NPORT-EX 2 LMF4900WAMortOppFdInc.htm HTML

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited)    March 31, 2021

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
RESIDENTIAL MORTGAGE-BACKED SECURITIES - 94.1%

 

        

Adjustable Rate Mortgage Trust, 2005-5 1A1

      3.065 %      9/25/35      $ 97,876      $ 81,198 (a) 

Adjustable Rate Mortgage Trust, 2005-7 2A21

      3.165 %      10/25/35        221,687        207,222 (a)  

Adjustable Rate Mortgage Trust, 2005-12 5A1 (1 mo. USD LIBOR + 0.500%)

      0.609 %      3/25/36        229,447        119,857 (a)  

Aegis Asset Backed Securities Trust, 2005-3 M3 (1 mo. USD LIBOR + 0.735%)

      0.844 %      8/25/35        3,460,000        3,117,456 (a) 

AFC Trust, 2000-3 1A (1 mo. USD LIBOR + 0.750%)

      0.859 %      10/25/30        745,337        714,328 (a)(b) 

Alternative Loan Trust, 2005-11CB 3A3, IO (-1.000 x 1 mo. USD LIBOR + 5.000%)

      4.891 %      6/25/35        1,295,800        169,393 (a)  

Alternative Loan Trust, 2005-14 3A1

      2.462 %      5/25/35        149,718        113,683 (a)  

Alternative Loan Trust, 2005-36 4A1

      3.067 %      8/25/35        235,222        230,259 (a)  

Alternative Loan Trust, 2005-J10 1A1 (1 mo. USD LIBOR + 0.500%)

      0.609 %      10/25/35        647,142        471,150 (a)  

Alternative Loan Trust, 2006-HY10 1A1

      2.825 %      5/25/36        192,461        182,393 (a)  

Alternative Loan Trust, 2006-J8 A5

      6.000 %      2/25/37        87,051        56,731  

Alternative Loan Trust, 2007-3T1 2A1

      6.000 %      3/25/27        28,739        28,809  

Alternative Loan Trust, 2007-23CB A8 (-4.000 x 1 mo. USD LIBOR + 28.400%)

      27.965 %      9/25/37        449,036        557,695 (a)  

Alternative Loan Trust, 2007-OA8 1A1 (1 mo. USD LIBOR + 0.180%)

      0.289 %      6/25/47        1,038,622        913,924 (a)  

American Home Mortgage Assets Trust, 2005-2 2A1A

      3.104 %      1/25/36        765,041        629,468 (a)  

American Home Mortgage Investment Trust, 2007-2 2A (1 mo. USD LIBOR + 0.800%)

      0.909 %      3/25/47        12,735,445        511,100 (a)  

American Home Mortgage Investment Trust, 2007-A 4A (1 mo. USD LIBOR + 0.900%)

      1.009 %      7/25/46        1,816,210        773,300 (a)(b) 

Banc of America Funding Corp., 2015-R3 2A2

      0.248 %      2/27/37        2,629,125        2,230,326 (a)(b) 

Banc of America Funding Trust, 2004-C 3A1

      2.901 %      12/20/34        287,250        285,513 (a)  

Banc of America Funding Trust, 2006-D 2A1

      3.499 %      5/20/36        34,394        33,602 (a)  

Banc of America Funding Trust, 2006-F 1A1

      2.857 %      7/20/36        110,264        113,659 (a)  

Banc of America Funding Trust, 2014-R5 1A2 (6 mo. USD LIBOR + 1.500%)

      1.704 %      9/26/45        3,750,000        3,230,899 (a)(b) 

Banc of America Funding Trust, 2015-R2 9A2

      0.396 %      3/27/36        4,565,709        4,502,270 (a)(b) 

Banc of America Funding Trust, 2015-R4 4A3

      8.631 %      1/27/30        12,850,186        5,379,049 (a)(b) 

Bayview Financial Asset Trust, 2007-SR1A M1 (1 mo. USD LIBOR + 0.800%)

      0.909 %      3/25/37        1,869,183        1,758,040 (a)(b)(c) 

Bayview Financial Asset Trust, 2007-SR1A M2 (1 mo. USD LIBOR + 0.900%)

      1.009 %      3/25/37        2,275,656        2,186,724 (a)(b) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2021 Quarterly Report    

  

 

 

1

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2021

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
RESIDENTIAL MORTGAGE-BACKED SECURITIES - (continued)

 

        

Bayview Financial Asset Trust, 2007-SR1A M3 (1 mo. USD LIBOR + 1.150%)

      1.259 %      3/25/37      $ 1,031,018      $ 1,004,185 (a)(b) 

BCAP LLC Trust, 2011-RR2 1A4

      3.176 %      7/26/36        2,906,144        1,809,174 (a)(b) 

Bear Stearns ALT-A Trust, 2005-9 25A1

      2.876 %      11/25/35        238,996        198,326 (a)  

Bear Stearns Asset Backed Securities I Trust, 2005-CL1 A1 (1 mo. USD LIBOR + 0.500%)

      0.500 %      9/25/34        46,643        44,981 (a)  

Bellemeade Re Ltd., 2017-1 B1 (1 mo. USD LIBOR + 4.750%)

      4.859 %      10/25/27        1,070,000        1,080,626 (a)(b) 

Bellemeade Re Ltd., 2018-1A M2 (1 mo. USD LIBOR + 2.900%)

      3.009 %      4/25/28        510,000        514,985 (a)(b) 

Chase Mortgage Finance Trust, 2006-S3 2A1

      5.500 %      11/25/21        143,354        89,833  

ChaseFlex Trust, 2005-2 3A3, IO (-1.000 x 1 mo. USD LIBOR + 5.500%)

