NPORT-EX 2 LMF4800WAMortTotalRetFd.htm HTML

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited)    March 31, 2021

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
MORTGAGE-BACKED SECURITIES - 49.9%           

FHLMC - 11.0%

           

Federal Home Loan Mortgage Corp. (FHLMC)

      3.500 %      4/1/33-6/1/48      $ 6,657,483      $ 7,151,635  

Federal Home Loan Mortgage Corp. (FHLMC)

      4.500 %      7/1/45-5/1/50        1,616,296        1,767,220  

Federal Home Loan Mortgage Corp. (FHLMC)

      3.000 %      6/1/46-7/1/50        4,597,013        4,858,127  

Federal Home Loan Mortgage Corp. (FHLMC)

      5.000 %      8/1/48-3/1/50        401,543        444,858  

Federal Home Loan Mortgage Corp. (FHLMC)

      4.000 %      2/1/50        66,012        70,921  

Federal Home Loan Mortgage Corp. (FHLMC)

      2.500 %      9/1/50-2/1/51        2,271,423        2,346,840  

Federal Home Loan Mortgage Corp. (FHLMC)

      2.000 %      11/1/50-4/1/51        1,523,420        1,523,711 (a) 

Federal Home Loan Mortgage Corp. (FHLMC)

      2.000 %      2/1/51-3/1/51        1,496,290        1,495,841  

Federal Home Loan Mortgage Corp. (FHLMC)

      2.000 %      3/1/51-4/30/51        800,000        800,672 (a)(b)  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      5.000 %      8/1/33-2/1/42        560,502        650,861  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      4.000 %      12/1/33-3/1/47        13,587,525        14,887,436  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      5.500 %      11/1/35        6,641        7,781  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      3.500 %      3/1/43-9/1/48        10,176,740        10,964,553  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      4.500 %      3/1/46-4/1/49        4,022,430        4,454,948  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      3.000 %      10/1/46        28,981,319        30,923,653  
          

 

 

  

Total FHLMC

              82,349,057  
          

 

 

  

FNMA - 29.9%

           

Federal National Mortgage Association (FNMA)

      2.740 %      7/1/27        1,926,481        2,066,112  

Federal National Mortgage Association (FNMA)

      2.500 %      6/1/28-3/1/51        7,384,039        7,604,200  

Federal National Mortgage Association (FNMA)

      3.790 %      8/1/28        4,700,000        5,197,604  

Federal National Mortgage Association (FNMA)

      7.500 %      8/1/29-4/1/32        133,543        144,588  

 

See Notes to Schedule of Investments.

 

      Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

 

 

1

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

FNMA - (continued)

           

Federal National Mortgage Association (FNMA)

      8.500 %      10/1/30      $ 25,771      $ 28,916  

Federal National Mortgage Association (FNMA)

      2.680 %      1/1/35-2/1/35        700,000        724,980  

Federal National Mortgage Association (FNMA)

      2.790 %      1/1/35        1,193,529        1,246,895 (c)  

Federal National Mortgage Association (FNMA)

      1.500 %      4/1/36        1,600,000        1,607,349 (b)  

Federal National Mortgage Association (FNMA)

      3.000 %      12/1/36-9/1/50        29,022,992        30,696,062  

Federal National Mortgage Association (FNMA)

      3.500 %      3/1/37-8/1/39        192,381        206,289 (a)  

Federal National Mortgage Association (FNMA)

      3.500 %      12/1/37-3/1/57        40,505,610        43,436,336  

Federal National Mortgage Association (FNMA)

      5.000 %      10/1/41-3/1/50        13,740,613        15,700,237  

Federal National Mortgage Association (FNMA)

      4.000 %      5/1/42-10/1/49        24,853,626        27,131,893  

Federal National Mortgage Association (FNMA)

      4.500 %      10/1/45-1/1/59        32,890,786        36,693,487  

Federal National Mortgage Association (FNMA)

      2.000 %      8/1/50-4/1/51        3,282,284        3,283,274 (a)  

Federal National Mortgage Association (FNMA)

      2.000 %      1/1/51-3/1/51        3,292,210        3,291,824  

Federal National Mortgage Association (FNMA)

      2.000 %      4/1/51        39,770,000        39,698,539 (b)  

Federal National Mortgage Association (FNMA)

      2.500 %      4/1/51        5,700,000        5,849,625 (b)  
          

 

 

  

Total FNMA

              224,608,210  
          

 

 

  

GNMA - 9.0%

           

Government National Mortgage Association (GNMA)

      8.500 %      6/15/25        15,164        16,513  

Government National Mortgage Association (GNMA)

      7.500 %      4/15/29-9/15/31        69,579        74,164  

Government National Mortgage Association (GNMA)

      6.000 %      11/15/32        300,585        343,388  

Government National Mortgage Association (GNMA)

      5.000 %      4/15/40-5/15/40        594,715        690,380  

Government National Mortgage Association (GNMA)

      3.000 %      9/15/42-11/15/42        953,474        1,004,852  

 

See Notes to Schedule of Investments.

 

 

 

2

       Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

GNMA - (continued)

           

Government National Mortgage Association (GNMA)

      3.500 %      6/15/48-6/15/50      $ 5,208,456      $ 5,595,322  

Government National Mortgage Association (GNMA)

      4.000 %      3/15/50        160,249        172,030  

Government National Mortgage Association (GNMA) II

      3.500 %      6/20/44-2/20/50        10,209,786        10,970,329  

Government National Mortgage Association (GNMA) II

      3.000 %      11/20/46-10/20/50        2,464,070        2,646,036  

Government National Mortgage Association (GNMA) II

      4.000 %      6/20/47-8/20/50        14,165,295        15,494,637  

Government National Mortgage Association (GNMA) II

      4.500 %      8/20/47-7/20/50        8,957,197        9,856,810  

Government National Mortgage Association (GNMA) II

      5.000 %      10/20/48-1/20/49        5,186,647        5,686,009  

Government National Mortgage Association (GNMA) II

      2.000 %      12/20/50-3/20/51        2,485,105        2,512,617  

Government National Mortgage Association (GNMA) II

      2.500 %      12/20/50        691,665        716,046  

Government National Mortgage Association (GNMA) II

      2.000 %      4/20/51        7,700,000        7,775,195 (b)  

Government National Mortgage Association (GNMA) II

      2.500 %      4/20/51        1,500,000        1,547,813 (b)  

Government National Mortgage Association (GNMA) II (1 mo. USD LIBOR + 1.789%)

      1.935 %      6/20/60        2,469,793        2,616,141 (c)  

Government National Mortgage Association (GNMA) II (UST Yield Curve CMT 1 year + 1.076%)

      1.168 %      8/20/58        52,140        52,956 (c)  
          

 

 

  

Total GNMA

              67,771,238  
          

 

 

  

TOTAL MORTGAGE-BACKED SECURITIES

(Cost - $366,389,223)

              374,728,505  
          

 

 

  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - 39.8%

 

        

Alternative Loan Trust, 2005-IM1 A1

(1 mo. USD LIBOR + 0.600%)

      0.709 %      1/25/36        175,205        168,963 (c)  

Alternative Loan Trust, 2006-OA9 2A1B

(1 mo. USD LIBOR + 0.200%)

      0.311 %      7/20/46        115,267        91,982 (c)  

BAMLL Re-REMIC Trust, 2016-GG10 AJA

      5.829 %      8/10/45        4,118,956        1,849,185 (c)(e) 

Banc of America Funding Trust, 2015-R2 4A2

(1 mo. USD LIBOR + 0.165%)

      0.345 %      9/29/36        5,696,660        5,360,751 (c)(e) 

BANK, 2021-BN32 XA, IO

      0.894 %      4/15/54        6,110,000        374,468 (c)  

Benchmark Mortgage Trust, 2019-B13 A3

      2.701 %      8/15/57        1,440,000        1,481,537  

Benchmark Mortgage Trust, 2020-B16 A4

      2.483 %      2/15/53        1,450,000        1,470,962  

Benchmark Mortgage Trust, 2020-IG3 C

      3.289 %      9/15/48        2,000,000        1,963,618 (c)(e) 

 

See Notes to Schedule of Investments.

