WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) | | September 30, 2019 |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a)- 110.4% | | | | | | | | | | | | | |
ACE Securities Corp. Home Equity Loan Trust,2005-RM1 M4 (1 mo. USD LIBOR + 1.020%) | | | 3.038 | % | | | 3/25/35 | | | $ | 3,154,600 | | | $ | 3,108,570 | (b) |
Adjustable Rate Mortgage Trust,2005-5 1A1 | | | 4.126 | % | | | 9/25/35 | | | | 135,427 | | | | 114,636 | (b) |
Adjustable Rate Mortgage Trust,2005-7 2A21 | | | 4.295 | % | | | 10/25/35 | | | | 303,371 | | | | 281,055 | (b) |
Adjustable Rate Mortgage Trust,2005-12 5A1 (1 mo. USD LIBOR + 0.500%) | | | 2.518 | % | | | 3/25/36 | | | | 243,386 | | | | 111,018 | (b) |
Aegis Asset Backed Securities Trust,2005-3 M3 (1 mo. USD LIBOR + 0.490%) | | | 2.508 | % | | | 8/25/35 | | | | 3,460,000 | | | | 2,993,130 | (b) |
AFC Trust,2000-3 1A (1 mo. USD LIBOR + 0.750%) | | | 2.768 | % | | | 10/25/30 | | | | 934,821 | | | | 875,540 | (b)(c) |
Alternative Loan Trust, 2005-11CB 3A3, IO(-1.000 x 1 mo. USD LIBOR + 5.000%) | | | 2.982 | % | | | 6/25/35 | | | | 1,772,323 | | | | 176,207 | (b) |
Alternative Loan Trust,2005-14 3A1 | | | 2.751 | % | | | 5/25/35 | | | | 210,567 | | | | 152,047 | (b) |
Alternative Loan Trust,2005-36 4A1 | | | 4.150 | % | | | 8/25/35 | | | | 400,368 | | | | 384,713 | (b) |
Alternative Loan Trust,2005-61 1A2 (1 mo. USD LIBOR + 0.740%) | | | 2.758 | % | | | 12/25/35 | | | | 1,158,060 | | | | 1,113,905 | (b) |
Alternative Loan Trust,2005-J10 1A1 (1 mo. USD LIBOR + 0.500%) | | | 2.518 | % | | | 10/25/35 | | | | 940,654 | | | | 751,759 | (b) |
Alternative Loan Trust, 2006-HY10 1A1 | | | 3.465 | % | | | 5/25/36 | | | | 320,907 | | | | 280,991 | (b) |
Alternative Loan Trust,2006-J8 A5 | | | 6.000 | % | | | 2/25/37 | | | | 100,223 | | | | 70,220 | |
Alternative Loan Trust,2007-3T1 2A1 | | | 6.000 | % | | | 3/25/27 | | | | 160,820 | | | | 167,869 | |
Alternative Loan Trust, 2007-23CB A8(-4.000 x 1 mo. USD LIBOR + 28.400%) | | | 20.326 | % | | | 9/25/37 | | | | 549,234 | | | | 865,783 | (b) |
Alternative Loan Trust,2007-OA8 1A1 (1 mo. USD LIBOR + 0.180%) | | | 2.198 | % | | | 6/25/47 | | | | 1,274,229 | | | | 1,125,220 | (b) |
American Home Mortgage Assets Trust,2005-2 2A1A | | | 3.722 | % | | | 1/25/36 | | | | 882,115 | | | | 733,689 | (b) |
American Home Mortgage Investment Trust,2007-2 2A (1 mo. USD LIBOR + 0.800%) | | | 2.818 | % | | | 3/25/47 | | | | 12,735,445 | | | | 696,542 | (b) |
American Home Mortgage Investment Trust,2007-A 4A (1 mo. USD LIBOR + 0.900%) | | | 3.045 | % | | | 7/25/46 | | | | 1,924,049 | | | | 883,575 | (b)(c) |
Argent Securities Trust,2006-M2 A2C (1 mo. USD LIBOR + 0.150%) | | | 2.168 | % | | | 9/25/36 | | | | 2,142,750 | | | | 874,994 | (b) |
Argent Securities Trust,2006-M2 A2D (1 mo. USD LIBOR + 0.240%) | | | 2.258 | % | | | 9/25/36 | | | | 565,535 | | | | 234,964 | (b) |
Banc of America Alternative Loan Trust,2005-9 1CB5, IO(-1.000 x 1 mo. USD LIBOR + 5.100%) | | | 3.082 | % | | | 10/25/35 | | | | 2,717,109 | | | | 221,493 | (b) |
Banc of America Funding Corp.,2015-R3 2A2 | | | 2.275 | % | | | 2/27/37 | | | | 2,593,891 | | | | 2,219,473 | (b)(c) |
Banc of America Funding Trust,2004-B 6A1 | | | 2.499 | % | | | 12/20/34 | | | | 371,361 | | | | 310,714 | (b) |
Banc of America Funding Trust,2004-C 3A1 | | | 4.396 | % | | | 12/20/34 | | | | 356,664 | | | | 350,131 | (b) |
Banc of America Funding Trust,2006-D 2A1 | | | 3.537 | % | | | 5/20/36 | | | | 37,866 | | | | 35,226 | (b) |
See Notes to Schedule of Investments.
1
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a)- (continued) | |
Banc of America Funding Trust,2006-F 1A1 | | | 5.018 | % | | | 7/20/36 | | | $ | 188,607 | | | $ | 193,365 | (b) |
Banc of America Funding Trust,2014-R5 1A2 (6 mo. USD LIBOR + 1.500%) | | | 3.543 | % | | | 9/26/45 | | | | 3,750,000 | | | | 3,011,951 | (b)(c) |
Banc of America Funding Trust,2015-R2 3A3 | | | 5.194 | % | | | 4/29/37 | | | | 991,825 | | | | 797,922 | (b)(c) |
Banc of America Funding Trust,2015-R4 4A3 | | | 10.053 | % | | | 1/27/30 | | | | 11,192,175 | | | | 5,396,374 | (b)(c) |
Banc of America Funding Trust,2015-R2 9A2 | | | 2.769 | % | | | 3/27/36 | | | | 4,458,706 | | | | 4,116,193 | (b)(c) |
Bayview Financial Asset Trust, 2007-SR1A M1 (1 mo. USD LIBOR + 0.800%) | | | 2.945 | % | | | 3/25/37 | | | | 2,312,189 | | | | 2,266,817 | (b)(c) |
Bayview Financial Asset Trust, 2007-SR1A M2 (1 mo. USD LIBOR + 0.900%) | | | 3.377 | % | | | 3/25/37 | | | | 2,814,999 | | | | 2,774,756 | (b)(c) |
Bayview Financial Asset Trust, 2007-SR1A M3 (1 mo. USD LIBOR + 1.150%) | | | 3.627 | % | | | 3/25/37 | | | | 1,275,374 | | | | 1,272,779 | (b)(c) |
Bayview Financial Asset Trust, 2007-SR1A M4 (1 mo. USD LIBOR + 1.500%) | | | 3.977 | % | | | 3/25/37 | | | | 550,521 | | | | 553,246 | (b)(c) |
BCAP LLC Trust,2011-RR2 1A4 | | | 4.471 | % | | | 7/26/36 | | | | 3,878,754 | | | | 2,833,357 | (b)(c) |
Bear StearnsALT-A Trust,2005-9 25A1 | | | 4.283 | % | | | 11/25/35 | | | | 293,112 | | | | 254,308 | (b) |
Bear Stearns Asset Backed Securities I Trust,2004-BO1 M9B
(1 mo. USD LIBOR + 4.000%) | | | 6.018 | % | | | 10/25/34 | | | | 617,000 | | | | 631,126 | (b) |
Bear Stearns Asset Backed Securities I Trust,2005-CL1 A1 (1 mo. USD LIBOR + 0.500%) | | | 2.019 | % | | | 9/25/34 | | | | 58,924 | | | | 57,564 | (b) |
Bellemeade Re Ltd.,2017-1 B1 (1 mo. USD LIBOR + 4.750%) | | | 6.768 | % | | | 10/25/27 | | | | 1,070,000 | | | | 1,103,304 | (b)(c) |
Bellemeade Re Ltd.,2018-1A M2 (1 mo. USD LIBOR + 2.900%) | | | 4.918 | % | | | 4/25/28 | | | | 2,510,000 | | | | 2,516,582 | (b)(c) |
Centex Home Equity Loan Trust,2004-D MV1 (1 mo. USD LIBOR + 0.620%) | | | 2.638 | % | | | 9/25/34 | | | | 857,232 | | | | 860,428 | (b) |
Chase Mortgage Finance Trust,2006-S3 2A1 | | | 5.500 | % | | | 11/25/21 | | | | 166,182 | | | | 115,691 | |
ChaseFlex Trust,2005-2 3A3, IO(-1.000 x 1 mo. USD LIBOR + 5.500%) | | | 3.482 | % | | | 6/25/35 | | | | 9,132,595 | | | | 2,014,549 | (b) |
Chevy Chase Funding LLC Mortgage-Backed Certificates,2006-2A A1 (1 mo. USD LIBOR + 0.130%) | | | 2.148 | % | | | 4/25/47 | | | | 118,131 | | | | 118,753 | (b)(c) |
CHL Mortgage Pass-Through Trust,2005-2 2A1 (1 mo. USD LIBOR + 0.640%) | | | 2.658 | % | | | 3/25/35 | | | | 73,516 | | | | 75,439 | (b) |
CHL Mortgage Pass-Through Trust,2005-9 1A1 (1 mo. USD LIBOR + 0.600%) | | | 2.618 | % | | | 5/25/35 | | | | 93,818 | | | | 88,428 | (b) |
CHL Mortgage Pass-Through Trust,2005-11 3A3 | | | 2.863 | %�� | | | 4/25/35 | | | | 409,710 | | | | 345,052 | (b) |
CHL Mortgage Pass-Through Trust,2005-11 6A1 (1 mo. USD LIBOR + 0.600%) | | | 2.618 | % | | | 3/25/35 | | | | 56,668 | | | | 50,990 | (b) |
See Notes to Schedule of Investments.