      5.391 %      6/25/35        7,272,482        1,363,590 (a) 

Chevy Chase Funding LLC Mortgage-Backed Certificates, 2006-2A A1 (1 mo. USD LIBOR + 0.130%)

      0.239 %      4/25/47        86,446        91,581 (a)(b) 

CHL Mortgage Pass-Through Trust, 2005-2 2A1 (1 mo. USD LIBOR + 0.640%)

      0.749 %      3/25/35        57,126        56,665 (a)  

CHL Mortgage Pass-Through Trust, 2005-9 1A1 (1 mo. USD LIBOR + 0.600%)

      0.709 %      5/25/35        72,255        62,086 (a)  

CHL Mortgage Pass-Through Trust, 2005-11 3A3

      2.619 %      4/25/35        302,540        248,458 (a)  

CHL Mortgage Pass-Through Trust, 2005-11 6A1 (1 mo. USD LIBOR + 0.600%)

      0.709 %      3/25/35        46,268        38,473 (a)  

CHL Mortgage Pass-Through Trust, 2005-18 A7 (-2.750 x 1 mo. USD LIBOR + 19.525%)

      19.226 %      10/25/35        11,868        13,364 (a)  

CHL Mortgage Pass-Through Trust, 2005-HY10 1A1

      3.238 %      2/20/36        40,057        35,001 (a)  

CHL Mortgage Pass-Through Trust, 2005-HYB9 1A1 (12 mo. USD LIBOR + 1.750%)

      2.207 %      2/20/36        103,970        99,806 (a)  

Citicorp Mortgage Securities Trust, 2007-8 B1

      5.979 %      9/25/37        2,823,758        1,821,059 (a) 

Citigroup Mortgage Loan Trust, 2006-AR5 2A1A

      0.031 %      7/25/36        202,489        145,411 (a)  

Citigroup Mortgage Loan Trust, 2008-3 A3

      6.100 %      4/25/37        5,491,181        2,658,237 (b)(c) 

Citigroup Mortgage Loan Trust Inc., 2004-HYB3 1A

      3.064 %      9/25/34        37,213        37,416 (a)  

Citigroup Mortgage Loan Trust Inc., 2004-UST1 A2

      1.326 %      8/25/34        20,276        20,224 (a)  

Citigroup Mortgage Loan Trust Inc., 2005-5 1A5

      2.253 %      8/25/35        130,545        118,295 (a)  

 

See Notes to Schedule of Investments.

 

 

 

2

  

    Western Asset Mortgage Opportunity Fund Inc. 2021 Quarterly Report

  

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2021

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
RESIDENTIAL MORTGAGE-BACKED SECURITIES - (continued)

 

        

Countrywide Asset-Backed Certificates Trust, 2006-SD3 A1 (1 mo. USD LIBOR + 0.660%)

      0.769 %      7/25/36      $ 364,615      $ 354,471 (a)(b) 

Countrywide Asset-Backed Certificates Trust, 2007-SEA1 1A1 (1 mo. USD LIBOR + 0.550%)

      0.659 %      5/25/47        365,991        324,272 (a)(b) 

Credit-Based Asset Servicing & Securitization LLC, 2006-SL1 A3 (1 mo. USD LIBOR + 0.440%)

      0.549 %      9/25/36        3,681,315        315,893 (a)(b) 

CSFB Mortgage-Backed Pass-Through Certificates, 2005-10 3A3

      5.500 %      11/25/35        265,677        205,477  

CSMC Resecuritization Trust, 2006-1R 1A2 (-2.750 x 1 mo. USD LIBOR + 19.525%)

      19.225 %      7/27/36        320,909        430,833 (a)(b) 

CSMC Trust, 2010-18R 6A5

      3.325 %      9/28/36        696,300        714,717 (a)(b) 

CSMC Trust, 2014-11R 9A2 (1 mo. USD LIBOR + 0.140%)

      0.258 %      10/27/36        4,144,353        3,627,683 (a)(b) 

CSMC Trust, 2015-2R 7A2

      2.892 %      8/27/36        3,442,468        2,863,143 (a)(b) 

CSMC Trust, 2017-RPL1 B1

      3.035 %      7/25/57        3,052,442        2,329,093 (a)(b) 

CSMC Trust, 2017-RPL1 B2

      3.035 %      7/25/57        3,501,991        2,457,732 (a)(b) 

CSMC Trust, 2017-RPL1 B3

      3.035 %      7/25/57        2,977,486        1,691,090 (a)(b) 

CSMC Trust, 2017-RPL1 B4

      3.035 %      7/25/57        3,251,162        569,539 (a)(b) 

CWABS Revolving Home Equity Loan Trust, 2004-L 2A (1 mo. USD LIBOR + 0.280%)

      0.386 %      2/15/34        43,737        41,773 (a)  

Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 2PO, PO

      0.000 %      4/15/36        21,588        16,248 (b)  

Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS1, IO

      9.113 %      4/15/36        190,191        35,734 (a)(b) 

Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS2, IO

      15.864 %      4/15/36        181,215        57,269 (a)(b) 

Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS1, IO

      10.719 %      4/15/36        68,489        19,716 (a)(b) 

Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS3, IO

      7.403 %      4/15/36        247,979        51,639 (a)(b) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2016-1 B, PO

      0.000 %      9/25/55        12,152,185        1,776,024 (b) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2016-1 BIO, IO

      0.148 %      9/25/55        26,938,287        3,448,938 (a)(b) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2016-1 XSIO, IO

      0.075 %      9/25/55        182,777,770        724,714 (a)(b) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2021 Quarterly Report    