 

      Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

 

 

3

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued)           

BHMS Mortgage Trust, 2018-ATLS C

(1 mo. USD LIBOR + 1.900%)

      2.006 %      7/15/35      $ 2,250,000      $ 2,244,079 (c)(e) 

BHMS Mortgage Trust, 2018-MZB

(1 mo. USD LIBOR + 6.637%)

      6.743 %      7/10/21        1,070,000        1,017,540 (c)(e) 

BX Trust, 2019-OC11 E

      4.075 %      12/9/41        2,500,000        2,490,041 (c)(e) 

Credit Suisse Commercial Mortgage Trust, 2006-C5 AJ

      5.373 %      12/15/39        2,000,843        388,664  

Credit Suisse First Boston Mortgage Securities Corp., 2002-10 2A1

      7.500 %      5/25/32        165,918        173,589  

CSMC Trust, 2014-USA C

      4.336 %      9/15/37        2,500,000        2,449,908 (e) 

CSMC Trust, 2017-CHOP H

(1 mo. USD LIBOR + 7.350%)

      7.456 %      7/15/32        3,000,000        1,822,948 (c)(e) 

CSMC Trust, 2017-RPL3 B3

      4.559 %      8/1/57        3,249,173        3,435,971 (c)(e) 

CSMC Trust, 2019-RIO B

(1 mo. USD LIBOR + 7.000%, 8.000% floor)

      8.000 %      12/15/21        7,500,000        7,128,327 (c)(e)(f) 

CSWF, 2018-TOP E

(1mo. USD LIBOR + 2.250%)

      2.356 %      8/15/35        1,600,000        1,596,477 (c)(e) 

DBUBS Mortgage Trust, 2011-LC3A G

      3.750 %      8/10/44        2,900,000        299,924 (e)(f) 

Deephaven Residential Mortgage Trust, 2020-2 A3

      2.856 %      5/25/65        3,140,000        3,223,551 (e) 

EverBank Mortgage Loan Trust, 2018-1 AX1, IO

      0.112 %      2/25/48        139,104,180        271,378 (c)(e) 

EverBank Mortgage Loan Trust, 2018-1 B4

      3.612 %      2/25/48        2,488,140        1,736,256 (c)(e) 

EverBank Mortgage Loan Trust, 2018-1 B5

      3.612 %      2/25/48        2,282,690        1,092,288 (c)(e) 

Federal Home Loan Mortgage Corp.

(FHLMC) Multifamily Structured Pass-Through Certificates, K1510 X1, IO

      0.482 %      1/25/34        40,038,802        1,952,120 (c) 

Federal Home Loan Mortgage Corp.

(FHLMC) Multifamily Structured Pass-Through Certificates, K1516 X1, IO

      1.512 %      5/25/35        4,369,669        723,373 (c)  

Federal Home Loan Mortgage Corp.

(FHLMC) Reference REMIC, R007 ZA

      6.000 %      5/15/36        598,128        705,483  

Federal Home Loan Mortgage Corp.

(FHLMC) REMIC, 2525 AM

      4.500 %      4/15/32        74,919        83,717  

Federal Home Loan Mortgage Corp.

(FHLMC) REMIC,3027 AS, IO (-1.000 x 1 mo. USD LIBOR + 6.150%)

      6.044 %      5/15/29        35,166        4,562 (c)  

Federal Home Loan Mortgage Corp.

(FHLMC) REMIC,3265 SB, IO (-1.000 x 1 mo. USD LIBOR + 6.140%)

      6.034 %      1/15/37        39,866        6,967 (c)  

 

See Notes to Schedule of Investments.

 

 

 

4

       Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued)

 

        

Federal Home Loan Mortgage Corp. (FHLMC) REMIC,3397 GS, IO (-1.000 x 1 mo. USD LIBOR + 7.000%)

      6.894 %      12/15/37      $ 434,180      $ 87,196 (c)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC,3947 SG, IO (-1.000 x 1 mo. USD LIBOR + 5.950%)

      5.844 %      10/15/41        470,658        75,707 (c)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC,3960 SJ, IO (-1.000 x 1 mo. USD LIBOR + 6.650%)

      6.544 %      8/15/40        264,776        12,163 (c)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC,3966 SA, IO (-1.000 x 1 mo. USD LIBOR + 5.900%)

      5.794 %      12/15/41        1,415,222        216,095 (c)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4048 IK, IO

      3.000 %      5/15/27        325,965        18,414  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4077 TO, PO

      0.000 %      5/15/41        2,303,345        2,129,173  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4085 IO, IO

      3.000 %      6/15/27        1,163,193        61,984  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4114 LI, IO

      3.500 %      10/15/32        3,024,404        324,645  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC,
4134 IM, IO, PAC

      3.500 %      11/15/42        4,609,950        716,708  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4143 AZ

      2.000 %      12/15/42        439,293        355,921  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC,
4144 GI, IO, PAC-1

      3.000 %      12/15/32        1,978,190        172,696  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4147 IN, IO

      3.500 %      12/15/32        2,846,077        314,036  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC,
4170 PI, IO, PAC-1

      3.000 %      1/15/33        2,771,855        214,629  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC,4203 PS,IO, PAC(-1.000 x 1 mo. USD LIBOR + 6.250%)

      6.144 %      9/15/42        987,030        132,189 (c)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4210 Z

      3.000 %      5/15/43        7,067,001        7,255,374  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4403 IG, IO

      3.500 %      7/15/32        1,448,265        66,647  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4700 QI, IO

      3.500 %      7/15/44        3,978,646        165,366  

 

See Notes to Schedule of Investments.

