Western Asset Mortgage Opportunity Fund Inc.
08/25/2026 | Press release | Distributed by Public on 08/25/2026 07:04
Semi-Annual Report by Investment Company (Form N-CSRS)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22369
Western Asset Mortgage Opportunity Fund Inc.
(Exact name of registrant as specified in charter)
One Madison Avenue, 17th Floor, New York, NY 10010
(Address of principal executive offices) (Zip code)
Marc A. De Oliveira
Franklin Templeton
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-888-777-0102
Date of fiscal year end: December 31
Date of reporting period: June 30, 2026
| ITEM 1. | REPORT TO STOCKHOLDERS |
| (a) | The Report to Shareholders is filed herewith |
Semi-Annual Report June 30, 2026
WESTERN ASSET
MORTGAGE OPPORTUNITY FUND INC.
(DMO)
MORTGAGE OPPORTUNITY FUND INC.
(DMO)
If you need assistance accessing this content, please reach out to your sales representative or send an email to [email protected].
Fund objectives
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 and mortgage whole loans. Investments in mortgage-backed securities consist primarily of non-agency residential mortgage-backed securities and commercial mortgage-backed securities.
The Fund seeks to achieve its investment objectives by investing primarily in a diverse portfolio of mortgage-backed securities and mortgage whole loans. Investments in mortgage-backed securities consist primarily of non-agency residential mortgage-backed securities and commercial mortgage-backed securities.
What's inside
|
Letter from the president
|
III
|
|
Performance review
|
IV
|
|
Fund at a glance
|
1
|
|
Schedule of investments
|
2
|
|
Statement of assets and liabilities
|
19
|
|
Statement of operations
|
20
|
|
Statements of changes in net assets
|
21
|
|
Statement of cash flows
|
22
|
|
Financial highlights
|
23
|
|
Notes to financial statements
|
26
|
|
Board approval of management and subadvisory agreements
|
39
|
|
Dividend reinvestment plan
|
46
|
II
Western Asset Mortgage Opportunity Fund Inc.
Letter from the president
Dear Shareholder,
We are pleased to provide the semi-annual report of Western Asset Mortgage Opportunity Fund Inc. for the six-month reporting period ended June 30, 2026. Please read on for Fund performance information during the Fund's reporting period.
As always, we remain committed to providing you with excellent service and a full spectrum of investment choices. We also remain committed to supplementing the support you receive from your financial advisor. One way we accomplish this is through our website, www.franklintempleton.com. Here you can gain immediate access to market and investment information, including:
•
Fund prices and performance,
•
Market insights and commentaries from our portfolio managers, and
•
A host of educational resources.
We look forward to helping you meet your financial goals.
Sincerely,
Jane Trust, CFA
President and Chief Executive Officer
President and Chief Executive Officer
July 31, 2026
Western Asset Mortgage Opportunity Fund Inc.
III
Performance review
For the six months ended June 30, 2026, Western Asset Mortgage Opportunity Fund Inc. returned 2.97% based on its net asset value (NAV)i and 3.35% based on its New York Stock Exchange (NYSE) market price per share. The Fund's unmanaged benchmark, the ICE BofA U.S. Floating Rate Home Equity Loan Asset Backed Securities Indexii, returned 2.58% for the same period.
The Fund has a practice of seeking to maintain a relatively stable level of distributions to shareholders. This practice has no impact on the Fund's investment strategy and may reduce the Fund's NAV. The Fund's manager believes the practice helps maintain the Fund's competitiveness and may benefit the Fund's market price and premium/discount to the Fund's NAV.
During the six-month period, the Fund made distributions to shareholders totaling $0.72 per share. As of June 30, 2026, the Fund estimates that 71% of the distributions were sourced from net investment income and 29% constituted a return of capital.* The performance table shows the Fund's six-month total return based on its NAV and market price as of June 30, 2026. Past performance is no guarantee of future results.
|
Performance Snapshot as of June 30, 2026 (unaudited)
|
|
|
Price Per Share
|
6-Month
Total Return**
|
|
$11.30 (NAV)
|
2.97
%†
|
|
$10.71 (Market Price)
|
3.35
%‡
|
All figures represent past performance and are not a guarantee of future results. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.
** Total returns are based on changes in NAV or market price, respectively. Returns reflect the deduction of all Fund expenses, including management fees, operating expenses, and other Fund expenses. Returns do not reflect the deduction of brokerage commissions or taxes that investors may pay on distributions or the sale of shares.
† Total return assumes the reinvestment of all distributions, including returns of capital, if any, at NAV.
‡ Total return assumes the reinvestment of all distributions, including returns of capital, if any, in additional shares in accordance with the Fund's Dividend Reinvestment Plan.
*
These estimates are not for tax purposes. The Fund will issue a Form 1099 with final composition of the distributions for tax purposes after year-end. A return of capital is not taxable and results in a reduction in the tax basis of a shareholder's investment. For more information about a distribution's composition, please refer to the Fund's distribution press release or, if applicable, the Section 19 notice located in the press release section of our website, www.franklintempleton.com.
IV
Western Asset Mortgage Opportunity Fund Inc.
Looking for additional information?
The Fund is traded under the symbol "DMO" and its closing market price is available in most newspapers under the NYSE listings. The daily NAV is available online under the symbol "XDMOX" on most financial websites. Barron's and The Wall Street Journal's Monday edition both carry closed-end fund tables that provide additional information. In addition, the Fund issues a quarterly press release that can be found on most major financial websites as well as www.franklintempleton.com.
In a continuing effort to provide information concerning the Fund, shareholders may call 1-888-777-0102 (toll free), Monday through Friday from 8:00 a.m. to 5:30 p.m. Eastern Time, for the Fund's current NAV, market price and other information.
Thank you for your investment in the Western Asset Mortgage Opportunity Fund Inc. As always, we appreciate that you have chosen us to manage your assets and we remain focused on achieving the Fund's investment goals.
Sincerely,
Jane Trust, CFA
President and Chief Executive Officer
President and Chief Executive Officer
July 31, 2026
RISKS: The Fund is a diversified, closed-end management investment company designed primarily as a long-term investment and not as a trading vehicle. The Fund is not intended to be a complete investment program and, due to the uncertainty inherent in all investments, there can be no assurance that the Fund will achieve its investment objective. The Fund's common stock is traded on the New York Stock Exchange. Similar to stocks, the Fund's share price will fluctuate with market conditions and, at the time of sale, may be worth more or less than the original investment. Shares of closed-end funds often trade at a discount to their net asset value. Diversification does not assure against market loss. The Fund's investments are subject to a number of risks, including credit risk, inflation risk and interest rate risk. As interest rates rise, bond prices fall, reducing the value of the Fund's fixed income holdings. The Fund may invest in lower-rated high-yield bonds (commonly known as "junk bonds"), which are subject to greater liquidity risk and credit risk (risk of default) than higher-rated obligations. Mortgage-backed securities (MBS) are subject to additional risks, including: (1) credit risk associated with the performance of the underlying mortgage properties and of the borrowers owning these properties; (2) adverse changes in economic conditions and circumstances, which are more likely to have an adverse impact on MBS secured by loans on certain types of commercial properties than on those secured by loans on residential properties;(3) prepayment risk, which can lead to significant fluctuations in value of the MBS and can limit the potential gains in a declining interest rate environment; (4) loss of all or part of the premium, if any, paid; and (5) decline in the market value of the security, whether resulting from changes in interest rates, prepayments on the underlying mortgage collateral or perceptions of the credit risk associated with the underlying mortgage collateral. To the extent the Fund invests in mortgage whole loans, certain of these risks may be magnified. In addition, risks associated with investments in whole loans
Western Asset Mortgage Opportunity Fund Inc.
V
Performance review (cont'd)
include geographic concentration risk and risks relating to the reliance on third-party servicers to service and manage the mortgage whole loan. The Fund may invest in securities backed by subprime or distressed mortgages which involve a higher degree of risk and chance of loss. Leverage may result in greater volatility of NAV and the market price of common shares and increases a shareholder's risk of loss. The Fund may make significant investments in derivative instruments. Derivative instruments can be illiquid, may disproportionately increase losses, and have a potentially large impact on Fund performance. The Fund is not guaranteed by the U.S. government, the U.S. Treasury or any government agency. The market values of securities or other assets will fluctuate, sometimes sharply and unpredictably, due to changes in general market conditions, overall economic trends or events, governmental actions or intervention, actions taken by the U.S. Federal Reserve or foreign central banks, market disruptions caused by trade disputes or other factors, political developments, armed conflicts, economic sanctions and countermeasures in response to sanctions, major cybersecurity events, investor sentiment, the global and domestic effects of a pandemic, and other factors that may or may not be related to the issuer of the security or other asset. The Fund may also invest in money market funds, including funds affiliated with the Fund's manager and subadvisers. For more information on Fund risks, see Summary of information regarding the Fund - Principal Risk Factors in the Annual Report.
All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.
i
Net asset value (NAV) is calculated by subtracting total liabilities, including liabilities associated with financial leverage (if any) from the closing value of all securities held by the Fund (plus all other assets) and dividing the result (total net assets) by the total number of the common shares outstanding. The NAV fluctuates with changes in the market prices of securities in which the Fund has invested. However, the price at which an investor may buy or sell shares of the Fund is the Fund's market price as determined by supply of and demand for the Fund's shares.
ii
The ICE BofA U.S. Floating Rate Home Equity Loan Asset Backed Securities Index tracks the performance of U.S. dollar-denominated investment grade floating-rate asset-backed securities collateralized by home equity loans publicly issued in the U.S. domestic market. Qualifying securities must have an investment grade rating, at least one year remaining to final stated maturity, a floating-rate coupon, and an original deal size for the collateral group of at least $250 million.
Important data provider notices and terms available at www.franklintempletondatasources.com.
VI
Western Asset Mortgage Opportunity Fund Inc.
Fund at a glance† (unaudited)
Investment breakdown (%) as a percent of total investments
†
The bar graph above represents the composition of the Fund's investments as of June 30, 2026, and December 31, 2025, and does not include derivatives, such as futures contracts. The Fund is actively managed. As a result, the composition of the Fund's investments is subject to change at any time.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
1
Schedule of investments (unaudited) June 30, 2026
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) - 104.4%
|
|||||
|
Adjustable Rate Mortgage Trust, 2005-5
1A1
|
4.280%
|
9/25/35
|
$71,570
|
$61,512
(b)
|
|
|
Adjustable Rate Mortgage Trust, 2005-7
2A21
|
4.314%
|
10/25/35
|
84,086
|
74,501
(b)
|
|
|
Adjustable Rate Mortgage Trust, 2005-12
5A1 (1 mo. Term SOFR + 0.614%)
|
4.263%
|
3/25/36
|
166,805
|
37,555
(b)
|
|
|
Aegis Asset-Backed Securities Trust, 2005-3
M3 (1 mo. Term SOFR + 0.849%)
|
4.498%
|
8/25/35
|
3,460,000
|
3,083,299
(b)(c)
|
|
|
Alternative Loan Trust, 2005-11CB 3A3, IO
(-1.000 x 1 mo. Term SOFR + 4.886%)
|
1.237%
|
6/25/35
|
708,330
|
35,717
(b)
|
|
|
Alternative Loan Trust, 2005-14 3A1
|
3.470%
|
5/25/35
|
75,240
|
59,794
(b)
|
|
|
Alternative Loan Trust, 2005-36 4A1
|
4.114%
|
8/25/35
|
99,645
|
93,638
(b)
|
|
|
Alternative Loan Trust, 2005-J10 1A1 (1 mo.
Term SOFR + 0.614%)
|
4.263%
|
10/25/35
|
351,513
|
195,366
(b)
|
|
|
Alternative Loan Trust, 2006-HY10 1A1
|
3.851%
|
5/25/36
|
99,153
|
92,220
(b)
|
|
|
Alternative Loan Trust, 2006-J8 A5
|
6.000%
|
2/25/37
|
70,784
|
25,573
|
|
|
Alternative Loan Trust, 2007-3T1 2A1
|
6.000%
|
3/25/27
|
10,880
|
10,866
|
|
|
Alternative Loan Trust, 2007-23CB A8
(-4.000 x 1 mo. Term SOFR + 27.942%)
|
13.349%
|
9/25/37
|
349,340
|
283,269
(b)(c)
|
|
|
Alternative Loan Trust, 2007-OA8 1A1 (1
mo. Term SOFR + 0.474%)
|
4.123%
|
6/25/47
|
516,452
|
473,524
(b)(c)
|
|
|
American Home Mortgage Assets Trust,
2005-2 2A1A
|
3.205%
|
1/25/36
|
510,704
|
317,029
(b)
|
|
|
American Home Mortgage Investment Trust,
2007-2 2A (1 mo. Term SOFR + 0.914%)
|
4.563%
|
3/25/47
|
12,735,445
|
83,341
(b)(c)
|
|
|
American Home Mortgage Investment Trust,
2007-A 4A (1 mo. Term SOFR + 1.014%)
|
4.663%
|
7/25/46
|
1,692,098
|
298,378
(b)(c)(d)
|
|
|
AMSR Trust, 2026-SFR1 F1
|
3.775%
|
4/17/43
|
900,000
|
779,077
(d)
|
|
|
AMSR Trust, 2026-SFR1 F2
|
3.775%
|
4/17/43
|
250,000
|
206,070
(d)
|
|
|
Anchor Mortgage Trust, 2025-RTL1 A2
|
6.358%
|
5/25/40
|
1,930,000
|
1,917,147
(c)(d)
|
|
|
Banc of America Funding Corp., 2015-R3
2A2
|
3.423%
|
2/27/37
|
1,933,639
|
1,775,568
(b)(c)(d)
|
|
|
Banc of America Funding Trust, 2004-C 3A1
|
4.634%
|
12/20/34
|
106,959
|
96,318
(b)
|
|
|
Banc of America Funding Trust, 2006-D 2A1
|
3.499%
|
5/20/36
|
24,405
|
23,168
(b)
|
|
|
Banc of America Funding Trust, 2006-F 1A1
|
5.693%
|
7/20/36
|
22,671
|
22,914
(b)
|
|
|
Banc of America Funding Trust, 2014-R5
1A2 (6 mo. Term SOFR + 1.928%)
|
3.661%
|
9/26/45
|
2,643,024
|
1,869,669
(b)(c)(d)
|
|
|
Bayview Financial Asset Trust, 2007-SR1A
M2 (1 mo. Term SOFR + 1.014%)
|
4.663%
|
3/25/37
|
1,223,688
|
1,229,993
(b)(c)(d)
|
|
See Notes to Financial Statements.
