WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) | | September 30, 2022 |
| |
| (Percentages shown based on Fund net assets) | | |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - 99.9% | | | | | | | | | | | | | | | | |
Adjustable Rate Mortgage Trust, 2005-5 1A1 | | | 2.910 | % | | | 9/25/35 | | | $ | 84,749 | | | $ | 70,238 | (b) |
Adjustable Rate Mortgage Trust, 2005-7 2A21 | | | 2.699 | % | | | 10/25/35 | | | | 129,015 | | | | 109,908 | (b) |
Adjustable Rate Mortgage Trust, 2005-12 5A1 (1 mo. USD LIBOR + 0.500%) | | | 3.584 | % | | | 3/25/36 | | | | 190,997 | | | | 68,315 | (b) |
Aegis Asset Backed Securities Trust, 2005-3 M3 (1 mo. USD LIBOR + 0.735%) | | | 3.819 | % | | | 8/25/35 | | | | 3,460,000 | | | | 2,879,704 | (b)(c) |
AFC Trust, 2000-3 1A (1 mo. USD LIBOR + 0.750%) | | | 3.834 | % | | | 10/25/30 | | | | 607,757 | | | | 565,667 | (b)(d) |
Alternative Loan Trust, 2005-11CB 3A3, IO (-1.000 x 1 mo. USD LIBOR + 5.000%) | | | 1.916 | % | | | 6/25/35 | | | | 1,038,451 | | | | 40,208 | (b) |
Alternative Loan Trust, 2005-14 3A1 | | | 2.638 | % | | | 5/25/35 | | | | 101,302 | | | | 74,243 | (b) |
Alternative Loan Trust, 2005-36 4A1 | | | 3.376 | % | | | 8/25/35 | | | | 152,456 | | | | 139,399 | (b) |
Alternative Loan Trust, 2005-J10 1A1 (1 mo. USD LIBOR + 0.500%) | | | 3.584 | % | | | 10/25/35 | | | | 466,395 | | | | 317,204 | (b) |
Alternative Loan Trust, 2006-HY10 1A1 | | | 2.868 | % | | | 5/25/36 | | | | 135,331 | | | | 119,512 | (b) |
Alternative Loan Trust, 2006-J8 A5 | | | 6.000 | % | | | 2/25/37 | | | | 75,490 | | | | 36,085 | |
Alternative Loan Trust, 2007-3T1 2A1 | | | 6.000 | % | | | 3/25/27 | | | | 23,166 | | | | 22,883 | |
Alternative Loan Trust, 2007-23CB A8 (-4.000 x 1 mo. USD LIBOR + 28.400%) | | | 16.064 | % | | | 9/25/37 | | | | 388,621 | | | | 355,353 | (b) |
Alternative Loan Trust, 2007-OA8 1A1 (1 mo. USD LIBOR + 0.360%) | | | 3.444 | % | | | 6/25/47 | | | | 773,153 | | | | 628,907 | (b)(c) |
American Home Mortgage Assets Trust, 2005-2 2A1A | | | 2.679 | % | | | 1/25/36 | | | | 635,795 | | | | 442,326 | (b) |
American Home Mortgage Investment Trust, 2007-2 2A (1 mo. USD LIBOR + 0.800%) | | | 3.884 | % | | | 3/25/47 | | | | 12,735,445 | | | | 120,867 | (b) |
American Home Mortgage Investment Trust, 2007-A 4A (1 mo. USD LIBOR + 0.900%) | | | 3.984 | % | | | 7/25/46 | | | | 1,739,878 | | | | 536,394 | (b)(d) |
Banc of America Funding Corp., 2015-R3 2A2 | | | 2.574 | % | | | 2/27/37 | | | | 2,656,251 | | | | 2,299,865 | (b)(c)(d) |
Banc of America Funding Trust, 2004-C 3A1 | | | 2.900 | % | | | 12/20/34 | | | | 196,671 | | | | 182,091 | (b) |
Banc of America Funding Trust, 2006-D 2A1 | | | 3.499 | % | | | 5/20/36 | | | | 31,806 | | | | 28,425 | (b) |
Banc of America Funding Trust, 2006-F 1A1 | | | 2.739 | % | | | 7/20/36 | | | | 95,276 | | | | 90,065 | (b) |
Banc of America Funding Trust, 2014-R5 1A2 (6 mo. USD LIBOR + 1.500%) | | | 3.068 | % | | | 9/26/45 | | | | 3,750,000 | | | | 2,847,335 | (b)(c)(d) |
Banc of America Funding Trust, 2015-R2 9A2 | | | 3.359 | % | | | 3/27/36 | | | | 3,405,243 | | | | 3,135,396 | (b)(c)(d) |
Banc of America Funding Trust, 2015-R4 4A3 | | | 7.760 | % | | | 1/27/30 | | | | 14,514,117 | | | | 4,799,296 | (b)(d) |
Bayview Financial Asset Trust, 2007-SR1A M1 (1 mo. USD LIBOR + 0.800%) | | | 3.884 | % | | | 3/25/37 | | | | 1,507,838 | | | | 1,439,441 | (b)(d) |
Bayview Financial Asset Trust, 2007-SR1A M2 (1 mo. USD LIBOR + 0.900%) | | | 3.984 | % | | | 3/25/37 | | | | 1,835,733 | | | | 1,854,964 | (b)(d) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | 1 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
| |
| (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 M3 (1 mo. USD LIBOR + 1.150%) | | | 4.234 | % | | | 3/25/37 | | | $ | 831,704 | | | $ | 897,864 | (b)(d) |
BCAP LLC Trust, 2011-RR2 1A4 | | | 3.111 | % | | | 7/26/36 | | | | 2,550,628 | | | | 1,284,615 | (b)(c)(d) |
Bear Stearns ALT-A Trust, 2005-9 25A1 | | | 3.174 | % | | | 11/25/35 | | | | 182,386 | | | | 138,050 | (b) |
Bear Stearns Asset Backed Securities Trust, 2005-CL1 A1 (1 mo. USD LIBOR + 0.500%) | | | 1.924 | % | | | 9/25/34 | | | | 28,950 | | | | 27,846 | (b) |
Bellemeade Re Ltd., 2017-1 B1 (1 mo. USD LIBOR + 4.750%) | | | 7.834 | % | | | 10/25/27 | | | | 1,070,000 | | | | 1,071,011 | (b)(d) |
Bellemeade Re Ltd., 2018-1A M2 (1 mo. USD LIBOR + 2.900%) | | | 5.984 | % | | | 4/25/28 | | | | 292,041 | | | | 291,132 | (b)(d) |
Chase Mortgage Finance Trust, 2006-S3 2A1 | | | 5.500 | % | | | 11/25/21 | | | | 127,834 | | | | 39,610 | |
ChaseFlex Trust, 2005-2 3A3, IO (-1.000 x 1 mo. USD LIBOR + 5.500%) | | | 2.416 | % | | | 6/25/35 | | | | 5,928,748 | | | | 640,982 | (b)(c) |
Chevy Chase Funding LLC Mortgage-Backed Certificates, 2006-2A A1 (1 mo. USD LIBOR + 0.130%) | | | 3.214 | % | | | 4/25/47 | | | | 53,697 | | | | 54,015 | (b)(d) |
CHL Mortgage Pass-Through Trust, 2005-2 2A1 (1 mo. USD LIBOR + 0.640%) | | | 3.724 | % | | | 3/25/35 | | | | 42,909 | | | | 38,832 | (b) |
CHL Mortgage Pass-Through Trust, 2005-11 3A3 | | | 2.713 | % | | | 4/25/35 | | | | 223,496 | | | | 167,928 | (b) |
CHL Mortgage Pass-Through Trust, 2005-11 6A1 (1 mo. USD LIBOR + 0.600%) | | | 3.684 | % | | | 3/25/35 | | | | 37,187 | | | | 26,758 | (b) |
CHL Mortgage Pass-Through Trust, 2005-18 A7 (-2.750 x 1 mo. USD LIBOR +19.525%) | | | 11.044 | % | | | 10/25/35 | | | | 9,873 | | | | 7,027 | (b) |
CHL Mortgage Pass-Through Trust, 2005-HY10 1A1 | | | 3.238 | % | | | 2/20/36 | | | | 30,549 | | | | 24,868 | (b) |
CHL Mortgage Pass-Through Trust, 2005-HYB9 1A1 (12 mo. USD LIBOR + 1.750%) | | | 5.512 | % | | | 2/20/36 | | | | 78,613 | | | | 68,833 | (b) |
Citicorp Mortgage Securities Trust, 2007-8 B1 | | | 5.984 | % | | | 9/25/37 | | | | 2,685,787 | | | | 1,439,932 | (b)(c) |
Citigroup Mortgage Loan Trust, 2006-AR5 2A1A | | | 2.834 | % | | | 7/25/36 | | | | 177,034 | | | | 111,073 | (b) |
Citigroup Mortgage Loan Trust, 2008-3 A3 | | | 6.100 | % | | | 4/25/37 | | | | 5,392,973 | | | | 2,302,530 | (c)(d) |
Citigroup Mortgage Loan Trust Inc., 2004-HYB3 1A | | | 3.546 | % | | | 9/25/34 | | | | 27,468 | | | | 25,176 | (b) |
Citigroup Mortgage Loan Trust Inc., 2004-UST1 A2 | | | 2.700 | % | | | 8/25/34 | | | | 6,338 | | | | 5,949 | (b) |
Citigroup Mortgage Loan Trust Inc., 2005-5 1A5 | | | 2.997 | % | | | 8/25/35 | | | | 84,655 | | | | 70,824 | (b) |
Countrywide Asset-Backed Certificates Trust, 2006-SD3 A1 (1 mo. USD LIBOR + 0.660%) | | | 3.744 | % | | | 7/25/36 | | | | 170,471 | | | | 165,295 | (b)(d) |
See Notes to Schedule of Investments.
