Schedule of Investments (unaudited)
September 30, 2024
 Western Asset Mortgage Opportunity Fund Inc.
(Percentages shown based on Fund net assets) 
Security
 
Rate
Maturity
Date
Face
Amount
Value
Residential Mortgage-Backed Securities(a) — 112.1%
Adjustable Rate Mortgage Trust, 2005-5 1A1
3.859%
9/25/35
 $72,137
 $62,390
 (b)
Adjustable Rate Mortgage Trust, 2005-7 2A21
4.861%
10/25/35
109,352
95,489
 (b)
Adjustable Rate Mortgage Trust, 2005-12 5A1 (1 mo. Term SOFR + 0.614%)
5.469%
3/25/36
184,119
52,562
 (b)
Aegis Asset Backed Securities Trust, 2005-3 M3 (1 mo. Term SOFR + 0.849%)
5.704%
8/25/35
3,460,000
2,893,835
 (b)(c)
Alternative Loan Trust, 2005-11CB 3A3, IO (-1.000 x 1 mo. Term SOFR +
4.886%, 0.000% floor)
0.031%
6/25/35
837,975
52,872
 (b)
Alternative Loan Trust, 2005-14 3A1
3.605%
5/25/35
90,899
70,733
 (b)
Alternative Loan Trust, 2005-36 4A1
4.458%
8/25/35
110,799
99,803
 (b)
Alternative Loan Trust, 2005-J10 1A1 (1 mo. Term SOFR + 0.614%, 5.469%
cap)
5.469%
10/25/35
395,597
234,565
 (b)
Alternative Loan Trust, 2006-HY10 1A1
3.923%
5/25/36
110,243
93,098
 (b)
Alternative Loan Trust, 2006-J8 A5
6.000%
2/25/37
71,694
30,896
 