2
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual 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
|
|||||
|
Bayview Financial Asset Trust, 2007-SR1A
M3 (1 mo. Term SOFR + 1.264%)
|
4.913%
|
3/25/37
|
$554,409
|
$561,212
(b)(d)
|
|
|
Bear Stearns ALT-A Trust, 2005-9 25A1
|
4.169%
|
11/25/35
|
101,361
|
58,800
(b)
|
|
|
Bear Stearns Asset-Backed Securities Trust,
2005-CL1 A1 (1 mo. Term SOFR + 0.614%)
|
2.141%
|
9/25/34
|
4,793
|
4,793
(b)
|
|
|
CAFL Issuer LLC, 2024-RTL1 A2
|
10.180%
|
11/28/31
|
1,460,000
|
1,475,350
(c)(d)
|
|
|
Chase Mortgage Finance Trust, 2006-S3
2A1
|
5.500%
|
11/1/36
|
122,368
|
9,893
|
|
|
ChaseFlex Trust, 2005-2 3A3, IO (-1.000 x 1
mo. Term SOFR + 5.386%)
|
1.737%
|
6/25/35
|
5,371,071
|
459,489
(b)(c)
|
|
|
Chevy Chase Funding LLC Mortgage-Backed
Certificates, 2006-2A A1 (1 mo. Term SOFR
+ 0.244%)
|
3.893%
|
4/25/47
|
36,798
|
38,026
(b)(d)
|
|
|
CHL Mortgage Pass-Through Trust, 2005-18
A7 (-2.750 x 1 mo. Term SOFR + 19.210%)
|
9.177%
|
10/25/35
|
7,982
|
4,884
(b)
|
|
|
CHL Mortgage Pass-Through Trust, 2005-
HYB9 1A1 (12 mo. Term SOFR + 2.465%)
|
6.449%
|
2/20/36
|
57,512
|
54,555
(b)
|
|
|
CIM Trust, 2021-INV1 AXS, IO
|
0.190%
|
7/1/51
|
41,683,042
|
371,659
(b)(d)
|
|
|
Citicorp Mortgage Securities Trust, 2007-8
B1
|
5.897%
|
9/25/37
|
2,372,206
|
1,698,589
(b)(c)
|
|
|
Citigroup Mortgage Loan Trust, 2004-UST1
A2
|
5.056%
|
8/25/34
|
4,414
|
4,252
(b)
|
|
|
Citigroup Mortgage Loan Trust, 2006-AR5
2A1A
|
3.788%
|
7/25/36
|
130,491
|
97,944
(b)
|
|
|
Citigroup Mortgage Loan Trust, 2008-3 A3
|
6.100%
|
4/25/37
|
5,236,858
|
2,294,435
(c)(d)
|
|
|
Citigroup Mortgage Loan Trust, 2021-J2
A4I2, IO
|
0.180%
|
7/25/51
|
29,593,625
|
285,688
(b)(d)
|
|
|
Citigroup Mortgage Loan Trust, 2021-J2
AIOS, IO
|
0.080%
|
7/25/51
|
60,773,949
|
297,792
(b)(c)(d)
|
|
|
Countrywide Asset-Backed Certificates
Trust, 2007-SEA1 1A1 (1 mo. Term SOFR +
1.214%)
|
4.863%
|
5/25/47
|
208,602
|
192,821
(b)(d)
|
|
|
Credit-Based Asset Servicing &
Securitization LLC, 2006-SL1 A3 (1 mo. Term
SOFR + 0.554%)
|
4.203%
|
9/25/36
|
3,354,483
|
101,999
(b)(d)
|
|
|
CSFB Mortgage-Backed Pass-Through
Certificates, 2005-10 3A3
|
5.500%
|
11/25/35
|
178,102
|
89,950
|
|
|
CSMC Resecuritization Trust, 2006-1R 1A2
(-2.750 x 1 mo. Term SOFR + 19.210%)
|
9.166%
|
7/27/36
|
128,297
|
112,554
(b)(d)
|
|
|
CSMC Trust, 2014-11R 9A2 (1 mo. Term
SOFR + 0.254%)
|
4.049%
|
10/27/36
|
2,277,054
|
1,818,315
(b)(c)(d)
|
|
See Notes to Financial Statements.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
3
Schedule of investments (unaudited) (cont'd) June 30, 2026
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
|
|||||
|
CSMC Trust, 2015-2R 7A2
|
4.112%
|
8/27/36
|
$2,719,024
|
$2,308,968
(b)(c)(d)
|
|
|
CSMC Trust, 2017-RPL1 B4
|
2.992%
|
7/25/57
|
2,880,124
|
1,164,168
(b)(c)(d)
|
|
|
CSMC Trust, 2021-INV2 A3X, IO
|
0.500%
|
11/25/56
|
24,031,360
|
714,830
(b)(d)
|
|
|
CWABS Revolving Home Equity Loan Trust,
2004-L 2A (1 mo. Term SOFR + 0.394%)
|
4.020%
|
2/15/34
|
5,025
|
4,908
(b)
|
|
|
Deutsche Mortgage Securities Inc.
Mortgage Loan Trust, 2006-PR1 2PO, PO
|
0.000%
|
4/15/36
|
9,647
|
4,021
(d)
|
|
|
Deutsche Mortgage Securities Inc.
Mortgage Loan Trust, 2006-PR1 4AS1, IO
|
5.239%
|
4/15/36
|
20,122
|
1,499
(b)(d)
|
|
|
Deutsche Mortgage Securities Inc.
Mortgage Loan Trust, 2006-PR1 4AS2, IO
|
8.225%
|
4/15/36
|
19,172
|
2,217
(b)(d)
|
|
|
Deutsche Mortgage Securities Inc.
Mortgage Loan Trust, 2006-PR1 5AS1, IO
|
4.580%
|
4/15/36
|
31,843
|
3,937
(b)(d)
|
|
|
Deutsche Mortgage Securities Inc.
Mortgage Loan Trust, 2006-PR1 5AS3, IO
|
4.217%
|
4/15/36
|
113,186
|
13,294
(b)(d)
|
|
|
Eagle RE Ltd., 2023-1 M2 (30 Day Average
SOFR + 5.200%)
|
8.828%
|
9/26/33
|
1,290,000
|
1,359,867
(b)(c)(d)
|
|
|
Easy Street Mortgage Loan Trust, 2025-
RTL1 A2
|
8.299%
|
5/25/40
|
1,010,000
|
1,024,172
(c)(d)
|
|
|
Easy Street Mortgage Loan Trust, 2025-
RTL2 A2
|
7.164%
|
10/25/40
|
2,250,000
|
2,258,414
(c)(d)
|
|
|
FARM Mortgage Trust, 2021-1 B
|
3.226%
|
7/25/51
|
1,379,718
|
1,078,131
(b)(d)
|
|
|
FARM Mortgage Trust, 2024-2 B
|
5.555%
|
8/1/54
|
870,026
|
775,815
(b)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) REMIC, 5408 PI, IO, PAC
|
6.500%
|
3/25/54
|
579,909
|
120,538
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) REMIC, 5523 IQ, IO, PAC
|
6.500%
|
4/25/55
|
2,909,987
|
550,105
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) REMIC, Structured Agency Credit
Risk Trust, 2020-DNA2 B2 (30 Day Average
SOFR + 4.914%)
|
8.542%
|
2/25/50
|
1,166,729
|
1,279,260
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) REMIC, Structured Agency Credit
Risk Trust, 2021-DNA5 B2 (30 Day Average
SOFR + 5.500%)
|
9.128%
|
1/25/34
|
1,200,000
|
1,467,241
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) REMIC, Structured Agency Credit
Risk Trust, 2021-HQA4 B2 (30 Day Average
SOFR + 7.000%)
|
10.628%
|
12/25/41
|
1,650,000
|
1,693,390
(b)(c)(d)
|
|
See Notes to Financial Statements.
4
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual 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, 2016-1 B, PO
|
0.000%
|
9/25/55
|
$11,947,137
|
$1,861,932
(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Seasoned Credit Risk Transfer
Trust, 2016-1 BIO, IO
|
1.542%
|
9/25/55
|
18,645,976
|
2,186,185
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Seasoned Credit Risk Transfer
Trust, 2016-1 XSIO, IO
|
0.075%
|
9/25/55
|
116,937,313
|
478,507
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Seasoned Credit Risk Transfer
Trust, 2018-2 BX
|
1.948%
|
11/25/57
|
3,361,441
|
1,269,448
(b)(c)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Seasoned Credit Risk Transfer
Trust, 2018-3 BX
|
2.239%
|
8/25/57
|
3,267,089
|
979,110
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Seasoned Credit Risk Transfer
Trust, 2019-2 M
|
4.750%
|
8/25/58
|
595,273
|
580,721
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Seasoned Credit Risk Transfer
Trust, 2020-1 BXS
|
4.376%
|
8/25/59
|
3,975,116
|
1,907,435
(b)(c)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Seasoned Credit Risk Transfer
Trust, 2021-1 M
|
4.250%
|
9/25/60
|
1,035,521
|
1,012,653
(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Seasoned Credit Risk Transfer
Trust, 2021-3 BXS
|
7.654%
|
3/25/61
|
1,638,974
|
982,601
(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
|
1,214,028
(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
|
1,344,951
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Structured Agency Credit Risk
Securitized Participation Interests Trust,
2017-SPI1 B
|
4.105%
|
9/25/47
|
736,933
|
539,560
(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
|
3,653,712
|
2,867,762
(b)(c)(d)
|
|
See Notes to Financial Statements.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
5
Schedule of investments (unaudited) (cont'd) June 30, 2026
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) Structured Agency Credit Risk
Trust, 2018-DNA3 B2 (30 Day Average SOFR
+ 7.864%)
|
11.492%
|
9/25/48
|
$2,000,000
|
$2,260,052
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Structured Agency Credit Risk
Trust, 2018-HRP1 B2 (30 Day Average SOFR
+ 11.864%)
|
15.492%
|
5/25/43
|
5,332,255
|
6,194,116
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Structured Agency Credit Risk
Trust, 2018-HRP2 B2 (30 Day Average SOFR
+ 10.614%)
|
14.242%
|
2/25/47
|
3,530,000
|
4,199,140
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Structured Agency Credit Risk
Trust, 2019-FTR1 B2 (30 Day Average SOFR
+ 8.464%)
|
12.092%
|
1/25/48
|
1,855,000
|
2,187,857
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Structured Agency Credit Risk
Trust, 2019-FTR2 B2 (30 Day Average SOFR
+ 7.514%)
|
11.142%
|
11/25/48
|
1,270,000
|
1,485,765
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Structured Agency Credit Risk
Trust, 2019-FTR3 B2 (30 Day Average SOFR
+ 4.914%)
|
8.527%
|
9/25/47
|
1,200,000
|
1,315,347
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Structured Agency Credit Risk
Trust, 2019-FTR4 B2 (30 Day Average SOFR
+ 5.114%)
|
8.742%
|
11/25/47
|
1,250,000
|
1,378,306
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Structured Agency Credit Risk
Trust, 2019-HQA3 B2 (30 Day Average SOFR
+ 7.614%)
|
11.242%
|
9/25/49
|
1,680,000
|
1,889,777
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Whole Loan Securities Trust, 2015-
SC01 B
|
3.861%
|
5/25/45
|
2,064,505
|
1,386,937
(b)(d)
|
|
|
Federal National Mortgage Association
(FNMA) - CAS, 2016-C06 1B (30 Day
Average SOFR + 9.364%)
|
12.992%
|
4/25/29
|
3,478,123
|
3,562,033
(b)(c)
|
|
|
Federal National Mortgage Association
(FNMA) - CAS, 2020-R01 1B1 (30 Day
Average SOFR + 3.364%)
|
6.992%
|
1/25/40
|
1,500,000
|
1,517,318
(b)(c)(d)
|
|
See Notes to Financial Statements.