  

 

 

3

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2021

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
RESIDENTIAL MORTGAGE-BACKED SECURITIES - (continued)

 

        

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 B, PO

      0.000 %      8/25/56      $ 11,327,348      $ 2,092,683 (b) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 BIO, IO

      0.000 %      8/25/56        19,340,533        3,064,774 (a)(b) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 XSIO, IO

      0.075 %      8/25/56        454,362,125        2,053,262 (a)(b) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2019-2 M

      4.750 %      8/25/58        681,000        715,165 (a)(b) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2020-1 BXS

      3.453 %      8/25/59        4,084,622        2,038,600 (a)(b) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA2 B (1 mo. USD LIBOR + 10.500%)

      10.609 %      10/25/28        494,609        579,717 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA3 B (1 mo. USD LIBOR + 11.250%)

      11.359 %      12/25/28        1,029,928        1,215,600 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA4 B (1 mo. USD LIBOR + 8.600%)

      8.709 %      3/25/29        1,576,861        1,648,738 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA2 B2 (1 mo. USD LIBOR + 11.250%)

      11.359 %      10/25/29        1,772,891        1,950,443 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HQA2 B2 (1 mo. USD LIBOR + 11.000%)

      11.109 %      10/25/48        3,000,000        3,524,375 (a)(b) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP1 B2 (1 mo. USD LIBOR + 11.750%)

      11.859 %      5/25/43        5,551,303        6,171,792 (a)(b) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP2 B2 (1 mo. USD LIBOR + 10.500%)

      10.609 %      2/25/47        3,530,000        3,918,325 (a)(b) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-SPI4 B

      4.489 %      11/25/48        4,860,901        4,683,522 (a)(b) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2019-DNA1 B2 (1 mo. USD LIBOR + 10.750%)

      10.859 %      1/25/49        1,500,000        1,741,162 (a)(b) 

 

See Notes to Schedule of Investments.

 

 

 

4

  

    Western Asset Mortgage Opportunity Fund Inc. 2021 Quarterly Report

  

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2021

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
RESIDENTIAL MORTGAGE-BACKED SECURITIES - (continued)

 

        

Federal National Mortgage Association (FNMA), 2012-134 LS, IO (-1.000 x 1 mo. USD LIBOR + 6.150%)

      6.041 %      12/25/42      $ 2,274,685      $ 445,788 (a) 

Federal National Mortgage Association (FNMA) - CAS, 2016-C01 1B (1 mo. USD LIBOR + 11.750%)

      11.859 %      8/25/28        1,866,407        2,276,857 (a)(b) 

Federal National Mortgage Association (FNMA) - CAS, 2016-C02 1B (1 mo. USD LIBOR + 12.250%)

      12.359 %      9/25/28        2,340,507        2,910,822 (a)(b) 

Federal National Mortgage Association (FNMA) - CAS, 2016-C03 1B (1 mo. USD LIBOR + 11.750%)

      11.859 %      10/25/28        1,654,432        2,025,076 (a)(b) 

Federal National Mortgage Association (FNMA) - CAS, 2016-C04 1B (1 mo. USD LIBOR + 10.250%)

      10.359 %      1/25/29        2,618,984        3,072,413 (a)(b) 

Federal National Mortgage Association (FNMA) - CAS, 2016-C06 1B (1 mo. USD LIBOR + 9.250%)

      9.359 %      4/25/29        3,517,578        3,943,823 (a)(b) 

First Horizon Alternative Mortgage Securities Trust, 2005-AA6 3A1

      2.687 %      8/25/35        393,668        367,935 (a)  

First Horizon Alternative Mortgage Securities Trust, 2006-FA6 2A1, PAC

      6.250 %      11/25/36        81,994        47,592  

GS Mortgage Securities Corp. II, 2000-1A A (1 mo. USD LIBOR + 0.350%)

      0.461 %      3/20/23        21,067        21,080 (a)(b) 

GSAA Resecuritization Mortgage Trust, 2005-R1 1A2, IO (-1.000 x 1 mo. USD LIBOR + 5.000%)

      4.891 %      4/25/35        1,857,452        326,360 (a)(b) 

GSMPS Mortgage Loan Trust, 2005-RP1 1A4

      8.500 %      1/25/35        49,086        55,614 (b)  

GSMPS Mortgage Loan Trust, 2006-RP1 1A2

      7.500 %      1/25/36        340,979        353,491 (b)  

HarborView Mortgage Loan Trust, 2006-2 1A

      2.647 %      2/25/36        14,974        6,803 (a)  

Home Equity Mortgage Trust, 2006-1 A3 (1 mo. USD LIBOR + 0.500%)

      0.609 %      5/25/36        3,500,000        1,404,710 (a) 

HSI Asset Loan Obligation Trust, 2007-AR1 4A1

      4.334 %      1/25/37        104,144        90,069 (a)  

Impac CMB Trust, 2004-8 1A (1 mo. USD LIBOR + 0.720%)

      0.829 %      10/25/34        198,539        194,247 (a)  

IndyMac INDA Mortgage Loan Trust, 2005-AR2 1A1

      2.860 %      1/25/36        68,831        61,646 (a)  

IndyMac INDX Mortgage Loan Trust, 2004-AR13 1A1

      2.697 %      1/25/35        47,314        47,410 (a)  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2021 Quarterly Report    

  

 

 

5

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2021

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
RESIDENTIAL MORTGAGE-BACKED SECURITIES - (continued)           

IndyMac INDX Mortgage Loan Trust, 2005-AR15 A2

      2.987 %      9/25/35      $ 51,072      $ 49,117 (a) 