 

      Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

 

 

5

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued)

 

        

Federal Home Loan Mortgage Corp. (FHLMC) REMIC,4715 JS, IO (-1.000 x 1 mo. USD LIBOR + 6.150%)

      6.044 %      8/15/47      $ 2,262,085      $ 471,598 (c) 

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4759 MI, IO

      4.000 %      9/15/45        1,672,764        166,462  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC,4808 SB, IO (-1.000 x 1 mo. USD LIBOR + 6.200%)

      6.094 %      7/15/48        2,311,997        496,801 (c)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4813 CJ

      3.000 %      8/15/48        746,300        774,346  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4856 IO, IO

      5.000 %      1/15/49        2,511,190        457,931  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC,4882 S, IO,PAC (-1.000 x 1 mo. USD LIBOR + 6.050%)

      5.944 %      5/15/49        3,683,191        595,767 (c)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC,4915 SG, IO(-1.000 x 1 mo. USD LIBOR + 6.050%)

      5.941 %      9/25/49        7,809,674        1,634,778 (c) 

Federal Home Loan Mortgage Corp. (FHLMC) REMIC,4921 SN, IO(-1.000 x 1 mo. USD LIBOR + 6.050%)

      5.941 %      10/25/49        4,612,833        944,217 (c)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4931 DZ

      2.500 %      11/25/49        3,129,796        3,120,481  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC,4962 SP, IO(-1.000 x 1 mo. USD LIBOR + 6.050%)

      5.941 %      3/25/50        3,589,582        671,067 (c)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4988 AZ

      2.000 %      7/25/50        5,684,562        4,866,690  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4995 QI, IO

      2.500 %      7/25/50        16,882,698        2,211,750  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4995 IQ, IO

      2.500 %      7/25/50        3,280,067        430,096  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5000 IB, IO

      2.500 %      7/25/50        7,417,072        981,022  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5000 UI, IO

      2.500 %      7/25/50        6,197,312        997,107  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5040 IB, IO

      2.500 %      11/25/50        193,756        27,258  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5058 IL, IO

      2.500 %      1/25/51        2,663,611        425,664  

 

See Notes to Schedule of Investments.

 

 

 

6

       Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued)

 

        

Federal Home Loan Mortgage Corp.
(FHLMC) REMIC, 5059 IB, IO

      2.500 %      1/25/51      $ 793,653      $ 135,038  

Federal Home Loan Mortgage Corp.
(FHLMC) REMIC, 5070 NI, IO

      2.000 %      2/25/51        5,179,644        683,255  

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

      0.000 %      9/25/55        4,444,372        649,538 (e)  

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

      0.148 %      9/25/55        9,854,917        1,261,736 (c)(e) 

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

      0.075 %      9/25/55        66,869,575        265,138 (c)(e) 

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

      0.000 %      8/25/56        8,016,931        1,481,097 (e) 

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

      0.000 %      8/25/56        17,539,929        2,779,444 (c)(e) 

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

      0.075 %      8/25/56        402,036,110        1,816,801 (c)(e) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2020-2 M

      4.250 %      11/25/59        4,900,000        4,991,701 (c)(e) 

Federal Home Loan Mortgage Corp.
(FHLMC) STRIPS, 312 S1, IO (-1.000 x 1 mo. USD LIBOR + 5.950%)

      5.844 %      9/15/43        2,153,332        435,833 (c)  

Federal Home Loan Mortgage Corp.
(FHLMC) STRIPS, 317 PO, PO

      0.000 %      11/15/43        4,879,211        4,490,958  

Federal Home Loan Mortgage Corp.
(FHLMC) STRIPS, 328 S4, IO

      2.283 %      2/15/38        454,954        26,903 (c)  

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2015-HQ1 B
(1 mo. USD LIBOR + 10.750%)

      10.859 %      3/25/25        3,644,778        3,624,292 (c) 

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        2,384,016        2,794,237 (c) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA1 B2
(1 mo. USD LIBOR + 10.000%)

      10.109 %      7/25/29        2,528,390        2,629,669 (c) 

 

See Notes to Schedule of Investments.

 

      Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

 

 

7

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued)

 

        

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP1 B1
(1 mo. USD LIBOR + 3.750%)

      3.859 %      4/25/43      $ 3,550,000      $ 3,587,256 (c)(e) 

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        5,018,455        5,579,386 (c)(e) 

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

      10.359 %      1/25/29        4,612,983        5,411,636 (c)(e) 

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

      9.359 %      4/25/29        3,756,058        4,211,201 (c)(e) 

Federal National Mortgage Association (FNMA) ACES,
2019-M11 X1, IO

      0.798 %      6/25/29        20,782,356        1,386,331 (c) 

Federal National Mortgage Association (FNMA) ACES,
2020-M11 IO, IO

      1.770 %      1/25/29        7,296,594        828,425 (c)  

Federal National Mortgage Association (FNMA) ACES,
2020-M16 X1, IO

      0.475 %      4/25/32        41,706,341        1,466,987 (c) 

Federal National Mortgage Association (FNMA) ACES,
2020-M24 X1, IO

      1.780 %      1/25/37        7,421,693        1,107,628 (c) 

Federal National Mortgage Association (FNMA) ACES,
2020-M31 X2, IO

      1.352 %      12/25/32        23,520,117        2,437,138 (c) 

Federal National Mortgage Association (FNMA) REMIC,
2003-22 IO, IO

      6.000 %      4/25/33        75,462        13,311  

Federal National Mortgage Association (FNMA) REMIC, 2009-6 KZ

      5.000 %      2/25/49        411,825        464,944  

Federal National Mortgage Association (FNMA) REMIC, 2009-59 LB

      4.740 %      8/25/39        429,697        478,878 (c)  

Federal National Mortgage Association (FNMA) REMIC,
2009-74 TX, PAC

      5.000 %      9/25/39        1,236,291        1,426,920  

Federal National Mortgage Association (FNMA) REMIC,
2010-2 AI, IO

      5.500 %      2/25/40        421,053        76,679  

Federal National Mortgage Association (FNMA) REMIC, 2010-84 SK, IO (-1.000 x 1 mo. USD LIBOR + 6.560%)

      6.451 %      8/25/40        1,197,780        270,549 (c)  

Federal National Mortgage Association (FNMA) REMIC, 2011-59 NZ

      5.500 %      7/25/41        233,410        261,674  

Federal National Mortgage Association (FNMA) REMIC,
2011-99 KI, IO

      4.500 %      12/25/25        37,503        152  

Federal National Mortgage Association (FNMA) REMIC,
2011-144 PT

      11.737 %      1/25/38        397,953        525,668 (c)  

 

See Notes to Schedule of Investments.

 

 

 

8

       Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued)

 

        

Federal National Mortgage Association (FNMA) REMIC, 2012-14 SL, IO (-1.000 x 1 mo. USD LIBOR + 6.550%)

      6.441 %      12/25/40      $ 2,739,267      $ 273,844 (c) 

Federal National Mortgage Association (FNMA) REMIC, 2012-28 B

      6.500 %      6/25/39        199,166        218,526  

Federal National Mortgage Association (FNMA) REMIC, 2012-51 B

      7.000 %      5/25/42        276,384        335,865  

Federal National Mortgage Association (FNMA) REMIC, 2012-75 NS, IO (-1.000 x 1 mo. USD LIBOR + 6.600%)

      6.491 %      7/25/42        1,822,522        336,704 (c)  

Federal National Mortgage Association (FNMA) REMIC,
2012-123 BI, IO

      3.500 %      11/25/32        1,417,668        146,668  

Federal National Mortgage Association (FNMA) REMIC,
2012-135 AI, IO

      3.000 %      12/25/27        1,498,736        84,919  

Federal National Mortgage Association (FNMA) REMIC,
2012-149 AI, IO

      3.000 %      1/25/28        3,150,334        195,193  

Federal National Mortgage Association (FNMA) REMIC, 2013-9 BC

      6.500 %      7/25/42        260,380        311,302  

Federal National Mortgage Association (FNMA) REMIC, 2013-9 CB

      5.500 %      4/25/42        2,125,114        2,442,458  

Federal National Mortgage Association (FNMA) REMIC, 2014-47 AI, IO

      2.179 %      8/25/44        1,211,244        72,606 (c)  