6
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual 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 National Mortgage Association
(FNMA) - CAS, 2021-R01 1B2 (30 Day
Average SOFR + 6.000%)
|
9.628%
|
10/25/41
|
$1,320,000
|
$1,338,985
(b)(c)(d)
|
|
|
Federal National Mortgage Association
(FNMA) - CAS, 2021-R02 2B2 (30 Day
Average SOFR + 6.200%)
|
9.828%
|
11/25/41
|
1,500,000
|
1,528,045
(b)(c)(d)
|
|
|
First Horizon Alternative Mortgage
Securities Trust, 2005-AA6 3A1
|
4.493%
|
8/25/35
|
172,169
|
140,834
(b)
|
|
|
First Horizon Alternative Mortgage
Securities Trust, 2006-FA6 2A1, PAC
|
6.250%
|
11/25/36
|
64,242
|
15,541
|
|
|
Government National Mortgage Association
(GNMA), 2023-184 HI, IO
|
7.000%
|
12/20/53
|
1,182,549
|
244,642
|
|
|
Government National Mortgage Association
(GNMA), 2024-151 KS, IO (-1.000 x 30 Day
Average SOFR + 6.050%)
|
2.441%
|
9/20/54
|
2,626,166
|
194,908
(b)
|
|
|
Government National Mortgage Association
(GNMA), 2025-175 LS, IO (-1.000 x 30 Day
Average SOFR + 5.950%)
|
2.341%
|
10/20/55
|
1,364,769
|
131,273
(b)
|
|
|
Government National Mortgage Association
(GNMA), 2025-214 S, IO (-1.000 x 30 Day
Average SOFR + 6.600%)
|
2.991%
|
12/20/55
|
1,535,640
|
144,326
(b)
|
|
|
Government National Mortgage Association
(GNMA), 2026-5 SM, IO (-1.000 x 30 Day
Average SOFR + 5.700%)
|
2.091%
|
12/20/55
|
3,020,456
|
214,383
(b)
|
|
|
GS Mortgage Securities Corp. Trust,
2000-1A A (1 mo. Term SOFR + 0.464%)
|
4.104%
|
3/20/27
|
7,068
|
718
(b)(d)
|
|
|
GS Mortgage-Backed Securities Trust, 2021-
GR2 AIOS, IO
|
0.190%
|
2/25/52
|
60,261,512
|
666,492
(b)(c)(d)
|
|
|
GS Mortgage-Backed Securities Trust, 2021-
PJ2 AIOS, IO
|
0.220%
|
7/25/51
|
55,694,983
|
739,641
(b)(c)(d)
|
|
|
GS Mortgage-Backed Securities Trust, 2022-
NQM1 B4
|
4.062%
|
5/25/62
|
1,487,629
|
1,300,212
(b)(c)(d)
|
|
|
GSMPS Mortgage Loan Trust, 2006-RP1 1A2
|
7.500%
|
1/25/36
|
173,349
|
152,511
(d)
|
|
|
Home RE Ltd., 2023-1 M2 (30 Day Average
SOFR + 6.000%)
|
9.628%
|
10/25/33
|
1,000,000
|
1,068,213
(b)(c)(d)
|
|
|
Home Re Ltd., 2026-1 M2 (30 Day Average
SOFR + 3.200%)
|
6.828%
|
1/25/36
|
2,700,000
|
2,727,005
(b)(c)(d)
|
|
|
HSI Asset Loan Obligation Trust, 2007-AR1
4A1
|
4.825%
|
1/25/37
|
47,804
|
36,252
(b)
|
|
|
Impac CMB Trust, 2004-8 1A (1 mo. Term
SOFR + 0.834%)
|
4.483%
|
10/25/34
|
13,784
|
13,722
(b)
|
|
See Notes to Financial Statements.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
7
Schedule of investments (unaudited) (cont'd) June 30, 2026
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
|
|||||
|
IndyMac INDA Mortgage Loan Trust, 2005-
AR2 1A1
|
3.653%
|
1/25/36
|
$55,580
|
$43,717
(b)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2004-
AR13 1A1
|
3.387%
|
1/25/35
|
20,379
|
18,733
(b)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2005-
AR15 A2
|
3.805%
|
9/25/35
|
28,675
|
23,258
(b)(c)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2005-
AR18 1A1 (1 mo. Term SOFR + 0.734%)
|
4.383%
|
10/25/36
|
1,479,207
|
575,245
(b)(c)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2006-
AR7 5A1
|
3.837%
|
5/25/36
|
77,074
|
73,841
(b)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2006-
AR9 3A3
|
3.372%
|
6/25/36
|
175,301
|
146,025
(b)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2006-
AR11 1A1
|
4.218%
|
6/25/36
|
194,393
|
143,590
(b)
|
|
|
JPMorgan Alternative Loan Trust, 2007-A1
3A1
|
4.162%
|
3/25/37
|
149,455
|
134,657
(b)
|
|
|
JPMorgan Mortgage Trust, 2007-S2 3A2
|
6.000%
|
6/25/37
|
8,337
|
8,104
|
|
|
JPMorgan Mortgage Trust, 2007-S2 3A3
|
6.500%
|
6/25/37
|
3,818
|
3,775
|
|
|
JPMorgan Mortgage Trust, 2024-3 AX1, IO
|
0.326%
|
5/25/54
|
18,762,831
|
357,190
(b)(d)
|
|
|
Legacy Mortgage Asset Trust, 2021-GS3 A2
|
7.250%
|
7/25/61
|
1,886,580
|
1,890,899
(c)(d)
|
|
|
Lehman Mortgage Trust, 2006-3 1A7, IO
(-1.000 x 1 mo. Term SOFR + 5.286%)
|
1.637%
|
7/25/36
|
3,957,446
|
378,072
(b)(c)
|
|
|
Lehman Mortgage Trust, 2007-5 2A3 (1 mo.
Term SOFR + 0.444%)
|
4.093%
|
6/25/37
|
2,577,496
|
387,924
(b)
|
|
|
Lehman XS Trust, 2006-19 A4 (1 mo. Term
SOFR + 0.454%)
|
4.103%
|
12/25/36
|
244,787
|
245,038
(b)(c)
|
|
|
LHOME Mortgage Trust, 2024-RTL5 M2
|
8.180%
|
9/25/39
|
1,500,000
|
1,504,709
(b)(c)(d)
|
|
|
LHOME Mortgage Trust, 2026-RTL1 M1
|
5.993%
|
1/25/41
|
1,130,000
|
1,120,654
(b)(d)
|
|
|
LHOME Mortgage Trust, 2026-RTL1 M2
|
7.694%
|
1/25/41
|
799,000
|
799,461
(b)(d)
|
|
|
MASTR Adjustable Rate Mortgages Trust,
2004-12 5A1
|
6.171%
|
10/25/34
|
2,297
|
2,260
(b)
|
|
|
MASTR Adjustable Rate Mortgages Trust,
2006-OA1 1A1 (1 mo. Term SOFR + 0.324%)
|
3.973%
|
4/25/46
|
80,969
|
76,574
(b)
|
|
|
MASTR Reperforming Loan Trust, 2005-1
1A4
|
7.500%
|
8/25/34
|
33,902
|
23,625
(d)
|
|
|
Merrill Lynch Mortgage Investors Trust,
2006-A1 2A1
|
4.244%
|
3/25/36
|
269,036
|
119,068
(b)
|
|
|
Morgan Stanley Mortgage Loan Trust, 2006-
8AR 1A2 (1 mo. Term SOFR + 0.254%)
|
3.903%
|
6/25/36
|
180,675
|
34,578
(b)
|
|
|
Morgan Stanley Mortgage Loan Trust, 2007-
5AX 2A3 (1 mo. Term SOFR + 0.574%)
|
4.223%
|
2/25/37
|
1,262,552
|
234,867
(b)
|
|
See Notes to Financial Statements.
8
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual 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
|
|||||
|
Morgan Stanley Mortgage Loan Trust, 2007-
15AR 4A1
|
3.484%
|
11/25/37
|
$415,433
|
$374,945
(b)
|
|
|
Morgan Stanley Re-REMIC Trust, 2015-R2
1B (12 mo. Moving Treasury Average +
0.710%)
|
3.958%
|
12/27/46
|
615,024
|
550,661
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust,
2017-1A B6
|
5.235%
|
2/25/57
|
2,044,595
|
1,905,375
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust,
2018-1A B6
|
5.535%
|
12/25/57
|
1,920,245
|
1,697,740
(b)(d)
|
|
|
New Residential Mortgage Loan Trust,
2019-4A B6
|
4.463%
|
12/25/58
|
2,098,456
|
1,400,182
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust,
2019-6A A1IB, IO
|
0.500%
|
9/25/59
|
12,879,515
|
174,309
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust,
2019-NQM4 B2
|
5.034%
|
9/25/59
|
1,608,000
|
1,511,183
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust,
2024-RTL1 M1
|
9.298%
|
3/25/39
|
380,000
|
380,000
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust,
2024-RTL1 M2
|
9.298%
|
3/25/39
|
870,000
|
870,000
(b)(c)(d)
|
|
|
PRKCM Trust, 2023-AFC1 M1
|
7.306%
|
2/25/58
|
1,480,000
|
1,477,421
(b)(c)(d)
|
|
|
PRKCM Trust, 2023-AFC3 B1
|
7.771%
|
9/25/58
|
1,220,000
|
1,220,177
(b)(c)(d)
|
|
|
PRKCM Trust, 2024-AFC1 B2
|
8.368%
|
3/25/59
|
1,450,000
|
1,459,677
(b)(c)(d)
|
|
|
Provident Home Equity Loan Trust, 2000-2
A1 (1 mo. Term SOFR + 0.654%)
|
4.303%
|
8/25/31
|
376,691
|
360,215
(b)
|
|
|
PRPM LLC, 2025-RCF3 M1B
|
5.250%
|
7/25/55
|
1,000,000
|
979,634
(b)(c)(d)
|
|
|
RAAC Trust, 2007-SP1 M3 (1 mo. Term SOFR
+ 1.614%)
|
5.263%
|
3/25/37
|
1,379,556
|
1,107,638
(b)(c)
|
|
|
RALI Trust, 2005-QA3 CB4
|
3.987%
|
3/25/35
|
677,986
|
313,880
(b)
|
|
|
RALI Trust, 2006-QA1 A11
|
4.968%
|
1/25/36
|
181,208
|
130,281
(b)
|
|
|
RALI Trust, 2006-QA4 A (1 mo. Term SOFR +
0.474%)
|
4.123%
|
5/25/36
|
98,342
|
90,594
(b)(c)
|
|
|
RALI Trust, 2006-QO2 A1 (1 mo. Term SOFR
+ 0.554%)
|
4.203%
|
2/25/46
|
165,246
|
26,767
(b)(c)
|
|
|
RAMP Trust, 2004-RS4 MII2 (1 mo. Term
SOFR + 1.464%)
|
4.964%
|
4/25/34
|
701,618
|
637,998
(b)(c)
|
|
|
Redwood Funding Trust, 2025-3 A
|
6.231%
|
12/27/56
|
768,553
|
774,573
(d)
|
|
|
Redwood Funding Trust, 2026-2 A
|
6.259%
|
11/27/56
|
1,193,566
|
1,192,890
(d)
|
|
|
Redwood Funding Trust, 2026-2 B
|
7.996%
|
11/27/56
|
610,000
|
612,373
(d)
|
|
|
Renaissance Home Equity Loan Trust,
2006-1 AF5
|
6.166%
|
5/25/36
|
516,941
|
235,089
(c)
|
|
See Notes to Financial Statements.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
9
Schedule of investments (unaudited) (cont'd) June 30, 2026
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
|
|||||
|
Renaissance Home Equity Loan Trust,
2007-3 AF3
|
7.238%
|
9/25/37
|
$1,410,027
|
$528,168
(c)
|
|
|
Residential Asset Securitization Trust,
2007-A2 1A1
|
6.000%
|
4/25/37
|
170,003
|
81,494
(c)
|
|
|
RFMSI Trust, 2006-S8 A12, IO (-1.000 x 1
mo. Term SOFR + 5.286%)
|
1.637%
|
9/25/36
|
1,529,664
|
98,041
(b)
|
|
|
Starwood Mortgage Residential Trust,
2020-3 B2
|
4.750%
|
4/25/65
|
1,490,000
|
1,304,840
(b)(c)(d)
|
|
|
Starwood Mortgage Residential Trust,
2021-4 B31
|
4.678%
|
8/25/56
|
2,700,000
|
1,936,461
(b)(c)(d)
|
|
|
Structured Adjustable Rate Mortgage Loan
Trust, 2004-18 1A2
|
4.460%
|
12/25/34
|
105,302
|
95,396
(b)
|
|
|
Structured Adjustable Rate Mortgage Loan
Trust, 2005-4 1A1
|
3.950%
|
3/25/35
|
72,521
|
60,341
(b)
|
|
|
Structured Adjustable Rate Mortgage Loan
Trust, 2005-7 1A3
|
4.312%
|
4/25/35
|
23,101
|
20,931
(b)
|
|
|
Structured Asset Investment Loan Trust,
2004-8 M9 (1 mo. Term SOFR + 3.864%)
|
7.513%
|
9/25/34
|
297,405
|
234,753
(b)(c)
|
|
|
Toorak Mortgage Trust, 2024-RRTL1 B1
|
9.398%
|
2/25/39
|
800,000
|
801,912
(b)(c)(d)
|
|
|
Toorak Mortgage Trust, 2024-RRTL1 B2
|
9.398%
|
2/25/39
|
640,000
|
642,664
(b)(c)(d)
|
|
|
UWM Mortgage Trust, 2021-1 AX4, IO
|
0.250%
|
6/25/51
|
21,243,423
|
251,065
(b)(d)
|
|
|
Verus Securitization Trust, 2023-7 B1
|
7.922%
|
10/25/68
|
1,960,000
|
1,966,490
(b)(c)(d)
|
|
|
Verus Securitization Trust, 2024-8 B1
|
7.032%
|
10/25/69
|
1,750,000
|
1,759,283
(b)(c)(d)
|
|
|
Verus Securitization Trust, 2025-R1 B1
|
6.400%
|
5/25/65
|
1,450,000
|
1,439,554
(b)(c)(d)
|
|
|
Wachovia Mortgage Loan Trust LLC, 2005-B
2A2
|
6.683%
|
10/20/35
|
3,061
|
3,005
(b)
|
|
|
WaMu Mortgage Pass-Through Certificates
Trust, 2005-8 1A6 (-3.667 x 1 mo. Term
SOFR + 22.864%)
|
9.486%
|
10/25/35
|
79,757
|
78,316
(b)
|
|
|
WaMu Mortgage Pass-Through Certificates
Trust, 2005-9 5A4 (-7.333 x 1 mo. Term
SOFR + 35.094%)
|
8.339%
|
11/25/35
|
31,387
|
27,935
(b)(c)
|
|
|
WaMu Mortgage Pass-Through Certificates
Trust, 2005-10 2A3 (1 mo. Term SOFR +
1.014%)
|
4.663%
|
11/25/35
|
55,922
|
51,634
(b)(c)
|
|
|
WaMu Mortgage Pass-Through Certificates
Trust, 2005-AR2 B1 (1 mo. Term SOFR +
0.909%)
|
4.558%
|
1/25/45
|
1,153,749
|
1,092,696
(b)(c)
|
|
|
WaMu Mortgage Pass-Through Certificates
Trust, 2005-AR13 A1C3 (1 mo. Term SOFR +
1.094%)
|
4.743%
|
10/25/45
|
49,493
|
48,011
(b)(c)
|
|
See Notes to Financial Statements.
