NPORT-EX 2 LMF4800LM093023.htm HTML

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
MORTGAGE-BACKED SECURITIES - 61.4%           

FHLMC - 13.3%

           

Federal Home Loan Mortgage Corp. (FHLMC)

      3.500 %      4/1/33-8/1/52      $ 10,860,515      $ 9,522,943  

Federal Home Loan Mortgage Corp. (FHLMC)

      3.000 %      2/1/40-2/1/51        3,265,198        2,778,928  

Federal Home Loan Mortgage Corp. (FHLMC)

      2.500 %      4/1/41-2/1/52        19,864,153        16,051,063  

Federal Home Loan Mortgage Corp. (FHLMC)

      2.000 %      9/1/41-2/1/52        9,580,017        7,379,789  

Federal Home Loan Mortgage Corp. (FHLMC)

      4.500 %      7/1/45-7/1/49        420,955        390,666  

Federal Home Loan Mortgage Corp. (FHLMC)

      5.500 %      12/1/52        297,159        288,669  

Federal Home Loan Mortgage Corp. (FHLMC)

      6.000 %      12/1/52        89,396        88,641  

Federal Home Loan Mortgage Corp. (FHLMC)

      6.500 %      5/1/53        942,837        949,705  

Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.619%)

      2.871 %      11/1/47        360,885        341,702 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.621%)

      3.097 %      2/1/50        464,919        438,438 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.628%)

      3.005 %      11/1/48        1,694,483        1,572,326 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      4.000 %      12/1/33-3/1/47        6,138,757        5,618,920  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      5.500 %      11/1/35        1,759        1,709  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      4.500 %      9/1/46-4/1/49        790,158        741,077  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      3.000 %      10/1/46        16,673,321        14,144,687  
          

 

 

  

Total FHLMC

              60,309,263  
          

 

 

  

FNMA - 29.5%

           

Federal National Mortgage Association (FNMA)

      3.790 %      8/1/28        1,700,000        1,593,546  

Federal National Mortgage Association (FNMA)

      7.500 %      8/1/29-4/1/32        79,343        79,591  

Federal National Mortgage Association (FNMA)

      8.500 %      10/1/30        8,936        9,056  

Federal National Mortgage Association (FNMA)

      3.500 %      12/1/34-3/1/57        11,233,261        9,917,099  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

1

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

FNMA - (continued)

           

Federal National Mortgage Association (FNMA)

      2.789 %      1/1/35      $ 1,172,927      $ 952,675 (a)  

Federal National Mortgage Association (FNMA)

      3.000 %      7/1/35-1/1/52        11,643,710        10,057,703  

Federal National Mortgage Association (FNMA)

      2.500 %      4/1/41-9/1/61        16,433,499        13,215,658  

Federal National Mortgage Association (FNMA)

      4.000 %      5/1/42-8/1/50        6,079,039        5,553,510  

Federal National Mortgage Association (FNMA)

      5.000 %      11/1/45-10/1/46        5,704,425        5,558,674  

Federal National Mortgage Association (FNMA)

      4.500 %      2/1/48-1/1/59        12,423,542        11,645,051  

Federal National Mortgage Association (FNMA)

      2.000 %      8/1/50-3/1/52        16,280,863        12,542,350  

Federal National Mortgage Association (FNMA)

      6.500 %      11/1/52-1/1/53        738,062        747,415  

Federal National Mortgage Association (FNMA)

      2.000 %      10/1/53        3,000,000        2,282,578 (b)  

Federal National Mortgage Association (FNMA)

      2.500 %      10/1/53        12,900,000        10,240,865 (b)  

Federal National Mortgage Association (FNMA)

      3.500 %      10/1/53        1,500,000        1,290,117 (b)  

Federal National Mortgage Association (FNMA)

      4.000 %      10/1/53        6,100,000        5,431,383 (b)  

Federal National Mortgage Association (FNMA)

      4.500 %      10/1/53        3,400,000        3,121,891 (b)  

Federal National Mortgage Association (FNMA)

      5.000 %      10/1/53        5,400,000        5,094,984 (b)  

Federal National Mortgage Association (FNMA)

      5.500 %      10/1/53        15,300,000        14,786,613 (b)  

Federal National Mortgage Association (FNMA)

      6.000 %      10/1/53        11,100,000        10,955,180 (b)  

Federal National Mortgage Association (FNMA)

      6.500 %      10/1/53        8,100,000        8,137,336 (b)  
          

 

 

  

Total FNMA

              133,213,275  
          

 

 

  

GNMA - 18.6%

           

Government National Mortgage Association (GNMA)

      8.500 %      6/15/25        2,952        2,950  

Government National Mortgage Association (GNMA)

      7.500 %      4/15/29-9/15/31        48,836        48,872  

 

See Notes to Schedule of Investments.

 

 

 

2

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

GNMA - (continued)

           

Government National Mortgage Association (GNMA)

      6.000 %      11/15/32      $ 215,355      $ 214,169  

Government National Mortgage Association (GNMA)

      5.000 %      4/15/40-5/15/40        347,953        338,053  

Government National Mortgage Association (GNMA)

      3.000 %      9/15/42-11/15/42        576,086        498,396  

Government National Mortgage Association (GNMA)

      3.500 %      6/15/48-6/15/50        2,175,119        1,949,421  

Government National Mortgage Association (GNMA)

      4.000 %      3/15/50        63,824        58,182  

Government National Mortgage Association (GNMA) II

      3.500 %      6/20/44-3/20/52        5,724,364        5,078,603  

Government National Mortgage Association (GNMA) II

      3.000 %      11/20/46-3/20/52        14,000,483        11,980,359  

Government National Mortgage Association (GNMA) II

      4.000 %      7/20/47-8/20/50        5,059,891        4,628,927  

Government National Mortgage Association (GNMA) II

      4.500 %      8/20/47-7/20/50        3,294,244        3,069,021  

Government National Mortgage Association (GNMA) II

      5.000 %      5/20/48-1/20/53        1,672,842        1,608,446  

Government National Mortgage Association (GNMA) II

      5.500 %      12/20/48-6/20/49        4,794,311        4,738,517  

Government National Mortgage Association (GNMA) II

      2.500 %      12/20/50-8/20/52        9,629,700        7,886,693  

Government National Mortgage Association (GNMA) II

      2.000 %      3/20/51        336,201        257,773  

Government National Mortgage Association (GNMA) II

      2.000 %      10/20/53        3,500,000        2,767,598 (b)  

Government National Mortgage Association (GNMA) II

      2.500 %      10/20/53        700,000        572,222 (b)  

Government National Mortgage Association (GNMA) II

      3.000 %      10/20/53        3,600,000        3,051,563 (b)  