IndyMac INDX Mortgage Loan Trust, 2006-AR7 5A1

      3.339 %      5/25/36        197,447        169,584 (a)  

IndyMac INDX Mortgage Loan Trust, 2006-AR9 3A3

      3.183 %      6/25/36        255,935        270,793 (a)  

IndyMac INDX Mortgage Loan Trust, 2006-AR11 1A1

      3.409 %      6/25/36        355,093        329,545 (a)  

JPMorgan Alternative Loan Trust, 2007-A1 3A1

      3.252 %      3/25/37        245,021        249,667 (a)  

JPMorgan Mortgage Trust, 2005-S3 1A1

      6.500 %      1/25/36        688,800        530,618  

JPMorgan Mortgage Trust, 2007-S2 3A2

      6.000 %      6/25/37        41,631        43,482  

JPMorgan Mortgage Trust, 2007-S2 3A3

      6.500 %      6/25/37        16,058        16,708  

JPMorgan Mortgage Trust, 2007-S3 1A18 (1 mo. USD LIBOR + 0.500%)

      0.609 %      8/25/37        2,191,800        741,890 (a)  

Legacy Mortgage Asset Trust, 2019-GS2 A2, Step bond

      4.250 %      1/25/59        4,520,000        4,523,555 (b)(c) 

Lehman Mortgage Trust, 2006-3 1A7, IO (-1.000 x 1 mo. USD LIBOR + 5.400%)

      5.291 %      7/25/36        4,821,671        1,084,473 (a) 

Lehman Mortgage Trust, 2006-7 1A3, IO (-1.000 x 1 mo. USD LIBOR + 5.350%)

      5.241 %      11/25/36        4,550,918        858,868 (a)  

Lehman Mortgage Trust, 2006-7 1A8 (1 mo. USD LIBOR + 0.180%)

      0.289 %      11/25/36        3,332,447        1,779,157 (a) 

Lehman Mortgage Trust, 2006-7 3A2, IO (-1.000 x 1 mo. USD LIBOR + 7.150%)

      7.041 %      11/25/36        5,102,967        1,557,758 (a) 

Lehman Mortgage Trust, 2007-5 2A3 (1 mo. USD LIBOR + 0.330%)

      0.439 %      6/25/37        2,751,826        280,719 (a)  

Lehman XS Trust, 2006-19 A4 (1 mo. USD LIBOR + 0.340%)

      0.449 %      12/25/36        502,840        457,175 (a)  

MASTR Adjustable Rate Mortgages Trust, 2004-12 5A1

      2.939 %      10/25/34        44,803        46,642 (a)  

MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. USD LIBOR + 0.210%)

      0.319 %      4/25/46        156,518        144,142 (a)  

MASTR Reperforming Loan Trust, 2005-1 1A4

      7.500 %      8/25/34        54,251        48,843 (b)  

Merrill Lynch Mortgage Investors Trust, 2006-A1 2A1

      2.771 %      3/25/36        437,992        285,743 (a)  

Morgan Stanley Mortgage Loan Trust, 2006-8AR 1A2 (1 mo. USD LIBOR + 0.140%)

      0.249 %      6/25/36        221,274        71,909 (a)  

Morgan Stanley Mortgage Loan Trust, 2007-5AX 2A3 (1 mo. USD LIBOR + 0.460%)

      0.569 %      2/25/37        1,714,634        708,318 (a)  

 

See Notes to Schedule of Investments.

 

 

 

6

  

    Western Asset Mortgage Opportunity Fund Inc. 2021 Quarterly Report

  

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2021

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
RESIDENTIAL MORTGAGE-BACKED SECURITIES - (continued)           

Morgan Stanley Mortgage Loan Trust, 2007-15AR 4A1

      2.925 %      11/25/37      $ 420,409      $ 397,722 (a) 

Morgan Stanley Re-REMIC Trust, 2015-R2 1B (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 0.710%)

      1.088 %      12/27/46        907,731        810,689 (a)(b) 

New Century Home Equity Loan Trust, 2004-3 M3 (1 mo. USD LIBOR + 1.065%)

      1.174 %      11/25/34        458,793        460,808 (a)  

New Residential Mortgage Loan Trust, 2019-6A A1IB, IO

      0.500 %      9/25/59        36,179,491        617,548 (a)(b) 

Nomura Resecuritization Trust, 2014-5R 1A9

      6.422 %      6/26/35        1,753,507        1,690,696 (a)(b) 

PMT Credit Risk Transfer Trust, 2019-2R A (1 mo. USD LIBOR + 2.750%)

      2.859 %      5/27/23        1,899,310        1,881,194 (a)(b) 

Popular ABS Mortgage Pass-Through Trust, 2005-5 MV2 (1 mo. USD LIBOR + 0.630%)

      0.739 %      11/25/35        2,114,323        1,915,010 (a) 

Provident Home Equity Loan Trust, 2000-2 A1 (1 mo. USD LIBOR + 0.540%)

      0.649 %      8/25/31        701,575        633,154 (a)  

Radnor RE Ltd., 2020-1 M2B (1 mo. USD LIBOR + 2.250%)

      2.359 %      2/25/30        2,345,000        2,270,864 (a)(b) 

RALI Trust, 2005-QA3 CB4

      3.421 %      3/25/35        1,115,172        602,449 (a)  

RALI Trust, 2006-QA1 A11

      3.813 %      1/25/36        290,495        243,927 (a)  

RALI Trust, 2006-QA4 A (1 mo. USD LIBOR + 0.360%)

      0.469 %      5/25/36        199,717        187,222 (a)  

RALI Trust, 2006-QO2 A1 (1 mo. USD LIBOR + 0.440%)