2
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a)- (continued) | | | | | | | | | | | | | |
CHL Mortgage Pass-Through Trust,2005-18 A7(-2.750 x 1 mo. USD LIBOR + 19.525%) | | | 13.974 | % | | | 10/25/35 | | | $ | 17,579 | | | $ | 23,049 | (b) |
CHL Mortgage Pass-Through Trust, 2005-HY10 1A1 | | | 4.438 | % | | | 2/20/36 | | | | 113,018 | | | | 106,812 | (b) |
CHL Mortgage Pass-Through Trust, 2005-HYB9 1A1 (12 mo. USD LIBOR + 1.750%) | | | 3.939 | % | | | 2/20/36 | | | | 132,899 | | | | 126,432 | (b) |
Citicorp Mortgage Securities Trust,2007-8 B1 | | | 5.974 | % | | | 9/25/37 | | | | 2,901,543 | | | | 1,762,855 | (b) |
Citigroup Mortgage Loan Trust,2006-AR5 2A1A | | | 3.648 | % | | | 7/25/36 | | | | 276,109 | | | | 212,962 | (b) |
Citigroup Mortgage Loan Trust,2008-3 A3 | | | 6.100 | % | | | 4/25/37 | | | | 6,077,291 | | | | 3,330,021 | (c) |
Citigroup Mortgage Loan Trust Inc., 2004-HYB3 1A | | | 4.680 | % | | | 9/25/34 | | | | 58,697 | | | | 60,308 | (b) |
Citigroup Mortgage Loan Trust Inc., 2004-UST1 A2 | | | 3.618 | % | | | 8/25/34 | | | | 22,425 | | | | 22,141 | (b) |
Citigroup Mortgage Loan Trust Inc.,2005-5 1A5 | | | 3.224 | % | | | 8/25/35 | | | | 134,645 | | | | 119,157 | (b) |
Countrywide Asset-Backed Certificates, 2006-SD3 A1 (1 mo. USD LIBOR + 0.330%) | | | 2.348 | % | | | 7/25/36 | | | | 526,822 | | | | 499,177 | (b)(c) |
Countrywide Asset-Backed Certificates, 2007-SEA1 1A1 (1 mo. USD LIBOR + 0.550%) | | | 2.568 | % | | | 5/25/47 | | | | 479,886 | | | | 386,265 | (b)(c) |
Credit Suisse European Mortgage Capital Ltd., 2019-10TF A (3 mo. USD LIBOR + 2.900%, 0.000% floor) | | | 5.000 | % | | | 8/9/24 | | | | 2,500,000 | | | | 2,500,000 | (b)(c) |
Credit-Based Asset Servicing & Securitization LLC,2006-SL1 A3 (1 mo. USD LIBOR + 0.440%) | | | 2.458 | % | | | 9/25/36 | | | | 3,905,007 | | | | 505,519 | (b)(c) |
CSFB Mortgage-Backed Pass-Through Certificates,2005-10 3A3 | | | 5.500 | % | | | 11/25/35 | | | | 313,456 | | | | 267,830 | |
CSMC Resecuritization Trust,2006-1R 1A2(-2.750 x 1 mo. USD LIBOR + 19.525%) | | | 13.878 | % | | | 7/27/36 | | | | 559,757 | | | | 723,692 | (b)(c) |
CSMC Trust,2015-2R 7A2 | | | 4.102 | % | | | 8/27/36 | | | | 3,720,760 | | | | 3,178,797 | (b)(c) |
CSMC Trust,2010-18R 6A5 | | | 4.459 | % | | | 9/28/36 | | | | 2,133,000 | | | | 2,109,814 | (b)(c) |
CSMC Trust,2014-11R 9A2 (1 mo. USD LIBOR + 0.140%) | | | 2.285 | % | | | 10/27/36 | | | | 4,453,765 | | | | 3,562,100 | (b)(c) |
CSMC Trust, 2017-RPL1 B1 | | | 3.082 | % | | | 7/25/57 | | | | 3,052,442 | | | | 2,528,542 | (b)(c) |
CSMC Trust, 2017-RPL1 B2 | | | 3.082 | % | | | 7/25/57 | | | | 3,501,991 | | | | 2,566,301 | (b)(c) |
CSMC Trust, 2017-RPL1 B3 | | | 3.082 | % | | | 7/25/57 | | | | 2,977,486 | | | | 1,883,248 | (b)(c) |
CSMC Trust, 2017-RPL1 B4 | | | 3.082 | % | | | 7/25/57 | | | | 3,406,496 | | | | 511,376 | (b)(c) |
CWABS Asset-Backed Certificates Trust,2005-11 MF1 | | | 5.348 | % | | | 2/25/36 | | | | 2,000,000 | | | | 2,023,710 | (b) |
CWABS Asset-Backed Certificates Trust Inc.,2003-5 MF2 | | | 5.122 | % | | | 11/25/33 | | | | 1,231,187 | | | | 1,251,970 | (b) |
See Notes to Schedule of Investments.
3
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a)- (continued) | | | | | | | | | | | | | |
CWABS Revolving Home Equity Loan Trust,2004-L 2A (1 mo. USD LIBOR + 0.280%) | | | 2.308 | % | | | 2/15/34 | | | $ | 64,454 | | | $ | 62,146 | (b) |
Deutsche Mortgage Securities Inc. Mortgage Loan Trust,2006-PR1 2PO, PO | | | 0.000 | % | | | 4/15/36 | | | | 28,733 | | | | 19,928 | (c) |
Deutsche Mortgage Securities Inc. Mortgage Loan Trust,2006-PR1 4AS1, IO | | | 6.942 | % | | | 4/15/36 | | | | 275,462 | | | | 49,065 | (b)(c) |
Deutsche Mortgage Securities Inc. Mortgage Loan Trust,2006-PR1 4AS2, IO | | | 11.585 | % | | | 4/15/36 | | | | 262,074 | | | | 77,862 | (b)(c) |
Deutsche Mortgage Securities Inc. Mortgage Loan Trust,2006-PR1 5AS1, IO | | | 7.215 | % | | | 4/15/36 | | | | 80,704 | | | | 23,749 | (b)(c) |
Deutsche Mortgage Securities Inc. Mortgage Loan Trust,2006-PR1 5AS3, IO | | | 5.521 | % | | | 4/15/36 | | | | 293,655 | | | | 63,603 | (b)(c) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,2016-1 B, PO | | | 0.000 | % | | | 9/25/55 | | | | 12,497,388 | | | | 1,003,090 | (c) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,2016-1 BIO, IO | | | 1.269 | % | | | 9/25/55 | | | | 29,732,451 | | | | 3,457,557 | (b)(c) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,2016-1 XSIO, IO | | | 0.075 | % | | | 9/25/55 | | | | 218,033,911 | | | | 789,283 | (b)(c) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,2017-2 B, PO | | | 0.000 | % | | | 8/25/56 | | | | 11,721,728 | | | | 1,741,403 | (c) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,2017-2 BIO, IO | | | 1.174 | % | | | 8/25/56 | | | | 19,727,182 | | | | 2,506,260 | (b)(c) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,2017-2 M1 | | | 4.000 | % | | | 8/25/56 | | | | 1,170,000 | | | | 1,178,053 | (b)(c) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,2017-2 XSIO, IO | | | 0.075 | % | | | 8/25/56 | | | | 522,322,602 | | | | 2,097,125 | (b)(c) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,2019-2 M | | | 4.750 | % | | | 8/25/58 | | | | 681,000 | | | | 691,306 | (b)(c) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2019-DNA1 B2 (1 mo. USD LIBOR + 10.750%) | | | 12.768 | % | | | 1/25/49 | | | | 1,500,000 | | | | 1,808,024 | (b)(c) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA2 B (1 mo. USD LIBOR + 10.500%) | | | 12.518 | % | | | 10/25/28 | | | | 496,468 | | | | 690,617 | (b) |
See Notes to Schedule of Investments.