Federal National Mortgage Association (FNMA) REMIC, 2014-47 IA, IO

      1.875 %      8/25/44        2,259,235        136,440 (c)  

Federal National Mortgage Association (FNMA) REMIC, 2014-49 KS, IO

      2.094 %      8/25/44        1,791,577        108,317 (c)  

Federal National Mortgage Association (FNMA) REMIC, 2016-48 IA, IO

      4.500 %      6/25/38        9,572,736        1,504,281  

Federal National Mortgage Association (FNMA) REMIC, 2018-3 IO, IO

      4.000 %      2/25/48        7,837,887        1,364,161  

Federal National Mortgage Association (FNMA) REMIC, 2019-25 PI, IO

      5.000 %      5/25/48        1,894,753        373,519  

Federal National Mortgage Association (FNMA) REMIC, 2019-33 ZJ

      2.750 %      7/25/49        2,173,615        2,187,471  

Federal National Mortgage Association (FNMA) REMIC, 2019-38 SH, IO (-1.000 x 1 mo. USD LIBOR + 6.050%)

      5.932 %      7/25/49        8,074,155        1,528,589 (c) 

Federal National Mortgage Association (FNMA) REMIC, 2019-44 SM, IO (-1.000 x 1 mo. USD LIBOR + 6.050%)

      5.941 %      8/25/49        3,541,893        704,532 (c)  

 

See Notes to Schedule of Investments.

 

      Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

 

 

9

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued)

 

        

Federal National Mortgage Association (FNMA) REMIC, 2019-45 BS, IO (-1.000 x 1 mo. USD LIBOR + 6.050%)

      5.941 %      8/25/49      $ 3,949,259      $ 769,059 (c)  

Federal National Mortgage Association (FNMA) REMIC, 2019-45 SE, IO (-1.000 x 1 mo. USD LIBOR + 6.050%)

      5.941 %      8/25/49        16,422,927        3,225,650 (c) 

Federal National Mortgage Association (FNMA) REMIC, 2019-54 SA, IO (-1.000 x 1 mo. USD LIBOR + 6.050%)

      5.941 %      9/25/49        3,664,759        708,497 (c)  

Federal National Mortgage Association (FNMA) REMIC, 2019-57 NS, IO (-1.000 x 1 mo. USD LIBOR + 6.000%)

      5.891 %      10/25/49        2,879,610        520,828 (c)  

Federal National Mortgage Association (FNMA) REMIC, 2019-58 HS, IO (-1.000 x 1 mo. USD LIBOR + 6.000%)

      5.891 %      10/25/49        4,501,474        817,952 (c)  

Federal National Mortgage Association (FNMA) REMIC, 2019-59 SH, IO (-1.000 x 1 mo. USD LIBOR + 6.000%)

      5.891 %      10/25/49        7,626,069        1,388,747 (c) 

Federal National Mortgage Association (FNMA) REMIC, 2019-83 QS, IO (-1.000 x 1 mo. USD LIBOR + 5.950%)

      5.841 %      1/25/50        46,998,073        10,762,042 (c) 

Federal National Mortgage Association (FNMA) REMIC, 2020-26 SA, IO (-1.000 x 1 mo. USD LIBOR + 5.950%)

      5.841 %      5/25/50        2,472,965        500,152 (c)  

Federal National Mortgage Association (FNMA) REMIC, 2020-47 GZ

      2.000 %      7/25/50        1,116,610        958,870  

Federal National Mortgage Association (FNMA) REMIC,
2020-62 BI, IO

      2.000 %      9/25/50        2,292,509        285,879  

Federal National Mortgage Association (FNMA) REMIC,
2020-67 IH, IO

      2.000 %      9/25/50        2,840,917        375,125  

Federal National Mortgage Association (FNMA) REMIC,
2020-74 EI, IO

      2.500 %      10/25/50        191,231        31,158  

Federal National Mortgage Association (FNMA) REMIC,
2020-89 DI, IO

      2.500 %      12/25/50        1,363,548        201,007  

Federal National Mortgage Association (FNMA) REMIC,
2020-93 LI, IO

      2.500 %      1/25/51        6,950,234        1,039,943  

Federal National Mortgage Association (FNMA) STRIPS, 362 6, IO

      5.000 %      8/25/35        927,569        141,298  

Federal National Mortgage Association (FNMA) STRIPS, 364 13, IO

      6.000 %      9/25/35        68,813        11,895  

 

See Notes to Schedule of Investments.

 

 

 

10

       Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued)

 

        

Federal National Mortgage Association (FNMA) STRIPS, 383 18, IO

      5.500 %      1/25/38      $ 86,050      $ 16,736  

Federal National Mortgage Association (FNMA) STRIPS, 383 20, IO

      5.500 %      7/25/37        63,130        12,198  

Federal National Mortgage Association (FNMA) STRIPS, 406 2, IO

      4.000 %      2/25/41        2,578,618        371,608  

Federal National Mortgage Association (FNMA) STRIPS, 407 41, IO

      6.000 %      1/25/38        49,192        10,196  

Federal National Mortgage Association (FNMA) STRIPS, 407 42, IO

      6.000 %      1/25/38        38,569        6,995  

Federal National Mortgage Association (FNMA) STRIPS,
407 C10, IO

      5.000 %      1/25/38        398,354        72,272  

Federal National Mortgage Association (FNMA) STRIPS,
417 C5, IO

      3.500 %      2/25/43        4,617,089        555,752  

Federal National Mortgage Association (FNMA) STRIPS,
418 C15, IO

      3.500 %      8/25/43        10,351,226        1,587,480  

Government National Mortgage Association (GNMA), 2004-59 FP (1 mo. USD LIBOR + 0.300%)

      0.406 %      8/16/34        567,622        569,009 (c)  

Government National Mortgage Association (GNMA), 2004-81 SK, IO (-1.000 x 1 mo. USD LIBOR + 6.200%)

      6.094 %      10/16/34        577,884        88,498 (c)  

Government National Mortgage Association (GNMA), 2007-17 IB, IO (-1.000 x 1 mo. USD LIBOR + 6.250%)

      6.139 %      4/20/37        3,653,852        643,862 (c)  

Government National Mortgage Association (GNMA), 2007-45 QB, IO, PAC (-1.000 x 1 mo. USD LIBOR + 6.600%)

      6.489 %      7/20/37        551,426        113,133 (c)  

Government National Mortgage Association (GNMA), 2009-H01 FA (1 mo. USD LIBOR + 1.150%)

      1.261 %      11/20/59        487,679        491,822 (c)  

Government National Mortgage Association (GNMA), 2010-4 SI, IO (-1.000 x 1 mo. USD LIBOR + 6.100%)

      5.994 %      11/16/34        1,335,194        180,833 (c)  

Government National Mortgage Association (GNMA), 2010-42 BS, IO (-1.000 x 1 mo. USD LIBOR + 6.480%)

      6.369 %      4/20/40        6,980        1,507 (c)  

Government National Mortgage Association

(GNMA), 2010-59 LB, PAC-1

      4.500 %      10/20/39        514,484        540,811  

 

See Notes to Schedule of Investments.