| | | | |
2 | | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
| |
| (Percentages shown based on Fund net assets) | | |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - continued | | | | | | | | | | | | | | | | |
Countrywide Asset-Backed Certificates Trust, 2007-SEA1 1A1 (1 mo. USD LIBOR + 1.100%) | | | 4.184 | % | | | 5/25/47 | | | $ | 287,330 | | | $ | 220,124 | (b)(d) |
Credit-Based Asset Servicing & Securitization LLC, 2006-SL1 A3 (1 mo. USD LIBOR + 0.440%) | | | 3.524 | % | | | 9/25/36 | | | | 3,516,126 | | | | 235,916 | (b)(d) |
CSFB Mortgage-Backed Pass-Through Certificates, 2005-10 3A3 | | | 5.500 | % | | | 11/25/35 | | | | 196,243 | | | | 117,985 | |
CSMC Resecuritization Trust, 2006-1R 1A2 (-2.750 x 1 mo. USD LIBOR + 19.525%) | | | 11.054 | % | | | 7/27/36 | | | | 175,329 | | | | 222,083 | (b)(d) |
CSMC Trust, 2014-11R 9A2 (1 mo. USD LIBOR + 0.140%) | | | 2.724 | % | | | 10/27/36 | | | | 3,142,279 | | | | 2,503,691 | (b)(c)(d) |
CSMC Trust, 2015-2R 7A2 | | | 2.848 | % | | | 8/27/36 | | | | 3,432,312 | | | | 2,652,142 | (b)(c)(d) |
CSMC Trust, 2017-RPL1 B1 | | | 2.956 | % | | | 7/25/57 | | | | 3,052,442 | | | | 2,155,816 | (b)(c)(d) |
CSMC Trust, 2017-RPL1 B2 | | | 2.956 | % | | | 7/25/57 | | | | 3,501,991 | | | | 2,473,698 | (b)(c)(d) |
CSMC Trust, 2017-RPL1 B3 | | | 2.956 | % | | | 7/25/57 | | | | 2,977,486 | | | | 1,788,497 | (b)(c)(d) |
CSMC Trust, 2017-RPL1 B4 | | | 2.956 | % | | | 7/25/57 | | | | 3,062,092 | | | | 608,719 | (b)(d) |
CSMC Trust, 2021-NQM6 B2 | | | 4.140 | % | | | 7/25/66 | | | | 1,370,000 | | | | 884,226 | (b)(c)(d) |
CWABS Revolving Home Equity Loan Trust, 2004-L 2A (1 mo. USD LIBOR + 0.280%) | | | 3.098 | % | | | 2/15/34 | | | | 29,399 | | | | 27,741 | (b) |
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 2PO, PO | | | 0.000 | % | | | 4/15/36 | | | | 13,113 | | | | 9,172 | (d) |
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS1, IO | | | 6.650 | % | | | 4/15/36 | | | | 111,970 | | | | 10,237 | (b)(d) |
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS2, IO | | | 11.008 | % | | | 4/15/36 | | | | 106,780 | | | | 14,851 | (b)(d) |
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS1, IO | | | 6.867 | % | | | 4/15/36 | | | | 54,338 | | | | 7,949 | (b)(d) |
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS3, IO | | | 5.392 | % | | | 4/15/36 | | | | 195,552 | | | | 26,648 | (b)(d) |
Ellington Financial Mortgage Trust, 2020-1 B2 | | | 5.137 | % | | | 5/25/65 | | | | 1,550,000 | | | | 1,517,689 | (b)(d) |
FARM Mortgage Trust, 2021-1 B | | | 3.238 | % | | | 7/25/51 | | | | 1,257,749 | | | | 858,210 | (b)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA5 B2 (30 Day Average SOFR + 5.500%) | | | 7.781 | % | | | 1/25/34 | | | | 1,200,000 | | | | 892,137 | (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%) | | | 9.781 | % | | | 10/25/41 | | | | 1,640,000 | | | | 1,455,412 | (b)(c)(d) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | 3 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
| |
| (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, 2016-1 B, PO | | | 0.000 | % | | | 9/25/55 | | | $ | 12,061,104 | | | $ | 2,614,568 | (c)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2016-1 BIO, IO | | | 1.274 | % | | | 9/25/55 | | | | 22,318,586 | | | | 2,593,500 | (b)(c)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2016-1 XSIO, IO | | | 0.075 | % | | | 9/25/55 | | | | 145,077,867 | | | | 412,892 | (b)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 B, PO | | | 0.000 | % | | | 8/25/56 | | | | 11,126,733 | | | | 2,148,922 | (c)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 BIO, IO | | | 1.479 | % | | | 8/25/56 | | | | 19,037,571 | | | | 2,054,723 | (b)(c)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 XSIO, IO | | | 0.075 | % | | | 8/25/56 | | | | 371,004,229 | | | | 1,392,750 | (b)(c)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2018-3 BX | | | 0.501 | % | | | 8/25/57 | | | | 3,346,505 | | | | 1,317,204 | (b)(c)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2019-2 M | | | 4.750 | % | | | 8/25/58 | | | | 681,000 | | | | 589,357 | (b)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2020-1 BXS | | | 5.926 | % | | | 8/25/59 | | | | 4,058,991 | | | | 1,475,759 | (b)(c)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2021-3 BXS | | | 5.224 | % | | | 3/25/61 | | | | 1,699,526 | | | | 882,658 | (b)(c)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA2 B (1 mo. USD LIBOR + 10.500%) | | | 13.584 | % | | | 10/25/28 | | | | 494,189 | | | | 513,890 | (b)(c) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA3 B (1 mo. USD LIBOR + 11.250%) | | | 14.334 | % | | | 12/25/28 | | | | 1,026,976 | | | | 1,092,539 | (b)(c) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA4 B (1 mo. USD LIBOR + 8.600%) | | | 11.684 | % | | | 3/25/29 | | | | 1,572,900 | | | | 1,539,060 | (b)(c) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA2 B2 (1 mo. USD LIBOR + 11.250%) | | | 14.334 | % | | | 10/25/29 | | | | 1,767,618 | | | | 1,746,179 | (b)(c) |
See Notes to Schedule of Investments.
