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)
Security
 
Rate
Maturity
Date
Face
Amount/
Units
Value
Asset-Backed Securities — continued
Bayview Opportunity Master Fund LLC, 2024-CAR1 E (30 Day Average SOFR +
3.600%)
8.880%
12/26/31
 $1,202,496
 $1,202,616
 (b)(d)
BCMSC Trust, 1998-B A
6.530%
10/15/28
79,226
78,873
 (b)
Cascade MH Asset Trust, 2019-MH1 M
5.985%
11/25/44
1,150,000
1,105,078
 (b)(c)(d)
Conseco Finance Corp., 1999-4 A8
7.700%
5/1/31
4,807,328
1,671,396
 (b)
Conseco Finance Corp., 1999-4 A9
7.020%
5/1/31
10,686,754
3,451,173
 (b)
Hertz Vehicle Financing LLC, 2023-2A D
9.400%
9/25/29
690,000
706,282
 (d)
Loanpal Solar Loan Ltd., 2020-3GS C
3.500%
12/20/47
658,802
422,100
 (d)
Loanpal Solar Loan Ltd., 2021-1GS C
3.500%
1/20/48
705,935
471,991
 (d)
Lunar Structured Aircraft Portfolio Notes, 2021-1 C
5.682%
10/15/46
1,612,715
1,477,903
 (d)
National Collegiate Class A-3L Commutation Trust, 2007-4VI O (1 mo. USD
LIBOR + 0.850%)
5.819%
3/29/38
5,942,187
685,384
 (b)(d)
National Collegiate Student Loan Trust, 2006-3 B (1 mo. Term SOFR +
0.474%)
5.329%
1/26/32
1,710,000
1,454,805
 (b)
Nelnet Student Loan Trust, 2021-DA D
4.380%
4/20/62
1,200,000
1,003,289
 (d)
RBS Acceptance Inc., 1995-BA1 B2
—
8/10/20
2,191,561
22
 *(e)
Renew, 2024-2A B
8.223%
11/20/60
1,000,000
1,002,300
 (d)
SEB Funding LLC, 2024-1A A2
7.386%
4/30/54
1,020,000
1,053,426
 (d)
Sierra Timeshare Receivables Funding LLC, 2024-1A D
8.020%
1/20/43
589,180
603,604
 (d)
SMB Private Education Loan Trust, 2014-A R
44.471%
9/15/45
6,875
407,494
 (d)(g)
SoFi Professional Loan Program LLC, 2017-F R1
44.335%
1/25/41
34,000
270,181
 (d)(g)
Stonepeak, 2021-1A B
3.821%
2/28/33
807,984
750,065
 (d)
Sunnova Hellios II Issuer LLC, 2018-1A B
7.710%
7/20/48
866,214
729,927
 (d)
 
Total Asset-Backed Securities (Cost — $26,523,331)
21,259,502
 
 
 
 
Shares
 
Preferred Stocks — 2.5%
Financials — 2.5%
Mortgage Real Estate Investment Trusts (REITs) — 2.5%
AGNC Investment Corp., Non Voting Shares (6.125% to 4/15/25 then 3 mo.
USD LIBOR + 4.697%)
6.125%
45,661
1,119,608
 (b)
Chimera Investment Corp., Non Voting Shares
8.000%
32,036
784,561
 
Chimera Investment Corp., Non Voting Shares (7.750% to 9/30/25 then 3 mo.
USD LIBOR + 4.743%)
7.750%
24,074
545,276
 (b)
MFA Financial Inc., Non Voting Shares (6.500% to 3/31/25 then 3 mo. USD
LIBOR + 5.345%)
6.500%
42,047
996,514
 (b)
 
Total Preferred Stocks (Cost — $3,285,623)
3,445,959
See Notes to Schedule of Investments.
8
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
Corporate Bonds & Notes — 2.4%
Consumer Discretionary — 0.7%
Hotels, Restaurants & Leisure — 0.7%
Full House Resorts Inc., Senior Secured Notes
8.250%
2/15/28
 $1,050,000
 $1,052,321
 (d)
 
Financials — 1.1%
Banks — 0.6%
Lloyds Banking Group PLC, Junior Subordinated Notes (8.000% to 3/27/30
then 5 year Treasury Constant Maturity Rate + 3.913%)
8.000%
9/27/29
750,000
805,400
 (b)(h)
Insurance — 0.5%
Allianz SE, Junior Subordinated Notes (3.200% to 4/30/28 then 5 year
Treasury Constant Maturity Rate + 2.165%)
3.200%
10/30/27
800,000
687,058
 (b)(d)(h)
 
