WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
MORTGAGE-BACKED SECURITIES - 61.4% | ||||||||||||||||
FHLMC - 13.3% | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 3.500 | % | 4/1/33-8/1/52 | $ | 10,860,515 | $ | 9,522,943 | |||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 3.000 | % | 2/1/40-2/1/51 | 3,265,198 | 2,778,928 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 2.500 | % | 4/1/41-2/1/52 | 19,864,153 | 16,051,063 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 2.000 | % | 9/1/41-2/1/52 | 9,580,017 | 7,379,789 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 4.500 | % | 7/1/45-7/1/49 | 420,955 | 390,666 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 5.500 | % | 12/1/52 | 297,159 | 288,669 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 6.000 | % | 12/1/52 | 89,396 | 88,641 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 6.500 | % | 5/1/53 | 942,837 | 949,705 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.619%) | 2.871 | % | 11/1/47 | 360,885 | 341,702 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.621%) | 3.097 | % | 2/1/50 | 464,919 | 438,438 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.628%) | 3.005 | % | 11/1/48 | 1,694,483 | 1,572,326 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold | 4.000 | % | 12/1/33-3/1/47 | 6,138,757 | 5,618,920 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold | 5.500 | % | 11/1/35 | 1,759 | 1,709 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold | 4.500 | % | 9/1/46-4/1/49 | 790,158 | 741,077 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold | 3.000 | % | 10/1/46 | 16,673,321 | 14,144,687 | |||||||||||
|
| |||||||||||||||
Total FHLMC | 60,309,263 | |||||||||||||||
|
| |||||||||||||||
FNMA - 29.5% | ||||||||||||||||
Federal National Mortgage Association (FNMA) | 3.790 | % | 8/1/28 | 1,700,000 | 1,593,546 | |||||||||||
Federal National Mortgage Association (FNMA) | 7.500 | % | 8/1/29-4/1/32 | 79,343 | 79,591 | |||||||||||
Federal National Mortgage Association (FNMA) | 8.500 | % | 10/1/30 | 8,936 | 9,056 | |||||||||||
Federal National Mortgage Association (FNMA) | 3.500 | % | 12/1/34-3/1/57 | 11,233,261 | 9,917,099 |
See Notes to Schedule of Investments.
Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
1 |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
FNMA - (continued) | ||||||||||||||||
Federal National Mortgage Association (FNMA) | 2.789 | % | 1/1/35 | $ | 1,172,927 | $ | 952,675 | (a) | ||||||||
Federal National Mortgage Association (FNMA) | 3.000 | % | 7/1/35-1/1/52 | 11,643,710 | 10,057,703 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.500 | % | 4/1/41-9/1/61 | 16,433,499 | 13,215,658 | |||||||||||
Federal National Mortgage Association (FNMA) | 4.000 | % | 5/1/42-8/1/50 | 6,079,039 | 5,553,510 | |||||||||||
Federal National Mortgage Association (FNMA) | 5.000 | % | 11/1/45-10/1/46 | 5,704,425 | 5,558,674 | |||||||||||
Federal National Mortgage Association (FNMA) | 4.500 | % | 2/1/48-1/1/59 | 12,423,542 | 11,645,051 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.000 | % | 8/1/50-3/1/52 | 16,280,863 | 12,542,350 | |||||||||||
Federal National Mortgage Association (FNMA) | 6.500 | % | 11/1/52-1/1/53 | 738,062 | 747,415 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.000 | % | 10/1/53 | 3,000,000 | 2,282,578 | (b) | ||||||||||
Federal National Mortgage Association (FNMA) | 2.500 | % | 10/1/53 | 12,900,000 | 10,240,865 | (b) | ||||||||||
Federal National Mortgage Association (FNMA) | 3.500 | % | 10/1/53 | 1,500,000 | 1,290,117 | (b) | ||||||||||
Federal National Mortgage Association (FNMA) | 4.000 | % | 10/1/53 | 6,100,000 | 5,431,383 | (b) | ||||||||||
Federal National Mortgage Association (FNMA) | 4.500 | % | 10/1/53 | 3,400,000 | 3,121,891 | (b) | ||||||||||
Federal National Mortgage Association (FNMA) | 5.000 | % | 10/1/53 | 5,400,000 | 5,094,984 | (b) | ||||||||||
Federal National Mortgage Association (FNMA) | 5.500 | % | 10/1/53 | 15,300,000 | 14,786,613 | (b) | ||||||||||
Federal National Mortgage Association (FNMA) | 6.000 | % | 10/1/53 | 11,100,000 | 10,955,180 | (b) | ||||||||||
Federal National Mortgage Association (FNMA) | 6.500 | % | 10/1/53 | 8,100,000 | 8,137,336 | (b) | ||||||||||
|
| |||||||||||||||
Total FNMA | 133,213,275 | |||||||||||||||
|
| |||||||||||||||
GNMA - 18.6% | ||||||||||||||||
Government National Mortgage Association (GNMA) | 8.500 | % | 6/15/25 | 2,952 | 2,950 | |||||||||||
Government National Mortgage Association (GNMA) | 7.500 | % | 4/15/29-9/15/31 | 48,836 | 48,872 |
See Notes to Schedule of Investments.
2 | Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
GNMA - (continued) | ||||||||||||||||
Government National Mortgage Association (GNMA) | 6.000 | % | 11/15/32 | $ | 215,355 | $ | 214,169 | |||||||||
Government National Mortgage Association (GNMA) | 5.000 | % | 4/15/40-5/15/40 | 347,953 | 338,053 | |||||||||||
Government National Mortgage Association (GNMA) | 3.000 | % | 9/15/42-11/15/42 | 576,086 | 498,396 | |||||||||||
Government National Mortgage Association (GNMA) | 3.500 | % | 6/15/48-6/15/50 | 2,175,119 | 1,949,421 | |||||||||||
Government National Mortgage Association (GNMA) | 4.000 | % | 3/15/50 | 63,824 | 58,182 | |||||||||||
Government National Mortgage Association (GNMA) II | 3.500 | % | 6/20/44-3/20/52 | 5,724,364 | 5,078,603 | |||||||||||
Government National Mortgage Association (GNMA) II | 3.000 | % | 11/20/46-3/20/52 | 14,000,483 | 11,980,359 | |||||||||||
Government National Mortgage Association (GNMA) II | 4.000 | % | 7/20/47-8/20/50 | 5,059,891 | 4,628,927 | |||||||||||
Government National Mortgage Association (GNMA) II | 4.500 | % | 8/20/47-7/20/50 | 3,294,244 | 3,069,021 | |||||||||||
Government National Mortgage Association (GNMA) II | 5.000 | % | 5/20/48-1/20/53 | 1,672,842 | 1,608,446 | |||||||||||
Government National Mortgage Association (GNMA) II | 5.500 | % | 12/20/48-6/20/49 | 4,794,311 | 4,738,517 | |||||||||||
Government National Mortgage Association (GNMA) II | 2.500 | % | 12/20/50-8/20/52 | 9,629,700 | 7,886,693 | |||||||||||
Government National Mortgage Association (GNMA) II | 2.000 | % | 3/20/51 | 336,201 | 257,773 | |||||||||||
Government National Mortgage Association (GNMA) II | 2.000 | % | 10/20/53 | 3,500,000 | 2,767,598 | (b) | ||||||||||
Government National Mortgage Association (GNMA) II | 2.500 | % | 10/20/53 | 700,000 | 572,222 | (b) | ||||||||||
Government National Mortgage Association (GNMA) II | 3.000 | % | 10/20/53 | 3,600,000 | 3,051,563 | (b) | ||||||||||
Government National Mortgage Association (GNMA) II | 3.500 | % | 10/20/53 | 2,400,000 | 2,102,438 | (b) | ||||||||||
Government National Mortgage Association (GNMA) II | 4.000 | % | 10/20/53 | 2,400,000 | 2,162,531 | (b) | ||||||||||
Government National Mortgage Association (GNMA) II | 4.500 | % | 10/20/53 | 4,600,000 | 4,249,789 | (b) | ||||||||||
Government National Mortgage Association (GNMA) II | 5.000 | % | 10/20/53 | 9,300,000 | 8,813,203 | (b) |
See Notes to Schedule of Investments.
Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
3 |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
GNMA - (continued) | ||||||||||||||||
Government National Mortgage Association (GNMA) II | 5.500 | % | 10/20/53 | $ | 3,400,000 | $ | 3,299,594 | (b) | ||||||||
Government National Mortgage Association (GNMA) II | 6.000 | % | 10/20/53 | 8,000,000 | 7,927,500 | (b) | ||||||||||
Government National Mortgage Association (GNMA) II | 6.500 | % | 10/20/53 | 5,100,000 | 5,129,086 | (b) | ||||||||||
Government National Mortgage Association (GNMA) II (1 mo. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.778%) | 6.924 | % | 6/20/60 | 1,632,203 | 1,653,297 | (a) | ||||||||||
Government National Mortgage Association (GNMA) II (1 year Treasury Constant Maturity Rate + 1.077%) | 6.350 | % | 8/20/58 | 13,625 | 13,603 | (a) | ||||||||||
|
| |||||||||||||||
Total GNMA | 84,100,806 | |||||||||||||||
|
| |||||||||||||||
TOTAL MORTGAGE-BACKED SECURITIES | 277,623,344 | |||||||||||||||
|
| |||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - 50.5% | ||||||||||||||||
Alternative Loan Trust, 2006-OA9 2A1B (1 mo. Term SOFR + 0.314%) | 5.639 | % | 7/20/46 | 72,518 | 57,461 | (a) | ||||||||||
AOA Mortgage Trust, 2021-1177 A (1 mo. Term SOFR + 0.989%) | 6.322 | % | 10/15/38 | 670,000 | 608,140 | (a)(d) | ||||||||||
AREIT Trust, 2021-CRE5 A (1 mo. Term SOFR + 1.194%) | 6.525 | % | 11/17/38 | 710,916 | 696,589 | (a)(d) | ||||||||||
BAMLL Re-REMIC Trust, 2016-GG10 AJA | 5.818 | % | 8/10/45 | 1,828,406 | 397,678 | (a)(d) | ||||||||||
BANK, 2021-BN32 XA, IO | 0.884 | % | 4/15/54 | 6,078,054 | 238,015 | (a) | ||||||||||
Benchmark Mortgage Trust, 2019-B13 A3 | 2.701 | % | 8/15/57 | 1,440,000 | 1,222,962 | |||||||||||
Benchmark Mortgage Trust, 2019-B13 XA, IO | 1.252 | % | 8/15/57 | 10,019,967 | 436,088 | (a) | ||||||||||
Benchmark Mortgage Trust, 2020-B16 A4 | 2.483 | % | 2/15/53 | 1,450,000 | 1,199,508 | |||||||||||
Benchmark Mortgage Trust, 2020-IG3 C | 3.391 | % | 9/15/48 | 2,000,000 | 941,469 | (a)(d) | ||||||||||
Benchmark Mortgage Trust, 2021-B25 XA, IO | 1.213 | % | 4/15/54 | 16,788,963 | 922,520 | (a) | ||||||||||
BHMS Mortgage Trust, 2018-ATLS C (1 mo. Term SOFR + 2.197%) | 7.529 | % | 7/15/35 | 2,250,000 | 2,160,320 | (a)(d) | ||||||||||
BHMS Mortgage Trust, 2018-MZB (1 mo. Term SOFR + 6.934%) | 12.266 | % | 7/15/25 | 1,070,000 | 958,847 | (a)(d) | ||||||||||
BPR Trust, 2021-TY C (1 mo. Term SOFR + 1.814%) | 7.147 | % | 9/15/38 | 1,060,000 | 991,860 | (a)(d) | ||||||||||
BX Trust, 2021-ARIA G (1 mo. Term SOFR + 3.257%) | 8.589 | % | 10/15/36 | 1,070,000 | 1,003,892 | (a)(d) | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp., 2002-10 2A1 | 7.500 | % | 5/25/32 | 125,268 | 124,611 | |||||||||||
CSMC Trust, 2014-USA C | 4.336 | % | 9/15/37 | 2,500,000 | 1,894,103 | (d) | ||||||||||
CSMC Trust, 2017-CHOP H (PRIME + 4.294%) | 12.794 | % | 7/15/32 | 1,472,000 | 1,346,525 | (a)(d) |
See Notes to Schedule of Investments.
4 | Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) | ||||||||||||||||
CSMC Trust, 2017-RPL1 B1 | 2.962 | % | 7/25/57 | $ | 4,076,582 | $ | 2,477,515 | (a)(d) | ||||||||
CSMC Trust, 2017-RPL1 B2 | 2.962 | % | 7/25/57 | 4,676,961 | 2,451,463 | (a)(d) | ||||||||||
CSMC Trust, 2017-RPL1 B3 | 2.962 | % | 7/25/57 | 3,976,476 | 1,562,500 | (a)(d) | ||||||||||
CSMC Trust, 2017-RPL1 B4 | 2.962 | % | 7/25/57 | 4,035,892 | 734,234 | (a)(d) | ||||||||||
CSMC Trust, 2017-RPL3 B3 | 4.477 | % | 8/1/57 | 2,783,572 | 2,551,117 | (a)(d) | ||||||||||
CSMC Trust, 2022-NWPT A (1 mo. Term SOFR + 3.143%) | 8.475 | % | 9/9/24 | 1,750,000 | 1,767,262 | (a)(d) | ||||||||||
Deephaven Residential Mortgage Trust, 2020-2 A3 | 2.856 | % | 5/25/65 | 3,140,000 | 3,034,129 | (d) | ||||||||||
Ellington Financial Mortgage Trust, 2020-1 B2 | 5.112 | % | 5/25/65 | 3,570,000 | 3,235,117 | (a)(d) | ||||||||||
EverBank Mortgage Loan Trust, 2018-1 AX1, IO | 0.075 | % | 2/25/48 | 51,049,810 | 71,914 | (a)(d) | ||||||||||
EverBank Mortgage Loan Trust, 2018-1 B4 | 3.575 | % | 2/25/48 | 2,298,930 | 1,440,261 | (a)(d) | ||||||||||
EverBank Mortgage Loan Trust, 2018-1 B5 | 3.575 | % | 2/25/48 | 2,291,956 | 870,189 | (a)(d) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily PC REMIC Trust, 2019-RR01 X, IO | 1.534 | % | 6/25/28 | 2,300,000 | 133,476 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K110 X1, IO | 1.813 | % | 4/25/30 | 994,244 | 82,264 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K115 X1, IO | 1.427 | % | 6/25/30 | 995,756 | 68,263 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K116 X1, IO | 1.528 | % | 7/25/30 | 993,483 | 71,853 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K132 X1, IO | 0.608 | % | 8/25/31 | 9,996,500 | 316,518 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K141 X1, IO | 0.407 | % | 2/25/32 | 34,193,468 | 736,924 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K142 X1, IO | 0.403 | % | 3/25/32 | 17,089,796 | 357,163 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K143 X1, IO | 0.450 | % | 4/25/55 | 66,426,765 | 1,622,487 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K148 X1, IO | 0.391 | % | 7/25/32 | 20,086,471 | 410,869 | (a) |
See Notes to Schedule of Investments.
Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
5 |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K742 X1, IO | 0.867 | % | 3/25/28 | $ | 6,181,360 | $ | 142,101 | (a) | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1510 X1, IO | 0.636 | % | 1/25/34 | 39,897,421 | 1,344,415 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1516 X1, IO | 1.629 | % | 5/25/35 | 4,340,362 | 509,422 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1520 X1, IO | 0.578 | % | 2/25/36 | 14,948,171 | 562,994 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, KG06 X1, IO | 0.626 | % | 10/25/31 | 14,685,199 | 477,875 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Reference REMIC, R007 ZA | 6.000 | % | 5/15/36 | 338,836 | 344,333 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 2525 AM | 4.500 | % | 4/15/32 | 43,907 | 42,351 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3027 AS, IO (-1.000 x 30 Day Average SOFR + 6.036%) | 0.722 | % | 5/15/29 | 16,452 | 393 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3265 SB, IO (-1.000 x 30 Day Average SOFR + 6.026%) | 0.712 | % | 1/15/37 | 26,681 | 1,324 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3397 GS, IO (-1.000 x 30 Day Average SOFR + 6.886%) | 1.572 | % | 12/15/37 | 234,452 | 18,494 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3947 SG, IO (-1.000 x 30 Day Average SOFR + 5.836%) | 0.522 | % | 10/15/41 | 211,431 | 14,547 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3966 SA, IO (-1.000 x 30 Day Average SOFR + 5.786%) | 0.472 | % | 12/15/41 | 1,450,273 | 93,928 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4048 IK, IO | 3.000 | % | 5/15/27 | 112,288 | 3,866 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4077 TO, PO | 0.000 | % | 5/15/41 | 1,061,701 | 810,267 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4085 IO, IO | 3.000 | % | 6/15/27 | 357,483 | 11,379 |
See Notes to Schedule of Investments.
6 | Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4114 LI, IO | 3.500 | % | 10/15/32 | $ | 1,568,553 | $ | 153,887 | |||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4134 IM, IO, PAC | 3.500 | % | 11/15/42 | 2,624,612 | 434,201 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4144 GI, IO, PAC-1 | 3.000 | % | 12/15/32 | 1,067,581 | 74,115 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4147 IN, IO | 3.500 | % | 12/15/32 | 1,559,467 | 146,252 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4170 PI, IO, PAC-1 | 3.000 | % | 1/15/33 | 1,302,969 | 74,858 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4203 PS, IO, PAC (-1.000 x 30 Day Average SOFR + 6.136%) | 0.822 | % | 9/15/42 | 519,124 | 34,556 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4210 Z | 3.000 | % | 5/15/43 | 3,342,375 | 2,507,872 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4377 UZ | 3.000 | % | 8/15/44 | 2,618,038 | 1,931,900 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4403 IG, IO | 3.500 | % | 7/15/32 | 263,769 | 7,629 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4700 QI, IO | 3.500 | % | 7/15/44 | 213 | 0 | (e) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4715 JS, IO (-1.000 x 30 Day Average SOFR + 6.036%) | 0.722 | % | 8/15/47 | 1,135,793 | 114,266 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4759 MI, IO, PAC | 4.000 | % | 9/15/45 | 402,409 | 27,028 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4808 SB, IO (-1.000 x 30 Day Average SOFR + 6.086%) | 0.772 | % | 7/15/48 | 1,192,483 | 124,852 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4813 CJ | 3.000 | % | 8/15/48 | 305,517 | 259,448 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4856 IO, IO | 5.000 | % | 1/15/49 | 1,457,590 | 275,388 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4882 S, IO, PAC (-1.000 x 30 Day Average SOFR + 5.936%) | 0.622 | % | 5/15/49 | 1,624,863 | 148,891 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4921 SN, IO (-1.000 x 30 Day Average SOFR + 5.936%) | 0.621 | % | 10/25/49 | 2,921,021 | 273,936 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4931 DZ, PAC | 2.500 | % | 11/25/49 | 3,331,434 | 2,152,096 |
See Notes to Schedule of Investments.
Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
7 |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4962 SP, IO, PAC (-1.000 x 30 Day Average SOFR + 5.936%) | 0.621 | % | 3/25/50 | $ | 1,558,342 | $ | 137,994 | (a) | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4988 AZ | 2.000 | % | 7/25/50 | 3,628,144 | 1,944,215 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4995 IQ, IO, PAC | 2.500 | % | 7/25/50 | 2,280,340 | 336,421 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4995 QI, IO, PAC | 2.500 | % | 7/25/50 | 11,737,046 | 1,831,210 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5000 IB, IO | 2.500 | % | 7/25/50 | 5,921,926 | 739,330 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5000 UI, IO | 2.500 | % | 7/25/50 | 5,026,561 | 869,385 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5040 IB, IO | 2.500 | % | 11/25/50 | 141,353 | 24,445 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5058 IL, IO | 2.500 | % | 1/25/51 | 2,140,891 | 372,911 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5059 IB, IO | 2.500 | % | 1/25/51 | 669,887 | 105,835 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5070 NI, IO | 2.000 | % | 2/25/51 | 4,598,301 | 628,701 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5078 EI, IO | 1.500 | % | 1/25/51 | 5,394,236 | 519,897 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5085 IK, IO | 2.500 | % | 3/25/51 | 17,683,265 | 2,822,870 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5092 IU, IO | 2.500 | % | 2/25/51 | 8,110,434 | 952,549 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5113 NI, IO, PAC | 2.500 | % | 6/25/51 | 2,465,854 | 301,606 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5134 KI, IO | 2.500 | % | 7/25/48 | 8,000,189 | 1,067,236 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5135 DI, IO | 2.500 | % | 5/25/48 | 7,599,477 | 1,016,200 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5149 NI, IO, PAC | 2.500 | % | 1/25/51 | 981,924 | 140,475 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5160 IU, IO | 2.500 | % | 11/25/50 | 5,312,255 | 718,079 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5169 PW, PAC | 2.000 | % | 9/25/51 | 4,700,000 | 2,877,676 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5178 CY | 2.000 | % | 1/25/42 | 4,400,000 | 2,753,479 |
See Notes to Schedule of Investments.
8 | Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) |
| |||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5200 KQ, PAC | 3.000 | % | 9/25/49 | $ | 1,054,184 | $ | 928,681 | |||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5209 EQ | 3.000 | % | 4/25/52 | 2,800,000 | 1,910,182 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2016-1 B, PO | 0.000 | % | 9/25/55 | 4,392,219 | 395,983 | (d) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2016-1 BIO, IO | 1.285 | % | 9/25/55 | 7,778,301 | 883,288 | (a)(d) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2016-1 XSIO, IO | 0.075 | % | 9/25/55 | 50,085,452 | 221,227 | (a)(d) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 B, PO | 0.000 | % | 8/25/56 | 7,819,695 | 660,517 | (d) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 BIO, IO | 1.263 | % | 8/25/56 | 16,396,313 | 1,767,141 | (a)(d) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 XSIO, IO | 0.075 | % | 8/25/56 | 312,196,613 | 1,381,470 | (a)(d) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 312 S1, IO (-1.000 x 30 Day Average SOFR + 5.836%) | 0.522 | % | 9/15/43 | 1,083,687 | 89,829 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 317 PO, PO | 0.000 | % | 11/15/43 | 2,535,586 | 1,929,619 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 328 S4, IO | 0.000 | % | 2/15/38 | 248,356 | 12,309 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA2 B (30 Day Average SOFR + 10.614%) | 15.929 | % | 10/25/28 | 2,378,758 | 2,692,034 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA1 B2 (30 Day Average SOFR + 10.114%) | 15.429 | % | 7/25/29 | 2,517,500 | 2,807,745 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-SPI1 B | 4.119 | % | 9/25/47 | 1,813,836 | 1,227,344 | (a)(d) |
See Notes to Schedule of Investments.
Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
9 |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | ||||||||||||||||
Structured Agency Credit Risk Debt Notes, 2018-HRP1 B2 (30 Day Average SOFR + 11.864%) | 17.179 | % | 5/25/43 | $ | 4,917,785 | $ | 5,683,968 | (a)(d) | ||||||||
Federal National Mortgage Association (FNMA) - CAS, 2016-C04 1B (30 Day Average SOFR + 10.364%) | 15.679 | % | 1/25/29 | 4,596,043 | 5,217,845 | (a)(d) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2016-C06 1B (30 Day Average SOFR + 9.364%) | 14.679 | % | 4/25/29 | 3,743,244 | 4,186,276 | (a)(d) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2021-R03 1B2 (30 Day Average SOFR + 5.500%) | 10.815 | % | 12/25/41 | 500,000 | 498,657 | (a)(d) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M11 X1, IO | 1.187 | % | 6/25/29 | 14,841,593 | 651,070 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2020-M11 IO, IO | 1.872 | % | 1/25/29 | 6,741,217 | 480,680 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2020-M16 X1, IO | 0.538 | % | 4/25/32 | 40,569,009 | 1,058,015 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2020-M24 X1, IO | 1.703 | % | 1/25/37 | 5,401,171 | 486,831 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2020-M31 X2, IO | 1.333 | % | 12/25/32 | 18,663,169 | 1,089,063 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2003-22 IO, IO | 6.000 | % | 4/25/33 | 44,685 | 7,036 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2009-6 KZ | 5.000 | % | 2/25/49 | 242,027 | 231,040 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2009-59 LB | 4.697 | % | 8/25/39 | 247,185 | 240,122 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2009-74 TX, PAC | 5.000 | % | 9/25/39 | 656,014 | 643,830 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2010-2 AI, IO | 5.500 | % | 2/25/40 | 240,390 | 40,799 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2010-84 SK, IO (-1.000 x 30 Day Average SOFR + 6.446%) | 1.131 | % | 8/25/40 | 592,332 | 43,130 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2011-59 NZ | 5.500 | % | 7/25/41 | 138,776 | 138,574 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2011-144 PT | 12.093 | % | 1/25/38 | 224,871 | 263,203 | (a) |
See Notes to Schedule of Investments.
10 | Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) | ||||||||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-14 SL, IO (-1.000 x 30 Day Average SOFR + 6.436%) | 1.121 | % | 12/25/40 | $ | 658,665 | $ | 7,145 | (a) | ||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-28 B | 6.500 | % | 6/25/39 | 40,222 | 40,511 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-51 B | 7.000 | % | 5/25/42 | 156,037 | 164,331 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-75 NS, IO (-1.000 x 30 Day Average SOFR + 6.486%) | 1.171 | % | 7/25/42 | 972,309 | 89,300 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-123 BI, IO | 3.500 | % | 11/25/32 | 763,127 | 73,150 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-135 AI, IO | 3.000 | % | 12/25/27 | 579,395 | 23,104 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-149 AI, IO | 3.000 | % | 1/25/28 | 1,127,623 | 39,606 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-9 BC | 6.500 | % | 7/25/42 | 151,870 | 157,601 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-9 CB | 5.500 | % | 4/25/42 | 1,229,757 | 1,228,273 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2014-47 AI, IO | 0.000 | % | 8/25/44 | 651,205 | 29,937 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2014-47 IA, IO | 0.000 | % | 8/25/44 | 1,191,547 | 46,595 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2014-49 KS, IO | 0.000 | % | 8/25/44 | 927,965 | 47,415 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2015-39 LZ | 3.000 | % | 6/25/45 | 222,091 | 187,857 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2016-48 IA, IO | 4.500 | % | 6/25/38 | 5,282,200 | 767,704 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2018-74 AB | 3.500 | % | 10/25/48 | 1,433,633 | 1,268,715 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2018-3 IO, IO | 4.000 | % | 2/25/48 | 4,185,339 | 813,316 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2019-25 PI, IO | 5.000 | % | 5/25/48 | 1,055,628 | 207,468 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2019-33 ZJ | 2.750 | % | 7/25/49 | 2,328,125 | 1,480,135 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2019-38 SH, IO (-1.000 x 30 Day Average SOFR + 5.936%) | 0.648 | % | 7/25/49 | 3,712,937 | 297,903 | (a) |
See Notes to Schedule of Investments.
Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
11 |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) | ||||||||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2019-44 SM, IO (-1.000 x 30 Day Average SOFR + 5.936%) | 0.621 | % | 8/25/49 | $ | 1,897,113 | $ | 209,670 | (a) | ||||||||
Federal National Mortgage Association (FNMA) REMIC, 2019-45 BS, IO (-1.000 x 30 Day Average SOFR + 5.936%) | 0.621 | % | 8/25/49 | 2,055,683 | 196,237 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2019-57 NS, IO (-1.000 x 30 Day Average SOFR + 5.886%) | 0.571 | % | 10/25/49 | 1,223,563 | 110,682 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2019-58 HS, IO (-1.000 x 30 Day Average SOFR + 5.886%) | 0.571 | % | 10/25/49 | 1,796,058 | 157,988 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2019-59 SH, IO (-1.000 x 30 Day Average SOFR + 5.886%) | 0.571 | % | 10/25/49 | 3,642,121 | 352,015 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-26 SA, IO (-1.000 x 30 Day Average SOFR + 5.836%) | 0.521 | % | 5/25/50 | 1,555,626 | 130,083 | (a) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-47 GZ | 2.000 | % | 7/25/50 | 1,173,811 | 627,383 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-62 BI, IO | 2.000 | % | 9/25/50 | 1,704,871 | 202,373 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-67 IH, IO | 2.000 | % | 9/25/50 | 2,390,477 | 303,745 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-74 EI, IO | 2.500 | % | 10/25/50 | 151,118 | 24,372 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-88 GI, IO | 2.500 | % | 12/25/50 | 1,984,290 | 292,191 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-89 DI, IO | 2.500 | % | 12/25/50 | 1,041,474 | 156,500 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-93 LI, IO, PAC | 2.500 | % | 1/25/51 | 5,534,662 | 786,069 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-42 NI, IO | 2.500 | % | 11/25/48 | 8,435,988 | 1,085,667 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-46 BI, IO | 2.500 | % | 12/25/48 | 5,512,599 | 757,755 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-49 GI, IO | 2.500 | % | 10/25/48 | 2,879,779 | 363,172 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-54 KI, IO | 2.500 | % | 5/25/49 | 811,758 | 113,217 |
See Notes to Schedule of Investments.
12 | Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) | ||||||||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-59 TI, IO | 2.500 | % | 9/25/51 | $ | 5,716,167 | $ | 839,923 | |||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-61 KI, IO | 2.500 | % | 4/25/49 | 972,822 | 135,468 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-74 IO, IO | 2.500 | % | 10/25/51 | 12,247,639 | 1,940,374 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-85 IN, IO | 2.500 | % | 2/25/50 | 4,081,350 | 670,059 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-91 IG, IO | 2.500 | % | 1/25/52 | 2,108,255 | 307,962 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2022-29 KZ | 1.500 | % | 6/25/42 | 6,733,245 | 4,464,944 | �� | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2022-57 BC | 4.000 | % | 9/25/52 | 904,327 | 831,297 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 362 6, IO | 5.000 | % | 8/25/35 | 526,581 | 80,177 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 364 13, IO | 6.000 | % | 9/25/35 | 41,515 | 6,426 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 383 18, IO | 5.500 | % | 1/25/38 | 52,018 | 9,541 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 383 20, IO | 5.500 | % | 7/25/37 | 38,754 | 6,739 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 406 2, IO | 4.000 | % | 2/25/41 | 1,402,004 | 238,572 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 407 41, IO | 6.000 | % | 1/25/38 | 28,984 | 6,318 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 407 42, IO | 6.000 | % | 1/25/38 | 21,802 | 3,758 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 407 C10, IO | 5.000 | % | 1/25/38 | 233,804 | 39,609 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 417 C5, IO | 3.500 | % | 2/25/43 | 2,655,840 | 434,918 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 418 C15, IO | 3.500 | % | 8/25/43 | 6,210,939 | 1,044,882 | |||||||||||
Government National Mortgage Association (GNMA), 2004-59 FP (1 mo. Term SOFR + 0.414%) | 5.745 | % | 8/16/34 | 346,154 | 344,713 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2004-81 SK, IO (-1.000 x 1 mo. Term SOFR + 6.086%) | 0.755 | % | 10/16/34 | 342,932 | 11,755 | (a) |
See Notes to Schedule of Investments.
Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
13 |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) | ||||||||||||||||
Government National Mortgage Association (GNMA), 2007-17 IB, IO (-1.000 x 1 mo. Term SOFR + 6.136%) | 0.811 | % | 4/20/37 | $ | 2,084,047 | $ | 60,692 | (a) | ||||||||
Government National Mortgage Association (GNMA), 2007-45 QB, IO, PAC (-1.000 x 1 mo. Term SOFR + 6.486%) | 1.161 | % | 7/20/37 | 347,846 | 21,455 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2009-H01 FA (1 mo. Term SOFR + 1.264%) | 6.589 | % | 11/20/59 | 157,807 | 157,854 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2010-4 SI, IO (-1.000 x 1 mo. Term SOFR + 5.986%) | 0.655 | % | 11/16/34 | 735,888 | 14,343 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2010-42 BS, IO (-1.000 x 1 mo. Term SOFR + 6.366%) | 1.041 | % | 4/20/40 | 3,997 | 370 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2010-59 SM, IO (-1.000 x 1 mo. Term SOFR + 5.886%) | 0.555 | % | 5/16/40 | 254,901 | 9,349 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2010-85 HS, IO, PAC (-1.000 x 1 mo. Term SOFR + 6.536%) | 1.211 | % | 1/20/40 | 1,229 | 6 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2010-H02 FA (1 mo. Term SOFR + 0.794%) | 6.123 | % | 2/20/60 | 737,613 | 734,107 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2011-40 EI, IO | 4.000 | % | 12/16/25 | 17,606 | 239 | |||||||||||
Government National Mortgage Association (GNMA), 2011-79 KS, IO (-1.000 x 1 mo. Term SOFR + 5.286%) | 0.000 | % | 5/20/41 | 997,406 | 58,928 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2011-113 PQ | 5.000 | % | 6/20/39 | 745,238 | 736,901 | |||||||||||
Government National Mortgage Association (GNMA), 2011-142 IO, IO | 0.000 | % | 9/16/46 | 2,547,248 | 25 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2011-146 KS, IO (-1.000 x 1 mo. Term SOFR + 5.986%) | 0.655 | % | 11/16/41 | 774,110 | 60,536 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2012-13 SK, IO (-1.000 x 1 mo. Term SOFR + 6.536%) | 1.211 | % | 2/20/41 | 265,626 | 15,441 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2012-70 IO, IO | 0.094 | % | 8/16/52 | 807,161 | 398 | (a) |
See Notes to Schedule of Investments.
14 | Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) |
| |||||||||||||||
Government National Mortgage Association (GNMA), 2013-90 PI, IO, PAC-1 | 3.500 | % | 10/20/41 | $ | 1,955,335 | $ | 137,754 | |||||||||
Government National Mortgage Association (GNMA), 2013-142 IO, IO | 0.976 | % | 9/16/51 | 2,074,282 | 37,577 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2013-163 IO, IO | 1.012 | % | 2/16/46 | 2,228,162 | 48,258 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2014-2 CI, IO | 4.500 | % | 1/20/44 | 832,677 | 177,096 | |||||||||||
Government National Mortgage Association (GNMA), 2014-16 IO, IO | 0.449 | % | 6/16/55 | 3,033,122 | 41,118 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2014-50 IO, IO | 0.628 | % | 9/16/55 | 1,026,512 | 25,256 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2014-60 SA, IO (-1.000 x 1 mo. Term SOFR + 5.986%) | 0.655 | % | 4/16/44 | 2,342,903 | 174,367 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2014-91 SB, IO (-1.000 x 1 mo. Term SOFR + 5.486%) | 0.155 | % | 6/16/44 | 923,884 | 52,932 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2014-118 HS, IO (-1.000 x 1 mo. Term SOFR + 6.086%) | 0.761 | % | 8/20/44 | 509,670 | 45,992 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2015-167 OI, IO | 4.000 | % | 4/16/45 | 1,985,330 | 380,995 | |||||||||||
Government National Mortgage Association (GNMA), 2016-51 NS, IO (-1.000 x 1 mo. Term SOFR + 5.936%) | 0.611 | % | 4/20/46 | 1,590,383 | 141,293 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2016-87 IO, IO | 0.642 | % | 8/16/58 | 2,755,104 | 74,127 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2016-156 PB | 2.000 | % | 11/20/46 | 5,417,124 | 3,531,075 | |||||||||||
Government National Mortgage Association (GNMA), 2017-19 SE, IO (-1.000 x 1 mo. Term SOFR + 6.036%) | 0.705 | % | 2/16/47 | 2,323,721 | 174,678 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2017-21 IO, IO | 0.633 | % | 10/16/58 | 8,067,387 | 279,047 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2017-26 IQ, IO | 5.000 | % | 2/20/40 | 3,498,879 | 742,322 | |||||||||||
Government National Mortgage Association (GNMA), 2017-41 IO, IO | 0.592 | % | 7/16/58 | 509,634 | 14,456 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2017-190 IO, IO | 0.618 | % | 3/16/60 | 1,430,364 | 49,813 | (a) |
See Notes to Schedule of Investments.
Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
15 |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) | ||||||||||||||||
Government National Mortgage Association (GNMA), 2018-168 PA, PAC | 4.000 | % | 8/20/48 | $ | 953,315 | $ | 879,990 | |||||||||
Government National Mortgage Association (GNMA), 2018-125 HS, IO (-1.000 x 1 mo. Term SOFR + 6.136%) | 0.811 | % | 9/20/48 | 1,440,960 | 108,081 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2018-134 SM, IO (-1.000 x 1 mo. Term SOFR + 6.086%) | 0.761 | % | 10/20/48 | 2,175,833 | 170,412 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2019-18 TP, PAC | 3.500 | % | 2/20/49 | 642,909 | 567,771 | |||||||||||
Government National Mortgage Association (GNMA), 2019-85 LS, IO (-1.000 x 1 mo. Term SOFR + 3.176%) | 0.000 | % | 7/20/49 | 15,718,636 | 193,371 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2020-33 SD, IO (-1.000 x 1 mo. Term SOFR + 6.036%) | 0.711 | % | 7/20/47 | 895,305 | 82,117 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2020-36 GS, IO (-1.000 x 1 mo. Term SOFR + 5.986%) | 0.661 | % | 3/20/50 | 5,474,650 | 599,204 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2020-47 MI, IO, PAC | 3.500 | % | 4/20/50 | 497,203 | 85,092 | |||||||||||
Government National Mortgage Association (GNMA), 2020-47 NI, IO, PAC | 3.500 | % | 4/20/50 | 209,938 | 35,011 | |||||||||||
Government National Mortgage Association (GNMA), 2020-61 CI, IO, PAC | 4.000 | % | 3/20/50 | 1,196,660 | 216,727 | |||||||||||
Government National Mortgage Association (GNMA), 2020-85 CI, IO, PAC | 3.500 | % | 4/20/50 | 1,252,663 | 212,421 | |||||||||||
Government National Mortgage Association (GNMA), 2020-109 AI, IO | 0.840 | % | 5/16/60 | 4,710,307 | 258,415 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2020-116 GI, IO | 2.500 | % | 8/20/50 | 6,358,050 | 865,205 | |||||||||||
Government National Mortgage Association (GNMA), 2020-122 IM, IO | 2.500 | % | 8/20/50 | 2,309,634 | 315,643 | |||||||||||
Government National Mortgage Association (GNMA), 2020-123 EI, IO | 2.500 | % | 8/20/50 | 4,655,918 | 631,120 | |||||||||||
Government National Mortgage Association (GNMA), 2020-129 IE, IO | 2.500 | % | 9/20/50 | 153,485 | 21,006 | |||||||||||
Government National Mortgage Association (GNMA), 2020-160 QI, IO | 2.500 | % | 10/20/50 | 4,905,666 | 809,036 | |||||||||||
Government National Mortgage Association (GNMA), 2020-160 VI, IO | 2.500 | % | 10/20/50 | 230,407 | 32,788 |
See Notes to Schedule of Investments.