Government National Mortgage Association (GNMA) II

      3.500 %      10/20/53        2,400,000        2,102,438 (b)  

Government National Mortgage Association (GNMA) II

      4.000 %      10/20/53        2,400,000        2,162,531 (b)  

Government National Mortgage Association (GNMA) II

      4.500 %      10/20/53        4,600,000        4,249,789 (b)  

Government National Mortgage Association (GNMA) II

      5.000 %      10/20/53        9,300,000        8,813,203 (b)  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

3

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

GNMA - (continued)

           

Government National Mortgage Association (GNMA) II

      5.500 %      10/20/53      $ 3,400,000      $ 3,299,594 (b) 

Government National Mortgage Association (GNMA) II

      6.000 %      10/20/53        8,000,000        7,927,500 (b)  

Government National Mortgage Association (GNMA) II

      6.500 %      10/20/53        5,100,000        5,129,086 (b)  

Government National Mortgage Association (GNMA) II (1 mo. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.778%)

      6.924 %      6/20/60        1,632,203        1,653,297 (a) 

Government National Mortgage Association (GNMA) II (1 year Treasury Constant Maturity Rate + 1.077%)

      6.350 %      8/20/58        13,625        13,603 (a)  
          

 

 

  

Total GNMA

              84,100,806  
          

 

 

  

TOTAL MORTGAGE-BACKED SECURITIES
(Cost - $305,609,748)

              277,623,344  
          

 

 

  
COLLATERALIZED MORTGAGE OBLIGATIONS(c) - 50.5%           

Alternative Loan Trust, 2006-OA9 2A1B (1 mo. Term SOFR + 0.314%)

      5.639 %      7/20/46        72,518        57,461 (a)  

AOA Mortgage Trust, 2021-1177 A (1 mo. Term SOFR + 0.989%)

      6.322 %      10/15/38        670,000        608,140 (a)(d)  

AREIT Trust, 2021-CRE5 A (1 mo. Term SOFR + 1.194%)

      6.525 %      11/17/38        710,916        696,589 (a)(d)  

BAMLL Re-REMIC Trust, 2016-GG10 AJA

      5.818 %      8/10/45        1,828,406        397,678 (a)(d)  

BANK, 2021-BN32 XA, IO

      0.884 %      4/15/54        6,078,054        238,015 (a)  

Benchmark Mortgage Trust, 2019-B13 A3

      2.701 %      8/15/57        1,440,000        1,222,962  

Benchmark Mortgage Trust, 2019-B13 XA, IO

      1.252 %      8/15/57        10,019,967        436,088 (a)  

Benchmark Mortgage Trust, 2020-B16 A4

      2.483 %      2/15/53        1,450,000        1,199,508  

Benchmark Mortgage Trust, 2020-IG3 C

      3.391 %      9/15/48        2,000,000        941,469 (a)(d)  

Benchmark Mortgage Trust, 2021-B25 XA, IO

      1.213 %      4/15/54        16,788,963        922,520 (a)  

BHMS Mortgage Trust, 2018-ATLS C (1 mo. Term SOFR + 2.197%)

      7.529 %      7/15/35        2,250,000        2,160,320 (a)(d) 

BHMS Mortgage Trust, 2018-MZB (1 mo. Term SOFR + 6.934%)

      12.266 %      7/15/25        1,070,000        958,847 (a)(d)  

BPR Trust, 2021-TY C (1 mo. Term SOFR + 1.814%)

      7.147 %      9/15/38        1,060,000        991,860 (a)(d)  

BX Trust, 2021-ARIA G (1 mo. Term SOFR + 3.257%)

      8.589 %      10/15/36        1,070,000        1,003,892 (a)(d) 

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

      7.500 %      5/25/32        125,268        124,611  

CSMC Trust, 2014-USA C

      4.336 %      9/15/37        2,500,000        1,894,103 (d)  

CSMC Trust, 2017-CHOP H (PRIME + 4.294%)

      12.794 %      7/15/32        1,472,000        1,346,525 (a)(d) 

 

See Notes to Schedule of Investments.

 

 

 

4

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

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

CSMC Trust, 2017-RPL1 B1

      2.962 %      7/25/57      $ 4,076,582      $ 2,477,515 (a)(d) 

CSMC Trust, 2017-RPL1 B2

      2.962 %      7/25/57        4,676,961        2,451,463 (a)(d) 

CSMC Trust, 2017-RPL1 B3

      2.962 %      7/25/57        3,976,476        1,562,500 (a)(d) 

CSMC Trust, 2017-RPL1 B4

      2.962 %      7/25/57        4,035,892        734,234 (a)(d) 

CSMC Trust, 2017-RPL3 B3

      4.477 %      8/1/57        2,783,572        2,551,117 (a)(d) 

CSMC Trust, 2022-NWPT A (1 mo. Term SOFR + 3.143%)

      8.475 %      9/9/24        1,750,000        1,767,262 (a)(d) 

Deephaven Residential Mortgage Trust, 2020-2 A3

      2.856 %      5/25/65        3,140,000        3,034,129 (d) 

Ellington Financial Mortgage Trust, 2020-1 B2

      5.112 %      5/25/65        3,570,000        3,235,117 (a)(d) 

EverBank Mortgage Loan Trust, 2018-1 AX1, IO

      0.075 %      2/25/48        51,049,810        71,914 (a)(d)  

EverBank Mortgage Loan Trust, 2018-1 B4

      3.575 %      2/25/48        2,298,930        1,440,261 (a)(d) 

EverBank Mortgage Loan Trust, 2018-1 B5

      3.575 %      2/25/48        2,291,956        870,189 (a)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily PC REMIC Trust, 2019-RR01 X, IO

      1.534 %      6/25/28        2,300,000        133,476 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K110 X1, IO

      1.813 %      4/25/30        994,244        82,264 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K115 X1, IO

      1.427 %      6/25/30        995,756        68,263 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K116 X1, IO

      1.528 %      7/25/30        993,483        71,853 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K132 X1, IO

      0.608 %      8/25/31        9,996,500        316,518 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K141 X1, IO

      0.407 %      2/25/32        34,193,468        736,924 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K142 X1, IO

      0.403 %      3/25/32        17,089,796        357,163 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K143 X1, IO

      0.450 %      4/25/55        66,426,765        1,622,487 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K148 X1, IO

      0.391 %      7/25/32        20,086,471        410,869 (a)  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

5

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

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

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K742 X1, IO

      0.867 %      3/25/28      $ 6,181,360      $ 142,101 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1510 X1, IO

      0.636 %      1/25/34        39,897,421        1,344,415 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1516 X1, IO

      1.629 %      5/25/35        4,340,362        509,422 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1520 X1, IO

