med Trust, 2021-MDLN G (1 mo. Term SOFR + 5.364%) |
|
|
10.696 |
% |
|
|
11/15/38 |
|
|
|
2,089,970 |
|
|
|
1,984,390 |
(b)(d) |
| ML-CFC Commercial Mortgage Trust,
2007-5 AJ |
|
|
5.450 |
% |
|
|
8/12/48 |
|
|
|
44,074 |
|
|
|
11,136 |
(b) |
| ML-CFC Commercial Mortgage Trust,
2007-9 AJ |
|
|
6.193 |
% |
|
|
9/12/49 |
|
|
|
16,356 |
|
|
|
15,703 |
(b) |
| ML-CFC Commercial Mortgage Trust,
2007-9 AJA |
|
|
6.222 |
% |
|
|
9/12/49 |
|
|
|
3,811 |
|
|
|
3,658 |
(b) |
| Morgan Stanley Capital I Trust, 2007-IQ16 AJ |
|
|
6.282 |
% |
|
|
12/12/49 |
|
|
|
84,073 |
|
|
|
41,599 |
(b) |
| MRCD Mortgage Trust, 2019-PRKC A |
|
|
4.250 |
% |
|
|
12/15/36 |
|
|
|
2,048,000 |
|
|
|
1,596,404 |
(b)(d) |
| Multifamily CAS Trust, 2019-1 CE (30 Day Average SOFR + 8.864%) |
|
|
14.179 |
% |
|
|
10/25/49 |
|
|
|
2,500,000 |
|
|
|
2,443,804 |
(b)(d) |
| Multifamily CAS Trust, 2020-1 CE (30 Day Average SOFR + 7.614%) |
|
|
12.929 |
% |
|
|
3/25/50 |
|
|
|
1,500,000 |
|
|
|
1,493,285 |
(b)(d) |
| Natixis Commercial Mortgage Securities Trust, 2019-FAME D |
|
|
4.544 |
% |
|
|
8/15/36 |
|
|
|
1,900,000 |
|
|
|
1,236,962 |
(b)(d) |
| Natixis Commercial Mortgage Securities Trust, 2019-FAME E |
|
|
4.544 |
% |
|
|
8/15/36 |
|
|
|
950,000 |
|
|
|
519,203 |
(b)(d) |
| Natixis Commercial Mortgage Securities Trust, 2022-JERI G (1 mo. Term SOFR + 7.458%) |
|
|
12.790 |
% |
|
|
1/15/39 |
|
|
|
3,500,000 |
|
|
|
2,697,056 |
(b)(d) |
| Natixis Commercial Mortgage Securities Trust, 2022-RRI E (1 mo. Term SOFR
+ 5.193%) |
|
|
10.525 |
% |
|
|
3/15/35 |
|
|
|
1,395,320 |
|
|
|
1,396,650 |
(b)(d) |
| NCMF Trust, 2022-MFP G (1 mo. Term SOFR + 5.128%) |
|
|
10.460 |
% |
|
|
3/15/39 |
|
|
|
2,200,000 |
|
|
|
2,098,160 |
(b)(d) |
| RIAL Issuer Ltd., 2022-FL8 E (1 mo. Term SOFR + 5.500%) |
|
|
10.831 |
% |
|
|
1/19/37 |
|
|
|
1,500,000 |
|
|
|
1,369,119 |
(b)(d) |
| River Haus, 2021 A-2 |
|
|
6.950 |
% |
|
|
8/15/24 |
|
|
|
1,500,000 |
|
|
|
1,497,127 |
(h)(i)(j) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
12 |
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| COMMERCIAL MORTGAGE-BACKED SECURITIES(a) - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SMR Mortgage Trust, 2022-IND G (1 mo. Term SOFR + 7.500%) |
|
|
12.832 |
% |
|
|
2/15/39 |
|
|
$ |
1,855,450 |
|
|
$ |
1,501,289 |
(b)(d) |
| Soho Trust, 2021-SOHO D |
|
|
2.786 |
% |
|
|
8/10/38 |
|
|
|
1,500,000 |
|
|
|
881,743 |
(b)(d) |
| Starwood Retail Property Trust, 2014-STAR D |
|
|
8.500 |
% |
|
|
11/15/27 |
|
|
|
1,000,000 |
|
|
|
40,000 |
(b)(d) |
| Starwood Retail Property Trust, 2014-STAR E |
|
|
8.500 |
% |
|
|
11/15/27 |
|
|
|
1,600,000 |
|
|
|
8,021 |
(b)(d) |
| Tharaldson Hotel Portfolio Trust, 2018-THL E (1 mo. Term SOFR +
3.594%) |
|
|
8.922 |
% |
|
|
11/11/34 |
|
|
|
1,012,600 |
|
|
|
980,609 |
(b)(d) |
| Tharaldson Hotel Portfolio Trust, 2018-THL F (1 mo. Term SOFR +
4.367%) |
|
|
9.695 |
% |
|
|
11/11/34 |
|
|
|
769,576 |
|
|
|
742,329 |
(b)(d) |
| Wells Fargo Commercial Mortgage Trust, 2017-C42 D |
|
|
2.800 |
% |
|
|
12/15/50 |
|
|
|
1,000,000 |
|
|
|
583,600 |
(b)(d) |
| Wells Fargo Commercial Mortgage Trust, 2022-JS2 G |
|
|
3.569 |
% |
|
|
12/15/39 |
|
|
|
2,200,000 |
|
|
|
1,333,597 |
(b)(d) |
| WFRBS Commercial Mortgage Trust, 2014- C19 D |
|
|
4.234 |
% |
|
|
3/15/47 |
|
|
|
825,000 |
|
|
|
720,378 |
(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost - $78,446,530) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
61,980,076 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
FACE
AMOUNT/
UNITS |
|
|
|
|
| ASSET-BACKED SECURITIES - 11.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AccessLex Institute, 2004-A B1 (28 day Auction Rate Security) |
|
|
6.946 |
% |
|
|
7/1/39 |
|
|
|
100,000 |
|
|
|
85,838 |
(b) |
| AMSR Trust, 2023-SFR2 E1 |
|
|
3.950 |
% |
|
|
6/17/40 |
|
|
|
1,690,000 |
|
|
|
1,414,013 |
(c)(d) |
| Applebee’s Funding LLC/IHOP Funding LLC, 2023-1A A2 |
|
|
7.824 |
% |
|
|
3/5/53 |
|
|
|
1,000,000 |
|
|
|
989,306 |
(d) |
| BankAmerica Manufactured Housing Contract Trust, 1996-1 B1 |