Alternative Loan Trust, 2007-3T1 2A1
6.000%
3/25/27
16,555
16,459
 
Alternative Loan Trust, 2007-23CB A8 (-4.000 x 1 mo. Term SOFR + 27.942%)
8.523%
9/25/37
369,410
348,645
 (b)(c)
Alternative Loan Trust, 2007-OA8 1A1 (1 mo. Term SOFR + 0.474%)
5.329%
6/25/47
613,524
521,235
 (b)(c)
American Home Mortgage Assets Trust, 2005-2 2A1A
3.507%
1/25/36
543,600
355,077
 (b)
American Home Mortgage Investment Trust, 2007-2 2A (1 mo. Term SOFR +
0.914%)
5.769%
3/25/47
12,735,445
87,738
 (b)(c)
American Home Mortgage Investment Trust, 2007-A 4A (1 mo. Term SOFR +
1.014%)
5.869%
7/25/46
1,733,247
405,046
 (b)(c)(d)
Banc of America Funding Corp., 2015-R3 2A2
3.571%
2/27/37
2,400,893
2,175,036
 (b)(c)(d)
Banc of America Funding Trust, 2004-C 3A1
4.742%
12/20/34
128,780
116,951
 (b)
Banc of America Funding Trust, 2006-D 2A1
3.499%
5/20/36
28,109
25,395
 (b)
Banc of America Funding Trust, 2006-F 1A1
6.509%
7/20/36
42,335
42,812
 (b)
Banc of America Funding Trust, 2014-R5 1A2 (6 mo. Term SOFR + 1.928%)
4.298%
9/26/45
3,107,789
2,256,243
 (b)(c)(d)
Banc of America Funding Trust, 2015-R2 9A2
4.205%
3/27/36
2,762,690
2,305,236
 (b)(c)(d)
Bayview Financial Asset Trust, 2007-SR1A M2 (1 mo. Term SOFR + 1.014%)
5.869%
3/25/37
1,466,627
1,458,738
 (b)(c)(d)
Bayview Financial Asset Trust, 2007-SR1A M3 (1 mo. Term SOFR + 1.264%)
6.119%
3/25/37
664,476
666,538
 (b)(d)
Bayview Financing INV Trust, 2021-6F A1
2.750%
12/30/27
1,495,475
1,423,892
 (d)
Bear Stearns ALT-A Trust, 2005-9 25A1
4.740%
11/25/35
129,781
87,134
 (b)
Bear Stearns Asset Backed Securities Trust, 2005-CL1 A1 (1 mo. Term SOFR +
0.614%)
3.465%
9/25/34
15,005
14,755
 (b)
CAFL Issuer LLC, 2023-RTL1 A2
9.300%
12/28/30
1,770,000
1,814,821
 (c)(d)
Chase Mortgage Finance Trust, 2006-S3 2A1
—
11/25/21
122,368
43,069
 *(e)
Chase Mortgage Finance Trust, 2007-A1 11M1
4.684%
3/25/37
589,868
564,936
 (b)
ChaseFlex Trust, 2005-2 3A3, IO (-1.000 x 1 mo. Term SOFR + 5.386%)
0.531%
6/25/35
5,513,995
674,862
 (b)(c)
Chevy Chase Funding LLC Mortgage-Backed Certificates, 2006-2A A1 (1 mo.
Term SOFR + 0.244%)
5.099%
4/25/47
44,889
41,690
 (b)(d)
CHL Mortgage Pass-Through Trust, 2005-2 2A1 (1 mo. Term SOFR + 0.754%)
5.609%
3/25/35
36,426
34,865
 (b)
CHL Mortgage Pass-Through Trust, 2005-18 A7 (-2.750 x 1 mo. Term SOFR +
19.210%)
5.860%
10/25/35
8,755
6,382
 (b)
CHL Mortgage Pass-Through Trust, 2005-HY10 1A1
5.456%
2/20/36
12,544
10,625
 (b)
CHL Mortgage Pass-Through Trust, 2005-HYB9 1A1 (12 mo. Term SOFR +
2.465%)
7.210%
2/20/36
68,114
59,082
 (b)
CIM Trust, 2021-INV1 AXS, IO
0.190%
7/1/51
46,444,320
463,663
 (b)(d)
Citicorp Mortgage Securities Trust, 2007-8 B1
5.983%
9/25/37
2,511,680
1,727,384
 (b)(c)
Citigroup Mortgage Loan Trust, 2006-AR5 2A1A
3.920%
7/25/36
164,895
94,416
 (b)
See Notes to Schedule of Investments.
1
Western Asset Mortgage Opportunity Fund Inc. 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
September 30, 2024
 Western Asset Mortgage Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount
Value
Residential Mortgage-Backed Securities(a) — continued
Citigroup Mortgage Loan Trust, 2008-3 A3
6.100%
4/25/37
 $5,347,330
 $2,553,255
 (c)(d)
Citigroup Mortgage Loan Trust, 2021-J2 A4I2, IO
0.180%
7/25/51
33,563,548
337,314
 (b)(d)
Citigroup Mortgage Loan Trust, 2021-J2 AIOS, IO
0.080%
7/25/51
68,621,117
323,205
 (b)(d)
Citigroup Mortgage Loan Trust Inc., 2004-UST1 A2
6.733%
8/25/34
5,380
5,063
 (b)
Citigroup Mortgage Loan Trust Inc., 2005-5 1A5
3.165%
8/25/35
69,379
55,592
 (b)
Countrywide Asset-Backed Certificates Trust, 2007-SEA1 1A1 (1 mo. Term
SOFR + 1.214%)
6.069%
5/25/47
235,692
190,350
 (b)(d)
Credit-Based Asset Servicing & Securitization LLC, 2006-SL1 A3 (1 mo. Term
SOFR + 0.554%)
5.409%
9/25/36
3,406,065
133,030
 (b)(d)
CSFB Mortgage-Backed Pass-Through Certificates, 2005-10 3A3
5.500%
11/25/35
184,184
104,237
 