 

      Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

 

 

11

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued)

 

        

Government National Mortgage Association (GNMA), 2010-59 SM, IO (-1.000 x 1 mo. USD LIBOR + 6.000%)

      5.894 %      5/16/40      $ 423,370      $ 72,741 (c)  

Government National Mortgage Association (GNMA), 2010-85 HS, IO, PAC (-1.000 x 1 mo. USD LIBOR + 6.650%)

      6.539 %      1/20/40        10,164        797 (c)  

Government National Mortgage Association (GNMA), 2010-H02 FA
(1 mo. USD LIBOR + 0.680%)

      0.795 %      2/20/60        1,785,655        1,795,237 (c) 

Government National Mortgage Association (GNMA), 2011-40 EI, IO

      4.000 %      12/16/25        80,109        4,248  

Government National Mortgage Association (GNMA), 2011-79 KS, IO (-1.000 x 1 mo. USD LIBOR + 5.400%)

      5.289 %      5/20/41        1,575,279        284,294 (c)  

Government National Mortgage Association (GNMA), 2011-113 PQ

      5.000 %      6/20/39        1,286,941        1,456,527  

Government National Mortgage Association (GNMA), 2011-142 IO, IO

      0.000 %      9/16/46        4,898,739        6,021 (c)  

Government National Mortgage Association (GNMA), 2011-146 KS, IO (-1.000 x 1 mo. USD LIBOR + 6.100%)

      5.994 %      11/16/41        1,285,413        277,923 (c)  

Government National Mortgage Association (GNMA), 2012-13 SK, IO (-1.000 x 1 mo. USD LIBOR + 6.650%)

      6.539 %      2/20/41        713,728        96,152 (c)  

Government National Mortgage Association (GNMA), 2012-70 IO, IO

      0.165 %      8/16/52        10,244,051        46,582 (c)  

Government National Mortgage Association (GNMA), 2013-90 PI, IO, PAC-1

      3.500 %      10/20/41        3,922,895        277,149  

Government National Mortgage Association (GNMA), 2013-142 IO, IO

      0.792 %      9/16/51        5,871,644        166,617 (c)  

Government National Mortgage Association (GNMA), 2013-163 IO, IO

      1.163 %      2/16/46        5,746,470        202,143 (c)  

Government National Mortgage Association (GNMA), 2014-2 CI, IO

      4.500 %      1/20/44        1,328,381        295,112  

Government National Mortgage Association (GNMA), 2014-16 IO, IO

      0.482 %      6/16/55        5,185,448        106,538 (c)  

Government National Mortgage Association (GNMA), 2014-50 IO, IO

      0.662 %      9/16/55        1,860,575        68,922 (c)  

Government National Mortgage Association (GNMA), 2014-60 SA, IO (-1.000 x 1 mo. USD LIBOR + 6.100%)

      5.994 %      4/16/44        3,830,864        751,330 (c)  

 

See Notes to Schedule of Investments.

 

 

 

12

       Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued)

 

        

Government National Mortgage Association (GNMA), 2014-91 SB, IO (-1.000 x 1 mo. USD LIBOR + 5.600%)

      5.494 %      6/16/44      $ 1,536,523      $ 312,975 (c) 

Government National Mortgage Association (GNMA), 2014-117 SJ, IO, PAC (-1.000 x 1 mo. USD LIBOR + 5.600%)

      5.489 %      8/20/44        4,457,086        815,569 (c)  

Government National Mortgage Association (GNMA), 2014-118 HS, IO (-1.000 x 1 mo. USD LIBOR + 6.200%)

      6.089 %      8/20/44        806,691        181,063 (c)  

Government National Mortgage Association (GNMA), 2015-167 OI, IO

      4.000 %      4/16/45        3,352,950        525,937  

Government National Mortgage Association (GNMA), 2016-51 NS, IO (-1.000 x 1 mo. USD LIBOR + 6.050%)

      5.939 %      4/20/46        2,599,010        524,052 (c)  

Government National Mortgage Association (GNMA), 2016-87 IO, IO

      0.951 %      8/16/58        5,681,605        295,916 (c)  

Government National Mortgage Association (GNMA), 2016-156 PB

      2.000 %      11/20/46        5,417,124        5,219,919  

Government National Mortgage Association (GNMA), 2017-19 SE, IO (-1.000 x 1 mo. USD LIBOR + 6.150%)

      6.044 %      2/16/47        3,782,604        784,033 (c)  

Government National Mortgage Association (GNMA), 2017-21 IO, IO

      0.645 %      10/16/58        12,969,954        658,312 (c)  

Government National Mortgage Association (GNMA), 2017-26 IQ, IO

      5.000 %      2/20/40        6,128,853        1,183,852  

Government National Mortgage Association (GNMA), 2017-41 IO, IO

      0.699 %      7/16/58        1,438,752        68,567 (c)  

Government National Mortgage Association (GNMA), 2017-190 IO, IO

      0.597 %      3/16/60        4,968,866        246,389 (c)  

Government National Mortgage Association (GNMA), 2018-8 S, IO (-1.000 x 1 mo. USD LIBOR + 3.500%)

      2.500 %      1/20/48        19,473,161        1,252,512 (c) 

Government National Mortgage Association (GNMA), 2018-125 HS, IO (-1.000 x 1 mo. USD LIBOR + 6.250%)

      6.139 %      9/20/48        3,157,400        501,709 (c)  

Government National Mortgage Association (GNMA), 2018-134 SM, IO (-1.000 x 1 mo. USD LIBOR + 6.200%)

      6.089 %      10/20/48        5,641,033        885,858 (c)  

Government National Mortgage Association (GNMA), 2019-1 LS, IO (-1.000 x 1 mo. USD LIBOR + 6.050%)

      5.939 %      1/20/49        6,919,651        1,236,463 (c) 

 

See Notes to Schedule of Investments.

 

      Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

 

 

13

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued)

 

        

Government National Mortgage Association (GNMA), 2019-28 AB

      3.150 %      6/16/60      $ 1,105,169      $ 1,142,122  

Government National Mortgage Association (GNMA), 2019-85 LS, IO (-1.000 x 1 mo. USD LIBOR + 3.290%)

      3.179 %      7/20/49        30,893,186        2,534,554 (c)  

Government National Mortgage Association (GNMA), 2019-123 A

      3.000 %      10/20/49        436,880        449,130  

Government National Mortgage Association (GNMA), 2020-33 SD, IO (-1.000 x 1 mo. USD LIBOR + 6.150%)

      6.039 %      7/20/47        1,548,015        314,842 (c)  

Government National Mortgage Association (GNMA), 2020-36 GS, IO (-1.000 x 1 mo. USD LIBOR + 6.100%)

      5.989 %      3/20/50        8,316,926        1,759,907 (c)  