| | | | |
4 | | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
| |
| (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, 2017-SPI1 B | | | 4.124 | % | | | 9/25/47 | | | $ | 747,410 | | | $ | 646,243 | (b)(c)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP1 B2 (1 mo. USD LIBOR + 11.750%) | | | 14.834 | % | | | 5/25/43 | | | | 5,480,862 | | | | 5,861,193 | (b)(c)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP2 B2 (1 mo. USD LIBOR + 10.500%) | | | 13.584 | % | | | 2/25/47 | | | | 3,530,000 | | | | 3,805,191 | (b)(c)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-SPI2 B | | | 3.840 | % | | | 5/25/48 | | | | 1,793,946 | | | | 1,317,812 | (b)(c)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-SPI4 B | | | 4.510 | % | | | 11/25/48 | | | | 3,713,543 | | | | 2,758,766 | (b)(c)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP1 B1 (1 mo. USD LIBOR + 3.750%) | | | 6.834 | % | | | 4/25/43 | | | | 1,750,000 | | | | 1,716,600 | (b)(c)(d) |
Federal National Mortgage Association (FNMA), 2012-134 LS, IO (-1.000 x 1 mo. USD LIBOR + 6.150%) | | | 3.066 | % | | | 12/25/42 | | | | 1,298,793 | | | | 137,523 | (b) |
Federal National Mortgage Association (FNMA) - CAS, 2016-C01 1B (1 mo. USD LIBOR + 11.750%) | | | 14.834 | % | | | 8/25/28 | | | | 1,862,044 | | | | 2,019,870 | (b)(c)(d) |
Federal National Mortgage Association (FNMA) - CAS, 2016-C02 1B (1 mo. USD LIBOR + 12.250%) | | | 15.334 | % | | | 9/25/28 | | | | 2,337,634 | | | | 2,574,476 | (b)(c)(d) |
Federal National Mortgage Association (FNMA) - CAS, 2016-C03 1B (1 mo. USD LIBOR + 11.750%) | | | 14.834 | % | | | 10/25/28 | | | | 1,930,545 | | | | 2,096,496 | (b)(c)(d) |
Federal National Mortgage Association (FNMA) - CAS, 2016-C04 1B (1 mo. USD LIBOR + 10.250%) | | | 13.334 | % | | | 1/25/29 | | | | 2,611,047 | | | | 2,746,203 | (b)(c)(d) |
Federal National Mortgage Association (FNMA) - CAS, 2016-C06 1B (1 mo. USD LIBOR + 9.250%) | | | 12.334 | % | | | 4/25/29 | | | | 3,509,666 | | | | 3,585,926 | (b)(c)(d) |
Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1B1 (1 mo. USD LIBOR + 3.250%) | | | 6.334 | % | | | 1/25/40 | | | | 1,500,000 | | | | 1,370,496 | (b)(c)(d) |
First Horizon Alternative Mortgage Securities Trust, 2005-AA6 3A1 | | | 3.471 | % | | | 8/25/35 | | | | 245,456 | | | | 217,443 | (b) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | 5 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
| |
| (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 | | | $ | 66,954 | | | $ | 25,724 | |
Government National Mortgage Association (GNMA) II | | | 4.000 | % | | | 10/1/51 | | | | 2,000,000 | | | | 1,868,203 | (e) |
Government National Mortgage Association (GNMA) II | | | 4.500 | % | | | 10/1/51 | | | | 2,000,000 | | | | 1,914,922 | (e) |
Government National Mortgage Association (GNMA) II | | | 5.000 | % | | | 10/1/51 | | | | 2,000,000 | | | | 1,957,979 | (e) |
GS Mortgage Securities Corp. II, 2000-1A A (1 mo. USD LIBOR + 0.350%) | | | 3.343 | % | | | 3/20/23 | | | | 9,348 | | | | 9,370 | (b)(d) |
GSAA Resecuritization Mortgage Trust, 2005-R1 1A2, IO (-1.000 x 1 mo. USD LIBOR + 5.000%) | | | 4.914 | % | | | 4/25/35 | | | | 265,961 | | | | 39,422 | (b)(d) |
GSMPS Mortgage Loan Trust, 2005-RP1 1A4 | | | 8.500 | % | | | 1/25/35 | | | | 39,937 | | | | 40,164 | (d) |
GSMPS Mortgage Loan Trust, 2006-RP1 1A2 | | | 7.500 | % | | | 1/25/36 | | | | 283,599 | | | | 248,145 | (d) |
HarborView Mortgage Loan Trust, 2006-2 1A | | | 3.524 | % | | | 2/25/36 | | | | 13,653 | | | | 5,391 | (b) |
Home Equity Mortgage Trust, 2006-1 A3 (1 mo. USD LIBOR + 0.500%) | | | 3.584 | % | | | 5/25/36 | | | | 3,500,000 | | | | 3,240,046 | (b)(c) |
HSI Asset Loan Obligation Trust, 2007-AR1 4A1 | | | 3.977 | % | | | 1/25/37 | | | | 66,705 | | | | 51,979 | (b) |
Impac CMB Trust, 2004-8 1A (1 mo. USD LIBOR + 0.720%) | | | 3.804 | % | | | 10/25/34 | | | | 106,618 | | | | 98,979 | (b) |
IndyMac INDA Mortgage Loan Trust, 2005-AR2 1A1 | | | 3.053 | % | | | 1/25/36 | | | | 62,468 | | | | 50,597 | (b) |
IndyMac INDX Mortgage Loan Trust, 2004-AR13 1A1 | | | 2.784 | % | | | 1/25/35 | | | | 25,474 | | | | 24,539 | (b) |
IndyMac INDX Mortgage Loan Trust, 2005-AR15 A2 | | | 3.229 | % | | | 9/25/35 | | | | 38,435 | | | | 32,986 | (b) |
IndyMac INDX Mortgage Loan Trust, 2006-AR7 5A1 | | | 3.066 | % | | | 5/25/36 | | | | 143,208 | | | | 113,804 | (b) |
IndyMac INDX Mortgage Loan Trust, 2006-AR9 3A3 | | | 3.075 | % | | | 6/25/36 | | | | 227,644 | | | | 201,295 | (b) |
IndyMac INDX Mortgage Loan Trust, 2006-AR11 1A1 | | | 3.245 | % | | | 6/25/36 | | | | 288,927 | | | | 240,335 | (b) |
JPMorgan Alternative Loan Trust, 2007-A1 3A1 | | | 3.450 | % | | | 3/25/37 | | | | 190,508 | | | | 186,761 | (b) |
JPMorgan Mortgage Trust, 2005-S3 1A1 | | | 6.500 | % | | | 1/25/36 | | | | 610,237 | | | | 343,813 | |
JPMorgan Mortgage Trust, 2007-S2 3A2 | | | 6.000 | % | | | 6/25/37 | | | | 34,339 | | | | 33,446 | |
JPMorgan Mortgage Trust, 2007-S2 3A3 | | | 6.500 | % | | | 6/25/37 | | | | 11,186 | | | | 10,867 | |
JPMorgan Mortgage Trust, 2007-S3 1A18 (1 mo. USD LIBOR + 0.500%) | | | 3.584 | % | | | 8/25/37 | | | | 1,918,987 | | | | 713,047 | (b) |
See Notes to Schedule of Investments.