|
|
7.875 |
% |
|
|
10/10/26 |
|
|
|
7,866,000 |
|
|
|
251,255 |
|
| BCMSC Trust, 1998-B A |
|
|
6.530 |
% |
|
|
10/15/28 |
|
|
|
152,609 |
|
|
|
147,998 |
(b) |
| Cascade MH Asset Trust, 2019-MH1 M |
|
|
5.985 |
% |
|
|
11/25/44 |
|
|
|
1,150,000 |
|
|
|
1,087,091 |
(b)(d) |
| Hertz Vehicle Financing LLC, 2023-2A D |
|
|
9.400 |
% |
|
|
9/25/29 |
|
|
|
690,000 |
|
|
|
696,068 |
(d) |
| Hertz Vehicle Financing LLC, 2022-4A D |
|
|
6.560 |
% |
|
|
9/25/26 |
|
|
|
1,700,000 |
|
|
|
1,623,487 |
(d) |
| Loanpal Solar Loan Ltd., 2020-3GS C |
|
|
3.500 |
% |
|
|
12/20/47 |
|
|
|
717,905 |
|
|
|
448,681 |
(d) |
| Loanpal Solar Loan Ltd., 2021-1GS C |
|
|
3.500 |
% |
|
|
1/20/48 |
|
|
|
778,124 |
|
|
|
509,147 |
(d) |
| Lunar Structured Aircraft Portfolio Notes, 2021-1 C |
|
|
5.682 |
% |
|
|
10/15/46 |
|
|
|
1,619,880 |
|
|
|
1,348,085 |
(d) |
| National Collegiate Student Loan Trust, 2006-3 B (1 mo. USD LIBOR +
0.360%) |
|
|
5.794 |
% |
|
|
1/26/32 |
|
|
|
1,710,000 |
|
|
|
1,318,799 |
(b) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
13 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| 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) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| National Collegiate Class A-3L Commutation Trust, 2007-4VI O (1 mo. USD LIBOR + 0.850%) |
|
|
6.284 |
% |
|
|
3/29/38 |
|
|
$ |
5,942,187 |
|
|
$ |
1,012,953 |
(b)(d) |
| Nelnet Student Loan Trust, 2021-DA D |
|
|
4.380 |
% |
|
|
4/20/62 |
|
|
|
1,200,000 |
|
|
|
928,132 |
(d) |
| RBS Acceptance Inc., 1995-BA1 B2 |
|
|
— |
|
|
|
8/10/20 |
|
|
|
2,191,561 |
|
|
|
66 |
*(e) |
| SMB Private Education Loan Trust, 2014-A R |
|
|
0.000 |
% |
|
|
9/15/45 |
|
|
|
6,875 |
|
|
|
499,457 |
(d) |
| SoFi Professional Loan Program LLC, 2017-F R1 |
|
|
0.000 |
% |
|
|
1/25/41 |
|
|
|
34,000 |
|
|
|
433,104 |
(d) |
| Stonepeak, 2021-1A B |
|
|
3.821 |
% |
|
|
2/28/33 |
|
|
|
1,012,487 |
|
|
|
858,685 |
(d) |
| Sunnova Hellios II Issuer LLC, 2018-1A B |
|
|
7.710 |
% |
|
|
7/20/48 |
|
|
|
924,028 |
|
|
|
806,024 |
(d) |
| Thrust Engine Leasing, 2021-1A A |
|
|
4.163 |
% |
|
|
7/15/40 |
|
|
|
1,526,519 |
|
|
|
1,317,325 |
(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL ASSET-BACKED SECURITIES
(Cost - $21,345,293) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,775,514 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
FACE
AMOUNT |
|
|
|
|
| CORPORATE BONDS & NOTES - 6.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CONSUMER DISCRETIONARY - 1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Automobiles - 1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ford Motor Co., Senior Notes |
|
|
4.750 |
% |
|
|
1/15/43 |
|
|
|
1,750,000 |
|
|
|
1,279,209 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FINANCIALS - 4.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Banks - 3.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| BNP Paribas SA, Junior Subordinated Notes (9.250% to 11/17/27 then 5 year Treasury Constant Maturity Rate +
4.969%) |
|
|
9.250 |
% |
|
|
11/17/27 |
|
|
|
750,000 |
|
|
|
769,185 |
(b)(d)(k) |
| Citigroup Inc., Junior Subordinated Notes (4.000% to 12/10/25 then 5 year Treasury Constant Maturity Rate +
3.597%) |
|
|
4.000 |
% |
|
|
12/10/25 |
|
|
|
750,000 |
|
|
|
657,938 |
(b)(k) |
| Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year ICE Swap Rate + 6.185%) |
|
|
8.125 |
% |
|
|
12/23/25 |
|
|
|
750,000 |
|
|
|
746,809 |
(b)(d)(k) |
| HSBC Holdings PLC, Junior Subordinated Notes (8.000% to 9/7/28 then 5 year Treasury Constant Maturity Rate +
3.858%) |
|
|
8.000 |
% |
|
|
3/7/28 |
|
|
|
750,000 |
|
|
|
740,458 |
(b)(k) |
| 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 |
|
|
|
674,225 |
(b)(k) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
14 |
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| Banks - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Nordea Bank Abp, Junior Subordinated Notes (6.625% to 3/26/26 then 5 year Treasury Constant Maturity Rate +
4.110%) |