10
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual 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
|
|||||
|
WaMu Mortgage Pass-Through Certificates
Trust, 2006-AR10 A1 (1 mo. Term SOFR +
0.314%)
|
3.963%
|
12/25/36
|
$210,286
|
$103,739
(b)(c)
|
|
|
|
|||||
|
Total Residential Mortgage-Backed Securities (Cost - $128,727,325)
|
134,718,720
|
||||
|
Commercial Mortgage-Backed Securities(a) - 56.1%
|
|||||
|
280 Park Avenue Mortgage Trust, 2017-
280P E (1 mo. Term SOFR + 2.419%)
|
6.031%
|
9/15/34
|
3,430,000
|
3,411,556
(b)(d)
|
|
|
280 Park Avenue Mortgage Trust, 2017-
280P F (1 mo. Term SOFR + 3.127%)
|
6.739%
|
9/15/34
|
320,000
|
314,264
(b)(d)
|
|
|
Atrium Hotel Portfolio Trust, 2017-ATRM E
(1 mo. Term SOFR + 3.347%)
|
6.973%
|
12/15/36
|
928,311
|
903,479
(b)(d)
|
|
|
BANK, 2021-BN35 H
|
1.771%
|
6/15/64
|
1,860,000
|
773,324
(b)(d)
|
|
|
BANK, 2021-BN35 K
|
1.771%
|
6/15/64
|
4,703,147
|
1,818,914
(b)(d)
|
|
|
BF Mortgage Trust, 2019-NYT E (1 mo. Term
SOFR + 2.797%)
|
6.423%
|
12/15/35
|
1,440,000
|
1,262,160
(b)(d)
|
|
|
BFLD Commercial Mortgage Trust, 2024-
UNIV E (1 mo. Term SOFR + 3.640%)
|
7.265%
|
11/15/41
|
1,170,000
|
1,174,461
(b)(d)
|
|
|
BFLD Commercial Mortgage Trust, 2025-
5MW F
|
10.155%
|
10/10/42
|
1,900,000
|
2,013,053
(b)(d)
|
|
|
BRES Commercial Mortgage Trust, 2025-
ATCAP F (1 mo. Term SOFR + 5.189%)
|
8.814%
|
11/15/42
|
2,000,000
|
1,994,450
(b)(d)
|
|
|
BSREP Commercial Mortgage Trust,
2021-DC HRR (1 mo. Term SOFR + 5.614%)
|
9.240%
|
8/15/38
|
3,013,097
|
592,887
(b)(d)
|
|
|
BWAY Mortgage Trust, 2013-1515 F
|
4.058%
|
3/10/33
|
1,500,000
|
1,319,958
(b)(d)
|
|
|
BX Commercial Mortgage Trust, 2019-IMC F
(1 mo. Term SOFR + 2.946%)
|
6.571%
|
4/15/34
|
2,000,000
|
1,979,840
(b)(d)
|
|
|
BX Commercial Mortgage Trust, 2025-SPOT
E (1 mo. Term SOFR + 3.690%)
|
7.316%
|
4/15/40
|
1,133,303
|
1,136,948
(b)(d)
|
|
|
BX Commercial Mortgage Trust, 2026-VLT9
E (1 mo. Term SOFR + 4.250%)
|
7.875%
|
3/15/45
|
750,000
|
752,945
(b)(d)
|
|
|
CONE Commercial Mortgage Trust, 2026-
DFW3 E
|
8.103%
|
5/15/43
|
1,500,000
|
1,514,622
(b)(d)
|
|
|
CSMC Trust, 2017-CHOP F (PRIME +
1.294%)
|
8.044%
|
7/15/32
|
1,620,000
|
1,589,986
(b)(d)
|
|
|
CSMC Trust, 2017-CHOP H (PRIME +
4.294%)
|
11.044%
|
7/15/32
|
1,509,000
|
1,417,928
(b)(d)
|
|
|
CSMC Trust, 2021-ADV G (1 mo. Term SOFR
+ 6.364%)
|
9.990%
|
7/15/38
|
1,500,000
|
153
(b)(d)
|
|
|
DGWD Trust, 2025-INFL E (1 mo. Term SOFR
+ 4.000%)
|
7.625%
|
8/15/35
|
1,600,000
|
1,598,367
(b)(d)
|
|
See Notes to Financial Statements.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
11
Schedule of investments (unaudited) (cont'd) June 30, 2026
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
|
|||||
|
Extended Stay America Trust, 2025-ESH D (1
mo. Term SOFR + 2.600%)
|
6.225%
|
10/15/42
|
$317,834
|
$320,533
(b)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Multifamily Structured Credit Risk
Trust, 2023-MN7 B1 (30 Day Average SOFR
+ 8.850%)
|
12.478%
|
9/25/43
|
2,200,000
|
2,546,689
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Multifamily Structured Credit Risk
Trust, 2026-MN14 B1 (30 Day Average SOFR
+ 4.300%)
|
7.890%
|
6/25/46
|
2,250,000
|
2,264,235
(b)(d)
|
|
|
Federal Home Loan Mortgage Corp.
(FHLMC) Multifamily Structured Credit Risk
Trust, 2021-MN1 B1 (30 Day Average SOFR
+ 7.750%)
|
11.378%
|
1/25/51
|
950,000
|
1,050,680
(b)(d)
|
|
|
FREMF Mortgage Trust, 2021-F117 CS (30
Day Average SOFR + 6.400%)
|
9.992%
|
7/25/31
|
539,172
|
516,579
(b)(d)
|
|
|
FRESB Mortgage Trust, 2018-SB48 B
|
4.402%
|
2/25/38
|
1,025,463
|
640,494
(b)(d)
|
|
|
Government National Mortgage Association
(GNMA), 2020-89 IA, IO
|
1.163%
|
4/16/62
|
6,311,417
|
503,869
(b)
|
|
|
Greystone CRE Notes LLC, 2025-HC4 D (1
mo. Term SOFR + 3.940%)
|
7.565%
|
10/15/42
|
2,000,000
|
1,994,036
(b)(d)
|
|
|
GS Mortgage Securities Corp., 2024-70P
HRR
|
10.333%
|
3/10/41
|
4,420,000
|
4,399,884
(b)(d)
|
|
|
GS Mortgage Securities Corp. Trust, 2018-
LUAU G (1 mo. Term SOFR + 4.747%)
|
8.372%
|
11/15/32
|
2,500,000
|
2,478,024
(b)(d)
|
|
|
HIH Trust, 2024-61P F (1 mo. Term SOFR +
5.437%)
|
9.062%
|
10/15/41
|
1,262,283
|
1,273,825
(b)(d)
|
|
|
HIT Trust, 2022-HI32 G (1 mo. Term SOFR +
7.228%)
|
10.853%
|
7/15/39
|
1,600,000
|
1,621,143
(b)(d)
|
|
|
KIND Trust, 2021-KIND F (1 mo. Term SOFR
+ 4.064%)
|
7.690%
|
8/15/38
|
1,299,330
|
1,293,562
(b)(d)
|
|
|
MF1 Ltd., 2021-FL7 E (1 mo. Term SOFR +
2.914%)
|
6.552%
|
10/16/36
|
2,000,000
|
1,975,446
(b)(d)
|
|
|
MLTI Trust, 2026-SF75 F (1 mo. Term SOFR +
4.000%)
|
7.625%
|
3/15/36
|
1,500,000
|
1,505,589
(b)(d)
|
|
|
Multifamily CAS Trust, 2019-1 CE (30 Day
Average SOFR + 8.864%)
|
12.492%
|
10/25/49
|
2,500,000
|
2,558,468
(b)(d)
|
|
|
Multifamily CAS Trust, 2020-1 CE (30 Day
Average SOFR + 7.614%)
|
11.242%
|
3/25/50
|
1,500,000
|
1,555,319
(b)(d)
|
|
|
Multifamily CAS Trust, 2025-01 B1 (30 Day
Average SOFR + 5.200%)
|
8.828%
|
5/25/55
|
975,000
|
1,031,952
(b)(d)
|
|
See Notes to Financial Statements.
12
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual 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
|
|||||
|
Natixis Commercial Mortgage Securities
Trust, 2019-FAME D
|
4.544%
|
8/15/36
|
$500,000
|
$328,900
(b)(d)
|
|
|
Natixis Commercial Mortgage Securities
Trust, 2019-FAME E
|
4.544%
|
8/15/36
|
950,000
|
365,560
(b)(d)
|
|
|
Natixis Commercial Mortgage Securities
Trust, 2022-JERI G (1 mo. Term SOFR +
7.608%)
|
11.233%
|
1/15/39
|
3,500,000
|
1,605,362
(b)(d)
|
|
|
Natixis Commercial Mortgage Securities
Trust, 2022-RRI E (1 mo. Term SOFR +
5.193%)
|
8.818%
|
3/15/35
|
273,015
|
273,935
(b)(d)
|
|
|
NYC Commercial Mortgage Trust, 2025-28L
F
|
8.401%
|
11/5/38
|
600,000
|
601,371
(b)(d)
|
|
|
NYC Commercial Mortgage Trust, 2025-28L
G
|
9.631%
|
11/5/38
|
1,400,000
|
1,392,410
(b)(d)
|
|
|
NYC Commercial Mortgage Trust, 2026-
1325 E
|
8.497%
|
5/9/41
|
1,500,000
|
1,556,377
(b)(d)
|
|
|
PNW Trust, 2026-ARTE E (1 mo. Term SOFR
+ 5.007%)
|
8.632%
|
4/15/41
|
2,000,000
|
1,999,766
(b)(d)
|
|
|
ROCK Trust, 2024-CNTR E
|
8.819%
|
11/13/41
|
1,600,000
|
1,672,154
(d)
|
|
|
SFO Commercial Mortgage Trust, 2021-555
E (1 mo. Term SOFR + 3.264%)
|
6.889%
|
5/15/38
|
1,500,000
|
1,497,680
(b)(d)
|
|
|
SLG Office Trust, 2026-OMA F
|
8.186%
|
4/15/41
|
1,800,000
|
1,809,596
(b)(d)
|
|
|
SMR Mortgage Trust, 2022-IND G (1 mo.
Term SOFR + 7.500%)
|
11.125%
|
2/15/39
|
1,800,000
|
1,711,814
(b)(d)
|
|
|
Soho Trust, 2021-SOHO D
|
2.786%
|
8/10/38
|
1,000,000
|
727,914
(b)(d)
|
|
|
Wells Fargo Commercial Mortgage Trust,
2022-JS2 G
|
3.569%
|
12/15/39
|
2,200,000
|
1,792,589
(b)(d)
|
|
|
|
|||||
|
Total Commercial Mortgage-Backed Securities (Cost - $79,164,987)
|
72,435,050
|
||||
|
|
|
|
|
Face
Amount/
Units
|
|
|
Asset-Backed Securities - 16.8%
|
|||||
|
Apex Credit CLO Ltd., 2019-2A D1NR (3 mo.
Term SOFR + 3.500%)
|
7.167%
|
1/25/38
|
$560,000
|
551,305
(b)(c)(d)
|
|
|
Avis Budget Rental Car Funding AESOP LLC,
2023-6A D
|
7.370%
|
12/20/29
|
670,000
|
678,094
(d)
|
|
|
Balboa Bay Loan Funding Ltd., 2023-1A ERR
(3 mo. Term SOFR + 5.400%)
|
9.075%
|
4/20/36
|
640,000
|
637,361
(b)(c)(d)
|
|
|
Balboa Bay Loan Funding Ltd., 2024-2A E (3
mo. Term SOFR + 5.750%)
|
9.425%
|
1/20/38
|
290,000
|
292,827
(b)(c)(d)
|
|
See Notes to Financial Statements.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
13
Schedule of investments (unaudited) (cont'd) June 30, 2026
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
|
|||||
|
Bear Mountain Park CLO Ltd., 2022-1A ER (3
mo. Term SOFR + 5.950%)
|
9.623%
|
7/15/37
|
$500,000
|
$460,318
(b)(c)(d)
|
|
|
Black Diamond CLO Ltd., 2021-1A CR (3 mo.
Term SOFR + 3.900%)
|
7.564%
|
11/22/34
|
510,000
|
512,334
(b)(c)(d)
|
|
|
Clover CLO LLC, 2021-3A ER (3 mo. Term
SOFR + 4.900%)
|
8.567%
|
1/25/35
|
720,000
|
680,267
(b)(c)(d)
|
|
|
Columbia Cent CLO Ltd., 2025-35A D1A (3
mo. Term SOFR + 3.500%)
|
7.167%
|
7/25/36
|
500,000
|
502,269
(b)(c)(d)
|
|
|
Conseco Finance Corp., 1999-4 A8
|
7.700%
|
5/1/31
|
4,535,964
|
1,061,533
(b)
|
|
|
Conseco Finance Corp., 1999-4 A9
|
7.020%
|
5/1/31
|
10,083,507
|
2,184,865
(b)
|
|
|
DRB Prime Student Loan Trust, 2017-A R
|
40.645%
|
5/27/42
|
429
|
638,141
(d)(e)
|
|
|
Elevation CLO Ltd., 2016-5A ERR (3 mo.