      0.578 %      2/25/36        14,948,171        562,994 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, KG06 X1, IO

      0.626 %      10/25/31        14,685,199        477,875 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Reference REMIC, R007 ZA

      6.000 %      5/15/36        338,836        344,333  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 2525 AM

      4.500 %      4/15/32        43,907        42,351  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3027 AS, IO (-1.000 x 30 Day Average SOFR + 6.036%)

      0.722 %      5/15/29        16,452        393 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3265 SB, IO (-1.000 x 30 Day Average SOFR + 6.026%)

      0.712 %      1/15/37        26,681        1,324 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3397 GS, IO (-1.000 x 30 Day Average SOFR + 6.886%)

      1.572 %      12/15/37        234,452        18,494 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3947 SG, IO (-1.000 x 30 Day Average SOFR + 5.836%)

      0.522 %      10/15/41        211,431        14,547 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3966 SA, IO (-1.000 x 30 Day Average SOFR + 5.786%)

      0.472 %      12/15/41        1,450,273        93,928 (a)  

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

      3.000 %      5/15/27        112,288        3,866  

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

      0.000 %      5/15/41        1,061,701        810,267  

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

      3.000 %      6/15/27        357,483        11,379  

 

See Notes to Schedule of Investments.

 

 

 

6

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

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

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

      3.500 %      10/15/32      $ 1,568,553      $ 153,887  

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

      3.500 %      11/15/42        2,624,612        434,201  

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

      3.000 %      12/15/32        1,067,581        74,115  

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

      3.500 %      12/15/32        1,559,467        146,252  

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

      3.000 %      1/15/33        1,302,969        74,858  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4203 PS, IO, PAC (-1.000 x 30 Day Average SOFR + 6.136%)

      0.822 %      9/15/42        519,124        34,556 (a)  

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

      3.000 %      5/15/43        3,342,375        2,507,872  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4377 UZ

      3.000 %      8/15/44        2,618,038        1,931,900  

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

      3.500 %      7/15/32        263,769        7,629  

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

      3.500 %      7/15/44        213        0 (e)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4715 JS, IO (-1.000 x 30 Day Average SOFR + 6.036%)

      0.722 %      8/15/47        1,135,793        114,266 (a)  

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

      4.000 %      9/15/45        402,409        27,028  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4808 SB, IO (-1.000 x 30 Day Average SOFR + 6.086%)

      0.772 %      7/15/48        1,192,483        124,852 (a)  

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

      3.000 %      8/15/48        305,517        259,448  

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

      5.000 %      1/15/49        1,457,590        275,388  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4882 S, IO, PAC (-1.000 x 30 Day Average SOFR + 5.936%)

      0.622 %      5/15/49        1,624,863        148,891 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4921 SN, IO (-1.000 x 30 Day Average SOFR + 5.936%)

      0.621 %      10/25/49        2,921,021        273,936 (a)  

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

      2.500 %      11/25/49        3,331,434        2,152,096  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

7

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

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

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4962 SP, IO, PAC (-1.000 x 30 Day Average SOFR + 5.936%)

      0.621 %      3/25/50      $ 1,558,342      $ 137,994 (a) 

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

      2.000 %      7/25/50        3,628,144        1,944,215  

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

      2.500 %      7/25/50        2,280,340        336,421  

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

      2.500 %      7/25/50        11,737,046        1,831,210  

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

      2.500 %      7/25/50        5,921,926        739,330  

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

      2.500 %      7/25/50        5,026,561        869,385  

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

      2.500 %      11/25/50        141,353        24,445  

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

      2.500 %      1/25/51        2,140,891        372,911  

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

      2.500 %      1/25/51        669,887        105,835  

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

      2.000 %      2/25/51        4,598,301        628,701  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5078 EI, IO

      1.500 %      1/25/51        5,394,236        519,897  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5085 IK, IO

      2.500 %      3/25/51        17,683,265        2,822,870  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5092 IU, IO

      2.500 %      2/25/51        8,110,434        952,549  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5113 NI, IO, PAC

      2.500 %      6/25/51        2,465,854        301,606  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5134 KI, IO

      2.500 %      7/25/48        8,000,189        1,067,236  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5135 DI, IO

      2.500 %      5/25/48        7,599,477        1,016,200  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5149 NI, IO, PAC

      2.500 %      1/25/51        981,924        140,475  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5160 IU, IO

      2.500 %      11/25/50        5,312,255        718,079  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5169 PW, PAC

      2.000 %      9/25/51        4,700,000        2,877,676  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5178 CY

      2.000 %      1/25/42        4,400,000        2,753,479  

 

See Notes to Schedule of Investments.

 

 

 

8

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

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

 

      

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5200 KQ, PAC

      3.000 %      9/25/49      $ 1,054,184      $ 928,681  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5209 EQ

      3.000 %      4/25/52        2,800,000        1,910,182  

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

      0.000 %      9/25/55        4,392,219        395,983 (d)  

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

      1.285 %      9/25/55        7,778,301        883,288 (a)(d) 

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

      0.075 %      9/25/55        50,085,452        221,227 (a)(d) 

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

      0.000 %      8/25/56        7,819,695        660,517 (d)  

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

      1.263 %      8/25/56        16,396,313        1,767,141 (a)(d) 

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

      0.075 %      8/25/56        312,196,613        1,381,470 (a)(d) 

Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 312 S1, IO (-1.000 x 30 Day Average SOFR + 5.836%)

      0.522 %      9/15/43        1,083,687        89,829 (a)  

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

      0.000 %      11/15/43        2,535,586        1,929,619  

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

      0.000 %      2/15/38        248,356        12,309 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA2 B (30 Day Average SOFR + 10.614%)

      15.929 %      10/25/28        2,378,758        2,692,034 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA1 B2 (30 Day Average SOFR + 10.114%)

      15.429 %      7/25/29        2,517,500        2,807,745 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-SPI1 B

      4.119 %      9/25/47        1,813,836        1,227,344 (a)(d) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

9

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

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

Federal Home Loan Mortgage Corp. (FHLMC)

           

Structured Agency Credit Risk Debt Notes, 2018-HRP1 B2 (30 Day Average SOFR + 11.864%)

      17.179 %      5/25/43      $ 4,917,785      $ 5,683,968 (a)(d) 

Federal National Mortgage Association (FNMA) - CAS, 2016-C04 1B (30 Day Average SOFR + 10.364%)

      15.679 %      1/25/29        4,596,043        5,217,845 (a)(d) 

Federal National Mortgage Association (FNMA) - CAS, 2016-C06 1B (30 Day Average SOFR + 9.364%)

      14.679 %      4/25/29        3,743,244        4,186,276 (a)(d) 