CSMC Resecuritization Trust, 2006-1R 1A2 (-2.750 x 1 mo. Term SOFR +
19.210%)
5.858%
7/27/36
155,917
154,392
 (b)(d)
CSMC Trust, 2014-11R 9A2 (1 mo. Term SOFR + 0.254%)
5.672%
10/27/36
2,675,203
2,077,311
 (b)(c)(d)
CSMC Trust, 2015-2R 7A2
4.701%
8/27/36
3,060,594
2,583,193
 (b)(c)(d)
CSMC Trust, 2017-RPL1 B1
2.976%
7/25/57
3,052,442
2,185,702
 (b)(c)(d)
CSMC Trust, 2017-RPL1 B2
2.976%
7/25/57
3,501,991
2,204,585
 (b)(c)(d)
CSMC Trust, 2017-RPL1 B3
2.976%
7/25/57
2,977,486
1,388,380
 (b)(c)(d)
CSMC Trust, 2017-RPL1 B4
2.976%
7/25/57
2,916,255
633,201
 (b)(c)(d)
CSMC Trust, 2021-INV2 A3X, IO
0.500%
11/25/56
27,900,921
796,608
 (b)(d)
CSMC Trust, 2021-NQM6 B2
4.140%
7/25/66
1,370,000
1,051,051
 (b)(c)(d)
CWABS Revolving Home Equity Loan Trust, 2004-L 2A (1 mo. Term SOFR +
0.394%)
5.491%
2/15/34
12,770
12,317
 (b)
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 2PO, PO
0.000%
4/15/36
10,558
4,937
 (d)
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS1, IO
3.365%
4/15/36
48,498
4,291
 (b)(d)
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS2, IO
4.547%
4/15/36
46,337
6,483
 (b)(d)
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS1, IO
1.688%
4/15/36
41,140
6,422
 (b)(d)
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS3, IO
2.655%
4/15/36
146,896
19,992
 (b)(d)
DK Note Backed Trust, 2024-SPT1 A
7.086%
4/28/66
863,533
921,980
 (c)(d)
Eagle RE Ltd., 2023-1 M2 (30 Day Average SOFR + 5.200%)
10.480%
9/26/33
1,290,000
1,363,904
 (b)(c)(d)
FARM Mortgage Trust, 2021-1 B
3.244%
7/25/51
1,575,568
1,211,228
 (b)(d)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency
Credit Risk Debt Notes, 2019-HQA4 B2 (30 Day Average SOFR + 6.714%)
11.995%
11/25/49
1,420,000
1,566,879
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency
Credit Risk Debt Notes, 2021-DNA5 B2 (30 Day Average SOFR + 5.500%)
10.780%
1/25/34
1,200,000
1,352,662
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency
Credit Risk Debt Notes, 2021-DNA6 B2 (30 Day Average SOFR + 7.500%)
12.780%
10/25/41
1,640,000
1,768,723
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency
Credit Risk Debt Notes, 2021-HQA4 B2 (30 Day Average SOFR + 7.000%)
12.280%
12/25/41
1,650,000
1,772,366
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2016-1 B, PO
0.000%
9/25/55
12,008,001
1,676,401
 (c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2016-1 BIO, IO
1.395%
9/25/55
20,301,340
2,412,467
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2016-1 XSIO, IO
0.075%
9/25/55
129,533,986
515,934
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2018-2 BX
4.155%
11/25/57
3,400,993
1,319,637
 (b)(c)(d)
See Notes to Schedule of Investments.
2
Western Asset Mortgage Opportunity Fund Inc. 2024 Quarterly Report
 Western Asset Mortgage Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount
Value
Residential Mortgage-Backed Securities(a) — continued
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2018-3 BX
0.816%
8/25/57
 $3,299,060
 $1,203,207
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2019-2 M
4.750%
8/25/58
681,000
659,149
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2020-1 BXS
5.409%
8/25/59
4,008,775
1,843,327
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2021-1 M
4.250%
9/25/60
1,500,000
1,445,574
 (c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2021-3 BXS
11.323%
3/25/61
1,666,100
982,799
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2022-2 M
5.000%
4/25/62
1,337,000
1,187,927
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2024-1 M
5.000%
11/25/63
1,540,000
1,337,367
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2016-DNA2 B (30 Day Average SOFR + 10.614%)
15.895%
10/25/28
490,808
545,493
 (b)(c)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2016-DNA3 B (30 Day Average SOFR + 11.364%)
16.645%
12/25/28
1,018,613
1,149,557
 (b)(c)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2016-DNA4 B (30 Day Average SOFR + 8.714%)
13.995%
3/25/29
1,558,783
1,736,417
 (b)(c)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2017-DNA2 B2 (30 Day Average SOFR + 11.364%)
16.645%
10/25/29
1,751,326
2,047,441
 (b)(c)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2018-DNA3 B2 (30 Day Average SOFR + 7.864%)
13.145%
9/25/48
2,000,000
2,336,628
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2018-HRP1 B2 (30 Day Average SOFR + 11.864%)
17.145%
5/25/43
5,387,617
6,570,195
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2018-HRP2 B2 (30 Day Average SOFR + 10.614%)
15.895%
2/25/47
3,530,000
4,303,131
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2019-FTR1 B2 (30 Day Average SOFR + 8.464%)
13.745%
1/25/48
715,000
852,560
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2019-FTR2 B2 (30 Day Average SOFR + 7.514%)
12.795%
11/25/48
1,270,000
1,460,097
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Securitized Participation Interests Trust, 2017-SPI1 B
4.110%
9/25/47
745,445
569,455
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Securitized Participation Interests Trust, 2018-SPI2 B
3.847%
5/25/48
1,791,814
1,282,650
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Securitized Participation Interests Trust, 2018-SPI4 B
4.512%
11/25/48
3,694,270
2,648,623
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2018-HQA2 B2 (30 Day Average SOFR + 11.114%)
16.395%
10/25/48
1,870,000
2,386,230
 (b)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2019-FTR3 B2 (30 Day Average SOFR + 4.914%)
10.263%
9/25/47
1,200,000
1,273,140
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2019-FTR4 B2 (30 Day Average SOFR + 5.114%)
10.395%
11/25/47
1,250,000
1,333,930
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2019-HQA3 B2 (30 Day Average SOFR + 7.614%)
12.895%
9/25/49
700,000
791,719
 (b)(c)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Whole Loan Securities Trust,
2015-SC01 B
3.855%
5/25/45
2,608,656
1,878,752
 (b)(d)
See Notes to Schedule of Investments.
3
Western Asset Mortgage Opportunity Fund Inc. 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
September 30, 2024
 Western Asset Mortgage Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount
Value
Residential Mortgage-Backed Securities(a) — continued
Federal National Mortgage Association (FNMA), 2012-134 LS, IO (-1.000 x 30
Day Average SOFR + 6.036%)
0.755%
12/25/42
 $987,497
 $127,148
 (b)
Federal National Mortgage Association (FNMA) — CAS, 2016-C01 1B (30
Day Average SOFR + 11.864%)
17.145%
8/25/28
1,853,624
2,087,472
 (b)(c)(d)
Federal National Mortgage Association (FNMA) — CAS, 2016-C03 1B (30
Day Average SOFR + 11.864%)
17.145%
10/25/28
1,925,047
2,215,791
 (b)(c)(d)
Federal National Mortgage Association (FNMA) — CAS, 2016-C04 1B (30
Day Average SOFR + 10.364%)
15.645%
1/25/29
2,602,031
2,968,789
 (b)(c)(d)
Federal National Mortgage Association (FNMA) — CAS, 2016-C06 1B (30
Day Average SOFR + 9.364%)
14.645%
4/25/29
3,495,681
3,964,201
 (b)(c)(d)
Federal National Mortgage Association (FNMA) — CAS, 2020-R01 1B1 (30
Day Average SOFR + 3.364%)
8.645%
1/25/40
1,500,000
1,557,959
 (b)(c)(d)
Federal National Mortgage Association (FNMA) — CAS, 2021-R01 1B2 (30
Day Average SOFR + 6.000%)
11.280%
10/25/41
1,320,000
1,391,939
 (b)(c)(d)
Federal National Mortgage Association (FNMA) — CAS, 2021-R02 2B2 (30
Day Average SOFR + 6.200%)
11.480%
11/25/41
1,500,000
1,580,466
 (b)(c)(d)
First Horizon Alternative Mortgage Securities Trust, 2005-AA6 3A1
4.910%
8/25/35
191,855
169,187
 (b)
First Horizon Alternative Mortgage Securities Trust, 2006-FA6 2A1, PAC
6.250%
11/25/36
64,094
18,096
 