      0.549 %      2/25/46        182,408        56,920 (a)  

RALI Trust, 2007-QA2 A1 (1 mo. USD LIBOR + 0.260%)

      0.239 %      2/25/37        99,442        103,081 (a)  

RAMP Trust, 2004-RS4 MII2 (1 mo. USD LIBOR + 1.350%)

      2.134 %      4/25/34        926,503        870,605 (a)  

RAMP Trust, 2004-SL3 A3

      7.500 %      12/25/31        205,636        201,147  

RAMP Trust, 2005-SL2 A5

      8.000 %      10/25/31        331,826        234,141  

RBSGC Mortgage Loan Trust, 2007-A 3A1 (1 mo. USD LIBOR + 0.350%)

      0.459 %      1/25/37        2,778,917        462,272 (a)  

Redwood Funding Trust, 2019-1 PT, Step bond

      4.213 %      9/27/24        2,790,139        2,819,684 (b) 

Renaissance Home Equity Loan Trust, 2006-1 AF5, Step bond

      6.166 %      5/25/36        530,408        394,315  

Renaissance Home Equity Loan Trust, 2007-2 AF2, Step bond

      5.675 %      6/25/37        445,054        175,460  

Renaissance Home Equity Loan Trust, 2007-3 AF3, Step bond

      7.238 %      9/25/37        1,648,833        950,984  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2021 Quarterly Report    

  

 

 

7

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2021

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
RESIDENTIAL MORTGAGE-BACKED SECURITIES - (continued)           

Residential Asset Securitization Trust, 2005-A7 A2, IO (-1.000 x 1 mo. USD LIBOR + 7.250%)

      7.141 %      6/25/35      $ 1,540,860      $ 437,338 (a) 

Residential Asset Securitization Trust, 2005-A13 1A3 (1 mo. USD LIBOR + 0.470%)

      0.579 %      10/25/35        89,048        63,288 (a) 

Residential Asset Securitization Trust, 2006-A1 1A6 (1 mo. USD LIBOR + 0.500%)

      0.609 %      4/25/36        1,440,065        475,948 (a) 

Residential Asset Securitization Trust, 2006-A1 1A7, IO (-1.000 x 1 mo. USD LIBOR + 5.500%)

      5.391 %      4/25/36        2,984,590        724,032 (a) 

Residential Asset Securitization Trust, 2007-A2 1A1

      6.000 %      4/25/37        217,545        177,565  

RFMSI Trust, 2006-S8 A12, IO (-1.000 x 1 mo. USD LIBOR + 5.400%)

      5.291 %      9/25/36        2,929,442        387,008 (a) 

RFMSI Trust, 2006-SA2 4A1

      5.272 %      8/25/36        79,337        66,794 (a) 

RFMSI Trust, 2007-S6 1A6 (1 mo. USD LIBOR + 0.500%)

      0.609 %      6/25/37        1,369,650        1,088,825 (a) 

RFMSI Trust, 2007-S6 1A13, IO (-1.000 x 1 mo. USD LIBOR + 5.500%)

      5.391 %      6/25/37        1,369,650        187,949 (a)  

Structured Adjustable Rate Mortgage Loan Trust, 2004-18 1A2

      2.639 %      12/25/34        180,073        176,823 (a)  

Structured Adjustable Rate Mortgage Loan Trust, 2005-4 5A

      3.610 %      3/25/35        31,119        31,689 (a)  

Structured Adjustable Rate Mortgage Loan Trust, 2005-7 1A3

      3.003 %      4/25/35        54,540        55,650 (a)  

Structured Adjustable Rate Mortgage Loan Trust, 2005-4 1A1

      2.699 %      3/25/35        121,161        111,422 (a)  

Structured Asset Investment Loan Trust, 2004-8 M9 (1 mo. USD LIBOR + 3.750%)

      3.859 %      9/25/34        297,405        307,252 (a)  

Structured Asset Mortgage Investments II Trust, 2006-AR5 4A1 (1 mo. USD LIBOR + 0.440%)

      0.549 %      5/25/46        541,403        287,209 (a)  

Wachovia Mortgage Loan Trust LLC, 2005-B 2A2

      2.638 %      10/20/35        12,631        11,846 (a) 

WaMu Mortgage Pass-Through Certificates Trust, 2005-8 1A6 (-3.667 x 1 mo. USD LIBOR + 23.283%)

      22.885 %      10/25/35        152,157        194,163 (a) 

WaMu Mortgage Pass-Through Certificates Trust, 2005-9 5A4 (-7.333 x 1 mo. USD LIBOR + 35.933%)

      35.137 %      11/25/35        52,459        92,582 (a) 

 

See Notes to Schedule of Investments.

 

 

 

8

  

    Western Asset Mortgage Opportunity Fund Inc. 2021 Quarterly Report

 

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2021

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
RESIDENTIAL MORTGAGE-BACKED SECURITIES - (continued)

 

WaMu Mortgage Pass-Through Certificates Trust, 2005-10 2A3 (1 mo. USD LIBOR + 0.900%)

      1.009 %      11/25/35      $ 102,746      $ 90,115 (a)  

WaMu Mortgage Pass-Through Certificates Trust, 2005-AR2 B1 (1 mo. USD LIBOR + 0.795%)

      0.904 %      1/25/45        1,489,842        1,227,881 (a)  

WaMu Mortgage Pass-Through Certificates Trust, 2005-AR13 A1C3 (1 mo. USD LIBOR + 0.980%)

      1.089 %      10/25/45        145,695        144,648 (a)  