Federal National Mortgage Association (FNMA) - CAS, 2021-R03 1B2 (30 Day Average SOFR + 5.500%)

      10.815 %      12/25/41        500,000        498,657 (a)(d) 

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

      1.187 %      6/25/29        14,841,593        651,070 (a)  

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

      1.872 %      1/25/29        6,741,217        480,680 (a)  

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

      0.538 %      4/25/32        40,569,009        1,058,015 (a) 

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

      1.703 %      1/25/37        5,401,171        486,831 (a)  

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

      1.333 %      12/25/32        18,663,169        1,089,063 (a) 

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

      6.000 %      4/25/33        44,685        7,036  

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

      5.000 %      2/25/49        242,027        231,040  

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

      4.697 %      8/25/39        247,185        240,122 (a)  

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

      5.000 %      9/25/39        656,014        643,830  

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

      5.500 %      2/25/40        240,390        40,799  

Federal National Mortgage Association (FNMA) REMIC, 2010-84 SK, IO (-1.000 x 30 Day Average SOFR + 6.446%)

      1.131 %      8/25/40        592,332        43,130 (a)  

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

      5.500 %      7/25/41        138,776        138,574  

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

      12.093 %      1/25/38        224,871        263,203 (a)  

 

See Notes to Schedule of Investments.

 

 

 

10

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)

           

Federal National Mortgage Association (FNMA) REMIC, 2012-14 SL, IO (-1.000 x 30 Day Average SOFR + 6.436%)

      1.121 %      12/25/40      $ 658,665      $ 7,145 (a)  

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

      6.500 %      6/25/39        40,222        40,511  

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

      7.000 %      5/25/42        156,037        164,331  

Federal National Mortgage Association (FNMA) REMIC, 2012-75 NS, IO (-1.000 x 30 Day Average SOFR + 6.486%)

      1.171 %      7/25/42        972,309        89,300 (a)  

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

      3.500 %      11/25/32        763,127        73,150  

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

      3.000 %      12/25/27        579,395        23,104  

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

      3.000 %      1/25/28        1,127,623        39,606  

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

      6.500 %      7/25/42        151,870        157,601  

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

      5.500 %      4/25/42        1,229,757        1,228,273  

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

      0.000 %      8/25/44        651,205        29,937 (a)  

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

      0.000 %      8/25/44        1,191,547        46,595 (a)  

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

      0.000 %      8/25/44        927,965        47,415 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2015-39 LZ

      3.000 %      6/25/45        222,091        187,857  

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

      4.500 %      6/25/38        5,282,200        767,704  

Federal National Mortgage Association (FNMA) REMIC, 2018-74 AB

      3.500 %      10/25/48        1,433,633        1,268,715  

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

      4.000 %      2/25/48        4,185,339        813,316  

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

      5.000 %      5/25/48        1,055,628        207,468  

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

      2.750 %      7/25/49        2,328,125        1,480,135  

Federal National Mortgage Association (FNMA) REMIC, 2019-38 SH, IO (-1.000 x 30 Day Average SOFR + 5.936%)

      0.648 %      7/25/49        3,712,937        297,903 (a)  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

11

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)

           

Federal National Mortgage Association (FNMA) REMIC, 2019-44 SM, IO (-1.000 x 30 Day Average SOFR + 5.936%)

      0.621 %      8/25/49      $ 1,897,113      $ 209,670 (a) 

Federal National Mortgage Association (FNMA) REMIC, 2019-45 BS, IO (-1.000 x 30 Day Average SOFR + 5.936%)

      0.621 %      8/25/49        2,055,683        196,237 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2019-57 NS, IO (-1.000 x 30 Day Average SOFR + 5.886%)

      0.571 %      10/25/49        1,223,563        110,682 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2019-58 HS, IO (-1.000 x 30 Day Average SOFR + 5.886%)

      0.571 %      10/25/49        1,796,058        157,988 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2019-59 SH, IO (-1.000 x 30 Day Average SOFR + 5.886%)

      0.571 %      10/25/49        3,642,121        352,015 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2020-26 SA, IO (-1.000 x 30 Day Average SOFR + 5.836%)

      0.521 %      5/25/50        1,555,626        130,083 (a)  

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

      2.000 %      7/25/50        1,173,811        627,383  

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

      2.000 %      9/25/50        1,704,871        202,373  

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

      2.000 %      9/25/50        2,390,477        303,745  

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

      2.500 %      10/25/50        151,118        24,372  

Federal National Mortgage Association (FNMA) REMIC, 2020-88 GI, IO

      2.500 %      12/25/50        1,984,290        292,191  

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

      2.500 %      12/25/50        1,041,474        156,500  

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

      2.500 %      1/25/51        5,534,662        786,069  

Federal National Mortgage Association (FNMA) REMIC, 2021-42 NI, IO

      2.500 %      11/25/48        8,435,988        1,085,667  

Federal National Mortgage Association (FNMA) REMIC, 2021-46 BI, IO

      2.500 %      12/25/48        5,512,599        757,755  

Federal National Mortgage Association (FNMA) REMIC, 2021-49 GI, IO

      2.500 %      10/25/48        2,879,779        363,172  

Federal National Mortgage Association (FNMA) REMIC, 2021-54 KI, IO

      2.500 %      5/25/49        811,758        113,217  

 

See Notes to Schedule of Investments.

 

 

 

12

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)

           

Federal National Mortgage Association (FNMA) REMIC, 2021-59 TI, IO

      2.500 %      9/25/51      $ 5,716,167      $ 839,923  

Federal National Mortgage Association (FNMA) REMIC, 2021-61 KI, IO

      2.500 %      4/25/49        972,822        135,468  

Federal National Mortgage Association (FNMA) REMIC, 2021-74 IO, IO

      2.500 %      10/25/51        12,247,639        1,940,374  

Federal National Mortgage Association (FNMA) REMIC, 2021-85 IN, IO

      2.500 %      2/25/50        4,081,350        670,059  

Federal National Mortgage Association (FNMA) REMIC, 2021-91 IG, IO

      2.500 %      1/25/52        2,108,255        307,962  

Federal National Mortgage Association (FNMA) REMIC, 2022-29 KZ

      1.500 %      6/25/42        6,733,245        4,464,944  

Federal National Mortgage Association (FNMA) REMIC, 2022-57 BC

      4.000 %      9/25/52        904,327        831,297  

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

      5.000 %      8/25/35        526,581        80,177  

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

      6.000 %      9/25/35        41,515        6,426  

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

      5.500 %      1/25/38        52,018        9,541  

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

      5.500 %      7/25/37        38,754        6,739  

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

      4.000 %      2/25/41        1,402,004        238,572  

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

      6.000 %      1/25/38        28,984        6,318  

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

      6.000 %      1/25/38        21,802        3,758  

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

      5.000 %      1/25/38        233,804        39,609  

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

      3.500 %      2/25/43        2,655,840        434,918  

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

      3.500 %      8/25/43        6,210,939        1,044,882  

Government National Mortgage Association (GNMA), 2004-59 FP (1 mo. Term SOFR + 0.414%)