|
|
6.625 |
% |
|
|
3/26/26 |
|
|
$ |
750,000 |
|
|
$ |
703,944 |
(b)(k)(l) |
| Toronto-Dominion Bank, Junior Subordinated Notes (8.125% to 10/31/27 then 5 year Treasury Constant Maturity Rate +
4.075%) |
|
|
8.125 |
% |
|
|
10/31/82 |
|
|
|
750,000 |
|
|
|
748,016 |
(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,040,575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Insurance - 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 |
|
|
|
570,084 |
(b)(d)(k) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL FINANCIALS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,610,659 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS - 1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Aerospace & Defense - 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bombardier Inc., Senior Notes |
|
|
7.500 |
% |
|
|
2/1/29 |
|
|
|
1,000,000 |
|
|
|
950,256 |
(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Passenger Airlines - 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes |
|
|
5.750 |
% |
|
|
4/20/29 |
|
|
|
1,060,000 |
|
|
|
986,728 |
(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INDUSTRIALS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,936,984 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| REAL ESTATE - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Real Estate Management & Development - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cushman & Wakefield US Borrower LLC, Senior Secured Notes |
|
|
8.875 |
% |
|
|
9/1/31 |
|
|
|
150,000 |
|
|
|
145,259 |
(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL CORPORATE BONDS & NOTES
(Cost - $9,179,272) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,972,111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CONVERTIBLE BONDS & NOTES - 2.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FINANCIALS - 2.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage Real Estate Investment Trusts (REITs) - 2.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PennyMac Corp., Senior Notes |
|
|
5.500 |
% |
|
|
3/15/26 |
|
|
|
1,550,000 |
|
|
|
1,398,875 |
|
| Two Harbors Investment Corp., Senior Notes |
|
|
6.250 |
% |
|
|
1/15/26 |
|
|
|
1,835,000 |
|
|
|
1,697,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL CONVERTIBLE BONDS & NOTES
(Cost - $3,027,604) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,096,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SENIOR LOANS - 1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FINANCIALS - 1.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Services - 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Greystone Select Holdings LLC, Term Loan B |
|
|
— |
|
|
|
6/16/28 |
|
|
|
996,835 |
|
|
|
986,867 |
(m) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
15 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
| (Percentages shown based on Fund net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT |
|
|
VALUE |
|
| Mortgage Real Estate Investment Trusts (REITs) - 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Apollo Commercial Real Estate Finance Inc., Initial Term Loan |
|
|
— |
|
|
|
5/15/26 |
|
|
$ |
498,698 |
|
|
$ |
489,971 |
(i)(m) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL FINANCIALS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,476,838 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| REAL ESTATE - 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Real Estate Management & Development - 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cushman & Wakefield US Borrower LLC, 2023-2 Refinancing Term Loan (1
mo. Term SOFR + 4.000%) |
|
|
9.316 |
% |
|
|
1/31/30 |
|
|
|
500,000 |
|
|
|
496,875 |
(b)(n)(o) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SENIOR LOANS
(Cost - $1,964,390) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,973,713 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $262,505,507) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
236,516,403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