Government National Mortgage Association (GNMA), 2020-47 MI, IO

      3.500 %      4/20/50        754,358        117,602  

Government National Mortgage Association (GNMA), 2020-47 NI, IO

      3.500 %      4/20/50        282,568        44,621  

Government National Mortgage Association (GNMA), 2020-61 CI, IO

      4.000 %      3/20/50        2,456,332        285,083  

Government National Mortgage Association (GNMA), 2020-85 CI, IO

      3.500 %      4/20/50        2,334,044        316,270  

Government National Mortgage Association (GNMA), 2020-109 AI, IO

      0.875 %      5/16/60        2,757,060        214,344 (c)  

Government National Mortgage Association (GNMA), 2020-116 GI, IO

      2.500 %      8/20/50        8,840,012        1,284,852  

Government National Mortgage Association (GNMA), 2020-122 IM, IO

      2.500 %      8/20/50        3,038,435        435,363  

Government National Mortgage Association (GNMA), 2020-123 EI, IO

      2.500 %      8/20/50        6,210,059        861,993  

Government National Mortgage Association (GNMA), 2020-129 IE, IO

      2.500 %      9/20/50        196,570        28,810  

Government National Mortgage Association (GNMA), 2020-160 QI, IO

      2.500 %      10/20/50        5,496,475        1,060,674  

Government National Mortgage Association (GNMA), 2020-160 VI, IO

      2.500 %      10/20/50        295,088        46,358  

Government National Mortgage Association (GNMA), 2020-160 YI, IO

      2.500 %      10/20/50        791,178        122,475  

Government National Mortgage Association (GNMA), 2020-181 WI, IO

      2.000 %      12/20/50        1,581,836        185,786  

Government National Mortgage Association (GNMA), 2020-191 IX, IO

      2.500 %      12/20/50        4,472,586        874,445  

 

See Notes to Schedule of Investments.

 

 

 

14

       Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued)

 

        

Government National Mortgage Association (GNMA), 2020-H02 FG
(1 mo. USD LIBOR + 0.600%)

      0.720 %      1/20/70      $ 3,320,350      $ 3,362,913 (c)  

Government National Mortgage Association (GNMA), 2020-H08 BI, IO

      1.774 %      4/1/70        12,711,107        645,737 (c)  

Government National Mortgage Association (GNMA), 2020-H9 FL
(1 mo. USD LIBOR + 1.150%)

      1.261 %      5/20/70        2,588,281        2,725,143 (c)  

Government National Mortgage Association (GNMA), 2020-H12 F
(1 mo. USD LIBOR + 0.500%)

      0.611 %      7/20/70        98,750        100,070 (c)  

Government National Mortgage Association (GNMA), 2020-H13 FA
(1 mo. USD LIBOR + 0.450%)

      0.561 %      7/20/70        790,850        800,237 (c)  

Government National Mortgage Association (GNMA), 2021-7 TI, IO

      2.500 %      1/16/51        5,268,887        960,810  

Government National Mortgage Association (GNMA), 2021-15 TQ, IO (-1.000 x 1 mo. USD LIBOR + 6.300%)

      1.300 %      12/20/50        27,570,617        2,047,201 (c)  

Government National Mortgage Association (GNMA), 2021-29 TI, IO

      2.500 %      2/20/51        499,043        100,330 (a)  

GS Mortgage Securities Corp. II, 2018-SRP5 D
(1 mo. USD LIBOR + 6.000%)

      6.106 %      9/15/31        5,000,000        747,460 (c)(e)  

GS Mortgage Securities Trust, 2006-GG8 AJ

      5.622 %      11/10/39        175,241        61,334  

GS Mortgage Securities Trust, 2015-GC34 D

      2.979 %      10/10/48        2,500,000        2,010,582  

GS Mortgage Securities Trust, 2019-GC39 XA, IO

      1.138 %      5/10/52        44,961,472        3,032,710 (c)  

GSMPS Mortgage Loan Trust, 2006-RP2 1AF1
(1 mo. USD LIBOR + 0.400%)

      0.509 %      4/25/36        1,417,228        1,276,914 (c)(e)  

Impac CMB Trust, 2004-10 3A1 (1 mo. USD LIBOR + 0.700%)

      0.809 %      3/25/35        233,349        231,937 (c)  

Impac CMB Trust, 2007-A A (1 mo. USD LIBOR + 0.500%)

      0.609 %      5/25/37        337,487        340,938 (c)(e)  

Impac Secured Assets Corp., 2004-4 M5 (1 mo. USD LIBOR + 1.650%)

      1.759 %      2/25/35        2,097,479        1,792,678 (c)  

JPMDB Commercial Mortgage Securities Trust, 2017-C7 B

      3.985 %      10/15/50        420,000        456,240  

JPMorgan Chase Commercial Mortgage Securities Trust, 2007-CB19 AJ

      5.897 %      2/12/49        772,918        379,554 (c)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ

      6.336 %      2/15/51        56,721        52,536 (c)  

 

See Notes to Schedule of Investments.

 

      Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

 

 

15

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued)

 

        

JPMorgan Chase Commercial Mortgage Securities Trust, 2014-FL6 D (1 mo. USD LIBOR + 4.250%)

      4.356 %      11/15/31      $ 1,830,000      $ 739,776 (c)(e)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2015-FL7 D (1 mo. USD LIBOR + 3.750%)

      3.862 %      5/15/28        3,220,826        2,968,865 (c)(e)  

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

      3.906 %      7/15/34        2,114,372        1,964,104 (c)(e)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2019-COR5 XA, IO

      1.496 %      6/13/52        16,260,274        1,500,830 (c)  

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

      4.356 %      12/15/36        5,020,000        4,389,618 (c)(e)  

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

      6.856 %      12/15/36        5,020,000        4,179,683 (c)(e)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN FFL (1 mo. USD LIBOR + 2.500%)

      2.606 %      1/16/37        2,371,500        2,361,732 (c)(e)  

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

      3.106 %      1/16/37        2,159,000        2,053,851 (c)(e)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX

      4.688 %      1/16/37        2,530,000        2,432,314 (c)(e)  

La Hipotecaria El Salvadorian Mortgage Trust, 2019-1A AAA

      4.250 %      9/29/46        1,660,951        1,780,292 (e)  

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

      0.319 %      4/25/46        400,501        368,833 (c)  

MASTR Adjustable Rate Mortgages Trust, 2007-3 12A1 (1 mo. USD LIBOR + 0.200%)

      0.309 %      5/25/47        125,779        148,919 (c)  

ML-CFC Commercial Mortgage Trust, 2007-5 AJFL

      5.450 %      8/12/48        509,685        284,157 (c)(e)  

Morgan Stanley Capital I Trust, 2007-IQ16 AJ

      6.099 %      12/12/49        63,314        36,659 (c)  

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

      0.249 %      6/25/36        34,336        11,158 (c)  

Morgan Stanley Re-REMIC Trust, 2015-R6 1A1 (1 mo. USD LIBOR + 0.260%)

      0.638 %      7/26/45        411,711        410,142 (c)(e)  

Mortgage Repurchase Agreement Financing Trust, 2020-5 A2 (1 mo. USD LIBOR + 1.000%)

      1.106 %      8/10/23        1,210,000        1,218,578 (c)(e)  

MRCD Mortgage Trust, 2019-PRKC A

      4.250 %      12/15/36        2,600,000        2,171,874 (c)(e)  

 

See Notes to Schedule of Investments.