4
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| | | | | | | | | | | | | | | | |
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, 2017-DNA1 B2 (1 mo. USD LIBOR + 10.000%) | | | 12.018 | % | | | 7/25/29 | | | $ | 2,660,156 | | | $ | 2,989,009 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA2 B2 (1 mo. USD LIBOR + 11.250%) | | | 13.268 | % | | | 10/25/29 | | | | 1,783,547 | | | | 2,218,646 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HQA2 B2 (1 mo. USD LIBOR + 11.000%) | | | 13.018 | % | | | 10/25/48 | | | | 3,000,000 | | | | 3,792,802 | (b)(c) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP1 B2 (1 mo. USD LIBOR + 11.750%) | | | 13.768 | % | | | 4/25/43 | | | | 5,676,303 | | | | 6,778,287 | (b)(c) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP2 B2 (1 mo. USD LIBOR + 10.500%) | | | 12.518 | % | | | 2/25/47 | | | | 3,530,000 | | | | 3,923,910 | (b)(c) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA3 B (1 mo. USD LIBOR + 11.250%) | | | 13.268 | % | | | 12/25/28 | | | | 1,033,208 | | | | 1,454,479 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA4 B (1 mo. USD LIBOR + 8.600%) | | | 10.618 | % | | | 3/25/29 | | | | 1,584,424 | | | | 2,029,885 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-SPI4 B | | | 4.459 | % | | | 11/25/48 | | | | 4,880,000 | | | | 2,859,770 | (b)(c) |
Federal National Mortgage Association (FNMA),2012-134 LS, IO(-1.000 x 1 mo. USD LIBOR + 6.150%) | | | 4.132 | % | | | 12/25/42 | | | | 3,071,888 | | | | 637,006 | (b) |
Federal National Mortgage Association (FNMA) - CAS,2017-C05 1B1 (1 mo. USD LIBOR + 3.600%) | | | 5.618 | % | | | 1/25/30 | | | | 1,320,000 | | | | 1,393,961 | (b)(c) |
Federal National Mortgage Association (FNMA) - CAS,2016-C01 1B (1 mo. USD LIBOR + 11.750%) | | | 13.768 | % | | | 8/25/28 | | | | 1,878,427 | | | | 2,703,103 | (b)(c) |
Federal National Mortgage Association (FNMA) - CAS,2016-C04 1B (1 mo. USD LIBOR + 10.250%) | | | 12.268 | % | | | 1/25/29 | | | | 2,632,528 | | | | 3,490,337 | (b)(c) |
Federal National Mortgage Association (FNMA) - CAS,2016-C06 1B (1 mo. USD LIBOR + 9.250%) | | | 11.268 | % | | | 4/25/29 | | | | 4,241,576 | | | | 5,439,625 | (b)(c) |
Federal National Mortgage Association (FNMA) - CAS,2016-C02 1B (1 mo. USD LIBOR + 12.250%) | | | 14.268 | % | | | 9/25/28 | | | | 2,345,427 | | | | 3,380,872 | (b)(c) |
See Notes to Schedule of Investments.
5
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a)- (continued) | | | | | | | | | |
Federal National Mortgage Association (FNMA) - CAS,2016-C03 1B (1 mo. USD LIBOR + 11.750%) | | | 13.768 | % | | | 10/25/28 | | | $ | 1,661,749 | | | $ | 2,358,395 | (b)(c) |
Federal National Mortgage Association (FNMA) - CAS,2018-R07 1B1 (1 mo. USD LIBOR + 4.350%) | | | 6.368 | % | | | 4/25/31 | | | | 3,210,000 | | | | 3,470,427 | (b)(c) |
First Horizon Alternative Mortgage Securities Trust,2005-AA6 3A1 | | | 3.918 | % | | | 8/25/35 | | | | 629,252 | | | | 579,142 | (b) |
First Horizon Alternative Mortgage Securities Trust,2006-FA6 2A1, PAC | | | 6.250 | % | | | 11/25/36 | | | | 96,347 | | | | 64,817 | |
GS Mortgage Securities Corp II,2000-1A A (1 mo. USD LIBOR + 0.350%) | | | 2.744 | % | | | 3/20/23 | | | | 34,410 | | | | 34,507 | (b)(c) |
GSAA Resecuritization Mortgage Trust, 2005-R1 1A2, IO(-1.000 x 1 mo. USD LIBOR + 5.000%) | | | 2.982 | % | | | 4/25/35 | | | | 2,355,456 | | | | 272,818 | (b)(c) |
GSMPS Mortgage Loan Trust,2005-RP1 1A4 | | | 8.500 | % | | | 1/25/35 | | | | 58,263 | | | | 67,297 | (c) |
GSMPS Mortgage Loan Trust,2006-RP1 1A2 | | | 7.500 | % | | | 1/25/36 | | | | 381,256 | | | | 404,274 | (c) |
GSMPS Mortgage Loan Trust,2006-RP1 1A3 | | | 8.000 | % | | | 1/25/36 | | | | 66,038 | | | | 71,412 | (c) |
GSRPM Mortgage Loan Trust,2007-1 A (1 mo. USD LIBOR + 0.400%) | | | 2.418 | % | | | 10/25/46 | | | | 1,435,842 | | | | 1,373,411 | (b)(c) |
HarborView Mortgage Loan Trust,2006-2 1A | | | 4.974 | % | | | 2/25/36 | | | | 22,494 | | | | 14,595 | (b) |
Home Equity Mortgage Trust,2006-1 A3 (1 mo. USD LIBOR + 0.500%) | | | 2.518 | % | | | 5/25/36 | | | | 3,500,000 | | | | 1,429,130 | (b) |
HSI Asset Loan Obligation Trust,2007-AR1 4A1 | | | 4.631 | % | | | 1/25/37 | | | | 131,352 | | | | 112,140 | (b) |
Impac CMB Trust,2004-8 1A (1 mo. USD LIBOR + 0.720%) | | | 2.738 | % | | | 10/25/34 | | | | 300,764 | | | | 302,013 | (b) |
IndyMac INDA Mortgage Loan Trust,2005-AR2 1A1 | | | 3.268 | % | | | 1/25/36 | | | | 72,155 | | | | 66,466 | (b) |
IndyMac INDX Mortgage Loan Trust, 2004-AR13 1A1 | | | 3.422 | % | | | 1/25/35 | | | | 69,531 | | | | 67,300 | (b) |
IndyMac INDX Mortgage Loan Trust, 2005-AR15 A2 | | | 3.819 | % | | | 9/25/35 | | | | 65,476 | | | | 61,719 | (b) |
IndyMac INDX Mortgage Loan Trust,2006-AR7 5A1 | | | 3.811 | % | | | 5/25/36 | | | | 249,586 | | | | 219,598 | (b) |
IndyMac INDX Mortgage Loan Trust,2006-AR9 3A3 | | | 3.753 | % | | | 6/25/36 | | | | 343,798 | | | | 337,781 | (b) |
IndyMac INDX Mortgage Loan Trust, 2006-AR11 1A1 | | | 4.268 | % | | | 6/25/36 | | | | 410,224 | | | | 380,288 | (b) |
JPMorgan Alternative Loan Trust,2007-A1 3A1 | | | 3.940 | % | | | 3/25/37 | | | | 336,924 | | | | 332,983 | (b) |
JPMorgan Mortgage Trust,2005-S3 1A1 | | | 6.500 | % | | | 1/25/36 | | | | 851,260 | | | | 667,950 | |
JPMorgan Mortgage Trust,2007-S2 3A2 | | | 6.000 | % | | | 6/25/37 | | | | 57,824 | | | | 61,200 | |
See Notes to Schedule of Investments.