      5.745 %      8/16/34        346,154        344,713 (a)  

Government National Mortgage Association (GNMA), 2004-81 SK, IO (-1.000 x 1 mo. Term SOFR + 6.086%)

      0.755 %      10/16/34        342,932        11,755 (a)  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

13

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

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

Government National Mortgage Association (GNMA), 2007-17 IB, IO (-1.000 x 1 mo. Term SOFR + 6.136%)

      0.811 %      4/20/37      $ 2,084,047      $ 60,692 (a) 

Government National Mortgage Association (GNMA), 2007-45 QB, IO, PAC (-1.000 x 1 mo. Term SOFR + 6.486%)

      1.161 %      7/20/37        347,846        21,455 (a) 

Government National Mortgage Association (GNMA), 2009-H01 FA (1 mo. Term SOFR + 1.264%)

      6.589 %      11/20/59        157,807        157,854 (a) 

Government National Mortgage Association (GNMA), 2010-4 SI, IO (-1.000 x 1 mo. Term SOFR + 5.986%)

      0.655 %      11/16/34        735,888        14,343 (a) 

Government National Mortgage Association (GNMA), 2010-42 BS, IO (-1.000 x 1 mo. Term SOFR + 6.366%)

      1.041 %      4/20/40        3,997        370 (a)  

Government National Mortgage Association (GNMA), 2010-59 SM, IO (-1.000 x 1 mo. Term SOFR + 5.886%)

      0.555 %      5/16/40        254,901        9,349 (a)  

Government National Mortgage Association (GNMA), 2010-85 HS, IO, PAC (-1.000 x 1 mo. Term SOFR + 6.536%)

      1.211 %      1/20/40        1,229        6 (a)  

Government National Mortgage Association (GNMA), 2010-H02 FA (1 mo. Term SOFR + 0.794%)

      6.123 %      2/20/60        737,613        734,107 (a) 

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

      4.000 %      12/16/25        17,606        239  

Government National Mortgage Association (GNMA), 2011-79 KS, IO (-1.000 x 1 mo. Term SOFR + 5.286%)

      0.000 %      5/20/41        997,406        58,928 (a) 

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

      5.000 %      6/20/39        745,238        736,901  

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

      0.000 %      9/16/46        2,547,248        25 (a)  

Government National Mortgage Association (GNMA), 2011-146 KS, IO (-1.000 x 1 mo. Term SOFR + 5.986%)

      0.655 %      11/16/41        774,110        60,536 (a) 

Government National Mortgage Association (GNMA), 2012-13 SK, IO (-1.000 x 1 mo. Term SOFR + 6.536%)

      1.211 %      2/20/41        265,626        15,441 (a)  

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

      0.094 %      8/16/52        807,161        398 (a)  

 

See Notes to Schedule of Investments.

 

 

 

14

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)

 

        

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

      3.500 %      10/20/41      $ 1,955,335      $ 137,754  

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

      0.976 %      9/16/51        2,074,282        37,577 (a)  

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

      1.012 %      2/16/46        2,228,162        48,258 (a)  

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

      4.500 %      1/20/44        832,677        177,096  

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

      0.449 %      6/16/55        3,033,122        41,118 (a)  

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

      0.628 %      9/16/55        1,026,512        25,256 (a)  

Government National Mortgage Association (GNMA), 2014-60 SA, IO (-1.000 x 1 mo. Term SOFR + 5.986%)

      0.655 %      4/16/44        2,342,903        174,367 (a)  

Government National Mortgage Association (GNMA), 2014-91 SB, IO (-1.000 x 1 mo. Term SOFR + 5.486%)

      0.155 %      6/16/44        923,884        52,932 (a)  

Government National Mortgage Association (GNMA), 2014-118 HS, IO (-1.000 x 1 mo. Term SOFR + 6.086%)

      0.761 %      8/20/44        509,670        45,992 (a)  

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

      4.000 %      4/16/45        1,985,330        380,995  

Government National Mortgage Association (GNMA), 2016-51 NS, IO (-1.000 x 1 mo. Term SOFR + 5.936%)

      0.611 %      4/20/46        1,590,383        141,293 (a)  

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

      0.642 %      8/16/58        2,755,104        74,127 (a)  

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

      2.000 %      11/20/46        5,417,124        3,531,075  

Government National Mortgage Association (GNMA), 2017-19 SE, IO (-1.000 x 1 mo. Term SOFR + 6.036%)

      0.705 %      2/16/47        2,323,721        174,678 (a)  

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

      0.633 %      10/16/58        8,067,387        279,047 (a)  

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

      5.000 %      2/20/40        3,498,879        742,322  

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

      0.592 %      7/16/58        509,634        14,456 (a)  

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

      0.618 %      3/16/60        1,430,364        49,813 (a)  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

15

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

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

Government National Mortgage Association (GNMA), 2018-168 PA, PAC

      4.000 %      8/20/48      $ 953,315      $ 879,990  

Government National Mortgage Association (GNMA), 2018-125 HS, IO (-1.000 x 1 mo. Term SOFR + 6.136%)

      0.811 %      9/20/48        1,440,960        108,081 (a) 

Government National Mortgage Association (GNMA), 2018-134 SM, IO (-1.000 x 1 mo. Term SOFR + 6.086%)

      0.761 %      10/20/48        2,175,833        170,412 (a) 

Government National Mortgage Association (GNMA), 2019-18 TP, PAC

      3.500 %      2/20/49        642,909        567,771  

Government National Mortgage Association (GNMA), 2019-85 LS, IO (-1.000 x 1 mo. Term SOFR + 3.176%)

      0.000 %      7/20/49        15,718,636        193,371 (a) 

Government National Mortgage Association (GNMA), 2020-33 SD, IO (-1.000 x 1 mo. Term SOFR + 6.036%)

      0.711 %      7/20/47        895,305        82,117 (a)  

Government National Mortgage Association (GNMA), 2020-36 GS, IO (-1.000 x 1 mo. Term SOFR + 5.986%)

      0.661 %      3/20/50        5,474,650        599,204 (a) 

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

      3.500 %      4/20/50        497,203        85,092  

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

      3.500 %      4/20/50        209,938        35,011  

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

      4.000 %      3/20/50        1,196,660        216,727  

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

      3.500 %      4/20/50        1,252,663        212,421  

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

      0.840 %      5/16/60        4,710,307        258,415 (a) 

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

      2.500 %      8/20/50        6,358,050        865,205  

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

      2.500 %      8/20/50        2,309,634        315,643  

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

      2.500 %      8/20/50        4,655,918        631,120  

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

      2.500 %      9/20/50        153,485        21,006  

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

      2.500 %      10/20/50        4,905,666        809,036  

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

      2.500 %      10/20/50        230,407        32,788  

 

See Notes to Schedule of Investments.