| | | | |
6 | | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
| |
| (Percentages shown based on Fund net assets) | | |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - continued | | | | | | | | | | | | | | | | |
Legacy Mortgage Asset Trust, 2021-GS3 A2 | | | 3.250 | % | | | 7/25/61 | | | $ | 1,640,000 | | | $ | 1,480,957 | (c)(d) |
Lehman Mortgage Trust, 2006-3 1A7, IO (-1.000 x 1 mo. USD LIBOR + 5.400%) | | | 2.316 | % | | | 7/25/36 | | | | 4,027,911 | | | | 451,678 | (b)(c) |
Lehman Mortgage Trust, 2006-7 1A3, IO (-1.000 x 1 mo. USD LIBOR + 5.350%) | | | 2.266 | % | | | 11/25/36 | | | | 3,395,986 | | | | 362,309 | (b) |
Lehman Mortgage Trust, 2006-7 1A8 (1 mo. USD LIBOR + 0.180%) | | | 3.264 | % | | | 11/25/36 | | | | 2,502,104 | | | | 1,219,048 | (b)(c) |
Lehman Mortgage Trust, 2006-7 3A2, IO (-1.000 x 1 mo. USD LIBOR + 7.150%) | | | 4.066 | % | | | 11/25/36 | | | | 4,917,664 | | | | 659,443 | (b)(c) |
Lehman Mortgage Trust, 2007-5 2A3 (1 mo. USD LIBOR + 0.330%) | | | 3.414 | % | | | 6/25/37 | | | | 2,591,067 | | | | 423,876 | (b) |
Lehman XS Trust, 2006-19 A4 (1 mo. USD LIBOR + 0.340%) | | | 3.424 | % | | | 12/25/36 | | | | 387,232 | | | | 338,862 | (b) |
LSTAR Securities Investment Ltd., 2019-4 A1 (1 mo. USD LIBOR + 3.500%) | | | 6.064 | % | | | 5/1/24 | | | | 2,092,883 | | | | 2,100,806 | (b)(d) |
MASTR Adjustable Rate Mortgages Trust, 2004-12 5A1 | | | 3.605 | % | | | 10/25/34 | | | | 8,293 | | | | 8,102 | (b) |
MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. USD LIBOR + 0.210%) | | | 3.294 | % | | | 4/25/46 | | | | 110,457 | | | | 97,723 | (b) |
MASTR Reperforming Loan Trust, 2005-1 1A4 | | | 7.500 | % | | | 8/25/34 | | | | 45,673 | | | | 36,206 | (d) |
Merrill Lynch Mortgage Investors Trust, 2006-A1 2A1 | | | 2.611 | % | | | 3/25/36 | | | | 389,500 | | | | 220,179 | (b) |
Morgan Stanley Mortgage Loan Trust, 2006-8AR 1A2 (1 mo. USD LIBOR + 0.140%) | | | 3.224 | % | | | 6/25/36 | | | | 194,473 | | | | 45,594 | (b) |
Morgan Stanley Mortgage Loan Trust, 2007-5AX 2A3 (1 mo. USD LIBOR + 0.460%) | | | 3.544 | % | | | 2/25/37 | | | | 1,421,364 | | | | 412,068 | (b) |
Morgan Stanley Mortgage Loan Trust, 2007-15AR 4A1 | | | 3.069 | % | | | 11/25/37 | | | | 309,262 | | | | 278,365 | (b) |
Morgan Stanley Re-REMIC Trust, 2015-R2 1B (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 0.710%) | | | 1.569 | % | | | 12/27/46 | | | | 807,640 | | | | 713,607 | (b)(d) |
New Century Home Equity Loan Trust, 2004-3 M3 (1 mo. USD LIBOR + 1.065%) | | | 4.149 | % | | | 11/25/34 | | | | 176,051 | | | | 173,769 | (b) |
New Residential Mortgage Loan Trust, 2017-4A B4 | | | 5.302 | % | | | 5/25/57 | | | | 2,121,552 | | | | 1,916,725 | (b)(c)(d) |
New Residential Mortgage Loan Trust, 2019-6A A1IB, IO | | | 0.500 | % | | | 9/25/59 | | | | 24,366,577 | | | | 398,965 | (b)(d) |
NewRez Warehouse Securitization Trust, 2021-1 F (1 mo. USD LIBOR + 5.250%) | | | 8.334 | % | | | 5/25/55 | | | | 2,460,000 | | | | 2,440,062 | (b)(d) |
Nomura Resecuritization Trust, 2015-4R 4A7 | | | 3.377 | % | | | 3/26/37 | | | | 731,262 | | | | 717,601 | (b)(d) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | 7 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
| |
| (Percentages shown based on Fund net assets) | | |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - continued | | | | | | | | | | | | | | | | |
PMT Credit Risk Transfer Trust, 2019-2R A (1 mo. USD LIBOR + 2.750%) | | | 5.863 | % | | | 5/27/23 | | | $ | 876,544 | | | $ | 844,244 | (b)(c)(d) |
Popular ABS Mortgage Pass-Through Trust, 2005-5 MV2 (1 mo. USD LIBOR + 0.945%) | | | 3.127 | % | | | 11/25/35 | | | | 2,140,867 | | | | 1,905,837 | (b)(c) |
Provident Home Equity Loan Trust, 2000-2 A1 (1 mo. USD LIBOR + 0.540%) | | | 3.624 | % | | | 8/25/31 | | | | 595,983 | | | | 522,798 | (b) |
Radnor RE Ltd., 2020-1 M2B (1 mo. USD LIBOR + 2.250%) | | | 5.334 | % | | | 1/25/30 | | | | 2,345,000 | | | | 2,167,311 | (b)(d) |
Radnor RE Ltd., 2021-1 M1C (30 Day Average SOFR + 2.700%) | | | 4.981 | % | | | 12/27/33 | | | | 1,225,000 | | | | 1,185,992 | (b)(d) |
RALI Trust, 2005-QA3 CB4 | | | 3.430 | % | | | 3/25/35 | | | | 843,168 | | | | 383,803 | (b) |
RALI Trust, 2006-QA1 A11 | | | 4.393 | % | | | 1/25/36 | | | | 255,915 | | | | 196,291 | (b) |
RALI Trust, 2006-QA4 A (1 mo. USD LIBOR + 0.360%) | | | 3.444 | % | | | 5/25/36 | | | | 134,010 | | | | 120,170 | (b) |
RALI Trust, 2006-QO2 A1 (1 mo. USD LIBOR + 0.440%) | | | 3.524 | % | | | 2/25/46 | | | | 165,246 | | | | 37,075 | (b) |
RALI Trust, 2007-QA2 A1 (1 mo. USD LIBOR + 0.260%) | | | 3.344 | % | | | 2/25/37 | | | | 23,669 | | | | 30,128 | (b) |
RAMP Trust, 2004-RS4 MII2 (1 mo. USD LIBOR + 1.350%) | | | 4.461 | % | | | 4/25/34 | | | | 925,330 | | | | 824,244 | (b)(c) |
RAMP Trust, 2005-SL2 A5 | | | 8.000 | % | | | 10/25/31 | | | | 243,765 | | | | 125,815 | |
RBSGC Mortgage Loan Trust, 2007-A 3A1 (1 mo. USD LIBOR + 0.350%) | | | 3.434 | % | | | 1/25/37 | | | | 2,691,740 | | | | 476,931 | (b) |
Redwood Funding Trust, 2019-1 PT | | | 4.468 | % | | | 9/27/24 | | | | 2,120,244 | | | | 2,106,992 | (d) |
Renaissance Home Equity Loan Trust, 2006-1 AF5 | | | 6.166 | % | | | 5/25/36 | | | | 519,777 | | | | 301,384 | |
Renaissance Home Equity Loan Trust, 2007-2 AF2 | | | 5.675 | % | | | 6/25/37 | | | | 445,054 | | | | 139,684 | |
Renaissance Home Equity Loan Trust, 2007-3 AF3 | | | 7.238 | % | | | 9/25/37 | | | | 1,532,820 | | | | 737,687 | (c) |
Residential Asset Securitization Trust, 2006-A1 1A6 (1 mo. USD LIBOR + 0.500%) | | | 3.584 | % | | | 4/25/36 | | | | 1,280,218 | | | | 447,763 | (b) |
Residential Asset Securitization Trust, 2006-A1 1A7, IO (-1.000 x 1 mo. USD LIBOR + 5.500%) | | | 2.416 | % | | | 4/25/36 | | | | 2,653,301 | | | | 284,739 | (b) |
Residential Asset Securitization Trust, 2007-A2 1A1 | | | 6.000 | % | | | 4/25/37 | | | | 175,334 | | | | 109,229 | |
RFMSI Trust, 2006-S8 A12, IO (-1.000 x 1 mo. USD LIBOR + 5.400%) | | | 2.316 | % | | | 9/25/36 | | | | 2,092,961 | | | | 119,738 | (b) |
RFMSI Trust, 2007-S6 1A6 (1 mo. USD LIBOR + 0.500%) | | | 3.584 | % | | | 6/25/37 | | | | 988,763 | | | | 796,022 | (b)(c) |
See Notes to Schedule of Investments.