Total Financials
1,492,458
Real Estate — 0.6%
Real Estate Management & Development — 0.6%
Cushman & Wakefield US Borrower LLC, Senior Secured Notes
8.875%
9/1/31
150,000
163,902
 (d)
Five Point Operating Co. LP/Five Point Capital Corp., Senior Notes, Step bond
(10.500% to 11/15/24 then 11.000%)
10.500%
1/15/28
600,000
614,424
 (d)
 
Total Real Estate
778,326
Total Corporate Bonds & Notes (Cost — $3,018,868)
3,323,105
Convertible Bonds & Notes — 2.4%
Financials — 2.4%
Mortgage Real Estate Investment Trusts (REITs) — 2.4%
PennyMac Corp., Senior Notes
5.500%
3/15/26
1,550,000
1,508,925
 
Two Harbors Investment Corp., Senior Notes
6.250%
1/15/26
1,835,000
1,793,713
 
 
Total Convertible Bonds & Notes (Cost — $3,167,943)
3,302,638
Senior Loans — 1.4%
Financials — 1.0%
Financial Services — 0.7%
Greystone Select Holdings LLC, Term Loan B (3 mo. Term SOFR + 5.262%)
10.541%
6/16/28
984,177
981,717
 (b)(i)(j)
Mortgage Real Estate Investment Trusts (REITs) — 0.3%
Apollo Commercial Real Estate Finance Inc., Initial Term Loan (1 mo. Term
SOFR + 2.864%)
7.710%
5/15/26
494,792
491,081
 (b)(i)(j)(k)
 
Total Financials
1,472,798
Real Estate — 0.4%
Real Estate Management & Development — 0.4%
Cushman & Wakefield US Borrower LLC, 2024 Term Loan (1 mo. Term SOFR +
3.750%)
8.595%
1/31/30
498,750
499,685
 (b)(i)(j)
 
Total Senior Loans (Cost — $1,952,416)
1,972,483
Total Investments before Short-Term Investments (Cost — $261,925,151)
256,431,008
 
 
 
 
Shares
 
Short-Term Investments — 2.3%
Western Asset Premier Institutional Government Reserves, Premium Shares
(Cost — $3,286,666)
4.886%
3,286,666
3,286,666
 (l)(m)
Total Investments — 185.7% (Cost — $265,211,817)
259,717,674
Liabilities in Excess of Other Assets — (85.7)%
(119,884,236
)
Total Net Assets — 100.0%
$139,833,438
 
See Notes to Schedule of Investments.
9
Western Asset Mortgage Opportunity Fund Inc. 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
September 30, 2024
 Western Asset Mortgage Opportunity Fund Inc.
*
Non-income producing security.
(a)
Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct
payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or
more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit.
(b)
Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published
reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a
reference rate and spread in their description above.
(c)
All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements.
(d)
Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors.
(e)
The maturity principal is currently in default as of September 30, 2024.
(f)
Securities traded on a when-issued or delayed delivery basis.
(g)
Rate shown is the current yield based on income received over the trailing twelve months.
(h)
Security has no maturity date. The date shown represents the next call date.
(i)
Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.
(j)
Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower
prior to the disposition of a senior loan.
(k)
Security is valued using significant unobservable inputs (Note 1).
(l)
Rate shown is one-day yield as of the end of the reporting period.
(m)
In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding
voting securities of an issuer, or a company which is under common ownership or control with the Fund. At September 30, 2024, the total market value of
investments in Affiliated Companies was $3,286,666 and the cost was $3,286,666 (Note 2).
 
Abbreviation(s) used in this schedule:
CAS
—
Connecticut Avenue Securities
CMT
—
Constant Maturity Treasury
IO
—
Interest Only
LIBOR
—
London Interbank Offered Rate
PAC
—
Planned Amortization Class
PO
—
Principal Only
REMIC
—
Real Estate Mortgage Investment Conduit
Re-REMIC
—
Resecuritization of Real Estate Mortgage Investment Conduit
SOFR
—
Secured Overnight Financing Rate
USD
—
United States Dollar
At September 30, 2024, the Fund had the following open reverse repurchase agreements: 
Counterparty
Rate
Effective
Date
Maturity
Date
Face Amount
of Reverse
Repurchase
Agreements
Asset Class
of Collateral*
Collateral
Value**
Nomura
Securities Inc.
7.294%
7/22/2024
2/20/2026
 $3,691,000
Residential Mortgage-Backed Securities
 $4,460,509
Nomura
Securities Inc.
7.298%
7/16/2024
2/20/2026
111,417,000
Residential Mortgage-Backed Securities
Asset-Backed Securities
132,417,834
2,704,655
Nomura
Securities Inc.
7.298%
7/17/2024
2/20/2026
1,381,000
Residential Mortgage-Backed Securities
1,583,336
 