GCAT Trust, 2019-RPL1 B2
3.750%
10/25/68
2,008,000
1,659,078
 (b)(c)(d)
GS Mortgage-Backed Securities Trust, 2021-GR2 AIOS, IO
0.190%
2/25/52
68,741,735
743,394
 (b)(c)(d)
GS Mortgage-Backed Securities Trust, 2021-PJ2 AIOS, IO
0.220%
7/25/51
62,719,860
801,321
 (b)(c)(d)
GS Mortgage-Backed Securities Trust, 2022-NQM1 B4
4.080%
5/25/62
1,553,015
1,297,128
 (b)(c)(d)
GSMPS Mortgage Loan Trust, 2005-RP1 1A4
8.500%
1/25/35
31,402
32,280
 (d)
GSMPS Mortgage Loan Trust, 2006-RP1 1A2
7.500%
1/25/36
220,195
195,978
 (d)
Home Partners of America Trust, 2021-2 F
3.799%
12/17/26
1,431,726
1,341,999
 (c)(d)
Home RE Ltd., 2023-1 M2 (30 Day Average SOFR + 6.000%)
11.280%
10/25/33
1,000,000
1,081,777
 (b)(c)(d)
HSI Asset Loan Obligation Trust, 2007-AR1 4A1
5.118%
1/25/37
54,520
41,977
 (b)
Impac CMB Trust, 2004-8 1A (1 mo. Term SOFR + 0.834%)
5.689%
10/25/34
48,142
46,756
 (b)
IndyMac INDA Mortgage Loan Trust, 2005-AR2 1A1
3.690%
1/25/36
57,703
44,834
 (b)
IndyMac INDX Mortgage Loan Trust, 2004-AR13 1A1
3.561%
1/25/35
21,448
20,000
 (b)
IndyMac INDX Mortgage Loan Trust, 2005-AR15 A2
4.285%
9/25/35
32,219
26,527
 (b)(c)
IndyMac INDX Mortgage Loan Trust, 2005-AR18 1A1 (1 mo. Term SOFR +
0.734%)
5.589%
10/25/36
1,525,145
632,042
 (b)(c)
IndyMac INDX Mortgage Loan Trust, 2006-AR7 5A1
3.906%
5/25/36
95,038
87,342
 (b)
IndyMac INDX Mortgage Loan Trust, 2006-AR9 3A3
3.534%
6/25/36
203,333
177,295
 (b)
IndyMac INDX Mortgage Loan Trust, 2006-AR11 1A1
4.551%
6/25/36
203,283
159,034
 (b)
JPMorgan Alternative Loan Trust, 2007-A1 3A1
4.136%
3/25/37
170,831
136,931
 (b)
JPMorgan Mortgage Trust, 2007-S2 3A2
6.000%
6/25/37
22,732
22,295
 