Term SOFR + 7.580%)
|
11.247%
|
1/25/38
|
500,000
|
479,203
(b)(c)(d)
|
|
|
GGAM Master Trust International Ltd.,
2026-1A Y
|
9.317%
|
9/30/60
|
700,000
|
700,000
(d)(f)(g)
|
|
|
Home Partners of America Trust, 2021-2 F
|
3.799%
|
12/17/26
|
1,429,424
|
1,413,619
(c)(d)
|
|
|
Huntington Bank Auto Credit-Linked Notes,
2025-2 D (30 Day Average SOFR + 3.250%)
|
6.859%
|
9/20/33
|
482,847
|
469,860
(b)(d)
|
|
|
Jamestown CLO Ltd., 2021-17A DR (3 mo.
Term SOFR + 3.500%)
|
7.167%
|
1/25/35
|
280,000
|
278,634
(b)(c)(d)
|
|
|
Loanpal Solar Loan Ltd., 2020-3GS C
|
3.500%
|
12/20/47
|
566,201
|
375,450
(d)
|
|
|
Loanpal Solar Loan Ltd., 2021-1GS C
|
3.500%
|
1/20/48
|
583,032
|
470,553
(d)
|
|
|
Lunar Structured Aircraft Portfolio Notes,
2021-1 C
|
5.682%
|
10/15/46
|
763,610
|
745,576
(d)
|
|
|
MetroNet Infrastructure Issuer LLC, 2025-2A
C
|
7.830%
|
8/20/55
|
670,000
|
684,011
(d)
|
|
|
MidOcean Credit CLO LLC, 2025-18A E (3
mo. Term SOFR + 5.400%)
|
9.075%
|
10/18/35
|
600,000
|
601,782
(b)(c)(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
|
414,699
(b)(d)
|
|
|
Nelnet Student Loan Trust, 2021-DA D
|
4.380%
|
4/20/62
|
1,200,000
|
1,047,847
(d)
|
|
|
New Mountain CLO Ltd., 5A D1R (3 mo.
Term SOFR + 3.150%)
|
6.825%
|
7/20/36
|
260,000
|
259,773
(b)(c)(d)
|
|
|
NRM Excess LLC, 2024-FNT1 A
|
7.398%
|
11/25/31
|
622,417
|
622,557
(d)
|
|
|
Ocean Trails CLO Ltd., 2023-14A ER (3 mo.
Term SOFR + 6.340%)
|
10.015%
|
1/20/38
|
600,000
|
573,789
(b)(c)(d)
|
|
|
RBS Acceptance Inc., 1995-BA1 B2
|
9.000%
|
12/10/26
|
2,191,561
|
22
|
|
|
Renew Financial, 2024-2A B
|
8.223%
|
11/20/60
|
719,421
|
717,356
(d)
|
|
See Notes to Financial Statements.
14
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
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
|
|||||
|
Rockford Tower CLO Ltd., 2022-2A ER2 (3
mo. Term SOFR + 6.840%)
|
10.515%
|
3/20/38
|
$500,000
|
$464,133
(b)(d)
|
|
|
RR Ltd., 2021-18A DR (3 mo. Term SOFR +
4.900%)
|
8.573%
|
7/15/40
|
520,000
|
520,745
(b)(c)(d)
|
|
|
SEB Funding LLC, 2024-1A A2
|
7.386%
|
4/30/54
|
1,017,450
|
1,031,558
(d)
|
|
|
Sierra Timeshare Receivables Funding LLC,
2024-1A D
|
8.020%
|
1/20/43
|
237,308
|
241,112
(d)
|
|
|
Sunnova Hellios II Issuer LLC, 2018-1A B
|
7.710%
|
7/20/48
|
750,653
|
710,035
(d)
|
|
|
Whitebox CLO Ltd., 2025-5A E (3 mo. Term
SOFR + 5.250%)
|
8.925%
|
7/20/38
|
690,000
|
695,075
(b)(c)(d)
|
|
|
|
|||||
|
Total Asset-Backed Securities (Cost - $23,200,694)
|
21,716,703
|
||||
|
|
|
|
|
Shares
|
|
|
Preferred Stocks - 3.3%
|
|||||
|
Financials - 3.3%
|
|||||
|
Mortgage Real Estate Investment Trusts (REITs) - 3.3%
|
|||||
|
AGNC Investment Corp., Non Voting Shares
(3 mo. Term SOFR + 4.959%)
|
8.632%
|
52,953
|
1,321,177
(b)
|
||
|
Chimera Investment Corp., Non Voting
Shares
|
8.000%
|
31,752
|
657,584
|
||
|
Chimera Investment Corp., Non Voting
Shares (3 mo. Term SOFR + 5.005%)
|
8.737%
|
31,276
|
708,089
(b)
|
||
|
MFA Financial Inc., Non Voting Shares (3
mo. Term SOFR + 5.607%)
|
9.340%
|
70,049
|
1,577,503
(b)
|
||
|
|
|||||
|
Total Preferred Stocks
(Cost - $4,280,519)
|
4,264,353
|
||||
|
|
|
|
Maturity
Date
|
Face
Amount
|
|
|
Corporate Bonds & Notes - 2.2%
|
|||||
|
Consumer Discretionary - 0.8%
|
|||||
|
Hotels, Restaurants & Leisure - 0.8%
|
|||||
|
Full House Resorts Inc., Senior Secured
Notes
|
8.250%
|
2/15/28
|
$1,050,000
|
1,029,000
(d)
|
|
|
|
|||||
|
Financials - 1.4%
|
|||||
|
Mortgage Real Estate Investment Trusts (REITs) - 1.4%
|
|||||
|
Arbor Realty SR Inc., Senior Notes
|
8.500%
|
12/15/28
|
400,000
|
394,672
(d)
|
|
|
Arbor Realty SR Inc., Senior Notes
|
7.875%
|
7/15/30
|
1,430,000
|
1,346,527
(d)
|
|
|
|
|||||
|
Total Financials
|
1,741,199
|
||||
See Notes to Financial Statements.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
15
Schedule of investments (unaudited) (cont'd) June 30, 2026
Western Asset Mortgage Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
|
|||||
|
Total Corporate Bonds & Notes (Cost - $2,835,497)
|
2,770,199
|
||||
|
Senior Loans - 1.5%
|
|||||
|
Financials - 0.8%
|
|||||
|
Financial Services - 0.8%
|
|||||
|
Greystone Select Holdings LLC, Term Loan B
(3 mo. Term SOFR + 5.262%)
|
8.925%
|
6/16/28
|
$962,025
|
$958,018
(b)(h)(i)
|
|
|
|
|||||
|
Information Technology - 0.4%
|
|||||
|
Software - 0.4%
|
|||||
|
Coreweave Compute Acquisition Co. IV LLC,
Additional Delayed Draw Term Loan (1 mo.
Term SOFR + 4.500%)
|
8.120%
|
11/6/31
|
550,000
|
561,817
(b)(h)(i)(j)
|
|
|
|
|||||
|
Real Estate - 0.3%
|
|||||
|
Real Estate Management & Development - 0.3%
|
|||||
|
Cushman & Wakefield US Borrower LLC,
2026 Term Loan (1 mo. Term SOFR +
2.250%)
|
5.894%
|
6/13/33
|
423,750
|
423,750
(b)(h)(i)(k)
|
|
|
|
|||||
|
Total Senior Loans (Cost - $1,916,405)
|
1,943,585
|
||||
|
Total Investments - 184.3% (Cost - $240,125,427)
|
237,848,610
|
||||
|
Liabilities in Excess of Other Assets - (84.3)%
|
(108,765,854
)
|
||||
|
Total Net Assets - 100.0%
|
$129,082,756
|
||||
See Notes to Financial Statements.
16
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
Western Asset Mortgage Opportunity Fund Inc.
|
(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)
|
Rate shown is the current yield based on income received over the trailing twelve months.
|
|
(f)
|
Security is fair valued in accordance with procedures approved by the Board of Directors (Note 1).
|
|
(g)
|
Securities traded on a when-issued or delayed delivery basis.
|
|
(h)
|
Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to
multiple contracts under the same loan.
|
|
(i)
|
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.
|
|
(j)
|
All or a portion of this loan is unfunded as of June 30, 2026. The interest rate for fully unfunded term loans is to be
determined. At June 30, 2026, the total principal amount and market value of unfunded commitments totaled
$354,661 and $362,281, respectively.
|
|
(k)
|
Security is valued using significant unobservable inputs (Note 1).
|
|
Abbreviation(s) used in this schedule:
|
||
|
CAS
|
-
|
Connecticut Avenue Securities
|
|
CLO
|
-
|
Collateralized Loan Obligation
|
|
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 June 30, 2026, 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.
|
5.673%
|
6/11/2026
|
7/15/2026
|
$2,199,000
|
Commercial Mortgage-
Backed Securities
|
$2,551,264
|
See Notes to Financial Statements.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
17
Schedule of investments (unaudited) (cont'd) June 30, 2026
Western Asset Mortgage Opportunity Fund Inc.
|
Counterparty
|
Rate
|
Effective
Date
|
Maturity
Date
|
Face Amount
of Reverse
Repurchase
Agreements
|
Asset Class
of Collateral*
|
Collateral
Value**
|
|
Nomura Securities Inc.
|
5.680%
|
4/13/2026
|
7/15/2026
|
$68,251,000
|
Residential Mortgage-
Backed Securities
Asset-Backed Securities
|
$70,399,307
8,585,639
|
|
Nomura Securities Inc.
|
5.684%
|
4/13/2026
|
7/15/2026
|
39,021,000
|
Residential Mortgage-
Backed Securities
|
44,903,716
|
|
|
$109,471,000
|
$126,439,926
|
|
*
|
Refer to the Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase
agreements.
|
|
**
|
Including accrued interest.
|
At June 30, 2026, the Fund had the following open futures contracts:
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
|
Market
Value
|
Unrealized
Depreciation
|
|
Contracts to Sell:
|
|||||
|
U.S. Treasury Long-Term Bonds
|
44
|
9/26
|
$4,919,691
|
$4,994,000
|
$(74,309
)
|
|
U.S. Treasury Ultra 10-Year
Notes
|
79
|
9/26
|
8,719,461
|
8,885,031
|
(165,570
)
|
|
U.S. Treasury Ultra Long-Term
Bonds
|
20
|
9/26
|
2,252,971
|
2,323,125
|
(70,154
)
|
|
Net unrealized depreciation on open futures contracts
|
$(310,033
)
|
||||
See Notes to Financial Statements.
18
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
Statement of assets and liabilities (unaudited) June 30, 2026
|
Assets:
|
|
|
Investments, at value (Cost - $240,125,427)
|
$237,848,610
|
|
Principal paydown receivable
|
1,591,623
|
|
Interest receivable
|
1,346,103
|
|
Deposits with brokers for open futures contracts
|
484,797
|
|
Receivable from brokers - net variation margin on open futures contracts
|
74,735
|
|
Prepaid expenses
|
134,925
|
|
Total Assets
|
241,480,793
|
|
Liabilities:
|
|
|
Payable for open reverse repurchase agreements (Note 3)
|
109,471,000
|
|
Interest and commitment fees payable
|
1,401,688
|
|
Payable for securities purchased
|
1,054,661
|
|
Investment management fee payable
|
197,721
|
|
Due to custodian
|
45,421
|
|
Directors' fees payable
|
31
|
|
Accrued expenses
|
227,515
|
|
Total Liabilities
|
112,398,037
|
|
Total Net Assets
|
$129,082,756
|
|
Net Assets:
|
|
|
Par value ($0.001 par value; 11,427,128 shares issued and outstanding; 100,000,000 shares
authorized)
|
$11,427
|
|
Paid-in capital in excess of par value
|
192,028,227
|
|
Total distributable earnings (loss)
|
(62,956,898
)
|
|
Total Net Assets
|
$129,082,756
|
|
Shares Outstanding
|
11,427,128
|
|
Net Asset Value
|
$11.30
|
See Notes to Financial Statements.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
19
Statement of operations (unaudited) For the Six Months Ended June 30, 2026
|
Investment Income:
|
|
|
Interest
|
$10,009,144
|
|
Dividends from unaffiliated investments
|
214,128
|
|
Dividends from affiliated investments
|
5,765
|
|
Total Investment Income
|
10,229,037
|
|
Expenses:
|
|
|
Interest expense (Note 3)
|
3,371,028
|
|
Investment management fee (Note 2)
|
1,234,220
|
|
Legal fees
|
69,768
|
|
Audit and tax fees
|
49,039
|
|
Transfer agent fees
|
38,500
|
|
Fund accounting fees
|
32,961
|
|
Commitment fees
|
27,703
|
|
Shareholder reports
|
26,347
|
|
Directors' fees
|
23,347
|
|
Stock exchange listing fees
|
6,199
|
|
Custody fees
|
1,302
|
|
Insurance
|
856
|
|
Miscellaneous expenses
|
7,187
|
|
Total Expenses
|
4,888,457
|
|
Less: Fee waivers and/or expense reimbursements (Note 2)
|
(207
)
|
|
Net Expenses
|
4,888,250
|
|
Net Investment Income
|
5,340,787
|
|
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts (Notes 1, 3 and 4):
|
|
|
Net Realized Gain From:
|
|
|
Investment transactions in unaffiliated securities
|
107,749
|
|
Futures contracts
|
659,403
|
|
Net Realized Gain
|
767,152
|
|
Change in Net Unrealized Appreciation (Depreciation) From:
|
|
|
Investments in unaffiliated securities
|
(1,868,764
)
|
|
Futures contracts
|
(422,027
)
|
|
Change in Net Unrealized Appreciation (Depreciation)
|
(2,290,791
)
|
|
Net Loss on Investments and Futures Contracts
|
(1,523,639
)
|
|
Increase in Net Assets From Operations
|
$3,817,148
|
See Notes to Financial Statements.