6
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a)- (continued) | | | | | | | | | | | | | |
JPMorgan Mortgage Trust,2007-S2 3A3 | | | 6.500 | % | | | 6/25/37 | | | $ | 24,986 | | | $ | 26,533 | |
JPMorgan Mortgage Trust,2007-S3 1A18 (1 mo. USD LIBOR + 0.500%) | | | 2.518 | % | | | 8/25/37 | | | | 2,543,729 | | | | 1,296,482 | (b) |
Legacy Mortgage Asset Trust,2019-GS2 A2 | | | 4.250 | % | | | 1/25/59 | | | | 4,520,000 | | | | 4,530,315 | (c) |
Lehman Mortgage Trust,2006-3 1A7, IO(-1.000 x 1 mo. USD LIBOR + 5.400%) | | | 3.382 | % | | | 7/25/36 | | | | 5,884,434 | | | | 1,576,002 | (b) |
Lehman Mortgage Trust,2006-7 1A3, IO(-1.000 x 1 mo. USD LIBOR + 5.350%) | | | 3.332 | % | | | 11/25/36 | | | | 5,394,623 | | | | 1,132,128 | (b) |
Lehman Mortgage Trust,2006-7 1A8 (1 mo. USD LIBOR + 0.180%) | | | 2.198 | % | | | 11/25/36 | | | | 3,943,035 | | | | 2,394,087 | (b) |
Lehman Mortgage Trust,2006-7 3A2, IO(-1.000 x 1 mo. USD LIBOR + 7.150%) | | | 5.132 | % | | | 11/25/36 | | | | 5,515,897 | | | | 1,920,378 | (b) |
Lehman Mortgage Trust,2007-5 2A3 (1 mo. USD LIBOR + 0.330%) | | | 2.348 | % | | | 6/25/37 | | | | 2,988,331 | | | | 671,901 | (b) |
Lehman XS Trust,2005-9N 1A1 (1 mo. USD LIBOR + 0.270%) | | | 2.288 | % | | | 2/25/36 | | | | 842,933 | | | | 822,858 | (b) |
Lehman XS Trust,2006-14N 3A2 (1 mo. USD LIBOR + 0.240%) | | | 2.258 | % | | | 8/25/36 | | | | 960,442 | | | | 940,028 | (b) |
Lehman XS Trust,2006-19 A4 (1 mo. USD LIBOR + 0.170%) | | | 2.188 | % | | | 12/25/36 | | | | 639,075 | | | | 574,597 | (b) |
Magnolia Finance XI DAC,2019-2 A (1 mo. USD LIBOR + 2.750%, 2.750% floor) | | | 4.573 | % | | | 7/31/21 | | | | 2,500,000 | | | | 2,500,000 | (b)(c) |
MASTR Adjustable Rate Mortgages Trust,2004-12 5A1 | | | 4.334 | % | | | 10/25/34 | | | | 65,030 | | | | 68,522 | (b) |
MASTR Adjustable Rate Mortgages Trust,2006-2 4A1 | | | 4.714 | % | | | 2/25/36 | | | | 11,081 | | | | 10,984 | (b) |
MASTR Adjustable Rate Mortgages Trust,2006-OA1 1A1 (1 mo. USD LIBOR + 0.210%) | | | 2.228 | % | | | 4/25/46 | | | | 240,260 | | | | 223,369 | (b) |
MASTR Asset Backed Securities Trust, 2005-AB1 A5A | | | 5.712 | % | | | 11/25/35 | | | | 3,360,000 | | | | 3,017,897 | |
MASTR Reperforming Loan Trust,2005-1 1A2 | | | 6.500 | % | | | 8/25/34 | | | | 747,531 | | | | 724,483 | (c) |
MASTR Reperforming Loan Trust,2005-1 1A3 | | | 7.000 | % | | | 8/25/34 | | | | 1,366,265 | | | | 1,422,651 | (c) |
MASTR Reperforming Loan Trust,2005-1 1A4 | | | 7.500 | % | | | 8/25/34 | | | | 63,502 | | | | 65,564 | (c) |
Merrill Lynch Mortgage Investors Trust,2006-A1 2A1 | | | 4.324 | % | | | 3/25/36 | | | | 587,713 | | | | 424,351 | (b) |
Morgan Stanley ABS Capital I Trust Inc., 2003-NC10 M2 (1 mo. USD LIBOR + 2.700%) | | | 4.718 | % | | | 10/25/33 | | | | 16,850 | | | | 16,527 | (b) |
Morgan Stanley Mortgage Loan Trust, 2004-7AR B1 | | | 4.421 | % | | | 9/25/34 | | | | 2,585,101 | | | | 2,055,882 | (b) |
Morgan Stanley Mortgage Loan Trust, 2004-11AR 1B1 (1 mo. USD LIBOR + 0.600%) | | | 2.618 | % | | | 1/25/35 | | | | 2,729,155 | | | | 2,505,585 | (b) |
See Notes to Schedule of Investments.
7
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - (continued) | | | | | |
Morgan Stanley Mortgage Loan Trust, 2006-8AR 1A2 (1 mo. USD LIBOR + 0.140%) | | | 2.158 | % | | | 6/25/36 | | | $ | 240,980 | | | $ | 91,330 | (b) |
Morgan Stanley Mortgage Loan Trust, 2007-5AX 2A3 (1 mo. USD LIBOR + 0.230%) | | | 2.248 | % | | | 2/25/37 | | | | 1,879,528 | | | | 873,548 | (b) |
Morgan Stanley Mortgage Loan Trust, 2007-15AR 4A1 | | | 3.489 | % | | | 11/25/37 | | | | 533,464 | | | | 496,966 | (b) |
Morgan StanleyRe-REMIC Trust,2015-R2 1B (Federal Reserve US 12 mo. Cumulative Avg 1 Year CMT + 0.710%) | | | 3.192 | % | | | 12/27/46 | | | | 929,164 | | | | 775,839 | (b)(c) |
New Century Home Equity Loan Trust,2004-3 M3 (1 mo. USD LIBOR + 1.065%) | | | 3.083 | % | | | 11/25/34 | | | | 527,005 | | | | 533,686 | (b) |
Nomura Resecuritization Trust,2014-5R 1A9 | | | 7.295 | % | | | 6/26/35 | | | | 1,767,589 | | | | 1,821,019 | (b)(c) |
PMT Credit Risk Transfer Trust,2019-2R A (1 mo. USD LIBOR + 2.750%) | | | 4.890 | % | | | 5/27/23 | | | | 2,945,427 | | | | 2,972,054 | (b)(c) |
Popular ABS Mortgage Pass-Through Trust,2004-4 M2 | | | 4.272 | % | | | 9/25/34 | | | | 1,367,983 | | | | 1,468,289 | |
Popular ABS Mortgage Pass-Through Trust,2005-5 MV2 (1 mo. USD LIBOR + 0.630%) | | | 2.648 | % | | | 11/25/35 | | | | 2,143,113 | | | | 1,772,681 | (b) |
Prime Mortgage Trust,2006-DR1 2A1 | | | 5.500 | % | | | 5/25/35 | | | | 2,211,922 | | | | 1,946,030 | (c) |
Provident Home Equity Loan Trust,2000-2 A1 (1 mo. USD LIBOR + 0.540%) | | | 2.558 | % | | | 8/25/31 | | | | 815,863 | | | | 719,772 | (b) |
RAAC Trust,2006-RP3 A (1 mo. USD LIBOR + 0.270%) | | | 2.288 | % | | | 5/25/36 | | | | 323,503 | | | | 320,419 | (b)(c) |
RALI Trust,2005-QA3 CB4 | | | 4.180 | % | | | 3/25/35 | | | | 1,597,649 | | | | 1,036,875 | (b) |
RALI Trust,2006-QA1 A11 | | | 4.589 | % | | | 1/25/36 | | | | 393,019 | | | | 346,484 | (b) |
RALI Trust,2006-QA4 A (1 mo. USD LIBOR + 0.180%) | | | 2.198 | % | | | 5/25/36 | | | | 270,928 | | | | 261,604 | (b) |
RALI Trust,2006-QO2 A1 (1 mo. USD LIBOR + 0.220%) | | | 2.238 | % | | | 2/25/46 | | | | 198,859 | | | | 75,079 | (b) |
RALI Trust,2006-QO2 A2 (1 mo. USD LIBOR + 0.270%) | | | 2.288 | % | | | 2/25/46 | | | | 3,951,630 | | | | 1,523,491 | (b) |
RALI Trust,2006-QO7 1A1 (Federal Reserve US 12 mo. Cumulative Avg 1 Year CMT + 0.800%) | | | 3.246 | % | | | 9/25/46 | | | | 1,807,941 | | | | 1,728,633 | (b) |
RALI Trust,2007-QA2 A1 (1 mo. USD LIBOR + 0.130%) | | | 2.148 | % | | | 2/25/37 | | | | 162,414 | | | | 158,977 | (b) |
RAMP Trust,2004-RS4 MII2 (1 mo. USD LIBOR + 2.025%) | | | 4.043 | % | | | 4/25/34 | | | | 961,062 | | | | 834,614 | (b) |
RAMP Trust,2004-SL3 A3 | | | 7.500 | % | | | 12/25/31 | | | | 466,777 | | | | 476,795 | |
RAMP Trust,2005-SL2 A5 | | | 8.000 | % | | | 10/25/31 | | | | 417,521 | | | | 321,463 | |
RBSGC Mortgage Loan Trust,2007-A 3A1 (1 mo. USD LIBOR + 0.350%) | | | 2.368 | % | | | 1/25/37 | | | | 2,980,572 | | | | 1,015,305 | (b) |
See Notes to Schedule of Investments.