JPMorgan Mortgage Trust, 2007-S2 3A3
6.500%
6/25/37
6,220
6,210
 
JPMorgan Mortgage Trust, 2024-3 AX1, IO
0.339%
5/25/54
21,986,357
415,383
 (b)(d)
Legacy Mortgage Asset Trust, 2021-GS3 A2
6.250%
7/25/61
1,673,567
1,648,885
 (c)(d)
Lehman Mortgage Trust, 2006-3 1A7, IO (-1.000 x 1 mo. Term SOFR +
5.286%, 0.000% floor)
0.431%
7/25/36
3,954,383
412,346
 (b)(c)
Lehman Mortgage Trust, 2007-5 2A3 (1 mo. Term SOFR + 0.444%)
5.299%
6/25/37
2,575,854
424,060
 (b)
Lehman XS Trust, 2006-19 A4 (1 mo. Term SOFR + 0.454%)
5.309%
12/25/36
308,031
293,804
 (b)(c)
LHOME Mortgage Trust, 2024-RTL1 A2
9.165%
1/25/29
1,100,000
1,129,539
 (c)(d)
MASTR Adjustable Rate Mortgages Trust, 2004-12 5A1
6.826%
10/25/34
2,553
2,482
 (b)
See Notes to Schedule of Investments.
4
Western Asset Mortgage Opportunity Fund Inc. 2024 Quarterly Report
 Western Asset Mortgage Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount
Value
Residential Mortgage-Backed Securities(a) — continued
MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. Term SOFR +
0.324%)
5.179%
4/25/46
 $89,129
 $79,056
 (b)
MASTR Reperforming Loan Trust, 2005-1 1A4
7.500%
8/25/34
39,307
29,698
 (d)
Merrill Lynch Mortgage Investors Trust, 2006-A1 2A1
4.243%
3/25/36
302,621
148,910
 (b)
Morgan Stanley Mortgage Loan Trust, 2006-8AR 1A2 (1 mo. Term SOFR +
0.254%)
5.109%
6/25/36
188,616
37,529
 (b)
Morgan Stanley Mortgage Loan Trust, 2007-5AX 2A3 (1 mo. Term SOFR +
0.574%)
5.429%
2/25/37
1,316,514
276,326
 (b)
Morgan Stanley Mortgage Loan Trust, 2007-15AR 4A1
3.680%
11/25/37
233,331
198,798
 (b)
Morgan Stanley Re-REMIC Trust, 2015-R2 1B (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 0.710%)
4.405%
12/27/46
681,935
596,153
 (b)(c)(d)
New Residential Mortgage Loan Trust, 2019-4A B6
4.566%
12/25/58
2,102,851
1,446,321
 (b)(c)(d)
New Residential Mortgage Loan Trust, 2019-6A A1IB, IO
0.500%
9/25/59
17,646,858
254,803
 (b)(c)(d)
New Residential Mortgage Loan Trust, 2019-NQM4 B2
5.166%
9/25/59
1,608,000
1,413,261
 (b)(c)(d)
New Residential Mortgage Loan Trust, 2024-RTL1 M1
9.285%
3/25/39
380,000
384,255
 (b)(c)(d)
New Residential Mortgage Loan Trust, 2024-RTL1 M2
9.285%
3/25/39
870,000
867,856
 (b)(c)(d)
NYMT Loan Trust, 2024-BPL1 A2
8.617%
2/25/29
1,620,000
1,645,910
 (c)(d)
Popular ABS Mortgage Pass-Through Trust, 2005-5 MV2 (1 mo. Term SOFR +
1.059%)
3.533%
11/25/35
1,794,413
1,616,205
 (b)(c)
PRKCM Trust, 2023-AFC1 M1
7.520%
2/25/58
1,480,000
1,455,430
 (b)(c)(d)
PRKCM Trust, 2023-AFC3 B1
7.750%
9/25/58
1,220,000
1,236,513
 (b)(c)(d)
PRKCM Trust, 2024-AFC1 B2
8.471%
3/25/59
1,450,000
1,456,397
 (b)(c)(d)
Progress Residential, 2021-SFR4 F
3.407%
5/17/38
835,000
787,080
 (c)(d)
Provident Home Equity Loan Trust, 2000-2 A1 (1 mo. Term SOFR + 0.654%)
5.509%
8/25/31
470,273
441,738
 (b)
RAAC Trust, 2007-SP1 M3 (1 mo. Term SOFR + 1.614%)
6.469%
3/25/37
1,426,481
1,185,771
 (b)(c)
RALI Trust, 2005-QA3 CB4
3.836%
3/25/35
789,956
388,585
 (b)
RALI Trust, 2006-QA1 A11
5.456%
1/25/36
229,694
175,130
 (b)
RALI Trust, 2006-QA4 A (1 mo. Term SOFR + 0.474%)
5.329%
5/25/36
114,488
104,768
 (b)(c)
RALI Trust, 2006-QO2 A1 (1 mo. Term SOFR + 0.554%)
5.409%
2/25/46
165,246
29,689
 (b)(c)