| | | | |
8 | | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
| |
| (Percentages shown based on Fund net assets) | | |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES(a) - continued | | | | | | | | | | | | | | | | |
RFMSI Trust, 2007-S6 1A13, IO (-1.000 x 1 mo. USD LIBOR + 5.500%) | | | 2.416 | % | | | 6/25/37 | | | $ | 988,763 | | | $ | 64,366 | (b) |
Seasoned Credit Risk Transfer Trust, 2022-2 M | | | 5.000 | % | | | 4/25/62 | | | | 1,337,000 | | | | 1,058,882 | (b)(d) |
Structured Adjustable Rate Mortgage Loan Trust, 2004-18 1A2 | | | 3.150 | % | | | 12/25/34 | | | | 153,271 | | | | 139,516 | (b) |
Structured Adjustable Rate Mortgage Loan Trust, 2005-4 1A1 | | | 3.557 | % | | | 3/25/35 | | | | 115,667 | | | | 96,951 | (b) |
Structured Adjustable Rate Mortgage Loan Trust, 2005-7 1A3 | | | 3.471 | % | | | 4/25/35 | | | | 38,575 | | | | 36,621 | (b) |
Structured Asset Investment Loan Trust, 2004-8 M9 (1 mo. USD LIBOR + 3.750%) | | | 6.834 | % | | | 9/25/34 | | | | 297,405 | | | | 280,951 | (b) |
Structured Asset Mortgage Investments II Trust, 2006-AR5 4A1 (1 mo. USD LIBOR + 0.440%) | | | 3.524 | % | | | 5/25/46 | | | | 419,772 | | | | 130,177 | (b) |
Wachovia Mortgage Loan Trust LLC, 2005-B 2A2 | | | 3.060 | % | | | 10/20/35 | | | | 7,561 | | | | 7,278 | (b) |
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR2 B1 (1 mo. USD LIBOR + 0.795%) | | | 3.879 | % | | | 1/25/45 | | | | 1,407,075 | | | | 1,163,192 | (b)(c) |
WaMu Mortgage Pass-Through Certificates Trust, 2005-8 1A6 (-3.667 x 1 mo. USD LIBOR + 23.283%) | | | 11.975 | % | | | 10/25/35 | | | | 112,104 | | | | 96,940 | (b) |
WaMu Mortgage Pass-Through Certificates Trust, 2005-9 5A4 (-7.333 x 1 mo. USD LIBOR + 35.933%) | | | 13.317 | % | | | 11/25/35 | | | | 42,043 | | | | 34,643 | (b) |
WaMu Mortgage Pass-Through Certificates Trust, 2005-10 2A3 (1 mo. USD LIBOR + 0.900%) | | | 3.984 | % | | | 11/25/35 | | | | 75,985 | | | | 71,055 | (b) |
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR13 A1C3 (1 mo. USD LIBOR + 0.980%) | | | 4.064 | % | | | 10/25/45 | | | | 93,149 | | | | 87,432 | (b) |
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR15 A1C4 (1 mo. USD LIBOR + 0.800%) | | | 3.884 | % | | | 11/25/45 | | | | 516,472 | | | | 279,728 | (b) |
WaMu Mortgage Pass-Through Certificates Trust, 2006-AR10 A1 (1 mo. USD LIBOR + 0.200%) | | | 3.284 | % | | | 12/25/36 | | | | 259,283 | | | | 145,916 | (b) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | 9 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
| |
| (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, 2006-AR16 2A2 | | | 2.430 | % | | | 12/25/36 | | | $ | 109,627 | | | $ | 97,233 | (b) |
Wells Fargo Alternative Loan Trust, 2007-PA1 A12, IO (-1.000 x 1 mo. USD LIBOR + 5.460%) | | | 2.376 | % | | | 3/25/37 | | | | 1,210,642 | | | | 50,089 | (b) |
| | | | | | | | | | | | | | | | |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost - $147,175,177) | | | | | | | | | | | | | | | 145,668,029 | |
| | | | | | | | | | | | | | | | |
| COMMERCIAL MORTGAGE-BACKED SECURITIES(a) - 48.8% | | | | | | | | | | | | | |
BPR Trust, 2021-TY F (1 mo. USD LIBOR + 4.200%) | | | 7.018 | % | | | 9/15/38 | | | | 1,000,000 | | | | 934,034 | (b)(d) |
BSREP Commercial Mortgage Trust, 2021-DC HRR (1 mo. USD LIBOR + 5.500%) | | | 8.318 | % | | | 8/15/38 | | | | 3,536,000 | | | | 3,032,695 | (b)(d) |
BX Commercial Mortgage Trust, 2019-IMC F (1 mo. USD LIBOR + 2.900%) | | | 5.718 | % | | | 4/15/34 | | | | 2,000,000 | | | | 1,868,368 | (b)(d) |
BX Commercial Mortgage Trust, 2020-VIVA E | | | 3.667 | % | | | 3/11/44 | | | | 2,000,000 | | | | 1,441,500 | (b)(d) |
BX Commercial Mortgage Trust, 2021-XL2 J (1 mo. USD LIBOR + 3.890%) | | | 6.708 | % | | | 10/15/38 | | | | 2,333,655 | | | | 2,157,344 | (b)(d) |
BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%) | | | 7.028 | % | | | 2/15/39 | | | | 1,073,899 | | | | 988,584 | (b)(d) |
CSMC OA LLC, 2014-USA F | | | 4.373 | % | | | 9/15/37 | | | | 2,720,000 | | | | 1,875,942 | (d) |
CSMC Trust, 2017-CHOP F (1 mo. USD LIBOR + 4.350%) | | | 7.168 | % | | | 7/15/32 | | | | 1,620,000 | | | | 1,465,659 | (b)(d) |
CSMC Trust, 2017-CHOP H (1 mo. USD LIBOR + 7.350%) | | | 10.168 | % | | | 7/15/32 | | | | 2,459,000 | | | | 2,075,125 | (b)(d) |
CSMC Trust, 2019-RIO B (1 mo. USD LIBOR + 7.000%) | | | 9.818 | % | | | 12/15/22 | | | | 2,979,738 | | | | 2,949,418 | (b)(d) |
CSMC Trust, 2021-4SZN A (1 mo. Term SOFR + 3.967%) | | | 6.813 | % | | | 11/15/23 | | | | 1,750,000 | | | | 1,665,584 | (b)(d) |
CSMC Trust, 2021-ADV G (1 mo. USD LIBOR + 6.250%) | | | 9.068 | % | | | 7/15/38 | | | | 2,080,000 | | | | 1,952,526 | (b)(d) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Credit Risk, 2021-MN1 B1 (30 Day Average SOFR + 7.750%) | | | 10.031 | % | | | 1/25/51 | | | | 950,000 | | | | 914,739 | (b)(d) |
FREMF Mortgage Trust, 21K-F117 CS (30 Day Average SOFR + 6.400%) | | | 8.684 | % | | | 7/25/31 | | | | 1,628,878 | | | | 1,627,206 | (b)(d) |
FRESB Mortgage Trust, 2018-SB48 B | | | 3.815 | % | | | 2/25/38 | | | | 3,514,522 | | | | 2,903,397 | (b)(d) |
GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. USD LIBOR + 4.450%) | | | 7.268 | % | | | 11/15/32 | | | | 2,500,000 | | | | 2,318,964 | (b)(d) |
GS Mortgage Securities Corp. Trust, 2019-SMP G (1 mo. USD LIBOR + 4.250%) | | | 7.068 | % | | | 8/15/32 | | | | 1,500,000 | | | | 1,391,385 | (b)(d) |
GS Mortgage Securities Trust, 2007-GG10 AJ | | | 5.809 | % | | | 8/10/45 | | | | 1,304,239 | | | | 404,314 | (b) |
Hawaii Hotel Trust, 2019-MAUI F (1 mo. USD LIBOR + 2.750%) | | | 5.568 | % | | | 5/15/38 | | | | 1,000,000 | | | | 938,300 | (b)(d) |
See Notes to Schedule of Investments.