20
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
Statements of changes in net assets
|
For the Six Months Ended June 30, 2026 (unaudited)
and the Year Ended December 31, 2025
|
2026
|
2025
|
|
Operations:
|
||
|
Net investment income
|
$5,340,787
|
$12,130,825
|
|
Net realized gain (loss)
|
767,152
|
(6,770,327
)
|
|
Change in net unrealized appreciation (depreciation)
|
(2,290,791
)
|
8,336,895
|
|
Increase in Net Assets From Operations
|
3,817,148
|
13,697,393
|
|
Distributions to Shareholders From (Note 1):
|
||
|
Total distributable earnings
|
(8,227,532
)
|
(13,360,788
)
|
|
Return of capital
|
-
|
(4,303,244
)
|
|
Decrease in Net Assets From Distributions to Shareholders
|
(8,227,532
)
|
(17,664,032
)
|
|
Fund Share Transactions:
|
||
|
Net proceeds from sale of shares (0 and 31,986 shares issued,
respectively) (Note 7)†
|
(18
)
|
379,235
|
|
Reinvestment of distributions (0 and 8,931 shares issued, respectively)
|
-
|
106,079
|
|
Increase (Decrease) in Net Assets From Fund Share
Transactions
|
(18
)
|
485,314
|
|
Decrease in Net Assets
|
(4,410,402
)
|
(3,481,325
)
|
|
Net Assets:
|
||
|
Beginning of period
|
133,493,158
|
136,974,483
|
|
End of period
|
$129,082,756
|
$133,493,158
|
|
†
|
Net of shelf registration offering costs of $18 for the six months ended June 30, 2026, net of sales charges of
$3,837 and net of shelf registration offering costs of $644 for the year ended December 31, 2025.
|
See Notes to Financial Statements.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
21
Statement of cash flows (unaudited) For the Six Months Ended June 30, 2026
|
Increase (Decrease) in Cash:
|
|
|
Cash Flows from Operating Activities:
|
|
|
Net increase in net assets resulting from operations
|
$3,817,148
|
|
Adjustments to reconcile net increase in net assets resulting from operations to net cash
provided (used) by operating activities:
|
|
|
Purchases of portfolio securities
|
(29,983,338
)
|
|
Sales of portfolio securities
|
42,811,894
|
|
Net purchases, sales and maturities of short-term investments
|
828,977
|
|
Net amortization of premium (accretion of discount)
|
694,582
|
|
Decrease in interest receivable
|
150,343
|
|
Increase in prepaid expenses
|
(5,429
)
|
|
Decrease in dividends receivable from affiliated investments
|
1,158
|
|
Increase in principal paydown receivable
|
(1,591,623
)
|
|
Increase in receivable from brokers - net variation margin on open futures contracts
|
(42,797
)
|
|
Increase in payable for securities purchased
|
1,054,661
|
|
Decrease in investment management fee payable
|
(20,730
)
|
|
Decrease in Directors' fees payable
|
(263
)
|
|
Decrease in interest expense payable
|
(157,498
)
|
|
Increase in accrued expenses
|
21,256
|
|
Net realized gain on investments
|
(107,749
)
|
|
Change in net unrealized appreciation (depreciation) of investments
|
1,868,764
|
|
Net Cash Provided in Operating Activities*
|
19,339,356
|
|
Cash Flows from Financing Activities:
|
|
|
Distributions paid on common stock (net of distributions payable)
|
(8,227,532
)
|
|
Increase in due to custodian
|
45,421
|
|
Decrease in payable for open reverse repurchase agreements
|
(13,725,000
)
|
|
Additional rights offering costs
|
(18
)
|
|
Net Cash Used by Financing Activities
|
(21,907,129
)
|
|
Net Decrease in Cash and Restricted Cash
|
(2,567,773
)
|
|
Cash and restricted cash at beginning of period
|
3,052,570
|
|
Cash and restricted cash at end of period
|
$484,797
|
|
*
|
Included in operating expenses is $3,556,229 paid for interest on borrowings.
|
The following table provides a reconciliation of cash and restricted cash reported within the Statement of Assets
and Liabilities that sums to the total of such amounts shown on the Statement of Cash Flows.
|
|
June 30, 2026
|
|
Cash
|
-
|
|
Restricted cash
|
$484,797
|
|
Total cash and restricted cash shown in the Statement of Cash Flows
|
$484,797
|
Restricted cash consists of cash that has been segregated to cover the Fund's collateral or margin obligations under derivative contracts. It is separately reported on the Statement of Assets and Liabilities as Deposits with brokers.
See Notes to Financial Statements.
22
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
Financial highlights
|
For a share of capital stock outstanding throughout each year ended December 31,
unless otherwise noted:
|
||||||
|
|
20261,2
|
20251
|
20241
|
20231
|
20221
|
20211
|
|
Net asset value, beginning of period
|
$11.68
|
$12.03
|
$12.05
|
$12.12
|
$15.40
|
$14.96
|
|
Income (loss) from operations:
|
||||||
|
Net investment income
|
0.47
|
1.06
|
1.16
|
1.07
|
0.95
|
0.89
|
|
Net realized and unrealized gain (loss)
|
(0.13
)
|
0.14
|
0.35
|
0.14
|
(3.00
)
|
0.90
|
|
Total income (loss) from operations
|
0.34
|
1.20
|
1.51
|
1.21
|
(2.05)
|
1.79
|
|
Less distributions from:
|
||||||
|
Net investment income
|
(0.72
)4
|
(1.17
)
|
(1.37
)
|
(1.28
)
|
(1.23
)
|
(1.16
)
|
|
Return of capital
|
-
|
(0.38
)
|
(0.16
)
|
-
|
(0.01
)
|
(0.19
)
|
|
Total distributions
|
(0.72
)
|
(1.55
)
|
(1.53
)
|
(1.28
)
|
(1.24
)
|
(1.35
)
|
|
Anti-dilutive impact of repurchase plan
|
-
|
-
|
-
|
0.00
5,6
|
0.01
6
|
-
|
|
Net asset value, end of period
|
$11.30
|
$11.68
|
$12.03
|
$12.05
|
$12.12
|
$15.40
|
|
Market price, end of period
|
$10.71
|
$11.06
|
$11.80
|
$11.17
|
$10.77
|
$15.21
|
|
Total return, based on NAV7,8
|
2.97
%
|
10.57
%
|
13.16
%
|
10.51
%
|
(13.69
)%
|
12.38
%
|
|
Total return, based on Market Price9
|
3.35
%
|
6.85
%
|
20.06
%
|
16.68
%
|
(21.64
)%
|
17.24
%
|
|
Net assets, end of period (millions)
|
$129
|
$133
|
$137
|
$137
|
$138
|
$177
|
|
Ratios to average net assets:
|
||||||
|
Gross expenses10
|
7.46
%11
|
7.91
%
|
8.07
%
|
7.28
%
|
3.80
%
|
2.38
%
|
|
Net expenses10,12
|
7.46
11,13
|
7.87
13
|
7.95
13
|
7.14
13
|
3.72
13
|
2.10
13
|
|
Net investment income
|
8.15
11
|
8.92
|
9.49
|
8.87
|
6.96
|
5.82
|
|
Portfolio turnover rate
|
12
%
|
20
%
|
28
%
|
24
%
|
24
%14
|
14
%
|
|
Weighted Average Loan (000s)
|
-
|
-
|
-
|
-
|
-
|
$45,000
|
|
Weighted Average Interest Rate on Loan
|
-
|
-
|
-
|
-
|
-
|
1.84
%
|
See Notes to Financial Statements.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
23
Financial highlights (cont'd)
|
For a share of capital stock outstanding throughout each year ended December 31,
unless otherwise noted:
|
|||||
|
|
20201,3
|
20191,3
|
20181,3
|
20171,3
|
20161,3
|
|
Net asset value, beginning of period
|
$19.48
|
$19.28
|
$21.27
|
$20.70
|
$22.76
|
|
Income (loss) from operations:
|
|||||
|
Net investment income
|
1.23
|
1.51
|
1.65
|
1.57
|
1.47
|
|
Net realized and unrealized gain (loss)
|
(4.20
)
|
0.65
|
0.22
|
2.28
|
(0.53
)
|
|
Total income (loss) from operations
|
(2.97)
|
2.16
|
1.87
|
3.85
|
0.94
|
|
Less distributions from:
|
|||||
|
Net investment income
|
(1.13
)
|
(1.45
)
|
(3.03
)
|
(2.69
)
|
(2.95
)
|
|
Net realized gains
|
-
|
-
|
(0.83
)
|
(0.59
)
|
(0.05
)
|
|
Return of capital
|
(0.42
)
|
(0.51
)
|
-
|
-
|
-
|
|
Total distributions
|
(1.55
)
|
(1.96
)
|
(3.86
)
|
(3.28
)
|
(3.00
)
|
|
Net asset value, end of period
|
$14.96
|
$19.48
|
$19.28
|
$21.27
|
$20.70
|
|
Market price, end of period
|
$14.18
|
$20.30
|
$20.39
|
$24.67
|
$22.79
|
|
Total return, based on NAV7,8
|
(14.67
)%
|
11.65
%
|
9.26
%
|
19.70
%
|
4.47
%
|
|
Total return, based on Market Price9
|
(22.13
)%
|
9.71
%
|
(1.16
)%
|
24.20
%
|
10.80
%
|
|
Net assets, end of period (millions)
|
$165
|
$205
|
$202
|
$222
|
$216
|
|
Ratios to average net assets:
|
|||||
|
Gross expenses10
|
2.82
%
|
3.56
%
|
3.15
%
|
2.68
%
|
2.97
%
|
|
Net expenses10,12
|
2.53
13
|
3.56
|
3.15
|
2.68
|
2.97
|
|
Net investment income
|
8.18
|
7.73
|
7.78
|
7.29
|
6.78
|
|
Portfolio turnover rate
|
11
%
|
17
%
|
33
%
|
35
%
|
24
%14
|
|
Loan Outstanding, End of Period (000s)
|
$45,000
|
$98,000
|
$99,250
|
$101,750
|
$101,750
|
|
Asset Coverage Ratio for Loan Outstanding15
|
467
%
|
309
%
|
303
%
|
319
%
|
312
%
|
|
Asset Coverage, per $1,000 Principal Amount of
Loan Outstanding15
|
$4,667
|
$3,089
|
$3,035
|
$3,185
|
$3,124
|
|
Weighted Average Loan (000s)
|
$62,369
|
$98,072
|
$101,743
|
$101,750
|
$90,984
|
|
Weighted Average Interest Rate on Loan
|
2.14
%
|
3.46
%
|
3.06
%
|
2.06
%
|
1.50
%
|
See Notes to Financial Statements.
24
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
|
1
|
Per share amounts have been calculated using the average shares method.
|
|
2
|
For the six months ended June 30, 2026 (unaudited).
|
|
3
|
Audited, but not covered by the current report of the independent registered public accounting firm.
|
|
4
|
The actual source of the Fund's current fiscal year distributions may be from net investment income, realized
capital gains, return of capital or a combination thereof. Shareholders will be informed of the tax characteristics of
the distributions after the close of the fiscal year.
|
|
5
|
Amount represents less than $0.005 or greater than $(0.005) per share.
|
|
6
|
The repurchase plan was completed at an average repurchase price of $10.21 for 13,982 shares and $142,726 for
the year ended December 31, 2023, and $11.16 for 67,728 shares and $755,559 for the year ended December 31,
2022.
|
|
7
|
Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements.
In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total
return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less
than one year are not annualized.
|
|
8
|
The total return calculation assumes that distributions are reinvested at NAV. Past performance is no guarantee of
future results. Total returns for periods of less than one year are not annualized.
|
|
9
|
The total return calculation assumes that distributions are reinvested in accordance with the Fund's dividend
reinvestment plan. Past performance is no guarantee of future results. Total returns for periods of less than one
year are not annualized.
|
|
10
|
Includes expenses related to borrowings of 5.19%, 5.58%, 5.91%, 5.03%, 2.03%, 0.76%, 1.06%, 1.66%, 1.42%,
0.95% and 0.82%, for the six months ended June 30, 2026, and years ended December 31, 2025, 2024, 2023, 2022,
2021, 2020, 2019, 2018, 2017 and 2016, respectively.
|
|
11
|
Annualized.
|
|
12
|
The manager has agreed to waive the Fund's management fee to an extent sufficient to offset the net management
fee payable in connection with any investment in an affiliated money market fund.
|
|
13
|
Reflects fee waivers and/or expense reimbursements.
|
|
14
|
Including mortgage dollar roll transactions. If mortgage dollar roll transactions had been excluded, the portfolio
turnover rates for the respective year/period presented would have been 22% and 23%.
|
|
15
|
Represents value of net assets plus the loan outstanding at the end of the period divided by the loan outstanding
at the end of the period.
|
See Notes to Financial Statements.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
25
Notes to financial statements (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 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. Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the date the financial statements were issued.
(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
26
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund's Board of Directors (the "Board").