8
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a)- (continued) | | | | | | | | | | | | | |
Redwood Funding Trust,2019-1 PT | | | 4.213 | % | | | 9/27/24 | | | $ | 3,000,000 | | | $ | 3,023,475 | (b)(c) |
Renaissance Home Equity Loan Trust,2006-1 AF5 | | | 6.166 | % | | | 5/25/36 | | | | 550,590 | | | | 393,414 | |
Renaissance Home Equity Loan Trust,2007-1 AF3 | | | 5.612 | % | | | 4/25/37 | | | | 3,084,113 | | | | 1,387,830 | |
Renaissance Home Equity Loan Trust,2007-2 AF1 | | | 5.893 | % | | | 6/25/37 | | | | 2,582,571 | | | | 1,159,379 | |
Renaissance Home Equity Loan Trust,2007-2 AF2 | | | 5.675 | % | | | 6/25/37 | | | | 445,054 | | | | 192,306 | |
Renaissance Home Equity Loan Trust,2007-2 AF5 | | | 6.203 | % | | | 6/25/37 | | | | 1,914,212 | | | | 912,868 | |
Renaissance Home Equity Loan Trust,2007-2 AF6 | | | 5.879 | % | | | 6/25/37 | | | | 3,219,895 | | | | 1,442,003 | |
Renaissance Home Equity Loan Trust,2007-3 AF3 | | | 7.238 | % | | | 9/25/37 | | | | 1,744,392 | | | | 1,019,416 | |
Reperforming Loan REMIC Trust,2005-R2 2A3 | | | 8.000 | % | | | 6/25/35 | | | | 42,570 | | | | 44,352 | (c) |
Residential Asset Securitization Trust,2005-A7 A2, IO(-1.000 x 1 mo. USD LIBOR + 7.250%) | | | 5.232 | % | | | 6/25/35 | | | | 1,833,248 | | | | 529,071 | (b) |
Residential Asset Securitization Trust, 2005-A13 1A3 (1 mo. USD LIBOR + 0.470%) | | | 2.488 | % | | | 10/25/35 | | | | 115,968 | | | | 97,161 | (b) |
Residential Asset Securitization Trust,2006-A1 1A6 (1 mo. USD LIBOR + 0.500%) | | | 2.518 | % | | | 4/25/36 | | | | 1,595,511 | | | | 741,873 | (b) |
Residential Asset Securitization Trust,2006-A1 1A7, IO(-1.000 x 1 mo. USD LIBOR + 5.500%) | | | 3.482 | % | | | 4/25/36 | | | | 3,306,759 | | | | 717,367 | (b) |
Residential Asset Securitization Trust,2007-A2 1A1 | | | 6.000 | % | | | 4/25/37 | | | | 261,394 | | | | 229,988 | |
RFMSI Trust,2005-SA3 1A | | | 4.232 | % | | | 8/25/35 | | | | 1,086,545 | | | | 802,796 | (b) |
RFMSI Trust,2006-S8 A12, IO(-1.000 x 1 mo. USD LIBOR + 5.400%) | | | 3.382 | % | | | 9/25/36 | | | | 4,378,931 | | | | 544,569 | (b) |
RFMSI Trust,2006-SA2 4A1 | | | 5.427 | % | | | 8/25/36 | | | | 164,138 | | | | 144,317 | (b) |
RFMSI Trust,2007-S6 1A6 (1 mo. USD LIBOR + 0.500%) | | | 2.518 | % | | | 6/25/37 | | | | 1,753,338 | | | | 1,435,956 | (b) |
RFMSI Trust,2007-S6 1A13, IO(-1.000 x 1 mo. USD LIBOR + 5.500%) | | | 3.482 | % | | | 6/25/37 | | | | 1,753,338 | | | | 144,448 | (b) |
Soundview Home Loan Trust,2005-1 M6 (1 mo. USD LIBOR + 1.950%) | | | 3.968 | % | | | 4/25/35 | | | | 1,330,819 | | | | 1,264,285 | (b) |
Structured Adjustable Rate Mortgage Loan Trust,2004-18 1A2 | | | 4.254 | % | | | 12/25/34 | | | | 298,627 | | | | 293,486 | (b) |
Structured Adjustable Rate Mortgage Loan Trust,2005-4 1A1 | | | 3.926 | % | | | 3/25/35 | | | | 136,353 | | | | 130,163 | (b) |
See Notes to Schedule of Investments.
9
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a)- (continued) | | | | | | | | | |
Structured Adjustable Rate Mortgage Loan Trust,2005-4 5A | | | 4.354 | % | | | 3/25/35 | | | $ | 73,678 | | | $ | 74,401 | (b) |
Structured Adjustable Rate Mortgage Loan Trust,2005-6XS M2 (1 mo. USD LIBOR + 1.155%) | | | 3.173 | % | | | 3/25/35 | | | | 914,522 | | | | 886,012 | (b) |
Structured Adjustable Rate Mortgage Loan Trust,2005-7 1A3 | | | 4.111 | % | | | 4/25/35 | | | | 67,044 | | | | 67,273 | (b) |
Structured Asset Investment Loan Trust,2004-8 M9 (1 mo. USD LIBOR + 3.750%) | | | 5.768 | % | | | 9/25/34 | | | | 297,405 | | | | 289,684 | (b) |
Structured Asset Mortgage Investments II Trust,2006-AR5 4A1 (1 mo. USD LIBOR + 0.220%) | | | 2.238 | % | | | 5/25/46 | | | | 602,998 | | | | 337,163 | (b) |
Structured Asset Securities Corp. Mortgage Loan Trust,2006-RF3 1A1, PAC | | | 6.000 | % | | | 10/25/36 | | | | 1,189,789 | | | | 1,205,653 | (c) |
Structured Asset Securities Corp. Mortgage Loan Trust,2007-BC1 M1 (1 mo. USD LIBOR + 0.230%) | | | 2.248 | % | | | 2/25/37 | | | | 3,946,425 | | | | 3,088,173 | (b) |
Wachovia Mortgage Loan Trust LLC,2005-B 2A2 | | | 4.452 | % | | | 10/20/35 | | | | 21,308 | | | | 21,503 | (b) |
WaMu Mortgage Pass-Through Certificates Trust,2005-AR2 B1 (1 mo. USD LIBOR + 0.530%) | | | 2.548 | % | | | 1/25/45 | | | | 1,735,973 | | | | 1,355,309 | (b) |
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR13 A1C3 (1 mo. USD LIBOR + 0.490%) | | | 2.508 | % | | | 10/25/45 | | | | 218,266 | | | | 218,559 | (b) |
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR15 A1C4 (1 mo. USD LIBOR + 0.400%) | | | 2.418 | % | | | 11/25/45 | | | | 976,188 | | | | 699,701 | (b) |
WaMu Mortgage Pass-Through Certificates Trust, 2006-AR16 2A2 | | | 3.831 | % | | | 12/25/36 | | | | 217,132 | | | | 205,597 | (b) |
Washington Mutual Mortgage Pass-Through Certificates Trust,2005-8 1A6(-3.667 x 1 mo. USD LIBOR + 23.283%) | | | 15.883 | % | | | 10/25/35 | | | | 214,193 | | | | 287,071 | (b) |
Washington Mutual Mortgage Pass-Through Certificates Trust,2005-9 5A4(-7.333 x 1 mo. USD LIBOR + 35.933%) | | | 21.132 | % | | | 11/25/35 | | | | 68,504 | | | | 128,125 | (b) |
Washington Mutual Mortgage Pass-Through Certificates Trust,2005-10 2A3 (1 mo. USD LIBOR + 0.900%) | | | 2.918 | % | | | 11/25/35 | | | | 135,594 | | | | 115,117 | (b) |
Washington Mutual Mortgage Pass-Through Certificates Trust, 2006-AR10 A1 (1 mo. USD LIBOR + 0.100%) | | | 2.118 | % | | | 12/25/36 | | | | 408,335 | | | | 287,482 | (b) |
See Notes to Schedule of Investments.