 

 

 

16

       Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued)

 

        

Multifamily CAS Trust, 2019-1 M7
(1 mo. USD LIBOR + 1.700%)

      1.809 %      10/15/49      $ 4,364,582      $ 4,374,395 (c)(e) 

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

      7.609 %      3/25/50        4,500,000        4,719,779 (c)(e) 

Multifamily Trust, 2016-1 B

      19.233 %      4/25/46        1,127,038        1,293,889 (c)(e) 

Natixis Commercial Mortgage Securities Trust, 2019-FAME D

      4.398 %      8/15/36        4,750,000        4,273,620 (c)(e) 

Natixis Commercial Mortgage Securities Trust, 2019-FAME E

      4.398 %      8/15/36        3,150,000        2,663,985 (c)(e) 

New Residential Mortgage Loan Trust, 2014-1A A

      3.750 %      1/25/54        779,184        825,767 (c)(e)  

NovaStar Mortgage Funding Trust, 2006- MTA1 2A1A
(1 mo. USD LIBOR + 0.380%)

      0.489 %      9/25/46        121,824        118,976 (c)  

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

      2.859 %      5/27/23        1,419,686        1,406,145 (c)(e) 

Redwood Funding Trust, 2019-1 PT, Step bond

      4.213 %      9/27/24        8,835,442        8,929,000 (e)  

Starwood Retail Property Trust, 2014-STAR C
(1 mo. USD LIBOR + 2.750%)

      2.856 %      11/15/27        2,324,000        465,381 (c)(e)  

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

      3.606 %      11/15/27        650,000        65,081 (c)(e) 

Structured Asset Mortgage Investments II Trust, 2006-AR6 1A1
(1 mo. USD LIBOR + 0.360%)

      0.469 %      7/25/46        113,457        100,725 (c)  

Structured Asset Securities Corp., 2005-RF3 1A
(1 mo. USD LIBOR + 0.350%)

      0.459 %      6/25/35        196,650        175,929 (c)(e)  

Tharaldson Hotel Portfolio Trust, 2018-THL D
(1 mo. USD LIBOR + 2.150%, 2.000% floor)

      2.254 %      11/11/34        2,223,670        2,168,944 (c)(e) 

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

      3.434 %      11/11/34        5,646,259        5,478,170 (c)(e) 

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

      4.206 %      11/11/34        3,602,427        3,279,058 (c)(e) 

UBS-Barclays Commercial Mortgage Trust, 2012-C2 G

      5.000 %      5/10/63        1,330,000        66,527 (c)(e)  

UBS-Barclays Commercial Mortgage Trust, 2012-C2 H

      5.000 %      5/10/63        1,339,991        46,562 (c)(e) 

WaMu Mortgage Pass-Through Certificates Trust, 2003-AR5 A7

      3.707 %      6/25/33        26,447        26,802 (c)  

Wells Fargo Commercial Mortgage Trust, 2019-C51 A4

      3.311 %      6/15/52        1,370,000        1,470,818  
          

 

 

  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost - $306,159,093)

              298,904,171  
          

 

 

  

 

See Notes to Schedule of Investments.

 

      Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

 

 

17

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT/
UNITS		      VALUE  
ASSET-BACKED SECURITIES - 10.3%           

Asset-Backed Securities Corp. Home Equity Loan Trust, 2007-HE1 A4 (1 mo. USD LIBOR + 0.140%)

      0.249 %      12/25/36      $ 1,666,267      $ 1,628,687 (c) 

Avis Budget Rental Car Funding AESOP LLC, 2019-2A C

      4.240 %      9/22/25        4,200,000        4,513,260 (e) 

Avis Budget Rental Car Funding AESOP LLC, 2020-1A C

      3.020 %      8/20/26        7,700,000        7,931,014 (e) 

Conseco Finance Corp., 1997-4 M1

      7.220 %      2/15/29        1,032,593        1,045,297 (c) 

Countrywide Asset-Backed Certificates Trust, 2002-S3 M1

      4.800 %      5/25/32        2,942        2,735 (c) 

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

      0.769 %      7/25/36        182,308        177,235 (c)(e) 

Countrywide Home Equity Loan Trust, 2006-E 2A
(1 mo. USD LIBOR + 0.140%)

      0.246 %      7/15/36        24,816        23,695 (c) 

Credit Suisse European Mortgage Capital Ltd., 2019-1OTF A
(3 mo. USD LIBOR + 2.900%)

      3.105 %      8/9/24        4,875,000        4,818,091 (c)(e) 

Credit Suisse European Mortgage Capital Ltd., 2020-1OTF A

      3.114 %      8/9/24        2,939,699        2,888,254 (e)(f)(g) 

CSMC Trust, 2017-RPL1 A1

      2.750 %      7/25/57        1,348,634        1,400,841 (c)(e) 

CSMC Trust, 2017-RPL1 B1

      3.035 %      7/25/57        4,076,582        3,110,538 (c)(e) 

CSMC Trust, 2017-RPL1 B2

      3.035 %      7/25/57        4,676,961        3,282,338 (c)(e) 

CSMC Trust, 2017-RPL1 B3

      3.035 %      7/25/57        3,976,476        2,258,475 (c)(e) 

CSMC Trust, 2017-RPL1 B4

      3.035 %      7/25/57        4,341,975        760,627 (c)(e) 

Hertz Vehicle Financing II LP, 2015-3A D

      5.330 %      9/25/21        2,000,000        1,970,167 (e) 

Legacy Mortgage Asset Trust, 2019-GS2 A1

      3.750 %      1/25/59        4,856,094        4,864,322 (e) 

Loanpal Solar Loan Ltd., 2021-2GS C

      3.500 %      3/20/48        700,000        634,991 (e)  

Mercury Financial Credit Card Master Trust, 2021-1A C

      4.210 %      3/20/26        5,000,000        5,016,540 (e) 

Navient Private Education Refi Loan Trust, 2020-A B

      3.160 %      11/15/68        4,510,000        4,570,102 (e) 

Navient Private Education Refi Loan Trust, 2020-BA B

      2.770 %      1/15/69        5,000,000        5,020,008 (e) 

New Century Home Equity Loan Trust, 2003-B M2
(1 mo. USD LIBOR + 2.475%)

      2.584 %      11/25/33        921        924 (c)  

RAAC Trust, 2006-RP3 A (1 mo. USD LIBOR + 0.270%)

      0.379 %      5/25/36        277,783        275,773 (c)(e) 

SBA Small Business Investment Cos., 2019-10A 1

      3.113 %      3/10/29        652,440        695,739  

SMB Private Education Loan Trust, 2014-A R

      0.000 %      9/15/45        22,179        2,773,278 (e)(f) 

 

See Notes to Schedule of Investments.