| | | | |
10 | | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
| |
| (Percentages shown based on Fund net assets) | | |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COMMERCIAL MORTGAGE-BACKED SECURITIES(a) - continued | | | | | | | | | | | | | | | | |
Hawaii Hotel Trust, 2019-MAUI G (1 mo. USD LIBOR + 3.150%) | | | 5.968 | % | | | 5/15/38 | | | $ | 1,697,000 | | | $ | 1,557,584 | (b)(d) |
HIT Trust, 2022-HI32 G (1 mo. Term SOFR + 7.228%) | | | 10.073 | % | | | 7/15/24 | | | | 2,000,000 | | | | 1,974,455 | (b)(d) |
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN HFL (1 mo. USD LIBOR + 4.000%) | | | 6.939 | % | | | 1/16/37 | | | | 174,062 | | | | 160,738 | (b)(d) |
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ | | | 6.723 | % | | | 2/15/51 | | | | 70,787 | | | | 63,504 | (b) |
JPMorgan Chase Commercial Mortgage Securities Trust, 2018-PHMZ M (1 mo. USD LIBOR + 8.508%) | | | 11.326 | % | | | 6/15/35 | | | | 3,000,000 | | | | 3,003 | (b)(d) |
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST G (1 mo. USD LIBOR + 4.250%) | | | 7.068 | % | | | 12/15/36 | | | | 988,000 | | | | 578,171 | (b)(d) |
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST H (1 mo. USD LIBOR + 6.750%) | | | 9.568 | % | | | 12/15/36 | | | | 1,033,000 | | | | 562,478 | (b)(d) |
JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYMZ M (1 mo. USD LIBOR + 7.250%) | | | 10.068 | % | | | 6/15/26 | | | | 1,250,000 | | | | 1,231,770 | (b)(d) |
KIND Trust, 2021-KIND F (1 mo. USD LIBOR + 3.950%) | | | 6.768 | % | | | 8/15/38 | | | | 1,797,012 | | | | 1,667,738 | (b)(d) |
MBRT, 2019-MBR H1 (1 mo. USD LIBOR + 4.250%) | | | 7.068 | % | | | 11/15/36 | | | | 2,000,000 | | | | 1,882,568 | (b)(d) |
Med Trust, 2021-MDLN G (1 mo. USD LIBOR + 5.250%) | | | 8.068 | % | | | 11/15/38 | | | | 2,100,000 | | | | 1,944,168 | (b)(d) |
ML-CFC Commercial Mortgage Trust, 2007-5 AJ | | | 5.450 | % | | | 8/12/48 | | | | 44,430 | | | | 22,170 | (b) |
ML-CFC Commercial Mortgage Trust, 2007-9 AJ | | | 6.193 | % | | | 9/12/49 | | | | 18,437 | | | | 18,168 | (b) |
ML-CFC Commercial Mortgage Trust, 2007-9 AJA | | | 6.222 | % | | | 9/12/49 | | | | 4,296 | | | | 4,233 | (b) |
Morgan Stanley Capital I Trust, 2007-IQ16 AJ | | | 6.282 | % | | | 12/12/49 | | | | 84,324 | | | | 40,982 | (b) |
Motel Trust, 2021-MTL6 H (1 mo. USD LIBOR + 6.000%) | | | 8.818 | % | | | 9/15/38 | | | | 124,172 | | | | 122,170 | (b)(d) |
MRCD Mortgage Trust, 2019-PRKC A | | | 4.250 | % | | | 12/15/36 | | | | 2,048,000 | | | | 1,649,111 | (b)(d) |
Multifamily CAS Trust, 2019-1 CE (1 mo. USD LIBOR + 8.750%) | | | 11.834 | % | | | 10/25/49 | | | | 2,500,000 | | | | 2,494,443 | (b)(d) |
Multifamily CAS Trust, 2020-1 CE (1 mo. USD LIBOR + 7.500%) | | | 10.584 | % | | | 3/25/50 | | | | 1,500,000 | | | | 1,480,853 | (b)(d) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | 11 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
| |
| (Percentages shown based on Fund net assets) | | |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COMMERCIAL MORTGAGE-BACKED SECURITIES(a) - continued | | | | | | | | | | | | | | | | |
Natixis Commercial Mortgage Securities Trust, 2019-FAME D | | | 4.544 | % | | | 8/15/36 | | | $ | 1,900,000 | | | $ | 1,673,350 | (b)(d) |
Natixis Commercial Mortgage Securities Trust, 2019-FAME E | | | 4.544 | % | | | 8/15/36 | | | | 950,000 | | | | 796,032 | (b)(d) |
Natixis Commercial Mortgage Securities Trust, 2022-JERI G (1 mo. Term SOFR + 7.458%) | | | 10.303 | % | | | 1/15/39 | | | | 3,500,000 | | | | 3,369,747 | (b)(d) |
Natixis Commercial Mortgage Securities Trust, 2022-RRI E (1 mo. Term SOFR + 5.193%) | | | 8.038 | % | | | 3/15/35 | | | | 1,697,000 | | | | 1,625,115 | (b)(d) |
NCMF Trust, 2022-MFP G (1 mo. Term SOFR + 5.128%) | | | 7.973 | % | | | 3/15/39 | | | | 2,200,000 | | | | 2,101,559 | (b)(d) |
RIAL Issuer Ltd., 2022-FL8 E (1 mo. Term SOFR + 5.500%) | | | 8.518 | % | | | 1/19/37 | | | | 1,500,000 | | | | 1,454,345 | (b)(d) |
River Haus, 2021 A-2 | | | 6.950 | % | | | 8/15/24 | | | | 1,500,000 | | | | 1,499,997 | (f)(g) |
SMR Mortgage Trust, 2022-IND G (1 mo. Term SOFR + 7.500%) | | | 10.345 | % | | | 2/15/39 | | | | 1,929,181 | | | | 1,829,326 | (b)(d) |
Soho Trust, 2021-SOHO D | | | 2.786 | % | | | 8/10/38 | | | | 1,500,000 | | | | 1,035,378 | (b)(d) |
Starwood Retail Property Trust, 2014-STAR D (1 mo. USD LIBOR + 3.500%) | | | 6.318 | % | | | 11/15/27 | | | | 1,000,000 | | | | 40,000 | (b)(d) |
Starwood Retail Property Trust, 2014-STAR E (1 mo. USD LIBOR + 4.400%) | | | 7.218 | % | | | 11/15/27 | | | | 1,600,000 | | | | 3,208 | (b)(d) |
Tharaldson Hotel Portfolio Trust, 2018-THL E (1 mo. USD LIBOR + 3.480%) | | | 6.123 | % | | | 11/11/34 | | | | 1,012,600 | | | | 952,501 | (b)(d) |
Tharaldson Hotel Portfolio Trust, 2018-THL F (1 mo. USD LIBOR + 4.252%) | | | 6.895 | % | | | 11/11/34 | | | | 769,576 | | | | 723,899 | (b)(d) |
UBS Commercial Mortgage Trust, 2018-NYCH G (1 mo. USD LIBOR + 4.838%) | | | 7.656 | % | | | 2/15/32 | | | | 962,000 | | | | 871,154 | (b)(d) |
Wells Fargo Commercial Mortgage Trust, 2017-C42 D | | | 2.800 | % | | | 12/15/50 | | | | 1,000,000 | | | | 706,748 | (b)(d) |
Wells Fargo Commercial Mortgage Trust, 2022-JS2 G | | | 3.569 | % | | | 12/15/39 | | | | 2,200,000 | | | | 1,329,414 | (b)(d) |
WFRBS Commercial Mortgage Trust, 2014- C19 D | | | 4.234 | % | | | 3/15/47 | | | | 825,000 | | | | 757,686 | (d) |
| | | | | | | | | | | | | | | | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost - $83,511,294) | | | | | | | | | | | | | | | 71,132,850 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
12 | | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
| |
| (Percentages shown based on Fund net assets) | | |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT/
UNITS | | | VALUE | |
| ASSET-BACKED SECURITIES - 10.1% | | | | | | | | | | | | | | | | |
AccessLex Institute, 2004-A B1 (28 day Auction Rate Security) | | | 4.643 | % | | | 7/1/39 | | | $ | 100,000 | | | $ | 95,188 | (b) |
BankAmerica Manufactured Housing Contract Trust, 1996-1 B1 | | | 7.875 | % | | | 10/10/26 | | | | 7,866,000 | | | | 372,608 | |
BCMSC Trust, 1998-B A | | | 6.530 | % | | | 10/15/28 | | | | 229,258 | | | | 218,973 | (b) |