10
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a)- (continued) | | | | | | | | | |
Wells Fargo Alternative Loan Trust,2007-PA1 A12, IO(-1.000 x 1 mo. USD LIBOR + 5.460%) | | | 3.442 | % | | | 3/25/37 | | | $ | 2,808,015 | | | $ | 298,912 | (b) |
Wells Fargo Mortgage Backed Securities Trust,2005-AR2 2A2 | | | 5.143 | % | | | 3/25/35 | | | | 44,307 | | | | 46,021 | (b) |
Wells Fargo Mortgage Backed Securities Trust,2006-2 1A4(-2.750 x 1 mo. USD LIBOR + 19.388%) | | | 13.837 | % | | | 3/25/36 | | | | 759,959 | | | | 928,050 | (b) |
| | | | | | | | | | | | | | | | |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost - $200,696,141) | | | | | | | | 230,627,348 | |
| | | | | | | | | | | | | | | | |
| COMMERCIAL MORTGAGE-BACKED SECURITIES(a)- 24.1% | | | | | | | | | |
BBCMS Trust,2018-CBM D (1 mo. USD LIBOR + 2.391%) | | | 4.419 | % | | | 7/15/37 | | | | 1,500,000 | | | | 1,503,816 | (b)(c) |
BX Commercial Mortgage Trust,2019-IMC F (1 mo. USD LIBOR + 2.900%) | | | 4.928 | % | | | 4/15/34 | | | | 2,000,000 | | | | 2,018,160 | (b)(c) |
Citigroup Commercial Mortgage Trust, 2015-SHP2 F (1 mo. USD LIBOR + 5.200%) | | | 7.228 | % | | | 7/15/27 | | | | 1,000,000 | | | | 1,002,905 | (b)(c) |
Credit Suisse Commercial Mortgage Trust,2006-C5 AJ | | | 5.373 | % | | | 12/15/39 | | | | 923,651 | | | | 628,307 | |
Credit Suisse Commercial Mortgage Trust,2007-C5 AM | | | 5.869 | % | | | 9/15/40 | | | | 709,306 | | | | 539,118 | (b) |
Credit Suisse Mortgage Trust,2014-USA F | | | 4.373 | % | | | 9/15/37 | | | | 1,620,000 | | | | 1,487,467 | (c) |
CSMC Trust, 2015-LHMZ MZ | | | 8.928 | % | | | 7/20/20 | | | | 2,898,332 | | | | 2,911,429 | (c) |
CSMC Trust, 2017-CHOP H (1 mo. USD LIBOR + 7.620%) | | | 9.648 | % | | | 7/15/32 | | | | 3,300,000 | | | | 3,304,663 | (b)(c) |
CSMC Trust, 2018-PLUM B (1 mo. USD LIBOR + 5.000%) | | | 7.028 | % | | | 8/15/20 | | | | 2,256,322 | | | | 2,261,054 | (b)(c) |
CSMC Trust, 2017-CHOP F (1 mo. USD LIBOR + 4.350%) | | | 6.378 | % | | | 7/15/32 | | | | 1,620,000 | | | | 1,637,580 | (b)(c) |
DBUBS Mortgage Trust, 2011-LC3A G | | | 3.750 | % | | | 8/10/44 | | | | 2,600,000 | | | | 1,912,864 | (c) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K034 X3, IO | | | 1.781 | % | | | 9/25/41 | | | | 10,200,000 | | | | 634,707 | (b) |
FREMF Mortgage Trust, 2019-KG01 B | | | 4.307 | % | | | 4/25/29 | | | | 2,239,000 | | | | 2,323,101 | (b)(c) |
FRESB Mortgage Trust, 2018-SB48 B (3.677% to 9/25/26 then 6 mo. LIBOR + 7.500%) | | | 3.677 | % | | | 2/25/38 | | | | 3,874,357 | | | | 2,806,193 | (b)(c) |
GMAC Commercial Mortgage Securities Inc.,2006-C1 AJ | | | 5.349 | % | | | 11/10/45 | | | | 939,587 | | | | 671,407 | (b) |
Government National Mortgage Association (GNMA),2019-28 AB | | | 3.150 | % | | | 6/16/60 | | | | 249,705 | | | | 254,963 | |
GS Mortgage Securities Trust,2006-GG8 AJ | | | 5.622 | % | | | 11/10/39 | | | | 91,935 | | | | 81,172 | |
GS Mortgage Securities Trust, 2007-GG10 AJ | | | 6.006 | % | | | 8/10/45 | | | | 2,444,718 | | | | 1,165,813 | (b) |
See Notes to Schedule of Investments.
11
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COMMERCIAL MORTGAGE-BACKED SECURITIES(a)- (continued) | | | | | | | | | | | | | |
JPMorgan Chase Commercial Mortgage Securities Trust, 2006-LDP7 AJ | | | 6.273 | % | | | 4/17/45 | | | $ | 296,675 | | | $ | 164,655 | (b) |
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-CB19 AJ | | | 6.004 | % | | | 2/12/49 | | | | 1,340,172 | | | | 896,289 | (b) |
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ | | | 6.613 | % | | | 2/15/51 | | | | 88,576 | | | | 84,922 | (b) |
JPMorgan Chase Commercial Mortgage Securities Trust, 2018-PHMZ M (1 mo. USD LIBOR + 8.208%) | | | 10.235 | % | | | 6/15/35 | | | | 3,000,000 | | | | 2,994,606 | (b)(c) |
JPMorgan Chase Commercial Mortgage Securities Trust, 2019-BOLT C (1 mo. USD LIBOR + 3.800%) | | | 5.828 | % | | | 7/15/34 | | | | 2,000,000 | | | | 2,003,429 | (b)(c) |
JPMorgan Chase Commercial Mortgage Securities Trust, 2019-BOLT D (1 mo. USD LIBOR + 6.550%) | | | 8.578 | % | | | 7/15/34 | | | | 1,000,000 | | | | 1,002,494 | (b)(c) |
JPMorgan Chase Commercial Mortgage Securities Trust, 2019-BOLT XCP, IO | | | 2.052 | % | | | 7/15/34 | | | | 15,000,000 | | | | 537,353 | (b)(c) |
ML-CFC Commercial Mortgage Trust,2007-5 AJ | | | 5.450 | % | | | 8/12/48 | | | | 111,892 | | | | 70,268 | (b) |
ML-CFC Commercial Mortgage Trust,2007-9 AJ | | | 6.193 | % | | | 9/12/49 | | | | 225,725 | | | | 97,782 | (b) |
ML-CFC Commercial Mortgage Trust,2007-9 AJA | | | 6.210 | % | | | 9/12/49 | | | | 52,595 | | | | 22,779 | (b) |
Morgan Stanley Capital I Trust, 2007-IQ13 AJ | | | 5.438 | % | | | 3/15/44 | | | | 7,572 | | | | 7,566 | |
Morgan Stanley Capital I Trust, 2007-IQ16 AJ | | | 6.458 | % | | | 12/12/49 | | | | 169,062 | | | | 107,414 | (b) |
Motel 6 Trust, 2017-MTL6 F (1 mo. USD LIBOR + 4.250%) | | | 6.278 | % | | | 8/15/34 | | | | 1,260,699 | | | | 1,274,569 | (b)(c) |
Natixis Commercial Mortgage Securities Trust, 2019-FAME D | | | 4.544 | % | | | 8/15/34 | | | | 1,900,000 | | | | 1,861,007 | (b)(c) |
Natixis Commercial Mortgage Securities Trust, 2019-FAME E | | | 4.544 | % | | | 8/15/34 | | | | 950,000 | | | | 862,843 | (b)(c) |
Starwood Retail Property Trust, 2014-STAR D (1 mo. USD LIBOR + 3.250%) | | | 5.278 | % | | | 11/15/27 | | | | 1,000,000 | | | | 872,998 | (b)(c) |
Starwood Retail Property Trust, 2014-STAR E (1 mo. USD LIBOR + 4.150%) | | | 6.178 | % | | | 11/15/27 | | | | 1,600,000 | | | | 1,262,984 | (b)(c) |
Tharaldson Hotel Portfolio Trust,2018-THL E (1 mo. USD LIBOR + 3.180%) | | | 5.222 | % | | | 11/11/34 | | | | 405,040 | | | | 407,101 | (b)(c) |
Tharaldson Hotel Portfolio Trust,2018-THL G (1 mo. USD LIBOR + 6.350%) | | | 8.392 | % | | | 11/11/34 | | | | 2,430,241 | | | | 2,469,904 | (b)(c) |
Tharaldson Hotel Portfolio Trust,2018-THL H (1 mo. USD LIBOR + 9.800%) | | | 11.842 | % | | | 11/11/34 | | | | 1,620,161 | | | | 1,648,583 | (b)(c) |
See Notes to Schedule of Investments.