 

 

 

18

       Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

SECURITY

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

SMB Private Education Loan Trust, 2015-C R

      0.000 %      9/18/46      $ 2,751      $ 1,276,795 (e) 

SMB Private Education Loan Trust, 2020-A B

      3.000 %      8/15/45        5,000,000        5,016,827 (e) 

SMB Private Education Loan Trust, 2021-A C

      2.990 %      1/15/53        7,000,000        6,996,871 (e) 

SoFi Professional Loan Program LLC, 2015-C R

      0.000 %      8/25/36        600        377,367 (e)  

SoFi Professional Loan Program LLC, 2017-F R1

      0.000 %      1/25/41        25,000        846,867 (e)  

SoFi Professional Loan Program Trust, 2020-A BFX

      3.120 %      5/15/46        3,200,000        3,280,002 (e) 

Structured Asset Securities Corp. Mortgage Loan Trust,
2006-ARS1 A1 (1 mo. USD LIBOR + 0.220%)

      0.329 %      2/25/36        1,373,997        51,844 (c)(e)  
          

 

 

  

TOTAL ASSET-BACKED SECURITIES
(Cost - $89,369,668)

              77,509,504  
          

 

 

  
                  FACE
AMOUNT		         
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.0%††           

U.S. Government Obligations - 0.0%††

           

U.S. Treasury Notes
(Cost - $30,029)

      0.375 %      4/30/25        30,000        29,630  
          

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $761,948,013)

 

         751,171,810  
          

 

 

  
                  SHARES         
SHORT-TERM INVESTMENTS - 6.2%           

Western Asset Premier Institutional Government Reserves, Premium Shares (Cost - $46,674,976)

      0.010 %         46,674,976        46,674,976 (h)  
          

 

 

  

TOTAL INVESTMENTS - 106.2%
(Cost - $808,622,989)

              797,846,786  

Liabilities in Excess of Other Assets - (6.2)%

              (46,654,397 ) 
          

 

 

  

TOTAL NET ASSETS - 100.0%

            $ 751,192,389  
          

 

 

  

 

See Notes to Schedule of Investments.

 

      Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

 

 

19

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

††

Represents less than 0.1%.

 

(a)

Securities traded on a when-issued or delayed delivery basis.

 

(b)

This security is traded on a to-be-announced (“TBA”) basis. At March 31, 2021, the Fund held TBA securities with a total cost of $57,747,585.

 

(c)

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.

 

(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 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.

 

(f)

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

 

(g)

Security is valued in good faith in accordance with procedures approved by the Board of Trustees (Note 1).

 

(h)

In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At March 31, 2021, the total market value of investments in Affiliated Companies was $46,674,976 and the cost was $46,674,976 (Note 2).

Abbreviation(s) used in this schedule:

 

ACES    — Alternative Credit Enhancement Securities
CAS    — Connecticut Avenue Securities
CMT    — Constant Maturity Treasury
IO    — Interest Only
LIBOR    — London Interbank Offered Rate
PAC    — Planned Amortization Class
PO    — Principal Only
Re-REMIC    — Resecuritization of Real Estate Mortgage Investment Conduit
STRIPS    — Separate Trading of Registered Interest and Principal Securities
USD    — United States Dollar
UST    — United States Treasury

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:               

90-Day Eurodollar

      757        12/23      $ 187,377,179      $ 186,969,538      $ (407,641 ) 

U.S. Treasury Ultra Long- Term Bonds

      259        6/21        49,918,467        46,935,656        (2,982,811 ) 
              

 

 

  
                 (3,390,452 ) 
              

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

20

       Western Asset Mortgage Total Return Fund 2021 Quarterly Report      

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

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

 

     Number of
Contracts		      Expiration
Date		      Notional
Amount		      Market
Value		      Unrealized
Appreciation
(Depreciation)		  
Contracts to Sell:               

90-Day Eurodollar

      488        12/21      $ 121,728,127      $ 121,676,700      $ 51,427  

U.S. Treasury 2-Year Notes

      488        6/21        107,828,093        107,714,562        113,531  

U.S. Treasury 5-Year Notes

      8        6/21        996,299        987,188        9,111  

U.S. Treasury 10-Year Notes

      94        6/21        12,633,369        12,308,125        325,244  

U.S. Treasury Long-Term Bonds

      88        6/21        14,160,684        13,604,250        556,434  

U.S. Treasury Ultra 10-Year Notes

      160        6/21        23,925,151        22,990,000        935,151  
              

 

 

  
                 1,990,898  
              

 

 

  
Net unrealized depreciation on open futures contracts                $ (1,399,554 ) 
              

 

 

  

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 2021 Quarterly Report      

 

 

21

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 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 Trustees.

The Board of Trustees 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 Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. 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.

 

 

 

22

    

Notes to Schedule of Investments (unaudited) (continued)

 

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 – 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)

 

   

 

 

23

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

      —        $ 374,728,505        —        $ 374,728,505  

Collateralized Mortgage Obligations

      —          291,475,920      $ 7,428,251        298,904,171  

Asset-Backed Securities

      —          71,847,972        5,661,532        77,509,504  

U.S. Government & Agency Obligations

      —          29,630        —          29,630  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      —          738,082,027        13,089,783        751,171,810  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

    $ 46,674,976        —          —          46,674,976  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 46,674,976      $ 738,082,027      $ 13,089,783      $ 797,846,786  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:

            

Futures Contracts

    $ 1,990,898        —          —        $ 1,990,898  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 48,665,874      $ 738,082,027      $ 13,089,783      $ 799,837,684  
  

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES

  

DESCRIPTION

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

Other Financial Instruments:

            

Futures Contracts

    $ 3,390,452        —          —        $ 3,390,452  

 

†

See Schedule of Investments for additional detailed categorizations.

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  

Mortgage-Backed Securities

    $ 1,832,680        —          —          —         —    

Collateralized Mortgage Obligations

      8,093,995      $ 12,292        —        $ (678,036 )      —    

Asset-Backed Securities

      5,636,885        —          —          39,723       —    
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 15,563,560      $ 12,292        —        $ (638,313 )      —    
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

 

 

 

24

    

Notes to Schedule of Investments (unaudited) (continued)

 

Investments in Securities (cont’d)

    Sales     Transfers
into
Level 3		      Transfers
out of
Level 32 		    Balance
as of
March 31,
2021		      Net change
in unrealized
appreciation
(depreciation)
for
investments
in securities
still held at
March 31,
20211 		 

Mortgage-Backed Securities

      —         —        $ (1,832,680 )      —          —    

Collateralized Mortgage Obligations

      —         —          —       $ 7,428,251      $ (678,036 ) 

Asset-Backed Securities

    $ (15,076 )      —          —         5,661,532        39,723  
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

  

Total

    $ (15,076 )      —        $ (1,832,680 )    $ 13,089,783      $ (638,313 ) 
  

 

 

    

 

 

     

 

 

    

 

 

     

 

 

  

 

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.

 

2 

Transferred out of Level 3 as a result of the availability of a quoted price in an active market for an identical investment or the availability of other significant observable inputs.

2. Transactions with affiliated company

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended March 31, 2021. The following transactions were effected in such company for the period ended March 31, 2021.

 

     Affiliate
Value at
December 31,
2020		      Purchased      Sold      Realized
Gain
(Loss)		      Interest
Income		      Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		      Affiliate
Value at
March 31,
2021		  
     Cost      Shares      Cost      Shares  

Western Asset Premier Institutional Government Reserves, Premium Shares

    $ 72,821,421      $ 42,848,794        42,848,794      $ 68,995,239        68,995,239        —        $ 1,498        —        $ 46,674,976  

 

   

 

 

25