Pursuant to policies adopted by the Board, 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. 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, 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 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.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
27
Notes to financial statements (unaudited) (cont'd)
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
|
-
|
$134,718,720
|
-
|
$134,718,720
|
|
Commercial Mortgage-Backed
Securities
|
-
|
72,435,050
|
-
|
72,435,050
|
|
Asset-Backed Securities
|
-
|
21,716,703
|
-
|
21,716,703
|
|
Preferred Stocks
|
$4,264,353
|
-
|
-
|
4,264,353
|
|
Corporate Bonds & Notes
|
-
|
2,770,199
|
-
|
2,770,199
|
|
Senior Loans:
|
||||
|
Real Estate
|
-
|
-
|
$423,750
|
423,750
|
|
Other senior loans
|
-
|
1,519,835
|
-
|
1,519,835
|
|
Total Investments
|
$4,264,353
|
$233,160,507
|
$423,750
|
$237,848,610
|
|
LIABILITIES
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Other Financial Instruments:
|
||||
|
Futures Contracts††
|
$310,033
|
-
|
-
|
$310,033
|
|
†
|
See Schedule of Investments for additional detailed categorizations.
|
|
††
|
Reflects the unrealized appreciation (depreciation) of the instruments.
|
(b) Futures contracts. The Fund uses futures contracts generally to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in
28
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
certain asset classes. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the Fund is required to deposit cash or securities with a broker in an amount equal to a certain percentage of the contract amount. This is known as the ''initial margin'' and subsequent payments (''variation margin'') are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. The daily changes in contract value are recorded as unrealized appreciation or depreciation in the Statement of Operations and the Fund recognizes a realized gain or loss when the contract is closed.
Futures contracts involve, to varying degrees, risk of loss in excess of the amounts reflected in the financial statements. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(c) Loan participations. The Fund may invest in loans arranged through private negotiation between one or more financial institutions. The Fund's investment in any such loan may be in the form of a participation in or an assignment of the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement related to the loan, or any rights of offset against the borrower and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the participation.
The Fund assumes the credit risk of the borrower, the lender that is selling the participation and any other persons interpositioned between the Fund and the borrower. In the event of the insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower.
(d) Unfunded loan commitments. The Fund may enter into certain credit agreements where all or a portion of the total amount committed may be unfunded. The Fund is obligated to fund these commitments at the borrower's discretion. The commitments are disclosed in the accompanying Schedule of Investments. At June 30, 2026, the Fund had sufficient cash and/or securities to cover these commitments.
(e) Stripped securities. The Fund may invest in ''Stripped Securities,'' a term used collectively for components, or strips, of fixed income securities. Stripped Securities can be principal only securities ("PO"), which are debt obligations that have been stripped of unmatured interest coupons, or interest only securities ("IO"), which are unmatured interest coupons that have been stripped from debt obligations. The market value of Stripped Securities will fluctuate in response to changes in economic conditions, rates of pre-payment, interest rates and the market's perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation may increase with a longer period of maturity.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
29
Notes to financial statements (unaudited) (cont'd)
The yield to maturity on IO's is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in IO's.
(f) Reverse repurchase agreements. The Fund may enter into reverse repurchase agreements. Under the terms of a typical reverse repurchase agreement, a fund sells a security subject to an obligation to repurchase the security from the buyer at an agreed upon time and price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of the proceeds of the agreement may be restricted pending a determination by the counterparty, or its trustee or receiver, whether to enforce the Fund's obligation to repurchase the securities. In entering into reverse repurchase agreements, the Fund will pledge cash, U.S. government securities or other liquid debt obligations at least equal in value to its obligations with respect to reverse repurchase agreements or will take other actions permitted by law to cover its obligations. If the market value of the collateral declines during the period, the Fund may be required to post additional collateral to cover its obligation. Cash collateral that has been pledged to cover obligations of the Fund under reverse repurchase agreements, if any, will be reported separately in the Statement of Assets and Liabilities. Securities pledged as collateral are noted in the Schedule of Investments. Interest payments made on reverse repurchase agreements are recognized as a component of "Interest expense" on the Statement of Operations. In periods of increased demand for the security, the Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund.
(g) Securities traded on a when-issued and delayed delivery basis. The Fund may trade securities on a when-issued or delayed delivery basis. In when-issued and delayed delivery transactions, the securities are purchased or sold by the Fund with payment and delivery taking place in the future in order to secure what is considered to be an advantageous price and yield to the Fund at the time of entering into the transaction.
Purchasing such securities involves risk of loss if the value of the securities declines prior to settlement. These securities are subject to market fluctuations and their current value is determined in the same manner as for other securities.
(h) Mortgage-backed securities. Mortgage-Backed Securities ("MBS") include CMBS and RMBS. These securities depend on payments (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) primarily from the cash flow from secured commercial or residential mortgage loans made to borrowers. Such loans are secured (on a first priority basis or second priority basis, subject to permitted liens, easements and other encumbrances) by commercial or residential real estate, the proceeds of which are used to purchase and or to construct commercial or residential real estate. The value of some mortgage-backed securities may be particularly sensitive to changes in prevailing interest rates. The value of these
30
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
securities may fluctuate in response to the market's perception of the creditworthiness of the issuers. Additionally, although certain mortgage-related securities are supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
(i) Leverage. The Fund may seek to enhance the level of its current distributions to holders of common stock through the use of leverage. The Fund may use leverage directly at the Fund level through borrowings, including loans from certain financial institutions or through a qualified government sponsored program, the use of reverse repurchase agreements and/or the issuance of debt securities (collectively, "Borrowings"), and through the issuance of preferred stock ("Preferred Stock"), in an aggregate amount of up to approximately 33 1/3% of the Fund's Total Assets immediately after such Borrowings and/or issuances of Preferred Stock. "Total Assets" for this purpose means the Fund's total assets less all liabilities and indebtedness not represented by senior securities. In addition, the Fund may enter into additional reverse repurchase agreements and/or use similar investment management techniques that may provide leverage, but which are not subject to the foregoing 33 1/3% limitation to the extent that the Fund elects to treat such repurchase agreements and similar financing transactions as "derivative transactions" under Rule 18f-4 of the 1940 Act.
(j) Cash flow information. The Fund invests in securities and distributes dividends from net investment income and net realized gains, which are paid in cash and may be reinvested at the discretion of shareholders. These activities are reported in the Statements of Changes in Net Assets and additional information on cash receipts and cash payments is presented in the Statement of Cash Flows.
(k) Credit and market risk. Investments in securities that are collateralized by real estate mortgages are subject to certain credit and liquidity risks. When market conditions result in an increase in default rates of the underlying mortgages and the foreclosure values of underlying real estate properties are materially below the outstanding amount of these underlying mortgages, collection of the full amount of accrued interest and principal on these investments may be doubtful. Such market conditions may significantly impair the value and liquidity of these investments and may result in a lack of correlation between their credit ratings and values.
(l) Foreign investment risks. The Fund's investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or may pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
31
Notes to financial statements (unaudited) (cont'd)
(m) Counterparty risk and credit-risk-related contingent features of derivative instruments. The Fund may invest in certain securities or engage in other transactions where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The Fund's subadviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the subadviser. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.
With exchange traded and centrally cleared derivatives, there is less counterparty risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default of the clearing broker or clearinghouse.
The Fund has entered into master agreements, such as an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement, with certain of its derivative counterparties that govern over-the-counter ("OTC") derivatives and provide for general obligations, representations, agreements, collateral posting terms, netting provisions in the event of default or termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Fund's net assets or net asset value per share over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.
Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and/or receivables with collateral held and/or posted and create one single net payment. However, absent an event of default by the counterparty or a termination of the agreement, the terms of the ISDA Master Agreements do not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The enforceability of the right to offset may vary by jurisdiction.
Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearinghouse for exchange traded derivatives while collateral terms are contract specific for OTC traded derivatives. Cash collateral that has
32
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
been pledged to cover obligations of the Fund under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Schedule of Investments.
As of June 30, 2026, the Fund did not have any open OTC derivative transactions with credit related contingent features in a net liability position.
(n) Security transactions and investment income. Security transactions are accounted for on a trade date basis. Interest income (including interest income from payment-in-kind securities) is recorded on the accrual basis. Amortization of premiums and accretion of discounts on debt securities are recorded to interest income over the lives of the respective securities, except for premiums on certain callable debt securities, which are amortized to the earliest call date. The Fund accretes market discounts and amortizes market premiums on debt securities using the effective yield method. Accretion of market discounts and amortization of market premiums requires the application of several assumptions including, but not limited to, prepayment assumptions and default rate assumptions, which are reevaluated not less than semi-annually and require the use of a significant amount of judgment. Principal write-offs are generally treated as realized losses. The Fund's accretion of discounts and amortization of premiums for U.S. federal and other tax purposes is likely to differ from the financial accounting treatment under GAAP of these items as described above. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
(o) Partnership accounting policy. The Fund records its pro rata share of the income (loss) and capital gains (losses), to the extent of distributions it has received, allocated from the underlying partnerships and accordingly adjusts the cost basis of the underlying partnerships for return of capital. These amounts are included in the Fund's Statement of Operations.
(p) Distributions to shareholders. Distributions from net investment income of the Fund, if any, are declared quarterly and paid on a monthly basis. Distributions of net realized gains, if any, are declared at least annually. The actual source of the Fund's monthly distributions may be from net investment income, realized capital gains, return of capital or a combination thereof. Shareholders will be informed of the tax characteristics of the distributions after the close of the fiscal year. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
(q) Federal and other taxes. It is the Fund's policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986, as amended (the "Code"), applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net realized gains, if any, to shareholders in accordance with timing
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
33
Notes to financial statements (unaudited) (cont'd)
requirements imposed by the Code. Therefore, no federal or state income tax provision is required in the Fund's financial statements.
Management has analyzed the Fund's tax positions taken on income tax returns for all open tax years and has concluded that as of December 31, 2025, no provision for income tax is required in the Fund's financial statements. The Fund's federal and state income and federal excise tax returns for the prior three fiscal years are subject to examination by the Internal Revenue Service and state departments of revenue.
(r) Reclassification. GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share.
2. Investment management agreement and other transactions with affiliates
Franklin Templeton Fund Adviser, LLC ("FTFA") is the Fund's investment manager. Western Asset Management Company, LLC ("Western Asset") and Western Asset Management Company Limited ("Western Asset London") are the Fund's subadvisers. FTFA, Western Asset and Western Asset London are indirect, wholly-owned subsidiaries of Franklin Templeton, Inc. ("Franklin Templeton") (prior to August 17, 2026, known as Franklin Resources, Inc.).
Under the investment management agreement, the Fund pays an investment management fee, calculated daily and paid monthly, at an annual rate of 1.00% of the Fund's average daily managed assets. Managed assets are net assets plus the proceeds of any outstanding borrowings used for leverage and assets attributable to preferred stock that may be outstanding.
FTFA provides administrative and certain oversight services to the Fund. FTFA delegates to Western Asset the day-to-day portfolio management of the Fund. Western Asset London provides certain subadvisory services to the Fund relating to currency transactions and investments in non-U.S. dollar denominated debt securities. For its services, FTFA pays Western Asset a fee monthly, at an annual rate equal to 70% of the net management fee it receives from the Fund. In turn, Western Asset pays Western Asset London a monthly subadvisory fee in an amount equal to 100% of the management fee paid to Western Asset on the assets that Western Asset allocates to Western Asset London to manage.
During periods in which the Fund utilizes financial leverage, the fees paid to FTFA will be higher than if the Fund did not utilize leverage because the fees are calculated as a percentage of the Fund's assets, including those investments purchased with leverage.
The manager has agreed to waive the Fund's management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund (the "affiliated money market fund waiver").
FTFA implemented an investment management fee waiver of 0.20% that terminated on January 2, 2022. Effective January 3, 2022, FTFA implemented an investment management
34
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
fee waiver of 0.05% that expired on May 31, 2023. Effective June 1, 2023, FTFA implemented an investment management fee waiver of 0.10% that continued until May 31, 2024. Effective June 1, 2024, FTFA implemented an investment management fee waiver of 0.05% that expired on May 31, 2025.
During the six months ended June 30, 2026, fees waived and/or expenses reimbursed amounted to $207, all of which was an affiliated money market fund waiver.
All officers and one Director of the Fund are employees of Franklin Templeton or its affiliates and do not receive compensation from the Fund.
3. Investments
During the six months ended June 30, 2026, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) and U.S. Government & Agency Obligations were as follows:
|
|
Investments
|
U.S. Government &
Agency Obligations
|
|
Purchases
|
$29,397,343
|
$585,995
|
|
Sales
|
33,923,067
|
8,888,827
|
At June 30, 2026, the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
|
|
Cost
|
Gross
Unrealized
Appreciation
|
Gross
Unrealized
Depreciation
|
Net
Unrealized
Depreciation
|
|
Securities
|
$244,373,535
|
$11,961,805
|
$(18,486,730)
|
$(6,524,925)
|
|
Futures contracts
|
-
|
-
|
(310,033)
|
(310,033)
|
Transactions in reverse repurchase agreements for the Fund during the six months ended June 30, 2026, were as follows:
|
Average Daily
Balance*
|
Weighted Average
Interest Rate*
|
Maximum Amount
Outstanding
|
|
$117,303,464
|
5.716%
|
$123,274,000
|
|
* Averages based on the number of days that the Fund had reverse repurchase agreements outstanding.
|
Interest rates on reverse repurchase agreements ranged from 5.673% to 5.916% during the six months ended June 30, 2026. Interest expense incurred on reverse repurchase agreements totaled $3,371,028.