WaMu Mortgage Pass-Through Certificates Trust, 2005-AR15 A1C4 (1 mo. USD LIBOR + 0.800%)

      0.909 %      11/25/45        640,390        407,999 (a)  

WaMu Mortgage Pass-Through Certificates Trust, 2006-AR10 A1 (1 mo. USD LIBOR + 0.100%)

      0.209 %      12/25/36        334,187        226,749 (a)  

WaMu Mortgage Pass-Through Certificates Trust, 2006-AR16 2A2

      2.526 %      12/25/36        166,887        159,691 (a)  

Wells Fargo Alternative Loan Trust, 2007-PA1 A12, IO (-1.000 x 1 mo. USD LIBOR + 5.460%)

      5.351 %      3/25/37        1,998,622        271,444 (a)  
          

 

 

  

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost - $137,677,602)

 

           154,890,224  
          

 

 

  
COMMERCIAL MORTGAGE-BACKED SECURITIES(d) - 24.1%

 

      

BX Commercial Mortgage Trust, 2019-IMC F (1 mo. USD LIBOR + 2.900%)

      3.006 %      4/15/34        2,000,000        1,951,139 (a)(b) 

Credit Suisse Commercial Mortgage Trust, 2006-C5 AJ

      5.373 %      12/15/39        711,721        138,252  

CSMC OA LLC, 2014-USA F

      4.373 %      9/15/37        2,720,000        2,020,723 (b)  

CSMC Trust, 2017-CHOP F (1 mo. USD LIBOR + 4.350%)

      4.456 %      7/15/32        1,620,000        1,365,107 (a)(b) 

CSMC Trust, 2017-CHOP H (1 mo. USD LIBOR + 7.350%)

      7.456 %      7/15/32        3,300,000        2,005,243 (a)(b) 

CSMC Trust, 2019-RIO B (1 mo. USD LIBOR + 7.000%, 8.000% floor)

      8.000 %      12/15/21        3,000,000        2,851,331 (b)(e) 

CSMC Trust, 2020-LOTS A (1 mo. USD LIBOR + 3.975%, 4.725% floor)

      4.725 %      7/15/22        1,384,000        1,386,694 (a)(b)(c) 

DBUBS Mortgage Trust, 2011-LC3A G

      3.750 %      8/10/44        2,600,000        268,897 (b)(e)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Credit Risk, 2021-MN1 B1 (SOFR30A + 7.750%)

      7.767 %      1/25/51        950,000        1,057,541 (a)(b) 

FRESB Mortgage Trust, 2018-SB48 B

      3.663 %      2/25/38        3,853,233        2,957,838 (a)(b)(e) 

GMAC Commercial Mortgage Securities Inc., 2006-C1 AJ

      5.349 %      11/10/45        12,692        12,353 (a)  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2021 Quarterly Report    

  

 

 

9

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2021

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COMMERCIAL MORTGAGE-BACKED SECURITIES(d) - (continued)

 

GS Mortgage Securities Trust, 2006-GG8 AJ

      5.622 %      11/10/39      $ 81,012      $ 28,354  

GS Mortgage Securities Trust, 2007-GG10 AJ

      5.829 %      8/10/45        2,291,363        1,058,927 (a) 

GS Mortgage Securities Trust, 2019-SMP G (1 mo. USD LIBOR + 4.250%)

      4.356 %      8/15/32        1,500,000        1,031,627 (a)(b) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2006-LDP7 AJ

      5.990 %      4/17/45        296,676        109,770 (a)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2007-CB19 AJ

      5.897 %      2/12/49        296,285        145,496 (a)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ

      6.336 %      2/15/51        76,477        70,835 (a)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2018-PHMZ M (1 mo. USD LIBOR + 8.208%)

      8.314 %      6/15/35        3,000,000        1,916,391 (a)(b) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2019-BOLT C (1 mo. USD LIBOR + 3.800%)

      3.906 %      7/15/34        1,814,912        1,685,926 (a)(b) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2019-BOLT D (1 mo. USD LIBOR + 6.550%)

      6.656 %      7/15/34        907,456        791,229 (a)(b) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2019-BOLT XCP, IO

      2.052 %      7/15/34        13,611,838        81,470 (a)(b) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST G (1 mo. USD LIBOR + 4.250%)

      4.356 %      12/15/36        1,520,000        1,329,127 (a)(b) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST H (1 mo. USD LIBOR + 6.750%)

      6.856 %      12/15/36        1,520,000        1,265,561 (a)(b) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFL (1 mo. USD LIBOR + 3.000%)

      3.106 %      1/16/37        646,000        614,538 (a)(b) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN HFL (1 mo. USD LIBOR + 4.000%)

      4.106 %      1/16/37        646,000        605,908 (a)(b) 

ML-CFC Commercial Mortgage Trust, 2007-5 AJ

      5.450 %      8/12/48        45,159        25,177 (a)  

ML-CFC Commercial Mortgage Trust, 2007-9 AJ

      6.193 %      9/12/49        33,262        32,778 (a)  

ML-CFC Commercial Mortgage Trust, 2007-9 AJA

      6.222 %      9/12/49        7,750        7,637 (a)  

Morgan Stanley Capital I Trust, 2007-IQ13 AJ

      5.438 %      3/15/44        3,046        3,044  

Morgan Stanley Capital I Trust, 2007-IQ16 AJ

      6.099 %      12/12/49        134,225        77,716 (a)  

 

See Notes to Schedule of Investments.