RAMP Trust, 2004-RS4 MII2 (1 mo. Term SOFR + 1.464%)
5.055%
4/25/34
883,069
806,964
 (b)(c)
Renaissance Home Equity Loan Trust, 2006-1 AF5
6.166%
5/25/36
516,941
252,568
 (c)
Renaissance Home Equity Loan Trust, 2007-2 AF2
5.675%
6/25/37
445,054
111,898
 (c)
Renaissance Home Equity Loan Trust, 2007-3 AF3
7.238%
9/25/37
1,462,236
612,726
 (c)
Residential Asset Securitization Trust, 2007-A2 1A1
6.000%
4/25/37
176,519
93,770
 (c)
RFMSI Trust, 2006-S8 A12, IO (-1.000 x 1 mo. Term SOFR + 5.286%, 0.000%
floor)
0.431%
9/25/36
1,731,160
136,362
 (b)
Saluda Grade Alternative Mortgage Trust, 2024-RTL4 A2
7.500%
2/25/30
1,770,000
1,716,102
 (c)(d)
Starwood Mortgage Residential Trust, 2020-3 B2
4.750%
4/25/65
1,490,000
1,227,180
 (b)(c)(d)
Starwood Mortgage Residential Trust, 2021-4 B31
4.678%
8/25/56
2,700,000
1,648,285
 (b)(d)
Structured Adjustable Rate Mortgage Loan Trust, 2004-18 1A2
5.231%
12/25/34
124,328
110,093
 (b)
Structured Adjustable Rate Mortgage Loan Trust, 2005-4 1A1
4.663%
3/25/35
87,773
73,530
 (b)
Structured Adjustable Rate Mortgage Loan Trust, 2005-7 1A3
4.992%
4/25/35
32,036
29,369
 (b)
Structured Asset Investment Loan Trust, 2004-8 M9 (1 mo. Term SOFR +
3.864%)
8.719%
9/25/34
297,405
229,577
 (b)(c)
Toorak Mortgage Trust, 2024-RRTL1 B1
10.513%
2/25/39
800,000
793,105
 (b)(c)(d)
Toorak Mortgage Trust, 2024-RRTL1 B2
10.513%
2/25/39
640,000
644,895
 (b)(c)(d)
UWM Mortgage Trust, 2021-1 AX4, IO
0.250%
6/25/51
23,292,176
308,267
 (b)(d)
See Notes to Schedule of Investments.
5
Western Asset Mortgage Opportunity Fund Inc. 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
September 30, 2024
 Western Asset Mortgage Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount
Value
Residential Mortgage-Backed Securities(a) — continued
Verus Securitization Trust, 2022-INV2 M1
6.803%
10/25/67
 $1,430,000
 $1,440,883
 (b)(c)(d)
Verus Securitization Trust, 2023-3 B1
7.856%
3/25/68
1,200,000
1,219,901
 (b)(c)(d)
Verus Securitization Trust, 2023-4 B1
8.136%
5/25/68
1,170,000
1,186,558
 (b)(c)(d)
Verus Securitization Trust, 2023-5 B1
8.099%
6/25/68
1,200,000
1,210,484
 (b)(c)(d)
Wachovia Mortgage Loan Trust LLC, 2005-B 2A2
6.771%
10/20/35
4,898
4,806
 (b)
WaMu Mortgage Pass-Through Certificates Trust, 2005-8 1A6 (-3.667 x 1 mo.
Term SOFR + 22.864%)
5.063%
10/25/35
92,981
87,838
 (b)
WaMu Mortgage Pass-Through Certificates Trust, 2005-9 5A4 (-7.333 x 1 mo.
Term SOFR + 35.094%, 0.000% floor)
0.000%
11/25/35
36,663
34,417
 (b)(c)
WaMu Mortgage Pass-Through Certificates Trust, 2005-10 2A3 (1 mo. Term
SOFR + 1.014%, 5.750% cap)
5.750%
11/25/35
61,962
52,969
 (b)(c)
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR2 B1 (1 mo. Term
SOFR + 0.909%)
5.764%
1/25/45
1,266,261
1,113,786
 (b)(c)
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR13 A1C3 (1 mo.
Term SOFR + 1.094%)
5.949%
10/25/45
65,338
63,085
 (b)(c)
WaMu Mortgage Pass-Through Certificates Trust, 2006-AR10 A1 (1 mo. Term
SOFR + 0.314%)
5.169%
12/25/36
230,951
113,243
 (b)(c)
WaMu Mortgage Pass-Through Certificates Trust, 2006-AR16 2A2
4.316%
12/25/36
93,233
82,058
 (b)
Wells Fargo Alternative Loan Trust, 2007-PA1 A12, IO (-1.000 x 1 mo. Term
SOFR + 5.346%)
0.491%
3/25/37
977,865
78,084
 (b)(c)
 