16 | Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) | ||||||||||||||||
Government National Mortgage Association (GNMA), 2020-160 YI, IO | 2.500 | % | 10/20/50 | $ | 622,100 | $ | 82,805 | |||||||||
Government National Mortgage Association (GNMA), 2020-181 WI, IO | 2.000 | % | 12/20/50 | 1,180,717 | 127,612 | |||||||||||
Government National Mortgage Association (GNMA), 2020-191 IX, IO | 2.500 | % | 12/20/50 | 3,958,538 | 656,672 | |||||||||||
Government National Mortgage Association (GNMA), 2020-H02 FG (1 mo. Term SOFR + 0.714%) | 5.414 | % | 1/20/70 | 998,909 | 992,615 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2020-H08 BI, IO | 0.026 | % | 4/1/70 | 7,104,691 | 217,354 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2020-H12 F (1 mo. Term SOFR + 0.614%) | 5.531 | % | 7/20/70 | 48,635 | 47,371 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2020-H13 FA (1 mo. Term SOFR + 0.564%) | 5.000 | % | 7/20/70 | 508,186 | 492,368 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2021-8 AQ | 5.000 | % | 1/20/51 | 746,061 | 729,720 | |||||||||||
Government National Mortgage Association (GNMA), 2021-14 AB | 1.340 | % | 6/16/63 | 1,158,869 | 849,633 | |||||||||||
Government National Mortgage Association (GNMA), 2021-21 AH | 1.400 | % | 6/16/63 | 2,964,414 | 2,183,892 | |||||||||||
Government National Mortgage Association (GNMA), 2021-29 AG | 5.000 | % | 2/20/51 | 1,121,816 | 1,074,197 | |||||||||||
Government National Mortgage Association (GNMA), 2021-216 NI, IO | 3.000 | % | 12/20/51 | 4,299,572 | 665,898 | |||||||||||
Government National Mortgage Association (GNMA), 2021-7 TI, IO | 2.500 | % | 1/16/51 | 4,740,024 | 800,422 | |||||||||||
Government National Mortgage Association (GNMA), 2021-15 TQ, IO (-1.000 x 1 mo. Term SOFR + 6.186%) | 0.861 | % | 12/20/50 | 21,877,937 | 1,307,108 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2021-29 TI, IO | 2.500 | % | 2/20/51 | 730,304 | 121,574 | |||||||||||
Government National Mortgage Association (GNMA), 2021-60 IO, IO | 0.826 | % | 5/16/63 | 4,614,870 | 269,606 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2021-68 IO, IO | 0.870 | % | 10/16/62 | 4,516,562 | 271,329 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2021-156 IE, IO | 2.500 | % | 9/20/51 | 4,614,377 | 657,700 |
See Notes to Schedule of Investments.
Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
17 |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) | ||||||||||||||||
Government National Mortgage Association (GNMA), 2021-158 IN, IO | 2.500 | % | 9/20/51 | $ | 7,977,331 | $ | 1,092,196 | |||||||||
Government National Mortgage Association (GNMA), 2021-158 XB, IO | 2.500 | % | 9/20/51 | 5,067,219 | 694,866 | |||||||||||
Government National Mortgage Association (GNMA), 2021-180 IO, IO | 0.911 | % | 11/16/63 | 2,335,172 | 157,580 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2022-54 Z | 2.000 | % | 10/16/63 | 1,854,772 | 754,694 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2022-139 AL | 4.000 | % | 7/20/51 | 1,200,000 | 1,034,512 | |||||||||||
Government National Mortgage Association (GNMA), 2022-147 B | 2.200 | % | 10/16/63 | 6,500,000 | 4,469,608 | |||||||||||
Government National Mortgage Association (GNMA), 2022-158 AL | 2.100 | % | 8/16/64 | 5,949,175 | 4,162,612 | |||||||||||
Government National Mortgage Association (GNMA), 2022-86 C | 2.250 | % | 10/16/63 | 800,000 | 353,140 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2023-92 AH | 2.000 | % | 6/16/64 | 2,899,851 | 2,073,087 | |||||||||||
Government National Mortgage Association (GNMA), 2023-92 IA, IO | 0.611 | % | 6/16/64 | 1,999,897 | 122,884 | (a) | ||||||||||
GS Mortgage Securities Corp. II, 2018-SRP5 D (1 mo. Term SOFR + 6.614%) | 11.947 | % | 9/15/31 | 4,450,678 | 869,327 | (a)(d) | ||||||||||
GS Mortgage Securities Corp. Trust, 2018- LUAU G (1 mo. Term SOFR + 4.497%) | 9.829 | % | 11/15/32 | 1,070,000 | 1,050,891 | (a)(d) | ||||||||||
GS Mortgage Securities Corp. Trust, 2021-IP A (1 mo. Term SOFR + 1.064%) | 6.397 | % | 10/15/36 | 360,000 | 343,469 | (a)(d) | ||||||||||
GS Mortgage Securities Trust, 2015-GC34 D | 2.979 | % | 10/10/48 | 2,500,000 | 1,758,541 | |||||||||||
GS Mortgage Securities Trust, 2019-GC39 XA, IO | 1.260 | % | 5/10/52 | 43,297,375 | 1,725,716 | (a) | ||||||||||
GS Mortgage Securities Trust, 2020-GC47 XA, IO | 1.243 | % | 5/12/53 | 16,937,783 | 954,393 | (a) | ||||||||||
GSMPS Mortgage Loan Trust, 2006-RP2 1AF1 (1 mo. Term SOFR + 0.514%) | 5.834 | % | 4/25/36 | 1,022,258 | 835,159 | (a)(d) | ||||||||||
Impac CMB Trust, 2004-10 3A1 (1 mo. Term SOFR + 0.814%) | 6.134 | % | 3/25/35 | 70,978 | 67,294 | (a) | ||||||||||
Impac CMB Trust, 2007-A A (1 mo. Term SOFR + 0.614%) | 5.934 | % | 5/25/37 | 194,352 | 181,172 | (a)(d) | ||||||||||
JPMDB Commercial Mortgage Securities Trust, 2017-C7 B | 3.985 | % | 10/15/50 | 420,000 | 345,719 | |||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ | 6.561 | % | 2/15/51 | 16,864 | 15,132 | (a) |
See Notes to Schedule of Investments.