 

 

 

10

  

    Western Asset Mortgage Opportunity Fund Inc. 2021 Quarterly Report

 

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2021

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COMMERCIAL MORTGAGE-BACKED SECURITIES(d) - (continued)

 

        

Motel 6 Trust, 2017-MTL6 F (1 mo. USD LIBOR + 4.250%)

      4.356 %      8/15/34      $ 1,203,672      $ 1,210,571 (a)(b) 

MRCD Mortgage Trust, 2019-PRKC A

      4.250 %      12/15/36        2,100,000        1,754,206 (a)(b) 

Multifamily CAS Trust, 2019-01 CE (1 mo. USD LIBOR + 8.750%)

      8.859 %      10/15/49        2,500,000        2,257,128 (a)(b) 

Multifamily CAS Trust, 2020-01 CE (1 mo. USD LIBOR + 7.500%)

      7.609 %      3/25/50        1,500,000        1,573,260 (a)(b) 

Natixis Commercial Mortgage Securities Trust, 2019-FAME D

      4.398 %      8/15/36        1,900,000        1,709,448 (a)(b) 

Natixis Commercial Mortgage Securities Trust, 2019-FAME E

      4.398 %      8/15/36        950,000        803,424 (a)(b) 

Natixis Commercial Mortgage Securities Trust, 2019-TRUE A (1 mo. USD LIBOR + 2.011%, 3.511% floor)

      3.511 %      4/18/24        1,280,000        1,265,716 (a)(b) 

Starwood Retail Property Trust, 2014-STAR D (1 mo. USD LIBOR + 3.500%)

      3.606 %      11/15/27        1,000,000        100,125 (a)(b) 

Starwood Retail Property Trust, 2014-STAR E (1 mo. USD LIBOR + 4.400%)

      4.506 %      11/15/27        1,600,000        80,200 (a)(b)  

Tharaldson Hotel Portfolio Trust, 2018-THL E (1 mo. USD LIBOR + 3.330%)

      3.434 %      11/11/34        1,012,600        982,455 (a)(b) 

Tharaldson Hotel Portfolio Trust, 2018-THL F (1 mo. USD LIBOR + 4.102%)

      4.206 %      11/11/34        769,576        700,496 (a)(b) 

UBS-Barclays Commercial Mortgage Trust, 2012-C2 G

      5.000 %      5/10/63        3,130,000        156,563 (a)(b) 

UBS-Barclays Commercial Mortgage Trust, 2012-C2 H

      5.000 %      5/10/63        3,149,979        109,455 (a)(b) 
          

 

 

  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost - $53,091,964)

 

      39,599,676  
          

 

 

  
                  FACE
AMOUNT/
UNITS		         
ASSET-BACKED SECURITIES - 4.9%           

AccessLex Institute, 2004-A B1 (28 day Auction Rate Security)

      1.364 %      7/1/39        1,000,000        998,718 (a)  

Applebee’s Funding LLC/IHOP Funding LLC, 2019-1A A2II

      4.723 %      6/7/49        1,990,000        2,101,345 (b)  

BankAmerica Manufactured Housing Contract Trust, 1996-1 B1

      7.875 %      10/10/26        7,866,000        908,816  

BCMSC Trust, 1998-B A

      6.530 %      10/15/28        368,198        383,463 (a)  

BCMSC Trust, 1999-A A3

      5.980 %      3/15/29        121,748        122,572 (a)  

Cascade MH Asset Trust, 2019-MH1 M

      5.985 %      11/25/44        1,150,000        1,189,118 (a)(b) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2021 Quarterly Report    

  

 

 

11

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2021

 

SECURITY‡

    RATE     MATURITY
DATE		      FACE
AMOUNT/
UNITS		      VALUE  
ASSET-BACKED SECURITIES - (continued)           

Firstfed Corp. Manufactured Housing Contract, 1997-2 B

      8.110 %      5/15/24      $ 136,242      $ 20,450 (b)  

RBS Acceptance Inc., 1995-BA1 B2

      9.000 %      8/10/20        2,191,561        1,183  

SMB Private Education Loan Trust, 2014-A R

      0.000 %      9/15/45        6,875        859,655 (b)(e)  

SoFi Professional Loan Program LLC, 2017-F R1

      0.000 %      1/25/41        34,000        1,151,739 (b)  

VOYA CLO, 2017-2A D (3 mo. USD LIBOR + 6.020%)

      6.261 %      6/7/30        400,000        385,708 (a)(b)  
          

 

 

  

TOTAL ASSET-BACKED SECURITIES
(Cost - $11,224,899)

 

           8,122,767  
          

 

 

  
                  FACE
AMOUNT		         
CORPORATE BONDS & NOTES - 0.3%           
CONSUMER STAPLES - 0.3%           

Food & Staples Retailing - 0.3%

           

CVS Pass-Through Trust
(Cost - $484,859)

      9.350 %      1/10/23        479,444        509,121 (b)  
          

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $202,479,324)

 

      203,121,788  
          

 

 

  
                  SHARES         
SHORT-TERM INVESTMENTS - 9.0%           

Dreyfus Government Cash Management, Institutional Shares
(Cost - $14,817,024)

      0.030 %         14,817,024        14,817,024  
          

 

 

  

TOTAL INVESTMENTS - 132.4%
(Cost - $217,296,348)

 

           217,938,812  

Liabilities in Excess of Other Assets - (32.4)%

              (53,308,430 ) 
          

 

 

  

TOTAL NET ASSETS - 100.0%

            $ 164,630,382  
          

 

 

  

 

‡

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)

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)

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.

 

(c)

All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements.

 

(d)

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.

 

(e)

Security is valued using significant unobservable inputs (Note 1).

 

See Notes to Schedule of Investments.