BCMSC Trust, 1999-A A3 | | | 5.980 | % | | | 3/15/29 | | | | 28,858 | | | | 28,741 | (b) |
Cascade MH Asset Trust, 2019-MH1 M | | | 5.985 | % | | | 11/25/44 | | | | 1,150,000 | | | | 1,063,627 | (b)(d) |
Firstfed Corp. Manufactured Housing Contract, 1997-2 B | | | 8.110 | % | | | 5/15/24 | | | | 121,324 | | | | 13 | (d) |
Hertz Vehicle Financing LLC, 2022-4A D | | | 6.560 | % | | | 9/25/26 | | | | 1,700,000 | | | | 1,569,005 | (d) |
Loanpal Solar Loan Ltd., 2020-3GS C | | | 3.500 | % | | | 12/20/47 | | | | 781,101 | | | | 582,208 | (d) |
Loanpal Solar Loan Ltd., 2021-1GS C | | | 3.500 | % | | | 1/20/48 | | | | 857,175 | | | | 686,798 | (d) |
Lunar Structured Aircraft Portfolio Notes, 2021-1 C | | | 5.682 | % | | | 10/15/46 | | | | 1,841,198 | | | | 1,459,170 | (d) |
National Collegiate Student Loan Trust, 2006-3 B (1 mo. USD LIBOR + 0.360%) | | | 3.444 | % | | | 1/26/32 | | | | 1,710,000 | | | | 1,288,016 | (b) |
National Collegiate Class A-3L Commutation Trust, 2007-4VI O (1 mo. USD LIBOR + 0.850%) | | | 3.934 | % | | | 3/29/38 | | | | 5,946,896 | | | | 1,233,755 | (b)(d) |
Nelnet Student Loan Trust, 2021-DA D | | | 4.380 | % | | | 4/20/62 | | | | 1,200,000 | | | | 950,305 | (d) |
RBS Acceptance Inc., 1995-BA1 B2 | | | 9.000 | % | | | 8/10/20 | | | | 2,191,561 | | | | 132 | |
SMB Private Education Loan Trust, 2014-A R | | | 0.000 | % | | | 9/15/45 | | | | 6,875 | | | | 791,596 | (d) |
SoFi Professional Loan Program LLC, 2017-F R1 | | | 0.000 | % | | | 1/25/41 | | | | 34,000 | | | | 488,769 | (d) |
Stonepeak, 2021-1A B | | | 3.821 | % | | | 2/28/33 | | | | 1,495,024 | | | | 1,309,214 | (d) |
Sunnova Hellios II Issuer LLC, 2018-1A B | | | 7.710 | % | | | 7/20/48 | | | | 991,287 | | | | 925,558 | (d) |
Thrust Engine Leasing, 2021-1A A | | | 4.163 | % | | | 7/15/40 | | | | 1,618,891 | | | | 1,356,133 | (d) |
Voya CLO Ltd., 2017-2A D (3 mo. USD LIBOR + 6.020%) | | | 8.532 | % | | | 6/7/30 | | | | 400,000 | | | | 332,727 | (b)(d) |
| | | | | | | | | | | | | | | | |
TOTAL ASSET-BACKED SECURITIES (Cost - $20,053,043) | | | | | | | | | | | | | | | 14,752,536 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | FACE
AMOUNT | | | | |
| CORPORATE BONDS & NOTES - 1.0% | | | | | | | | | | | | | | | | |
| CONSUMER STAPLES - 0.3% | | | | | | | | | | | | | | | | |
Food & Staples Retailing - 0.3% | | | | | | | | | | | | | | | | |
CVS Pass-Through Trust | | | 9.350 | % | | | 1/10/23 | | | | 479,444 | | | | 486,582 | (d) |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | 13 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
| |
| (Percentages shown based on Fund net assets) | | |
| | | | | | | | | | | | | | | | |
SECURITY‡ | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| INDUSTRIALS - 0.7% | | | | | | | | | | | | | | | | |
Airlines - 0.7% | | | | | | | | | | | | | | | | |
American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes | | | 5.750 | % | | | 4/20/29 | | | $ | 1,060,000 | | | $ | 926,731 | (d) |
| | | | | | | | | | | | | | | | |
TOTAL CORPORATE BONDS & NOTES (Cost - $1,513,885) | | | | | | | | | | | | 1,413,313 | |
| | | | | | | | | | | | | | | | |
| CONVERTIBLE BONDS & NOTES - 0.3% | | | | | | | | | | | | | | | | |
| FINANCIALS - 0.3% | | | | | | | | | | | | | | | | |
Mortgage Real Estate Investment Trusts (REITs) - 0.3% | | | | | | | | | | | | | | | | |
Two Harbors Investment Corp., Senior Notes (Cost - $534,407) | | | 6.250 | % | | | 1/15/26 | | | | 600,000 | | | | 502,140 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $252,787,806) | | | | | | | | | | | | | | | 233,468,868 | |
| | | | | | | | | | | | | | | | |
| SHORT-TERM INVESTMENTS - 7.2% | | | | | | | | | | | | | | | | |
Repurchase Agreements - 5.0% | | | | | | | | | | | | | | | | |
Goldman Sachs & Co. repurchase agreement dated 9/30/22; Proceeds at maturity - $7,301,801; (Fully collateralized by U.S. government obligations, 1.250% due 8/15/31; Market value - $7,300,000) (Cost - $7,300,000) | | | 2.960 | % | | | 10/3/22 | | �� | | 7,300,000 | | | | 7,300,000 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | SHARES | | | | |
| MONEY MARKET FUNDS - 2.2% | | | | | | | | | | | | | | | | |
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost - $3,156,088) | | | 2.799 | % | | | | | | | 3,156,088 | | | | 3,156,088 | (h) |
| | | | | | | | | | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS (Cost - $10,456,088) | | | | | | | | | | | | | | | 10,456,088 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS - 167.3% (Cost - $263,243,894) | | | | | | | | | | | | | | | 243,924,956 | |
Liabilities in Excess of Other Assets - (67.3)% | | | | | | | | | | | | | | | (98,092,956 | ) |
| | | | | | | | | | | | | | | | |
TOTAL NET ASSETS - 100.0% | | | | | | | | | | | | | | $ | 145,832,000 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
14 | | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
| ‡ | Securities held by the Fund are subject to a lien, granted to the lender, to the extent of the borrowing outstanding and any additional expenses. |
| (a) | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit. |
| (b) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (c) | All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements. |
| (d) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
| (e) | This security is traded on a to-be-announced (“TBA”) basis. At September 30, 2022, the Fund held TBA securities with a total cost of $6,028,828. |
| (f) | Security is valued in good faith in accordance with procedures approved by the Board of Directors (Note 1). |
| (g) | Security is valued using significant unobservable inputs (Note 1). |
| (h) | In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At September 30, 2022, the total market value of investments in Affiliated Companies was $3,156,088 and the cost was $3,156,088 (Note 2). |
| | |
| Abbreviation(s) used in this schedule: |
| |
| CAS | | — Connecticut Avenue Securities |
| CLO | | — Collateralized Loan Obligation |
| CMT | | — Constant Maturity Treasury |
| IO | | — Interest Only |
| LIBOR | | — London Interbank Offered Rate |
| PAC | | — Planned Amortization Class |
| PO | | — Principal Only |
| REMIC | | — Real Estate Mortgage Investment Conduit |
| Re-REMIC | | — Resecuritization of Real Estate Mortgage Investment Conduit |