$116,489,000
$141,166,334
 
*
Refer to the Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements.
**
Including accrued interest.
See Notes to Schedule of Investments.
10
Western Asset Mortgage Opportunity Fund Inc. 2024 Quarterly Report
 Western Asset Mortgage Opportunity Fund Inc.
At September 30, 2024, the Fund had the following open futures contracts:  
 
 
 
Number of
Contracts
 
Expiration
Date
 
Notional
Amount
 
Market
Value
 
Unrealized
Appreciation
(Depreciation)
Contracts to Sell:
U.S. Treasury Long-Term Bonds
44
12/24
 $5,454,549
 $5,464,250
 $(9,701)
U.S. Treasury Ultra 10-Year Notes
79
12/24
9,340,758
9,345,453
(4,695)
U.S. Treasury Ultra Long-Term Bonds
20
12/24
2,674,844
2,661,875
12,969
Net unrealized depreciation on open futures contracts
$(1,427)
At September 30, 2024, the Fund had the following open forward foreign currency contract: 
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation
(Depreciation)
CNH
98,113,000
USD
13,860,450
JPMorgan Chase & Co.
10/18/24
 $163,409
USD
13,549,274
CNH
98,113,000
JPMorgan Chase & Co.
10/18/24
(474,586)
Net unrealized depreciation on open forward foreign currency contracts
$(311,177)
 
Abbreviation(s) used in this table:
CNH
—
Chinese Offshore Yuan
USD
—
United States Dollar
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.
11
Western Asset Mortgage Opportunity Fund Inc. 2024 Quarterly Report
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Mortgage Opportunity Fund Inc. (the “Fund”) was incorporated in Maryland on December 11, 2009, and is registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund’s primary investment objective is to provide current income. As a secondary investment objective, the Fund will seek capital appreciation. The Fund seeks to achieve its investment objectives by investing primarily in a diverse portfolio of mortgage-backed securities (“MBS”) and mortgage whole loans. Investments in MBS consist primarily of non-agency residential mortgage-backed securities (“RMBS”) and commercial mortgage-backed securities (“CMBS”).
The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.  
Pursuant to policies adopted by the Board of Directors, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.
12
Western Asset Mortgage Opportunity Fund Inc. 2024 Quarterly Report
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
•
Level 1 — unadjusted quoted prices in active markets for identical investments
•
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
•
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:
 
ASSETS
Description
Quoted Prices
(Level 1)
Other Significant
Observable Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3)
Total
Long-Term Investments†:
Residential Mortgage-Backed Securities
—
 $156,768,158
—
 $156,768,158
Commercial Mortgage-Backed Securities
—
66,359,163
—
66,359,163
Asset-Backed Securities
—
21,259,502
—
21,259,502
Preferred Stocks
 $3,445,959
—
—
3,445,959
Corporate Bonds & Notes
—
3,323,105
—
3,323,105
Convertible Bonds & Notes
—
3,302,638
—
3,302,638
Senior Loans:
Financials
—
981,717
 $491,081
1,472,798
Real Estate
—
499,685
—
499,685
Total Long-Term Investments
3,445,959
252,493,968
491,081
256,431,008
Short-Term Investments†
3,286,666
—
—
3,286,666
Total Investments
$6,732,625
$252,493,968
$491,081
$259,717,674
Other Financial Instruments:
Futures Contracts††
 $12,969
—
—
 $12,969
Forward Foreign Currency Contracts††
—
 $163,409
—
163,409
Total Other Financial Instruments
$12,969
$163,409
—
$176,378
Total
$6,745,594
$252,657,377
$491,081
$259,894,052
LIABILITIES
Description
Quoted Prices
(Level 1)
Other Significant
Observable Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3)
Total
Other Financial Instruments:
Futures Contracts††
 $14,396
—
—
 $14,396
Forward Foreign Currency Contracts††
—
 $474,586
—
474,586
Total
$14,396
$474,586
—
$488,982
 
†
See Schedule of Investments for additional detailed categorizations.
††
Reflects the unrealized appreciation (depreciation) of the instruments.
2. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered
13
Western Asset Mortgage Opportunity Fund Inc. 2024 Quarterly Report
Notes to Schedule of Investments (unaudited) (cont’d)
an affiliated company for all or some portion of the period ended September 30, 2024. The following transactions were effected in such company for the period ended September 30, 2024.
 
 
Affiliate
Value at

December 31,
2023
Purchased
Sold
Cost
Shares
Proceeds
Shares
Western Asset Premier
Institutional Government
Reserves, Premium
Shares
 $564,509
 $59,665,809
59,665,809
 $56,943,652
56,943,652

 
(cont’d)
Realized
Gain (Loss)
Dividend
Income
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
Affiliate
Value at
September 30,
2024
Western Asset Premier
Institutional Government
Reserves, Premium Shares
—
 $98,532
—
 $3,286,666
14
Western Asset Mortgage Opportunity Fund Inc. 2024 Quarterly Report
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