18 | Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) | ||||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2015-FL7 D (PRIME + 0.693%) | 9.193 | % | 5/15/28 | $ | 2,873,012 | $ | 2,556,406 | (a)(d) | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2019-COR5 XA, IO | 1.625 | % | 6/13/52 | 15,630,981 | 860,448 | (a) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST G (1 mo. Term SOFR + 4.614%) | 9.946 | % | 12/15/36 | 2,018,000 | 201,939 | (a)(d) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST H (1 mo. Term SOFR + 7.114%) | 12.446 | % | 12/15/36 | 2,106,000 | 100,180 | (a)(d) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX | 4.844 | % | 1/16/37 | 2,530,000 | 1,806,395 | (a)(d) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYAH H (1 mo. Term SOFR + 3.504%) | 8.837 | % | 6/15/38 | 360,000 | 299,043 | (a)(d) | ||||||||||
La Hipotecaria El Salvadorian Mortgage Trust, 2019-1A AAA | 4.250 | % | 9/29/46 | 1,288,560 | 1,217,689 | (d)(f)(g) | ||||||||||
MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. Term SOFR + 0.324%) | 5.644 | % | 4/25/46 | 242,221 | 212,274 | (a) | ||||||||||
Med Trust, 2021-MDLN F (1 mo. Term SOFR + 4.114%) | 9.446 | % | 11/15/38 | 3,542,996 | 3,376,949 | (a)(d) | ||||||||||
ML-CFC Commercial Mortgage Trust, 2007-5 AJFL | 5.450 | % | 8/12/48 | 497,439 | 125,684 | (a)(d) | ||||||||||
Morgan Stanley Capital I Trust, 2007-IQ16 AJ | 6.282 | % | 12/12/49 | 39,657 | 19,622 | (a) | ||||||||||
Morgan Stanley Mortgage Loan Trust, 2006-8AR 1A2 (1 mo. Term SOFR + 0.254%) | 5.574 | % | 6/25/36 | 29,455 | 6,089 | (a) | ||||||||||
Morgan Stanley Re-REMIC Trust, 2015-R6 1A1 (1 mo. Term SOFR + 0.374%) | 4.249 | % | 7/26/45 | 19,234 | 19,195 | (a)(d) | ||||||||||
MRCD Mortgage Trust, 2019-PRKC A | 4.250 | % | 12/15/36 | 2,097,000 | 1,634,599 | (a)(d) | ||||||||||
Multifamily CAS Trust, 2020-1 CE (30 Day Average SOFR + 7.614%) | 12.929 | % | 3/25/50 | 4,500,000 | 4,479,856 | (a)(d) | ||||||||||
Multifamily Trust, 2016-1 B | 0.681 | % | 4/25/46 | 642,771 | 642,542 | (a)(d) | ||||||||||
Natixis Commercial Mortgage Securities Trust, 2019-FAME D | 4.544 | % | 8/15/36 | 1,950,000 | 1,269,513 | (a)(d) | ||||||||||
Natixis Commercial Mortgage Securities Trust, 2019-FAME E | 4.544 | % | 8/15/36 | 2,077,000 | 1,135,142 | (a)(d) | ||||||||||
New Residential Mortgage Loan Trust, 2014-1A A | 3.750 | % | 1/25/54 | 459,161 | 425,383 | (a)(d) | ||||||||||
NewRez Warehouse Securitization Trust, 2021-1 F (1 mo. Term SOFR + 5.364%) | 10.684 | % | 5/25/55 | 1,157,000 | 1,158,059 | (a)(d) |
See Notes to Schedule of Investments.
Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
19 |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) |
| |||||||||||||||
NovaStar Mortgage Funding Trust, 2006- MTA1 2A1A (1 mo. Term SOFR + 0.494%) | 0.476 | % | 9/25/46 | $ | 56,299 | $ | 50,903 | (a) | ||||||||
OPG Trust, 2021-PORT A (1 mo. Term SOFR + 0.598%) | 5.931 | % | 10/15/36 | 459,431 | 448,080 | (a)(d) | ||||||||||
PMT Credit Risk Transfer Trust, 2019-2R A (1 mo. Term SOFR + 3.864%) | 9.182 | % | 5/30/25 | 984,984 | 984,771 | (a)(d) | ||||||||||
PRKCM Trust, 2023-AFC1 A3 | 7.304 | % | 2/25/58 | 2,651,084 | 2,654,283 | (d) | ||||||||||
Redwood Funding Trust, 2019-1 PT | 4.968 | % | 9/27/24 | 6,468,185 | 6,461,536 | (d) | ||||||||||
Starwood Retail Property Trust, 2014-STAR C | 8.500 | % | 11/15/27 | 2,324,000 | 241,115 | (a)(d) | ||||||||||
Starwood Retail Property Trust, 2014-STAR D | 8.500 | % | 11/15/27 | 650,000 | 26,000 | (a)(d) | ||||||||||
Structured Asset Mortgage Investments II Trust, 2006-AR6 1A1 (1 mo. Term SOFR + 0.474%) | 5.794 | % | 7/25/46 | 70,006 | 57,058 | (a) | ||||||||||
Structured Asset Securities Corp., 2005-RF3 1A (1 mo. Term SOFR + 0.464%) | 5.784 | % | 6/25/35 | 137,633 | 125,645 | (a)(d) | ||||||||||
Tharaldson Hotel Portfolio Trust, 2018-THL D (1 mo. Term SOFR + 2.414%) | 7.742 | % | 11/11/34 | 2,223,670 | 2,166,801 | (a)(d) | ||||||||||
Tharaldson Hotel Portfolio Trust, 2018-THL E (1 mo. Term SOFR + 3.594%) | 8.922 | % | 11/11/34 | 4,836,179 | 4,683,387 | (a)(d) | ||||||||||
Tharaldson Hotel Portfolio Trust, 2018-THL F (1 mo. Term SOFR + 4.367%) | 9.695 | % | 11/11/34 | 3,602,427 | 3,474,882 | (a)(d) | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, 2003-AR5 A7 | 4.825 | % | 6/25/33 | 17,562 | 17,290 | (a) | ||||||||||
Wells Fargo Commercial Mortgage Trust, 2019-C51 A4 | 3.311 | % | 6/15/52 | 1,370,000 | 1,173,804 | |||||||||||
Wells Fargo Commercial Mortgage Trust, 2021-C59 XA, IO | 1.657 | % | 4/15/54 | 12,401,914 | 944,832 | (a) | ||||||||||
|
| |||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
| 228,349,084 | ||||||||||||||
|
| |||||||||||||||
FACE AMOUNT/ UNITS | ||||||||||||||||
ASSET-BACKED SECURITIES - 9.5% | ||||||||||||||||
Applebee’s Funding LLC/IHOP Funding LLC, 2019-1A A2II | 4.723 | % | 6/5/49 | 298,980 | 278,967 | (d) | ||||||||||
Aqua Finance Trust, 2020-AA C | 3.970 | % | 7/17/46 | 3,200,000 | 2,751,651 | (d) | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, 2023-8A C | 7.340 | % | 2/20/30 | 3,700,000 | 3,717,365 | (d) | ||||||||||
CARS-DB7 LP, 2023-1A A1 | 5.750 | % | 9/15/53 | 1,260,000 | 1,238,017 | (d) | ||||||||||
Castlelake Aircraft Structured Trust, 2021-1A A | 3.474 | % | 1/15/46 | 554,217 | 511,892 | (d) |
See Notes to Schedule of Investments.