| SOFR | | — Secured Overnight Financing Rate |
| USD | | — United States Dollar |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | 15 |
WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | September 30, 2022 |
At September 30, 2022, the Fund had the following open reverse repurchase agreements:
| | | | | | | | | | | | | | | | | | | | | | | | |
COUNTERPARTY | | RATE | | | EFFECTIVE
DATE | | | MATURITY
DATE | | | FACE AMOUNT
OF REVERSE
REPURCHASE
AGREEMENTS | | | ASSET CLASS
OF COLLATERAL* | | | COLLATERAL
VALUE** | |
Nomura Securities International Inc. | | | 4.205 | % | | | 7/13/2022 | | | | 5/22/2023 | | | $ | 89,609,000 | | |
| Residential Mortgage-
Backed Securities |
| | $ | 97,575,871 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 89,609,000 | | | | | | | $ | 97,575,871 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| * | Refer to the Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements. |
| ** | Including accrued interest. |
At September 30, 2022, the Fund had the following open futures contracts:
| | | | | | | | | | | | | | | | | | | | |
| | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 5-Year Notes | | | 198 | | | | 12/22 | | | $ | 21,961,673 | | | $ | 21,286,546 | | | $ | 675,127 | |
U.S. Treasury 10-Year Notes | | | 8 | | | | 12/22 | | | | 942,905 | | | | 896,500 | | | | 46,405 | |
U.S. Treasury Long-Term Bonds | | | 20 | | | | 12/22 | | | | 2,743,787 | | | | 2,528,125 | | | | 215,662 | |
U.S. Treasury Ultra 10-Year Notes | | | 62 | | | | 12/22 | | | | 7,824,494 | | | | 7,346,032 | | | | 478,462 | |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized appreciation on open futures contracts | | | $ | 1,415,656 | |
| | | | | | | | | | | | | | | | | | | | |
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.
| | | | |
16 | | Western Asset Mortgage Opportunity Fund Inc. 2022 Quarterly Report | | |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Mortgage Opportunity Fund Inc. (the “Fund”) was incorporated in Maryland on December 11, 2009 and is registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund’s primary investment objective is to provide current income. As a secondary investment objective, the Fund will seek capital appreciation. The Fund seeks to achieve its investment objectives by investing primarily in a diverse portfolio of mortgage-backed securities (“MBS”) and mortgage whole loans. Investments in MBS consist primarily of non-agency residential mortgage-backed securities (“RMBS”) and commercial mortgage-backed securities (“CMBS”).
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.
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
Notes to Schedule of Investments (unaudited) (continued)
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 | | | — | | | $ | 145,668,029 | | | | — | | | $ | 145,668,029 | |
Commercial Mortgage-Backed Securities | | | — | | | | 69,632,853 | | | $ | 1,499,997 | | | | 71,132,850 | |
Asset-Backed Securities | | | — | | | | 14,752,536 | | | | — | | | | 14,752,536 | |
Corporate Bonds & Notes | | | — | | | | 1,413,313 | | | | — | | | | 1,413,313 | |
Convertible Bonds & Notes | | | — | | | | 502,140 | | | | — | | | | 502,140 | |
| | | | | | | | | | | | | | | | |
Total Long-Term Investments | | | — | | | | 231,968,871 | | | | 1,499,997 | | | | 233,468,868 | |
| | | | | | | | | | | | | | | | |
Short-Term Investments†: | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | — | | | | 7,300,000 | | | | — | | | | 7,300,000 | |
Money Market Funds | | $ | 3,156,088 | | | | — | | | | — | | | | 3,156,088 | |
| | | | | | | | | | | | | | | | |
Total Short-Term Investments | | | 3,156,088 | | | | 7,300,000 | | | | — | | | | 10,456,088 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 3,156,088 | | | $ | 239,268,871 | | | $ | 1,499,997 | | | $ | 243,924,956 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Futures Contracts†† | | $ | 1,415,656 | | | | — | | | | — | | | $ | 1,415,656 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 4,571,744 | | | $ | 239,268,871 | | | $ | 1,499,997 | | | $ | 245,340,612 | |
| | | | | | | | | | | | | | | | |
| † | 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,
2021 | | | Accrued
premiums/
discounts | | | Realized
gain
(loss) | | | Change in
unrealized
appreciation
(depreciation) | | | Purchases | |
Commercial Mortgage-Backed Securities | | $ | 1,500,188 | | | | — | | | | — | | | $ | (191 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,500,188 | | | | — | | | | — | | | $ | (191 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Investments in Securities (cont’d) | | Sales | | | Transfers
into
Level 3 | | | Transfers
out of
Level 3 | | | Balance
as of
September 30,
2022 | | | Net change
in unrealized
appreciation
(depreciation)
for
investments
in securities
still held at
September 30,
2022 | |
Commercial Mortgage-Backed Securities | | | — | | | | — | | | | — | | | $ | 1,499,997 | | | $ | (191 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | — | | | | — | | | | — | | | $ | 1,499,997 | | | $ | (191 | ) |
| | | | | | | | | | | | | | | | | | | | |
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 09/30/22
(000’s) | | | Valuation
Technique(s) | | Unobservable
Input(s) | | Value,
Range/
Weighted
Average | | | Impact to Valuation
from an Increase in
Input* | |
Commercial Mortgage-Backed Securities | | $ | 1,500 | | | Discounted Cash Flow Method | | Discount Rate | | | 10.84 | % | | | 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. |
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, 2022. The following transactions were effected in such company for the period ended September 30, 2022.
Notes to Schedule of Investments (unaudited) (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Affiliate
Value at
December 31,
2021 | | | Purchased | | | Sold | | | Realized
Gain
(Loss) | | | Dividend
Income | | | Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation) | | | Affiliate
Value at
September 30,
2022 | |
| | | Cost | | | Shares | | | Cost | | | Shares | |
| Western Asset Premier Institutional Government Reserves, Premium Shares | | $ | 1,385,262 | | | $ | 51,127,812 | | | | 51,127,812 | | | $ | 49,356,986 | | | | 49,356,986 | | | | — | | | $ | 14,354 | | | | — | | | $ | 3,156,088 | |