 

 

 

16

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

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

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

      2.500 %      10/20/50      $ 622,100      $ 82,805  

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

      2.000 %      12/20/50        1,180,717        127,612  

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

      2.500 %      12/20/50        3,958,538        656,672  

Government National Mortgage Association (GNMA), 2020-H02 FG (1 mo. Term SOFR + 0.714%)

      5.414 %      1/20/70        998,909        992,615 (a)  

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

      0.026 %      4/1/70        7,104,691        217,354 (a)  

Government National Mortgage Association (GNMA), 2020-H12 F (1 mo. Term SOFR + 0.614%)

      5.531 %      7/20/70        48,635        47,371 (a)  

Government National Mortgage Association (GNMA), 2020-H13 FA (1 mo. Term SOFR + 0.564%)

      5.000 %      7/20/70        508,186        492,368 (a)  

Government National Mortgage Association (GNMA), 2021-8 AQ

      5.000 %      1/20/51        746,061        729,720  

Government National Mortgage Association (GNMA), 2021-14 AB

      1.340 %      6/16/63        1,158,869        849,633  

Government National Mortgage Association (GNMA), 2021-21 AH

      1.400 %      6/16/63        2,964,414        2,183,892  

Government National Mortgage Association (GNMA), 2021-29 AG

      5.000 %      2/20/51        1,121,816        1,074,197  

Government National Mortgage Association (GNMA), 2021-216 NI, IO

      3.000 %      12/20/51        4,299,572        665,898  

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

      2.500 %      1/16/51        4,740,024        800,422  

Government National Mortgage Association (GNMA), 2021-15 TQ, IO (-1.000 x 1 mo. Term SOFR + 6.186%)

      0.861 %      12/20/50        21,877,937        1,307,108 (a) 

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

      2.500 %      2/20/51        730,304        121,574  

Government National Mortgage Association (GNMA), 2021-60 IO, IO

      0.826 %      5/16/63        4,614,870        269,606 (a)  

Government National Mortgage Association (GNMA), 2021-68 IO, IO

      0.870 %      10/16/62        4,516,562        271,329 (a)  

Government National Mortgage Association (GNMA), 2021-156 IE, IO

      2.500 %      9/20/51        4,614,377        657,700  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

17

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

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

Government National Mortgage Association (GNMA), 2021-158 IN, IO

      2.500 %      9/20/51      $ 7,977,331      $ 1,092,196  

Government National Mortgage Association (GNMA), 2021-158 XB, IO

      2.500 %      9/20/51        5,067,219        694,866  

Government National Mortgage Association (GNMA), 2021-180 IO, IO

      0.911 %      11/16/63        2,335,172        157,580 (a)  

Government National Mortgage Association (GNMA), 2022-54 Z

      2.000 %      10/16/63        1,854,772        754,694 (a)  

Government National Mortgage Association (GNMA), 2022-139 AL

      4.000 %      7/20/51        1,200,000        1,034,512  

Government National Mortgage Association (GNMA), 2022-147 B

      2.200 %      10/16/63        6,500,000        4,469,608  

Government National Mortgage Association (GNMA), 2022-158 AL

      2.100 %      8/16/64        5,949,175        4,162,612  

Government National Mortgage Association (GNMA), 2022-86 C

      2.250 %      10/16/63        800,000        353,140 (a)  

Government National Mortgage Association (GNMA), 2023-92 AH

      2.000 %      6/16/64        2,899,851        2,073,087  

Government National Mortgage Association (GNMA), 2023-92 IA, IO

      0.611 %      6/16/64        1,999,897        122,884 (a)  

GS Mortgage Securities Corp. II, 2018-SRP5 D (1 mo. Term SOFR + 6.614%)

      11.947 %      9/15/31        4,450,678        869,327 (a)(d) 

GS Mortgage Securities Corp. Trust, 2018- LUAU G (1 mo. Term SOFR + 4.497%)

      9.829 %      11/15/32        1,070,000        1,050,891 (a)(d) 

GS Mortgage Securities Corp. Trust, 2021-IP A (1 mo. Term SOFR + 1.064%)

      6.397 %      10/15/36        360,000        343,469 (a)(d) 

GS Mortgage Securities Trust, 2015-GC34 D

      2.979 %      10/10/48        2,500,000        1,758,541  

GS Mortgage Securities Trust, 2019-GC39 XA, IO

      1.260 %      5/10/52        43,297,375        1,725,716 (a) 

GS Mortgage Securities Trust, 2020-GC47 XA, IO

      1.243 %      5/12/53        16,937,783        954,393 (a)  

GSMPS Mortgage Loan Trust, 2006-RP2 1AF1 (1 mo. Term SOFR + 0.514%)

      5.834 %      4/25/36        1,022,258        835,159 (a)(d) 

Impac CMB Trust, 2004-10 3A1 (1 mo. Term SOFR + 0.814%)

      6.134 %      3/25/35        70,978        67,294 (a)  

Impac CMB Trust, 2007-A A (1 mo. Term SOFR + 0.614%)

      5.934 %      5/25/37        194,352        181,172 (a)(d) 

JPMDB Commercial Mortgage Securities Trust, 2017-C7 B

      3.985 %      10/15/50        420,000        345,719  

JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ

      6.561 %      2/15/51        16,864        15,132 (a)  

 

See Notes to Schedule of Investments.