20 | Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT/ UNITS | VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) |
| |||||||||||||||
College Ave Student Loans LLC, 2021-C D | 4.110 | % | 7/26/55 | $ | 1,500,000 | $ | 1,285,998 | (d) | ||||||||
Conseco Finance Corp., 1997-4 M1 | 7.220 | % | 2/15/29 | 455,757 | 454,168 | (a) | ||||||||||
Countrywide Asset-Backed Certificates Trust, 2002-S3 M1 | 4.800 | % | 5/25/32 | 1,863 | 1,327 | (a) | ||||||||||
Countrywide Asset-Backed Certificates Trust, 2006-SD3 A1 (1 mo. Term SOFR + 0.774%) | 6.094 | % | 7/25/36 | 67,247 | 65,826 | (a)(d) | ||||||||||
Credit Suisse European Mortgage Capital Ltd., 2019-1OTF A (3 mo. USD LIBOR + 2.900%) | 8.531 | % | 8/9/24 | 4,625,000 | 4,501,909 | (a)(d) | ||||||||||
Credit Suisse European Mortgage Capital Ltd., 2020-1OTF A (3 mo. USD LIBOR + 2.900%) | 7.390 | % | 8/9/24 | 2,788,945 | 2,708,484 | (d) | ||||||||||
GoodLeap Sustainable Home Solutions Trust, 2021-5CS C | 3.500 | % | 10/20/48 | 1,372,662 | 947,763 | (d) | ||||||||||
Hertz Vehicle Financing LLC, 2023-4A C | 7.510 | % | 3/25/30 | 1,750,000 | 1,756,137 | (d) | ||||||||||
J.G. Wentworth LLC, 2018-1A B | 4.700 | % | 10/15/74 | 1,836,192 | 1,515,558 | (d) | ||||||||||
Lunar Structured Aircraft Portfolio Notes, 2021-1 B | 3.432 | % | 10/15/46 | 833,534 | 685,365 | (d) | ||||||||||
Navient Private Education Refi Loan Trust, 2020-BA B | 2.770 | % | 1/15/69 | 5,000,000 | 3,815,436 | (d) | ||||||||||
RAAC Trust, 2006-RP3 A (1 mo. USD LIBOR + 0.270%) | 5.704 | % | 5/25/36 | 2,450 | 2,443 | (a)(d) | ||||||||||
Renew, 2023-1A A | 5.900 | % | 11/20/58 | 1,710,239 | 1,598,042 | (d) | ||||||||||
SBA Small Business Investment Cos., 2023-10B 1 | 5.688 | % | 9/10/33 | 2,060,000 | 2,066,565 | |||||||||||
SMB Private Education Loan Trust, 2014-A R | 0.000 | % | 9/15/45 | 22,179 | 1,611,266 | (d) | ||||||||||
SMB Private Education Loan Trust, 2015-C R | 0.000 | % | 9/18/46 | 2,751 | 837,068 | (d) | ||||||||||
SMB Private Education Loan Trust, 2020-A B | 3.000 | % | 8/15/45 | 2,000,000 | 1,683,002 | (d) | ||||||||||
SMB Private Education Loan Trust, 2021-A C | 2.990 | % | 1/15/53 | 4,683,733 | 3,926,263 | (d) | ||||||||||
SoFi Professional Loan Program LLC, 2017-F R1 | 0.000 | % | 1/25/41 | 25,000 | 318,459 | (d) | ||||||||||
SoFi Professional Loan Program Trust, 2020-A BFX | 3.120 | % | 5/15/46 | 3,200,000 | 2,469,931 | (d) | ||||||||||
Stonepeak, 2021-1A B | 3.821 | % | 2/28/33 | 1,786,741 | 1,515,327 | (d) | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, 2006-ARS1 A1 (1 mo. Term SOFR + 0.334%) | 5.649 | % | 2/25/36 | 1,356,251 | 28,869 | (a)(d) | ||||||||||
Thrust Engine Leasing, 2021-1A A | 4.163 | % | 7/15/40 | 897,952 | 774,897 | (d) | ||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 43,067,995 | ||||||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
21 |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
CONVERTIBLE BONDS & NOTES - 0.4% | ||||||||||||||||
FINANCIALS - 0.4% | ||||||||||||||||
Mortgage Real Estate Investment Trusts (REITs) - 0.4% | ||||||||||||||||
Two Harbors Investment Corp., Senior Notes | 6.250 | % | 1/15/26 | $ | 1,600,000 | $ | 1,480,000 | |||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS - 121.8% |
| 550,520,423 | ||||||||||||||
Liabilities in Excess of Other Assets - (21.8)% | (98,444,546 | ) | ||||||||||||||
|
| |||||||||||||||
TOTAL NET ASSETS - 100.0% | $ | 452,075,877 | ||||||||||||||
|
|
(a) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(b) | This security is traded on a to-be-announced (“TBA”) basis. At September 30, 2023, the Fund held TBA securities with a total cost of $102,964,401. |
(c) | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit. |
(d) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
(e) | Value is less than $1. |
(f) | Security is valued in good faith in accordance with procedures approved by the Board of Trustees (Note 1). (g) Security is valued using significant unobservable inputs (Note 1). |
Abbreviation(s) used in this schedule:
ACES | — Alternative Credit Enhancement Securities | |
CAS | — Connecticut Avenue Securities | |
IBOR | — Interbank Offered Rate | |
IO | — Interest Only | |
LIBOR | — London Interbank Offered Rate | |
PAC | — Planned Amortization Class | |
PO | — Principal Only | |
REMIC | — Real Estate Mortgage Investment Conduit | |
Re-REMIC | — Resecuritization of Real Estate Mortgage Investment Conduit | |
SOFR | — Secured Overnight Financing Rate | |
STRIPS | — Separate Trading of Registered Interest and Principal Securities | |
USD | — United States Dollar |
See Notes to Schedule of Investments.
22 | Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
WESTERN ASSET MORTGAGE TOTAL RETURN FUND
Schedule of investments (unaudited) (cont’d) | September 30, 2023 |
At September 30, 2023, the Fund had the following open futures contracts:
Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
U.S. Treasury 2-Year Notes | 212 | 12/23 | $ | 42,956,867 | $ | 42,974,719 | $ | 17,852 | ||||||||||||
U.S. Treasury 5-Year Notes | 965 | 12/23 | 102,328,161 | 101,671,802 | (656,359 | ) | ||||||||||||||
U.S. Treasury Long-Term Bonds | 385 | 12/23 | 46,030,306 | 43,805,781 | (2,224,525 | ) | ||||||||||||||
|
| |||||||||||||||||||
(2,863,032 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
3-Month SOFR | 95 | 12/24 | 22,673,926 | 22,583,875 | 90,051 | |||||||||||||||
3-Month SOFR | 100 | 3/25 | 23,996,040 | 23,852,500 | 143,540 | |||||||||||||||
U.S. Treasury 10-Year Notes | 343 | 12/23 | 37,471,611 | 37,065,438 | 406,173 | |||||||||||||||
U.S. Treasury Ultra 10-Year Notes | 119 | 12/23 | 13,613,839 | 13,275,938 | 337,901 | |||||||||||||||
|
| |||||||||||||||||||
977,665 | ||||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized depreciation on open futures contracts |
| $ | (1,885,367 | ) | ||||||||||||||||
|
|
Abbreviation(s) used in this table:
SOFR | — Secured Overnight Financing Rate |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
Western Asset Mortgage Total Return Fund 2023 Quarterly Report |
23 |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Mortgage Total Return Fund (the “Fund”) is a separate diversified investment series of Legg Mason Partners Income Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Trustees. When determining the reliability of third
24 |
Notes to Schedule of Investments (unaudited) (continued)
party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
• | Level 1 – unadjusted quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
25 |
Notes to Schedule of Investments (unaudited) (continued)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:
ASSETS | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Long-Term Investments†: | ||||||||||||||||
Mortgage-Backed Securities | — | $ | 277,623,344 | — | $ | 277,623,344 | ||||||||||
Collateralized Mortgage Obligations | — | 227,131,395 | $ | 1,217,689 | 228,349,084 | |||||||||||
Asset-Backed Securities | — | 43,067,995 | — | 43,067,995 | ||||||||||||
Convertible Bonds & Notes | — | 1,480,000 | — | 1,480,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | — | $ | 549,302,734 | $ | 1,217,689 | $ | 550,520,423 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts†† | $ | 995,517 | — | — | $ | 995,517 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 995,517 | $ | 549,302,734 | $ | 1,217,689 | $ | 551,515,940 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts†† | $ | 2,880,884 | — | — | $ | 2,880,884 |
† | See Schedule of Investments for additional detailed categorizations. |
†† | Reflects the unrealized appreciation (depreciation) of the instruments. |
2. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for
26 |
Notes to Schedule of Investments (unaudited) (continued)
all or some portion of the period ended September 30, 2023. The following transactions were effected in such company for the period ended September 30, 2023.
Affiliate Value at December 31, 2022 | Purchased | Sold | ||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares | — | $ | 65,513,729 | 65,513,729 | $ | 65,513,729 | 65,513,729 |
(cont’d) | Realized Gain (Loss) | Dividend Income | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at September 30, 2023 | ||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares | — | $ | 28,679 | — | — |
27 |