SHARES |
|
|
|
|
| SHORT-TERM INVESTMENTS - 2.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Western Asset Premier Institutional Government Reserves, Premium Shares (Cost - $3,565,436) |
|
|
5.259 |
% |
|
|
|
|
|
|
3,565,436 |
|
|
|
3,565,436 |
(p)(q) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 176.3%
(Cost - $266,070,943) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
240,081,839 |
|
| Liabilities in Excess of Other Assets - (76.3)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(103,900,525 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL NET ASSETS - 100.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
136,181,314 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
16 |
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
| * |
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, 2023. |
| (f) |
Securities traded on a when-issued or delayed delivery basis. |
| (g) |
The coupon payment on this security is currently in default as of September 30, 2023.
|
| (h) |
Security is valued in good faith in accordance with procedures approved by the Board of Directors (Note 1).
|
| (i) |
Security is valued using significant unobservable inputs (Note 1). |
| (j) |
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 $1,500,000. |
| (k) |
Security has no maturity date. The date shown represents the next call date. |
| (l) |
Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to
securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
| (m) |
All or a portion of this loan has not settled as of September 30, 2023. Interest rates are not effective
until settlement date. Interest rates shown, if any, are for the settled portion of the loan. |
| (n) |
Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are
attributable to multiple contracts under the same loan. |
| (o) |
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. |
| (p) |
Rate shown is one-day yield as of the end of the reporting period.
|
| (q) |
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, 2023, the total market value of investments in Affiliated
Companies was $3,565,436 and the cost was $3,565,436 (Note 2). |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
17 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
Abbreviation(s) used in this schedule:
|
|
|
| CAS |
|
— Connecticut Avenue Securities |
| CMT |
|
— Constant Maturity Treasury |
| ICE |
|
— Intercontinental Exchange |
| IO |
|
— Interest Only |
| LIBOR |
|
— London Interbank Offered Rate |
| PAC |
|
— Planned Amortization Class |
| PO |
|
— Principal Only |
| REMIC |
|
— Real Estate Mortgage Investment Conduit |
| Re-REMIC |
|
— Resecuritization of Real Estate Mortgage Investment Conduit |
| SOFR |
|
— Secured Overnight Financing Rate |
| USD |
|
— United States Dollar |
At September 30, 2023, the Fund had the following open reverse repurchase agreements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COUNTERPARTY |
|
RATE |
|
|
EFFECTIVE
DATE |
|
|
MATURITY
DATE |
|
|
FACE AMOUNT
OF REVERSE
REPURCHASE
AGREEMENTS |
|
|
ASSET CLASS
OF COLLATERAL* |
|
|
COLLATERAL
VALUE** |
|
| Nomura Securities Inc. |
|
|
7.323 |
% |
|
|
7/14/2023 |
|
|
|
10/4/2024 |
|
|
$ |
95,747,000 |
|
|
|
Residential Mortgage-
Backed Securities |
|
|
$ |
113,178,222 |
|
| Nomura Securities Inc. |
|
|
7.378 |
% |
|
|
8/3/2023 |
|
|
|
10/4/2024 |
|
|
|
2,579,000 |
|
|
|
Residential Mortgage-
Backed Securities
Asset-Backed
Securities |
|
|
|
2,940,901 |
|
| Nomura Securities Inc. |
|
|
7.409 |
% |
|
|
9/8/2023 |
|
|
|
10/4/2024 |
|
|
|
1,651,000 |
|
|
|
Residential Mortgage-
Backed Securities |
|
|
|
1,886,803 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
99,977,000 |
|
|
|
|
|
|
$ |
118,005,926 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Refer to the Schedule of Investments for positions held at the counterparty as collateral for reverse
repurchase agreements. |
| ** |
Including accrued interest. |
At September 30, 2023, the Fund had the following open futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Notional