 

 

 

18

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

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

JPMorgan Chase Commercial Mortgage Securities Trust, 2015-FL7 D (PRIME + 0.693%)

      9.193 %      5/15/28      $ 2,873,012      $ 2,556,406 (a)(d) 

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

      1.625 %      6/13/52        15,630,981        860,448 (a)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST G (1 mo. Term SOFR + 4.614%)

      9.946 %      12/15/36        2,018,000        201,939 (a)(d) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-MKST H (1 mo. Term SOFR + 7.114%)

      12.446 %      12/15/36        2,106,000        100,180 (a)(d) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX

      4.844 %      1/16/37        2,530,000        1,806,395 (a)(d) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYAH H (1 mo. Term SOFR + 3.504%)

      8.837 %      6/15/38        360,000        299,043 (a)(d) 

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

      4.250 %      9/29/46        1,288,560        1,217,689 (d)(f)(g) 

MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. Term SOFR + 0.324%)

      5.644 %      4/25/46        242,221        212,274 (a)  

Med Trust, 2021-MDLN F (1 mo. Term SOFR + 4.114%)

      9.446 %      11/15/38        3,542,996        3,376,949 (a)(d) 

ML-CFC Commercial Mortgage Trust, 2007-5 AJFL

      5.450 %      8/12/48        497,439        125,684 (a)(d) 

Morgan Stanley Capital I Trust, 2007-IQ16 AJ

      6.282 %      12/12/49        39,657        19,622 (a)  

Morgan Stanley Mortgage Loan Trust, 2006-8AR 1A2 (1 mo. Term SOFR + 0.254%)

      5.574 %      6/25/36        29,455        6,089 (a)  

Morgan Stanley Re-REMIC Trust, 2015-R6 1A1 (1 mo. Term SOFR + 0.374%)

      4.249 %      7/26/45        19,234        19,195 (a)(d)  

MRCD Mortgage Trust, 2019-PRKC A

      4.250 %      12/15/36        2,097,000        1,634,599 (a)(d) 

Multifamily CAS Trust, 2020-1 CE (30 Day Average SOFR + 7.614%)

      12.929 %      3/25/50        4,500,000        4,479,856 (a)(d) 

Multifamily Trust, 2016-1 B

      0.681 %      4/25/46        642,771        642,542 (a)(d) 

Natixis Commercial Mortgage Securities Trust, 2019-FAME D

      4.544 %      8/15/36        1,950,000        1,269,513 (a)(d) 

Natixis Commercial Mortgage Securities Trust, 2019-FAME E

      4.544 %      8/15/36        2,077,000        1,135,142 (a)(d) 

New Residential Mortgage Loan Trust, 2014-1A A

      3.750 %      1/25/54        459,161        425,383 (a)(d) 

NewRez Warehouse Securitization Trust, 2021-1 F (1 mo. Term SOFR + 5.364%)

      10.684 %      5/25/55        1,157,000        1,158,059 (a)(d) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

19

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued)

 

      

NovaStar Mortgage Funding Trust, 2006- MTA1 2A1A (1 mo. Term SOFR + 0.494%)

      0.476 %      9/25/46      $ 56,299      $ 50,903 (a)  

OPG Trust, 2021-PORT A (1 mo. Term SOFR + 0.598%)

      5.931 %      10/15/36        459,431        448,080 (a)(d)  

PMT Credit Risk Transfer Trust, 2019-2R A (1 mo. Term SOFR + 3.864%)

      9.182 %      5/30/25        984,984        984,771 (a)(d)  

PRKCM Trust, 2023-AFC1 A3

      7.304 %      2/25/58        2,651,084        2,654,283 (d)  

Redwood Funding Trust, 2019-1 PT

      4.968 %      9/27/24        6,468,185        6,461,536 (d)  

Starwood Retail Property Trust, 2014-STAR C

      8.500 %      11/15/27        2,324,000        241,115 (a)(d)  

Starwood Retail Property Trust, 2014-STAR D

      8.500 %      11/15/27        650,000        26,000 (a)(d)  

Structured Asset Mortgage Investments II Trust, 2006-AR6 1A1 (1 mo. Term SOFR + 0.474%)

      5.794 %      7/25/46        70,006        57,058 (a)  

Structured Asset Securities Corp., 2005-RF3 1A (1 mo. Term SOFR + 0.464%)

      5.784 %      6/25/35        137,633        125,645 (a)(d)  

Tharaldson Hotel Portfolio Trust, 2018-THL D (1 mo. Term SOFR + 2.414%)

      7.742 %      11/11/34        2,223,670        2,166,801 (a)(d) 

Tharaldson Hotel Portfolio Trust, 2018-THL E (1 mo. Term SOFR + 3.594%)

      8.922 %      11/11/34        4,836,179        4,683,387 (a)(d) 

Tharaldson Hotel Portfolio Trust, 2018-THL F (1 mo. Term SOFR + 4.367%)

      9.695 %      11/11/34        3,602,427        3,474,882 (a)(d) 

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

      4.825 %      6/25/33        17,562        17,290 (a)  

Wells Fargo Commercial Mortgage Trust, 2019-C51 A4

      3.311 %      6/15/52        1,370,000        1,173,804  

Wells Fargo Commercial Mortgage Trust, 2021-C59 XA, IO

      1.657 %      4/15/54        12,401,914        944,832 (a)  
          

 

 

  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost - $270,934,400)

 

           228,349,084  
          

 

 

  
                  FACE
AMOUNT/
UNITS		         
ASSET-BACKED SECURITIES - 9.5%           

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

      4.723 %      6/5/49        298,980        278,967 (d)  

Aqua Finance Trust, 2020-AA C

      3.970 %      7/17/46        3,200,000        2,751,651 (d)  

Avis Budget Rental Car Funding AESOP LLC, 2023-8A C

      7.340 %      2/20/30        3,700,000        3,717,365 (d)  

CARS-DB7 LP, 2023-1A A1

      5.750 %      9/15/53        1,260,000        1,238,017 (d)  

Castlelake Aircraft Structured Trust, 2021-1A A

      3.474 %      1/15/46        554,217        511,892 (d)  

 

See Notes to Schedule of Investments.

 

 

 

20

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

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

 

        

College Ave Student Loans LLC, 2021-C D

      4.110 %      7/26/55      $ 1,500,000      $ 1,285,998 (d) 

Conseco Finance Corp., 1997-4 M1

      7.220 %      2/15/29        455,757        454,168 (a)  

Countrywide Asset-Backed Certificates Trust, 2002-S3 M1

      4.800 %      5/25/32        1,863        1,327 (a)  

Countrywide Asset-Backed Certificates Trust, 2006-SD3 A1 (1 mo. Term SOFR + 0.774%)

      6.094 %      7/25/36        67,247        65,826 (a)(d)  

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

      8.531 %      8/9/24        4,625,000        4,501,909 (a)(d) 

Credit Suisse European Mortgage Capital Ltd., 2020-1OTF A (3 mo. USD LIBOR + 2.900%)

      7.390 %      8/9/24        2,788,945        2,708,484 (d) 

GoodLeap Sustainable Home Solutions Trust, 2021-5CS C

      3.500 %      10/20/48        1,372,662        947,763 (d)  

Hertz Vehicle Financing LLC, 2023-4A C

      7.510 %      3/25/30        1,750,000        1,756,137 (d) 

J.G. Wentworth LLC, 2018-1A B

      4.700 %      10/15/74        1,836,192        1,515,558 (d) 