Total Residential Mortgage-Backed Securities (Cost — $148,714,500)
156,768,158
Commercial Mortgage-Backed Securities(a) — 47.4%
280 Park Avenue Mortgage Trust, 2017-280P E (1 mo. Term SOFR + 2.419%)
7.537%
9/15/34
3,430,000
3,182,131
 (b)(d)
280 Park Avenue Mortgage Trust, 2017-280P F (1 mo. Term SOFR + 3.127%)
8.245%
9/15/34
320,000
291,357
 (b)(d)
BANK, 2021-BN35 H
1.766%
6/15/64
1,860,000
648,773
 (b)(d)
BANK, 2021-BN35 K
1.766%
6/15/64
4,703,147
1,407,330
 (b)(d)
BANK, 2022-BNK43 E
3.000%
8/15/55
1,500,000
993,858
 (d)
BANK, 2022-BNK44 D
4.000%
11/15/32
3,198,000
2,558,876
 (b)(d)
Benchmark Mortgage Trust, 2019-B12 WMA
4.388%
8/15/52
1,300,000
1,176,516
 (b)(d)
Benchmark Mortgage Trust, 2023-V3 D
4.000%
7/15/56
1,100,000
949,377
 (d)
BOCA Commercial Mortgage Trust, 2024-BOCA E (1 mo. Term SOFR +
4.437%)
9.534%
8/15/41
1,130,000
1,132,396
 (b)(d)
BPR Trust, 2021-TY F (1 mo. Term SOFR + 4.314%)
9.411%
9/15/38
1,000,000
985,325
 (b)(d)
BSREP Commercial Mortgage Trust, 2021-DC HRR (1 mo. Term SOFR +
5.614%)
10.711%
8/15/38
3,351,089
1,787,536
 (b)(d)
BWAY Mortgage Trust, 2013-1515 F
4.058%
3/10/33
1,000,000
859,900
 (b)(d)
BX Commercial Mortgage Trust, 2019-IMC F (1 mo. Term SOFR + 2.946%)
8.043%
4/15/34
2,000,000
1,937,787
 (b)(d)
BX Commercial Mortgage Trust, 2021-XL2 J (1 mo. Term SOFR + 4.004%)
9.101%
10/15/38
1,750,000
1,725,651
 (b)(d)
BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%)
9.202%
2/15/39
873,121
868,588
 (b)(d)
BX Commercial Mortgage Trust, 2024-KING E (1 mo. Term SOFR + 3.688%)
8.784%
5/15/34
1,190,000
1,187,638
 (b)(d)
BX Trust, 2024-VLT4 E (1 mo. Term SOFR + 2.889%)
7.986%
7/15/29
2,000,000
2,000,816
 (b)(d)
Citigroup Commercial Mortgage Trust, 2015-P1 E
4.514%
9/15/48
800,000
615,512
 (b)(d)
CSMC Trust, 2017-CHOP F (PRIME + 1.294%)
9.794%
7/15/32
1,620,000
1,583,050
 (b)(d)
CSMC Trust, 2017-CHOP H (PRIME + 4.294%)
12.794%
7/15/32
1,509,000
1,372,576
 (b)(d)
CSMC Trust, 2021-ADV G (1 mo. Term SOFR + 6.364%)
11.461%
7/15/38
2,080,000
408,901
 (b)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Credit
Risk, 2021-MN1 B1 (30 Day Average SOFR + 7.750%)
13.030%
1/25/51
950,000
1,023,270
 (b)(d)
See Notes to Schedule of Investments.
6
Western Asset Mortgage Opportunity Fund Inc. 2024 Quarterly Report
 Western Asset Mortgage Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount
Value
Commercial Mortgage-Backed Securities(a) — continued
FREMF Mortgage Trust, 2021-F117 CS (30 Day Average SOFR + 6.400%)
11.747%
7/25/31
 $852,421
 $848,906
 (b)(d)
FRESB Mortgage Trust, 2018-SB48 B
4.767%
2/25/38
1,122,925
582,273
 (b)(d)
Government National Mortgage Association (GNMA), 2020-89 IA, IO
1.168%
4/16/62
5,883,186
472,419
 (b)
Greystone CRE Notes, 2024-HC3 D (1 mo. Term SOFR + 5.333%)
10.429%
3/15/41
610,000
610,029
 (b)(d)
GS Mortgage Securities Corp., 2024-70P HRR
10.333%
3/10/41
4,420,000
4,523,545
 (b)(d)
GS Mortgage Securities Corp. Trust, 2000-1A A (1 mo. Term SOFR + 0.464%)
5.425%
3/20/25
7,068
7,066
 (b)(d)
GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. Term SOFR +
4.747%)
9.844%
11/15/32
2,500,000
2,449,845
 (b)(d)
GS Mortgage Securities Trust, 2015-GC30 D
3.384%
5/10/50
750,000
615,190
 