 

 

 

12

  

    Western Asset Mortgage Opportunity Fund Inc. 2021 Quarterly Report

  

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2021

 

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
USD    — United States Dollar

At March 31, 2021, 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		  

Credit Suisse

    2.250%    2/12/2021    5/12/2021    $ 6,521,000      Residential Mortgage-Backed Securities    $ 8,939,832  
               Cash      325,133  

Credit Suisse

    2.500%    2/12/2021    5/12/2021      1,301,000      Commercial Mortgage-Backed Securities      1,386,694  
               Cash      64,867  
           

 

 

        

 

 

  
            $ 7,822,000         $ 10,716,526  
           

 

 

        

 

 

  

 

*

Refer to the Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements.

At March 31, 2021, 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 Ultra Long-Term Bonds

      20        6/21      $ 3,851,661      $ 3,624,375      $ (227,286 ) 
Contracts to Sell:               

U.S. Treasury 5-Year Notes

      24        6/21        2,994,927        2,961,562        33,365  
              

 

 

  

Net unrealized depreciation on open futures contracts

 

          $ (193,921 ) 
              

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Opportunity Fund Inc. 2021 Quarterly Report    

  

 

 

13

WESTERN ASSET MORTGAGE OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2021

 

At March 31, 2021, the Fund had the following open swap contracts:

 

OTC CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1

  

SWAP COUNTERPARTY
(REFERENCE ENTITY)

    NOTIONAL
AMOUNT2 		     TERMINATION
DATE		      PERIODIC
PAYMENTS
RECEIVED BY
THE FUND† 		  MARKET
VALUE3 		    UPFRONT
PREMIUMS PAID
(RECEIVED)		     UNREALIZED
DEPRECIATION		  
Morgan Stanley & Co. Inc. (Markit CMBX.NA.BBB-.8 Index)    $ 500,000        10/17/57      3.000% Monthly   $ (78,260 )    $ (21,932 )    $ (56,328 ) 

OTC CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION4

 

SWAP COUNTERPARTY
(REFERENCE ENTITY)

    NOTIONAL
AMOUNT2 		     TERMINATION
DATE		      PERIODIC
PAYMENTS
MADE BY
THE FUND† 		  MARKET
VALUE3 		    UPFRONT
PREMIUMS PAID
(RECEIVED)		     UNREALIZED
DEPRECIATION		  

Morgan Stanley & Co. Inc.

(Markit CMBX.NA.BBB-.12 Index)

    $ 500,000        8/17/61      3.000% Monthly   $ 33,367     $ 41,136     $ (7,769 ) 

 

1 

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

 

2 

The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

 

3 

The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

4 

If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index.

 

†

Percentage shown is an annual percentage rate.

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

 

See Notes to Schedule of Investments.

 

 

 

14

  

    Western Asset Mortgage Opportunity Fund Inc. 2021 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.

The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Global Fund Valuation Committee (formerly known as Legg Mason North Atlantic Fund Valuation Committee prior to March 1, 2021) (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the

 

   

 

 

15

Notes to Schedule of Investments (unaudited) (continued)

 

Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information

generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

 

 

 

16

    

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 – 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 and liabilities carried at fair value:

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Long-Term Investments†:

            

Residential Mortgage-Backed Securities

      —        $ 154,890,224        —        $ 154,890,224  

Commercial Mortgage-Backed Securities

      —          33,521,610      $ 6,078,066        39,599,676  

Asset-Backed Securities

      —          7,263,112        859,655        8,122,767  

Corporate Bonds & Notes

      —          509,121        —          509,121  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      —          196,184,067        6,937,721        203,121,788  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

    $ 14,817,024        —          —          14,817,024  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 14,817,024      $ 196,184,067      $ 6,937,721      $ 217,938,812  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:

            

Futures Contracts

    $ 33,365        —          —        $ 33,365  

OTC Credit Default Swaps on Credit Indices - Buy Protection

      —        $ 33,367        —          33,367  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Other Financial Instruments

    $ 33,365      $ 33,367        —        $ 66,732  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 14,850,389      $ 196,217,434      $ 6,937,721      $ 218,005,544  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

   

 

 

17

Notes to Schedule of Investments (unaudited) (continued)

 

LIABILITIES

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Other Financial Instruments:

            

Futures Contracts

    $ 227,286        —          —        $ 227,286  

OTC Credit Default Swaps on Credit Indices - Sell Protection‡

      —        $ 78,260        —          78,260  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 227,286      $ 78,260        —        $ 305,546  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

‡

Value includes any premium paid or received with respect to swap contracts.

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,
2020		      Accrued
premiums/
discounts		      Realized
gain
(loss)		      Change in
unrealized
appreciation
(depreciation)1		     Purchases  

Collateralized Mortgage Obligations

    $ 6,704,322      $ 23,818        —        $ (650,074 )      —    

Asset-Backed Securities

      858,873        —          —          782       —    
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 7,563,195      $ 23,818        —        $ (649,292 )      —    
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Investments in Securities (cont’d)

    Sales      Transfers
into
Level 3		      Transfers
out of
Level 3		      Balance
as of
March 31,
2021		     Net change
in unrealized
appreciation
(depreciation)
for
investments
in securities
still held at
March 31,
20211 		 

Collateralized Mortgage Obligations

      —          —          —        $ 6,078,066     $ (650,074 ) 

Asset-Backed Securities

      —          —          —          859,655       782  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total

      —          —          —        $ 6,937,721     $ (649,292 ) 
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

 

1 

Change in unrealized appreciation (depreciation) includes net unrealized appreciation (depreciation) resulting from changes in investment values during the reporting period and the reversal of previously recorded unrealized appreciation (depreciation) when gains or losses are realized.

 

 

 

18