Amount |
|
|
Market
Value |
|
|
Unrealized
Appreciation |
|
| Contracts to Sell: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 3-Month SOFR |
|
|
55 |
|
|
|
12/24 |
|
|
$ |
13,111,197 |
|
|
$ |
13,074,875 |
|
|
$ |
36,322 |
|
| 3-Month SOFR |
|
|
56 |
|
|
|
3/25 |
|
|
|
13,391,582 |
|
|
|
13,357,400 |
|
|
|
34,182 |
|
| U.S. Treasury 10-Year Notes |
|
|
57 |
|
|
|
12/23 |
|
|
|
6,271,441 |
|
|
|
6,159,562 |
|
|
|
111,879 |
|
| U.S. Treasury Long-Term Bonds |
|
|
34 |
|
|
|
12/23 |
|
|
|
4,078,348 |
|
|
|
3,868,563 |
|
|
|
209,785 |
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
18 |
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
|
|
|
| Schedule of investments (unaudited) (cont’d) |
|
September 30, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Notional
Amount |
|
|
Market
Value |
|
|
Unrealized
Appreciation |
|
| Contracts to Sell continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Ultra 10-Year Notes |
|
|
30 |
|
|
|
12/23 |
|
|
$ |
3,432,440 |
|
|
$ |
3,346,875 |
|
|
$ |
85,565 |
|
| U.S. Treasury Ultra Long-Term Bonds |
|
|
6 |
|
|
|
12/23 |
|
|
|
761,029 |
|
|
|
712,125 |
|
|
|
48,904 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net unrealized appreciation on open futures contracts |
|
|
$ |
526,637 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Abbreviation(s) used in this table:
|
|
|
| SOFR |
|
— Secured Overnight Financing Rate |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the
date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Mortgage Opportunity Fund Inc. 2023 Quarterly Report |
|
19 |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Mortgage Opportunity Fund Inc. (the “Fund”) was incorporated in Maryland on December 11, 2009 and is registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund’s primary investment
objective is to provide current income. As a secondary investment objective, the Fund will seek capital appreciation. The Fund seeks to achieve its investment objectives by investing primarily in a diverse portfolio of mortgage-backed securities
(“MBS”) and mortgage whole loans. Investments in MBS consist primarily of non-agency residential mortgage-backed securities (“RMBS”) and commercial mortgage-backed securities
(“CMBS”).
The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting
Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted
accounting principles (“GAAP”), including, but not limited to, ASC 946.
(a) Investment valuation. The valuations for fixed income
securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by
independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as
issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset
value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are
valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the
currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be
determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are
not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund
values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.
Notes to Schedule of Investments (unaudited) (continued)
Pursuant to policies adopted by the Board of Directors, 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 Directors. When determining the reliability of third party pricing
information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible
methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or
fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the
issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions;
information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable
companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the
policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are
reported to the Board of Directors quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach
and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income
approach uses valuation techniques to discount estimated future cash flows to present value.