GS Mortgage Securities Trust, 2015-GC32 D
3.345%
7/10/48
700,000
649,255
 
Hawaii Hotel Trust, 2019-MAUI F (1 mo. Term SOFR + 3.047%)
8.144%
5/15/38
2,221,000
2,202,580
 (b)(d)
Hawaii Hotel Trust, 2019-MAUI G (1 mo. Term SOFR + 3.447%)
8.544%
5/15/38
1,697,000
1,664,707
 (b)(d)
HIH Trust, 2024-61P F (1 mo. Term SOFR + 5.437%)
10.387%
10/15/41
1,500,000
1,504,035
 (b)(d)(f)
HIT Trust, 2022-HI32 G (1 mo. Term SOFR + 7.228%)
12.324%
7/9/25
1,938,278
1,967,763
 (b)(d)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST G (1
mo. Term SOFR + 4.864%)
9.961%
12/15/36
988,000
4,941
 (b)(d)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST H (1
mo. Term SOFR + 7.364%)
12.461%
12/15/36
1,033,000
517
 (b)(d)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN HFL (1
mo. Term SOFR + 4.364%)
9.461%
1/16/37
120,216
109,852
 (b)(d)
JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYMZ M (1
mo. Term SOFR + 7.614%)
12.711%
6/15/26
1,250,000
812,115
 (b)(d)
KIND Trust, 2021-KIND F (1 mo. Term SOFR + 4.064%)
9.164%
8/15/38
1,299,330
1,246,382
 (b)(d)
Multifamily CAS Trust, 2019-1 CE (30 Day Average SOFR + 8.864%)
14.145%
10/25/49
2,500,000
2,506,311
 (b)(d)
Multifamily CAS Trust, 2020-1 CE (30 Day Average SOFR + 7.614%)
12.895%
3/25/50
1,500,000
1,541,341
 (b)(d)
Natixis Commercial Mortgage Securities Trust, 2019-FAME D
4.544%
8/15/36
1,900,000
1,244,500
 (b)(d)
Natixis Commercial Mortgage Securities Trust, 2019-FAME E
4.544%
8/15/36
950,000
422,750
 (b)(d)
Natixis Commercial Mortgage Securities Trust, 2022-JERI G (1 mo. Term
SOFR + 7.458%)
12.554%
1/15/39
3,500,000
2,496,264
 (b)(d)
Natixis Commercial Mortgage Securities Trust, 2022-RRI E (1 mo. Term SOFR
+ 5.193%)
10.290%
3/15/35
1,272,750
1,272,272
 (b)(d)
NCMF Trust, 2022-MFP G (1 mo. Term SOFR + 5.128%)
10.225%
3/15/39
2,200,000
2,121,074
 (b)(d)
RIAL Issuer Ltd., 2022-FL8 E (1 mo. Term SOFR + 5.500%)
10.597%
1/19/37
1,500,000
1,402,061
 (b)(d)
SMR Mortgage Trust, 2022-IND G (1 mo. Term SOFR + 7.500%)
12.597%
2/15/39
1,831,354
1,541,041
 (b)(d)
Soho Trust, 2021-SOHO D
2.786%
8/10/38
1,500,000
551,834
 (b)(d)
Wells Fargo Commercial Mortgage Trust, 2017-C42 D
2.800%
12/15/50
1,000,000
747,784
 (b)(d)
Wells Fargo Commercial Mortgage Trust, 2022-JS2 G
3.569%
12/15/39
2,200,000
1,543,347
 (b)(d)
 
Total Commercial Mortgage-Backed Securities (Cost — $75,262,470)
66,359,163
 
 
 

 
Face
Amount/
Units
 
Asset-Backed Securities — 15.2%
AMSR Trust, 2023-SFR2 E1
3.950%
6/17/40
1,690,000
1,588,278
 (c)(d)
Applebee’s Funding LLC/IHOP Funding LLC, 2023-1A A2
7.824%
3/5/53
1,000,000
1,047,868
 (d)
BankAmerica Manufactured Housing Contract Trust, 1996-1 B1
7.875%
10/10/26
7,866,000
75,447
 
See Notes to Schedule of Investments.
7
Western Asset Mortgage Opportunity Fund Inc. 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
September 30, 2024
 Western Asset Mortgage Opportunity Fund Inc.
(Percentages shown based on Fund net assets)