12
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COMMERCIAL MORTGAGE-BACKED SECURITIES(a)- (continued) | |
UBS-Barclays Commercial Mortgage Trust,2012-C2 G | | | 5.000 | % | | | 5/10/63 | | | $ | 3,130,000 | | | $ | 2,085,882 | (b)(c) |
UBS-Barclays Commercial Mortgage Trust,2012-C2 H | | | 5.000 | % | | | 5/10/63 | | | | 5,510,000 | | | | 2,090,979 | (b)(c) |
Wachovia Bank Commercial Mortgage Trust,2007-C33 AJ | | | 5.844 | % | | | 2/15/51 | | | | 373,129 | | | | 325,047 | (b) |
| | | | | | | | | | | | | | | | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost - $52,238,891) | | | | | | | | 50,296,173 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | FACE
AMOUNT/
UNITS | | | | |
| ASSET-BACKED SECURITIES - 11.0% | | | | | | | | | | | | | | | | |
AccessLex Institute,2004-A B1 (28 day Auction Rate Security) | | | 0.000 | % | | | 7/1/39 | | | | 1,400,000 | | | | 1,338,387 | (b) |
Applebee’s Funding LLC/IHOP Funding LLC,2019-1A A2II | | | 4.723 | % | | | 6/7/49 | | | | 2,000,000 | | | | 2,075,700 | (c) |
BankAmerica Manufactured Housing Contract Trust,1996-1 B1 | | | 7.875 | % | | | 10/10/26 | | | | 7,866,000 | | | | 1,863,857 | |
BCMSC Trust,1998-B A | | | 6.530 | % | | | 10/15/28 | | | | 503,315 | | | | 527,072 | (b) |
BCMSC Trust,1998-C M1 | | | 7.510 | % | | | 1/15/29 | | | | 3,934,370 | | | | 3,453,848 | (b) |
BCMSC Trust,1999-A A3 | | | 5.980 | % | | | 3/15/29 | | | | 211,218 | | | | 215,410 | (b) |
Catskill Park CLO Ltd.,2017-1A D (3 mo. USD LIBOR + 6.000%) | | | 8.278 | % | | | 4/20/29 | | | | 1,700,000 | | | | 1,614,189 | (b)(c) |
Conseco Finance Corp.,1997-4 M1 | | | 7.220 | % | | | 2/15/29 | | | | 1,406,028 | | | | 1,453,915 | (b) |
Firstfed Corp. Manufactured Housing Contract,1997-2 B | | | 8.110 | % | | | 5/15/24 | | | | 198,826 | | | | 96,058 | (c) |
GE Business Loan Trust,2006-1A C (1 mo. USD LIBOR + 0.420%) | | | 2.448 | % | | | 5/15/34 | | | | 80,605 | | | | 75,767 | (b)(c) |
Origen Manufactured Housing Contract Trust,2006-A A2 | | | 4.143 | % | | | 10/15/37 | | | | 1,010,759 | | | | 971,490 | (b) |
Origen Manufactured Housing Contract Trust,2007-A A2 | | | 4.752 | % | | | 4/15/37 | | | | 1,234,421 | | | | 1,201,662 | (b) |
Origen Manufactured Housing Contract Trust,2007-B A1 (1 mo. USD LIBOR + 1.200%) | | | 3.228 | % | | | 10/15/37 | | | | 2,087,093 | | | | 2,060,906 | (b)(c) |
Ratchet Trading Ltd.,2018-1 A | | | 15.190 | % | | | 1/26/27 | | | | 135,729 | | | | 131,913 | (b)(c) |
RBS Acceptance Inc.,1995-BA1 B2 | | | 9.000 | % | | | 8/10/20 | | | | 2,191,561 | | | | 132,845 | |
SMB Private Education Loan Trust,2014-A R | | | 0.000 | % | | | 9/15/45 | | | | 6,875 | | | | 1,814,136 | (c) |
TES LLC,2017-1A B | | | 7.740 | % | | | 10/20/47 | | | | 1,500,000 | | | | 1,494,124 | (c) |
Treman Park CLO Ltd.,2015-1A DRR (3 mo. USD LIBOR + 2.650%) | | | 4.928 | % | | | 10/20/28 | | | | 750,000 | | | | 735,937 | (b)(c) |
Upgrade Pass-Through Trust I,2017-1 CERT | | | 14.960 | % | | | 12/27/27 | | | | 150,988 | | | | 147,568 | (b)(c) |
See Notes to Schedule of Investments.
13
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT/
UNITS | | | VALUE | |
| ASSET-BACKED SECURITIES - (continued) | | | | | | | | | | | | | | | | |
Upgrade Pass-Through Trust I,2018-2 A | | | 16.537 | % | | | 5/15/24 | | | $ | 163,388 | | | $ | 160,674 | (c) |
Upgrade Pass-Through Trust I,2018-5 A | | | 12.075 | % | | | 9/15/24 | | | | 222,622 | | | | 218,887 | (c) |
Upgrade Pass-Through Trust I,2018-6 A | | | 5.339 | % | | | 10/15/24 | | | | 200,321 | | | | 195,307 | (c) |
Upgrade Pass-Through Trust IV,2018-4 A | | | 15.308 | % | | | 8/15/24 | | | | 241,325 | | | | 234,410 | (c) |
Upgrade Pass-Through Trust VII,2018-7 A | | | 14.784 | % | | | 1/15/25 | | | | 350,083 | | | | 334,309 | (c) |
VOYA CLO,2017-2A D (3 mo. USD LIBOR + 6.020%) | | | 8.323 | % | | | 6/7/30 | | | | 600,000 | | | | 567,782 | (b)(c) |
| | | | | | | | | | | | | | | | |
TOTAL ASSET-BACKED SECURITIES
(Cost - $24,793,945) | | | | | | | | | | | | 23,116,153 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | FACE
AMOUNT | | | | |
| CORPORATE BONDS & NOTES - 0.4% | | | | | | | | | | | | | | | | |
| CONSUMER STAPLES - 0.3% | | | | | | | | | | | | | | | | |
Food & Staples Retailing - 0.3% | | | | | | | | | | | | | | | | |
CVS Pass-Through Trust | | | 9.350 | % | | | 1/10/23 | | | | 479,444 | | | | 536,145 | (c) |
| | | | | | | | | | | | | | | | |
| FINANCIALS - 0.1% | | | | | | | | | | | | | | | | |
Insurance - 0.1% | | | | | | | | | | | | | | | | |
Ambac Assurance Corp., Subordinated Notes | | | 5.100 | % | | | 6/7/20 | | | | 45,494 | | | | 66,308 | (c) |
Ambac LSNI LLC, Senior Secured Notes (3 mo. USD LIBOR + 5.000%) | | | 7.104 | % | | | 2/12/23 | | | | 194,068 | | | | 196,494 | (b)(c) |
| | | | | | | | | | | | | | | | |
TOTAL FINANCIALS | | | | | | | | | | | | | | | 262,802 | |
| | | | | | | | | | | | | | | | |
| INDUSTRIALS - 0.0% | | | | | | | | | | | | | | | | |
Airlines - 0.0% | | | | | | | | | | | | | | | | |
Air 2 U.S. Pass-Through Certificates | | | 8.027 | % | | | 10/1/19 | | | | 1,878 | | | | 1,879 | (c) |
| | | | | | | | | | | | | | | | |
TOTAL CORPORATE BONDS & NOTES
(Cost - $708,476) | | | | | | | | | | | | 800,826 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $278,437,453) | | | | 304,840,500 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | SHARES | | | | |
| SHORT-TERM INVESTMENTS - 1.3% | | | | | | | | | | | | | | | | |
Dreyfus Government Cash Management, Insti- tutional Shares
(Cost - $2,701,337) | | | 1.947 | % | | | | | | | 2,701,337 | | | | 2,701,337 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS - 147.2%
(Cost - $281,138,790) | | | | | | | | | | | | 307,541,837 | |
Liabilities in Excess of Other Assets - (47.2)% | | | | | | | | | | | | | | | (98,656,645 | ) |
| | | | | | | | | | | | | | | | |
TOTAL NET ASSETS - 100.0% | | | | | | | | | | | | | | $ | 208,885,192 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
14
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| ‡ | Securities held by the Fund are subject to a lien, granted to the lender, to the extent of the borrowing outstanding and any additional expenses. |
| (a) | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit. |
| (b) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (c) | 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. |
Abbreviations used in this schedule:
| | |
| CAS | | — Connecticut Avenue Securities |
| CLO | | — Collateralized Loan Obligation |
| CMT | | — Constant Maturity Treasury |
| IO | | — Interest Only |
| LIBOR | | — London Interbank Offered Rate |
| PAC | | — Planned Amortization Class |
| PO | | — Principal Only |
| REMIC | | — Real Estate Mortgage Investment Conduit |
| Re-REMIC | | — Resecuritization of Real Estate Mortgage Investment Conduit |
| USD | | — United States Dollar |
At September 30, 2019, the Fund had the following open futures contracts:
| | | | | | | | | | | | | | | | | | | | |
| | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury2-Year Notes | | | 8 | | | | 12/19 | | | $ | 1,728,904 | | | $ | 1,724,000 | | | $ | 4,904 | |
U.S. Treasury5-Year Notes | | | 36 | | | | 12/19 | | | | 4,308,336 | | | | 4,289,344 | | | | 18,992 | |
U.S. Treasury10-Year Notes | | | 116 | | | | 12/19 | | | | 15,216,802 | | | | 15,116,250 | | | | 100,552 | |
U.S. Treasury Ultra10-Year Notes | | | 44 | | | | 12/19 | | | | 6,333,827 | | | | 6,265,875 | | | | 67,952 | |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized appreciation on open futures contracts | | | $ | 192,400 | |
| | | | | | | | | | | | | | | | | | | | |
At September 30, 2019, the Fund had the following open forward foreign currency contract:
| | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | Currency Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Depreciation | |
| EUR | | 55,341 | | | USD | | | | 62,747 | | | BNP Paribas SA | | | 10/17/19 | | | $ | (2,347 | ) |
Abbreviations used in this table:
| | |
| EUR | | — Euro |
| USD | | — United States Dollar |
See Notes to Schedule of Investments.