Notes to Schedule of Investments (unaudited) (continued)
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation
techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| |
• |
|
Level 1 – unadjusted quoted prices in active markets for identical investments |
| |
• |
|
Level 2 – other significant observable inputs (including quoted prices for similar investments,
interest rates, prepayment speeds, credit risk, etc.) |
| |
• |
|
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the
fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk
associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 |
|
|
— |
|
|
$ |
144,718,739 |
|
|
|
— |
|
|
$ |
144,718,739 |
|
| Commercial Mortgage-Backed Securities |
|
|
— |
|
|
|
60,482,949 |
|
|
$ |
1,497,127 |
|
|
|
61,980,076 |
|
| Asset-Backed Securities |
|
|
— |
|
|
|
15,775,514 |
|
|
|
— |
|
|
|
15,775,514 |
|
| Corporate Bonds & Notes |
|
|
— |
|
|
|
8,972,111 |
|
|
|
— |
|
|
|
8,972,111 |
|
| Convertible Bonds & Notes |
|
|
— |
|
|
|
3,096,250 |
|
|
|
— |
|
|
|
3,096,250 |
|
| Senior Loans: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials |
|
|
— |
|
|
|
986,867 |
|
|
|
489,971 |
|
|
|
1,476,838 |
|
| Real Estate |
|
|
— |
|
|
|
496,875 |
|
|
|
— |
|
|
|
496,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Long-Term Investments |
|
|
— |
|
|
|
234,529,305 |
|
|
|
1,987,098 |
|
|
|
236,516,403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short-Term Investments† |
|
$ |
3,565,436 |
|
|
|
— |
|
|
|
— |
|
|
|
3,565,436 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments |
|
$ |
3,565,436 |
|
|
$ |
234,529,305 |
|
|
$ |
1,987,098 |
|
|
$ |
240,081,839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts†† |
|
$ |
526,637 |
|
|
|
— |
|
|
|
— |
|
|
$ |
526,637 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
4,092,073 |
|
|
$ |
234,529,305 |
|
|
$ |
1,987,098 |
|
|
$ |
240,608,476 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| † |
See Schedule of Investments for additional detailed categorizations. |
| †† |
Reflects the unrealized appreciation (depreciation) of the instruments. |
Notes to Schedule of Investments (unaudited) (continued)
The following is a reconciliation of investments in which significant unobservable
inputs (Level 3) were used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities |
|
Balance
as of
December 31,
2022 |
|
|
Accrued
premiums/
discounts |
|
|
Realized
gain
(loss) |
|
|
Change in
unrealized
appreciation
(depreciation) |
|
|
Purchases |
|
| Commercial Mortgage-Backed Securities |
|
$ |
1,499,556 |
|
|
|
— |
|
|
|
— |
|
|
$ |
(2,429 |
) |
|
|
— |
|
| Senior Loans: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
4,987 |
|
|
$ |
484,984 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
1,499,556 |
|
|
|
— |
|
|
|
— |
|
|
$ |
2,558 |
|
|
$ |
484,984 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities (cont’d) |
|
Sales |
|
|
Transfers
into
Level 3 |
|
|
Transfers
out of
Level 3 |
|
|
Balance
as of
September 30,
2023 |
|
|
Net change
in unrealized
appreciation
(depreciation)
for
investments
in securities
still held
at
September 30,
2023 |
|
| Commercial Mortgage-Backed Securities |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
$ |
1,497,127 |
|
|
$ |
(2,429 |
) |
| Senior Loans: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financials |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
489,971 |
|
|
|
4,987 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
$ |
1,987,098 |
|
|
$ |
2,558 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table summarizes the valuation techniques used and unobservable inputs approved by the Valuation Committee to
determine the fair value of certain material Level 3 investments. The table does not include Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment (e.g.,
broker quotes, pricing services, net asset values).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Fair Value
at 09/30/23
(000’s) |
|
|
Valuation
Technique(s) |
|
Unobservable
Input(s) |
|
|
Range/Weighted
Average |
|
|
Impact to Valuation
from an Increase in
Input |
|
| Commercial Mortgage-Backed Securities |
|
$ |
1,497 |
|
|
Discounted Cash Flow Method |
|
|
Yield |
|
|
|
12.65 |
% |
|
|
Decrease |
|
| * |
This column represents the directional change in the fair value of the Level 3 investments that would
result in an increase from the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant increases and decreases in these unobservable inputs in isolation could result in significantly higher
or lower fair value measurements. |
Notes to Schedule of Investments (unaudited) (continued)
2. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under
common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended 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 |
|
$ |
3,367,941 |
|
|
$ |
55,799,990 |
|
|
|
55,799,990 |
|
|
$ |
55,602,495 |
|
|
|
55,602,495 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (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 |
|
|
— |
|
|
$ |
102,146 |
|
|
|
— |
|
|
$ |
3,565,436 |
|
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