Lunar Structured Aircraft Portfolio Notes, 2021-1 B

      3.432 %      10/15/46        833,534        685,365 (d)  

Navient Private Education Refi Loan Trust, 2020-BA B

      2.770 %      1/15/69        5,000,000        3,815,436 (d) 

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

      5.704 %      5/25/36        2,450        2,443 (a)(d)  

Renew, 2023-1A A

      5.900 %      11/20/58        1,710,239        1,598,042 (d) 

SBA Small Business Investment Cos., 2023-10B 1

      5.688 %      9/10/33        2,060,000        2,066,565  

SMB Private Education Loan Trust, 2014-A R

      0.000 %      9/15/45        22,179        1,611,266 (d) 

SMB Private Education Loan Trust, 2015-C R

      0.000 %      9/18/46        2,751        837,068 (d)  

SMB Private Education Loan Trust, 2020-A B

      3.000 %      8/15/45        2,000,000        1,683,002 (d) 

SMB Private Education Loan Trust, 2021-A C

      2.990 %      1/15/53        4,683,733        3,926,263 (d) 

SoFi Professional Loan Program LLC, 2017-F R1

      0.000 %      1/25/41        25,000        318,459 (d)  

SoFi Professional Loan Program Trust, 2020-A BFX

      3.120 %      5/15/46        3,200,000        2,469,931 (d) 

Stonepeak, 2021-1A B

      3.821 %      2/28/33        1,786,741        1,515,327 (d) 

Structured Asset Securities Corp. Mortgage Loan Trust, 2006-ARS1 A1 (1 mo. Term SOFR + 0.334%)

      5.649 %      2/25/36        1,356,251        28,869 (a)(d) 

Thrust Engine Leasing, 2021-1A A

      4.163 %      7/15/40        897,952        774,897 (d)  
          

 

 

  

TOTAL ASSET-BACKED SECURITIES
(Cost - $60,885,721)

 

           43,067,995  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

21

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
CONVERTIBLE BONDS & NOTES - 0.4%           
FINANCIALS - 0.4%           

Mortgage Real Estate Investment Trusts (REITs) - 0.4%

           

Two Harbors Investment Corp., Senior Notes
(Cost - $1,462,895)

      6.250 %      1/15/26      $ 1,600,000      $ 1,480,000  
          

 

 

  

TOTAL INVESTMENTS - 121.8%
(Cost - $638,892,764)

 

           550,520,423  

Liabilities in Excess of Other Assets - (21.8)%

              (98,444,546 ) 
          

 

 

  

TOTAL NET ASSETS - 100.0%

            $ 452,075,877  
          

 

 

  

 

(a)

Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(b)

This security is traded on a to-be-announced (“TBA”) basis. At September 30, 2023, the Fund held TBA securities with a total cost of $102,964,401.

 

(c)

Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit.

 

(d)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

 

(e)

Value is less than $1.

 

(f)

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

Abbreviation(s) used in this schedule:

 

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

 

See Notes to Schedule of Investments.

 

 

 

22

  

    Western Asset Mortgage Total Return Fund 2023 Quarterly Report

  

WESTERN ASSET MORTGAGE TOTAL RETURN FUND

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

 

At September 30, 2023, the Fund had the following open futures contracts:

 

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

U.S. Treasury 2-Year Notes

      212        12/23      $ 42,956,867      $ 42,974,719      $ 17,852  

U.S. Treasury 5-Year Notes

      965        12/23        102,328,161        101,671,802        (656,359 ) 

U.S. Treasury Long-Term Bonds

      385        12/23        46,030,306        43,805,781        (2,224,525 ) 
              

 

 

  
                 (2,863,032 ) 
              

 

 

  
Contracts to Sell:               

3-Month SOFR

      95        12/24        22,673,926        22,583,875        90,051  

3-Month SOFR

      100        3/25        23,996,040        23,852,500        143,540  

U.S. Treasury 10-Year Notes

      343        12/23        37,471,611        37,065,438        406,173  

U.S. Treasury Ultra 10-Year Notes

      119        12/23        13,613,839        13,275,938        337,901  
              

 

 

  
                 977,665  
              

 

 

  
Net unrealized depreciation on open futures contracts

 

          $ (1,885,367 ) 
              

 

 

  

Abbreviation(s) used in this table:

 

SOFR    — Secured Overnight Financing Rate

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

 

See Notes to Schedule of Investments.

 

 

Western Asset Mortgage Total Return Fund 2023 Quarterly Report    

  

 

 

23

Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Western Asset Mortgage Total Return Fund (the “Fund”) is a separate diversified investment series of Legg Mason Partners Income Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.

(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.

Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Trustees. When determining the reliability of third

 

 

 

24

    

Notes to Schedule of Investments (unaudited) (continued)

 

party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

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

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

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 – unadjusted quoted prices in active markets for identical investments

 

  •  

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

  •  

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

   

 

 

25

Notes to Schedule of Investments (unaudited) (continued)

 

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:

 

ASSETS

  

DESCRIPTION

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

Long-Term Investments†:

            

Mortgage-Backed Securities

      —        $ 277,623,344        —        $ 277,623,344  

Collateralized Mortgage Obligations

      —          227,131,395      $ 1,217,689        228,349,084  

Asset-Backed Securities

      —          43,067,995        —          43,067,995  

Convertible Bonds & Notes

      —          1,480,000        —          1,480,000  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

      —        $ 549,302,734      $ 1,217,689      $ 550,520,423  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:

            

Futures Contracts††

    $ 995,517        —          —        $ 995,517  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 995,517      $ 549,302,734      $ 1,217,689      $ 551,515,940  
  

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES

  

DESCRIPTION

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

Other Financial Instruments:

            

Futures Contracts††

    $ 2,880,884        —          —        $ 2,880,884  

 

†

See Schedule of Investments for additional detailed categorizations.

 

††

Reflects the unrealized appreciation (depreciation) of the instruments.

2. Transactions with affiliated company

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for

 

 

 

26

    

Notes to Schedule of Investments (unaudited) (continued)

 

all or some portion of the period ended September 30, 2023. The following transactions were effected in such company for the period ended September 30, 2023.

 

     Affiliate
Value at
December 31,
2022		      Purchased      Sold  
     Cost      Shares      Proceeds      Shares  

Western Asset Premier Institutional Government Reserves, Premium Shares

      —      $ 65,513,729        65,513,729      $ 65,513,729        65,513,729  

(cont’d)

    Realized
Gain (Loss)		      Dividend
Income		      Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		      Affiliate
Value at
September 30,
2023		  

Western Asset Premier Institutional Government Reserves, Premium Shares

      —      $ 28,679        —        —  

 

   

 

 

27