15
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
At September 30, 2019, the Fund had the following open swap contracts:
| | | | | | | | | | | | | | | | | | | | | | |
OTC CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1 | |
SWAP COUNTERPARTY (REFERENCE ENTITY) | | NOTIONAL
AMOUNT2 | | | TERMINATION
DATE | | | PERIODIC
PAYMENTS
RECEIVED BY
THE FUND† | | MARKET
VALUE3 | | | UPFRONT
PREMIUMS PAID
(RECEIVED) | | | UNREALIZED
APPRECIATION | |
Barclays Bank PLC
(MarkitCMBX.NA.BBB-.6 Index) | | $ | 100,000 | | | | 5/11/63 | | | 3.000% Monthly | | $ | (8,462 | ) | | $ | (9,841 | ) | | $ | 1,379 | |
Barclays Bank PLC
(MarkitCMBX.NA.BBB-.6 Index) | | | 400,000 | | | | 5/11/63 | | | 3.000% Monthly | | | (33,849 | ) | | | (39,132 | ) | | | 5,283 | |
Barclays Bank PLC
(MarkitCMBX.NA.BBB-.6 Index) | | | 700,000 | | | | 5/11/63 | | | 3.000% Monthly | | | (59,235 | ) | | | (68,481 | ) | | | 9,246 | |
Barclays Bank PLC
(MarkitCMBX.NA.BBB-.6 Index) | | | 1,000,000 | | | | 5/11/63 | | | 3.000% Monthly | | | (84,621 | ) | | | (97,501 | ) | | | 12,880 | |
Barclays Bank PLC
(MarkitCMBX.NA.BBB-.8 Index) | | | 100,000 | | | | 10/17/57 | | | 3.000% Monthly | | | (4,330 | ) | | | (4,797 | ) | | | 467 | |
Barclays Bank PLC
(MarkitCMBX.NA.BBB-.8 Index) | | | 700,000 | | | | 10/17/57 | | | 3.000% Monthly | | | (30,310 | ) | | | (31,670 | ) | | | 1,360 | |
Morgan Stanley & Co. Inc.
(MarkitCMBX.NA.BBB-.6 Index) | | | 2,000,000 | | | | 5/11/63 | | | 3.000% Monthly | | | (169,242 | ) | | | (198,218 | ) | | | 28,976 | |
Morgan Stanley & Co. Inc.
(MarkitCMBX.NA.BBB-.8 Index) | | | 2,300,000 | | | | 10/17/57 | | | 3.000% Monthly | | | (99,590 | ) | | | (105,027 | ) | | | 5,437 | |
| | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | 7,300,000 | | | | | | | | | $ | (489,639 | ) | | $ | (554,667 | ) | | $ | 65,028 | |
| | | | | | | | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
16
WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2019 |
| | | | | | | | | | | | | | | | | | | | | | |
OTC CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION4 | |
SWAP COUNTERPARTY (REFERENCE ENTITY) | | NOTIONAL
AMOUNT2 | | | TERMINATION
DATE | | | PERIODIC
PAYMENTS
MADE BY
THE FUND† | | MARKET
VALUE3 | | | UPFRONT
PREMIUMS PAID
(RECEIVED) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Barclays Bank PLC
(MarkitCMBX.NA.BBB-.11 Index) | | $ | 100,000 | | | | 11/18/54 | | | 3.000% Monthly | | $ | 4,359 | | | $ | 4,797 | | | $ | (438 | ) |
Credit Suisse
(MarkitCMBX.NA.BBB-.11 Index) | | | 1,100,000 | | | | 11/18/54 | | | 3.000% Monthly | | | 47,954 | | | | 49,948 | | | | (1,994 | ) |
Morgan Stanley & Co. Inc.
(MarkitCMBX.NA.BBB-.12 Index) | | | 1,500,000 | | | | 8/17/61 | | | 3.000% Monthly | | | 91,231 | | | | 127,992 | | | | (36,761 | ) |
Morgan Stanley & Co. Inc.
(MarkitCMBX.NA.BBB-.12 Index) | | | 2,300,000 | | | | 8/17/61 | | | 3.000% Monthly | | | 139,888 | | | | 128,168 | | | | 11,720 | |
| | �� | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 5,000,000 | | | | | | | | | $ | 283,432 | | | $ | 310,905 | | | $ | (27,473 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| 1 | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| 2 | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| 3 | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| 4 | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index. |
| † | Percentage shown is an annual percentage rate. |
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.
17
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Mortgage Defined Opportunity Fund Inc. (the “Fund”) was incorporated in Maryland on December 11, 2009 and is registered as anon-diversified, limited-term,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”), consisting primarily ofnon-agency residential mortgage-backed securities (“RMBS”) and commercial mortgage-backed securities (“CMBS”). The Fund intends to liquidate and distribute substantially all of the Fund’s net assets to shareholders on or about March 1, 2022.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).
(a) Investment valuation.The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services 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 inopen-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.
The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies
18
Notes to Schedule of Investments (unaudited) (continued)
adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| | • | | Level 1 – quoted prices in active markets for identical investments |
| | • | | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| | • | | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
19
Notes to Schedule of Investments (unaudited) (continued)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:
| | | | | | | | | | | | | | | | |
ASSETS | |
DESCRIPTION | | QUOTED PRICES
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTAL | |
Long-Term Investments†: | | | | | | | | | | | | | | | | |
Residential Mortgage-Backed Securities | | | — | | | $ | 230,627,348 | | | | — | | | $ | 230,627,348 | |
Commercial Mortgage-Backed Securities | | | — | | | | 50,296,173 | | | | — | | | | 50,296,173 | |
Asset-Backed Securities | | | — | | | | 23,116,153 | | | | — | | | | 23,116,153 | |
Corporate Bonds & Notes | | | — | | | | 800,826 | | | | — | | | | 800,826 | |
| | | | | | | | | | | | | | | | |
Total Long-Term Investments | | | — | | | | 304,840,500 | | | | — | | | | 304,840,500 | |
| | | | | | | | | | | | | | | | |
Short-Term Investments† | | $ | 2,701,337 | | | | — | | | | — | | | | 2,701,337 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 2,701,337 | | | $ | 304,840,500 | | | | — | | | $ | 307,541,837 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 192,400 | | | | — | | | | — | | | $ | 192,400 | |
OTC Credit Default Swaps on Credit Indices - Buy Protection‡ | | | — | | | $ | 283,432 | | | | — | | | | 283,432 | |
| | | | | | | | | | | | | | | | |
Total Other Financial Instruments | | $ | 192,400 | | | $ | 283,432 | | | | — | | | $ | 475,832 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 2,893,737 | | | $ | 305,123,932 | | | | — | | | $ | 308,017,669 | |
| | | | | | | | | | | | | | | | |
|
LIABILITIES | |
DESCRIPTION | | QUOTED PRICES
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTAL | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | — | | | $ | 2,347 | | | | — | | | $ | 2,347 | |
OTC Credit Default Swaps on Credit Indices - Sell Protection‡ | | | — | | | | 489,639 | | | | — | | | | 489,639 | |
| | | | | | | | | | | | | | | | |
Total | | | — | | | $ | 491,986 | | | | — | | | $ | 491,986 | |
| | | | | | | | | | | | | | | | |
| † | See Schedule of Investments for additional detailed categorizations. |
| ‡ | Value includes any premium paid or received with respect to swap contracts. |
20