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
35
Notes to financial statements (unaudited) (cont'd)
4. Derivative instruments and hedging activities
Below is a table, grouped by derivative type, that provides information about the fair value and the location of derivatives within the Statement of Assets and Liabilities at June 30, 2026.
|
LIABILITY DERIVATIVES1
|
|
|
|
Interest
Rate Risk
|
|
Futures contracts2
|
$310,033
|
|
1
|
Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation and for
liability derivatives is payables/net unrealized depreciation.
|
|
2
|
Includes cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of
Investments. Only net variation margin is reported within the receivables and/or payables on the Statement of
Assets and Liabilities.
|
The following tables provide information about the effect of derivatives and hedging activities on the Fund's Statement of Operations for the six months ended June 30, 2026. The first table provides additional detail about the amounts and sources of gains (losses) realized on derivatives during the period. The second table provides additional information about the change in net unrealized appreciation (depreciation) resulting from the Fund's derivatives and hedging activities during the period.
|
AMOUNT OF NET REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED
|
|
|
|
Interest
Rate Risk
|
|
Futures contracts
|
$659,403
|
|
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED
|
|
|
|
Interest
Rate Risk
|
|
Futures contracts
|
$(422,027
)
|
During the six months ended June 30, 2026, the volume of derivative activity for the Fund was as follows:
|
|
Average Market
Value*
|
|
Futures contracts (to sell)
|
$16,372,096
|
|
*
|
Based on the average of the market values at each month-end during the period.
|
5. Distributions subsequent to June 30, 2026
The following distributions have been declared by the Board and are payable subsequent to the period end of this report:
|
Record Date
|
Payable Date
|
Amount
|
|
7/24/2026
|
7/31/2026
|
$0.1200
|
36
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
|
Record Date
|
Payable Date
|
Amount
|
|
8/24/2026
|
8/31/2026
|
$0.1200
|
|
9/23/2026
|
9/30/2026
|
$0.1200
|
|
10/23/2026
|
10/30/2026
|
$0.1200
|
|
11/20/2026
|
11/30/2026
|
$0.1200
|
6. Stock repurchase program
On November 16, 2015, the Fund announced that the Board had authorized the Fund to repurchase in the open market up to approximately 10% of the Fund's outstanding common stock when the Fund's shares are trading at a discount to net asset value. The Board has directed management of the Fund to repurchase shares of common stock at such times and in such amounts as management reasonably believes may enhance stockholder value. The Fund is under no obligation to purchase shares at any specific discount levels or in any specific amounts.
During the six months ended June 30, 2026, and the year ended December 31, 2025, the Fund did not repurchase any shares under this repurchase program.
Since the commencement of the stock repurchase program through June 30, 2026, the Fund repurchased 81,710 shares or 0.71% of its common shares outstanding for a total amount of $898,285.
Since the commencement of the stock repurchase program through June 30, 2026, the Fund repurchased 81,710 shares or 0.71% of its common shares outstanding for a total amount of $898,285.
7. Capital shares
The Fund filed a registration statement with the Securities and Exchange Commission, effective May 4, 2021, authorizing the Fund to offer and sell shares of common stock having an aggregate offering price of up to $43,283,467. The Fund renewed its shelf registration with an authorization to offer and sell an additional $75 million. This registration statement became effective on August 28, 2024. Under the equity shelf offering program, the Fund, subject to market conditions, may raise additional equity capital from time to time in varying amounts and offering methods at a net price at or above the Fund's then-current net asset value per common share. Costs incurred by the Fund in connection with the shelf offering are recorded as a prepaid expense. These costs are amortized on a pro-rata basis as shares are sold and are presented as a reduction to the Net proceeds from sale of shares on the Statement of Changes in Net Assets. Any deferred charges remaining at the end of the life of the shelf offering period will be expensed. For the six months ended June 30, 2026, the Fund incurred net of offering costs of $18. For the year ended December 31, 2025, the Fund sold 31,986 shares of common stock and the proceeds from such sales were $379,235, net of offering costs and sales charges of $644 and $3,837, respectively.
8. 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
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
37
Notes to financial statements (unaudited) (cont'd)
all or some portion of the six months ended June 30, 2026. The following transactions were effected in such company for the six months ended June 30, 2026.
|
|
Affiliate
Value at
December 31,
2025
|
Purchased
|
Sold
|
||
|
Cost
|
Shares
|
Proceeds
|
Shares
|
||
|
Western Asset
Premier
Institutional
Government
Reserves, Premium
Shares
|
$828,977
|
$10,161,260
|
10,161,260
|
$10,990,237
|
10,990,237
|
|
(cont'd)
|
Realized
Gain (Loss)
|
Dividend
Income
|
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
|
Affiliate
Value at
June 30,
2026
|
|
Western Asset Premier
Institutional
Government Reserves,
Premium Shares
|
-
|
$5,765
|
-
|
-
|
9. Deferred capital losses
As of December 31, 2025, the Fund had deferred capital losses of $53,890,355, which have no expiration date, that will be available to offset future taxable capital gains.
10. Operating segments
The Fund operates as a single operating segment, which is an investment portfolio. A management group assigned to the Fund within the Fund's investment manager serves as the Chief Operating Decision Maker ("CODM") and is responsible for evaluating the Fund's operating results and allocating resources in accordance with the Fund's investment strategy. Internal reporting provided to the CODM aligns with the accounting policies and measurement principles used in the financial statements.
For information regarding segment assets, segment profit or loss, and significant expenses, refer to the Statement of Assets and Liabilities and the Statement of Operations, along with the related Notes to Financial Statements. The Fund's Schedule of Investments provides details of the Fund's investments that generate returns such as interest, dividends, and realized and unrealized gains or losses. Performance metrics, including portfolio turnover and expense ratios, are disclosed in the Financial Highlights.
38
Western Asset Mortgage Opportunity Fund Inc. 2026 Semi-Annual Report
Board approval of management and subadvisory agreements (unaudited)
Background
The Investment Company Act of 1940, as amended (the "1940 Act"), requires that the Board of Directors (the "Board") of Western Asset Mortgage Opportunity Fund Inc. (the "Fund"), including a majority of its members who are not considered to be "interested persons" under the 1940 Act (the "Independent Directors") voting separately, approve on an annual basis the continuation of the investment management agreement (the "Management Agreement") between the Fund and the Fund's manager, Franklin Templeton Fund Adviser, LLC (the "Manager"), and the sub-advisory agreements (individually, a "Sub-Advisory Agreement," and collectively, the "Sub-Advisory Agreements") with the Manager's affiliates, Western Asset Management Company, LLC ("Western Asset") and Western Asset Management Company Limited ("Western Asset London," and together with Western Asset, the "Sub-Advisers"), with respect to the Fund.
At an in-person meeting (the "Contract Renewal Meeting") held on May 12-13, 2026, the Board, including the Independent Directors, considered and approved the continuation of each of the Management Agreement and the Sub-Advisory Agreements for an additional one-year period. To assist in its consideration of the renewal of each of the Management Agreement and the Sub-Advisory Agreements, the Board received and considered extensive information (together with the information provided at the Contract Renewal Meeting, the "Contract Renewal Information") about the Manager and the Sub-Advisers, as well as the management and sub-advisory arrangements for the Fund and the other closed-end funds in the same complex under the Board's purview (the "Franklin Templeton Closed-end Funds"), certain portions of which are discussed below.
A presentation made by the Manager and the Sub-Advisers to the Board at the Contract Renewal Meeting in connection with the Board's evaluation of each of the Management Agreement and the Sub-Advisory Agreements encompassed the Fund and other Franklin Templeton Closed-end Funds. In addition to the Contract Renewal Information, the Board received performance and other information throughout the year related to the respective services rendered by the Manager and the Sub-Advisers to the Fund. The Board's evaluation took into account the information received throughout the year and also reflected the knowledge and experience gained as members of the Boards of the Fund and other Franklin Templeton Closed-end Funds with respect to the services provided to the Fund by the Manager and the Sub-Advisers. The information received and considered by the Board (including its various committees) in conjunction with both the Contract Renewal Meeting and throughout the year was both written and oral. The contractual arrangements discussed below are the product of multiple years of review and negotiation and information received and considered by the Board during each of those years.
At an in-person meeting held on April 24, 2026, the Independent Directors, in preparation for the Contract Renewal Meeting, met in a private session with their independent legal
Western Asset Mortgage Opportunity Fund Inc.
39
Board approval of management and subadvisory agreements (unaudited) (cont'd)
counsel to review the Contract Renewal Information regarding the Franklin Templeton Closed-end Funds, including the Fund, received to date. No representatives of the Manager or the Sub-Advisers participated in this meeting. Following the April 24, 2026 meeting, the Independent Directors submitted certain questions and requests for additional information to Fund management. The Independent Directors also met in private sessions with their independent legal counsel to consider the Contract Renewal Information and Fund management's responses to the Independent Directors' questions and requests for additional information in advance of and during the Contract Renewal Meeting. The discussion below reflects all of these reviews.
The Manager provides the Fund with investment advisory and administrative services pursuant to the Management Agreement, and the Sub-Advisers together provide the Fund with investment sub-advisory services pursuant to the Sub-Advisory Agreements. The discussion below covers both the advisory and administrative functions being rendered by the Manager, each such function being encompassed by the Management Agreement, and the investment sub-advisory functions being rendered by the Sub-Advisers pursuant to the Sub-Advisory Agreements.
Board Approval of Management Agreement and Sub-Advisory Agreements
The Independent Directors were advised by separate independent legal counsel throughout the process. Prior to voting, the Independent Directors received a memorandum discussing the legal standards for their consideration of the proposed continuation of the Management Agreement and the Sub-Advisory Agreements. The Independent Directors considered the Management Agreement and each Sub-Advisory Agreement separately during the course of their review. In doing so, they noted the respective roles of the Manager and the Sub-Advisers in providing services to the Fund.
In approving the continuation of the Management Agreement and Sub-Advisory Agreements, the Board, including the Independent Directors, considered a variety of factors, including those factors discussed below. No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the continuation of the Management Agreement and the Sub-Advisory Agreements. Each Board member may have attributed different weight to the various factors in evaluating the Management Agreement and the Sub-Advisory Agreements.
After considering all relevant factors and information, the Board, exercising its reasonable business judgment, determined that the continuation of the Management Agreement and Sub-Advisory Agreements was in the best interests of the Fund's stockholders and approved the continuation of each such agreement for an additional one-year period.
40
Western Asset Mortgage Opportunity Fund Inc.
Nature, Extent and Quality of the Services under the Management Agreement and Sub-Advisory Agreements
The Board received and considered Contract Renewal Information regarding the nature, extent, and quality of services provided to the Fund by the Manager and the Sub-Advisers under the Management Agreement and the Sub-Advisory Agreements, respectively, during the past year. The Board noted information received at regular meetings throughout the year related to the services provided by the Manager in its management of the Fund's affairs and the Manager's role in coordinating the activities of the Sub-Advisers and the Fund's other service providers. The Board observed that the scope of services provided by the Manager and the Sub-Advisers, and of the undertakings required of the Manager and Sub-Advisers in connection with those services, including maintaining and monitoring their respective compliance programs as well as the Fund's compliance programs, had expanded over time as a result of regulatory, market and other developments. The Board also noted that on a regular basis it received and reviewed information from the Manager and the Sub-Advisers regarding the Fund's compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act. The Board also considered the risks borne by the Manager, the Sub-Advisers and their respective affiliates on behalf of the Fund, including entrepreneurial, operational, reputational, litigation and regulatory risks, as well as the Manager's and the Sub-Advisers' risk management processes.
The Board reviewed the qualifications, backgrounds, and responsibilities of the Manager's senior personnel and the Sub-Advisers' portfolio management teams primarily responsible for the day-to-day portfolio management of the Fund. The Board also considered, based on its knowledge of the Manager and its affiliates, the financial resources of Franklin Resources, Inc., the parent organization of the Manager and the Sub-Advisers. The Board recognized the importance of having a fund manager with significant resources.
The Board considered the division of responsibilities between the Manager and the Sub-Advisers under the Management Agreement and the Sub-Advisory Agreements, respectively, including the Manager's coordination and oversight of the services provided to the Fund by the Sub-Advisers and the Fund's other service providers and Western Asset's coordination and oversight of the services provided to the Fund by Western Asset London. The Management Agreement permits the Manager to delegate certain of its responsibilities, including its investment advisory duties thereunder, provided that the Manager, in each case, will supervise the activities of the delegee.
In reaching its determinations regarding continuation of the Management Agreement and the Sub-Advisory Agreements, the Board took into account that Fund stockholders, in pursuing their investment goals and objectives, may have purchased their shares of the
Western Asset Mortgage Opportunity Fund Inc.
41
Board approval of management and subadvisory agreements (unaudited) (cont'd)
Fund based upon the reputation and the investment style, philosophy and strategy of the Manager and the Sub-Advisers, as well as the resources available to the Manager and the Sub-Advisers.
The Board concluded that, overall, the nature, extent, and quality of the management and other services provided (and expected to be provided) to the Fund, under the Management Agreement and the Sub-Advisory Agreements were satisfactory.
Fund Performance
The Board received and considered information regarding Fund performance, including information and analyses (the "Broadridge Performance Information") for the Fund, as well as for a group of comparable funds (the "Performance Universe") selected by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent third-party provider of investment company data. The Board was provided with a description of the methodology Broadridge used to determine the similarity of the Fund with the funds included in the Performance Universe. It was noted that while the Board found the Broadridge Performance Information generally useful, they recognized its limitations, including that the data may vary depending on the end date selected, and that the results of the performance comparisons may vary depending on the selection of the peer group and its composition over time. The Board also noted that Board members had received and discussed with the Manager and the Sub-Advisers information throughout the year at periodic intervals comparing the Fund's performance against its benchmark and against the Fund's peers. In addition, the Board considered the Fund's performance in view of overall financial market conditions.
The Broadridge Performance Information comparing the Fund's performance to that of its Performance Universe, consisting of the Fund and all leveraged closed-end U.S. mortgage funds, regardless of asset size, showed, among other data, that based on net asset value per share, the Fund's performance was above the median for the 1-, 3-, 5- and 10-year periods ended December 31, 2025. The Board noted the explanations from the Manager and the Sub-Advisers regarding the Fund's relative performance versus the Performance Universe for the various periods. The Board also noted the limited size of the Performance Universe.
Based on the reviews and discussions of Fund performance and considering other relevant factors, including those noted above, the Board concluded, under the circumstances, that continuation of the Management Agreement and the Sub-Advisory Agreements for an additional one-year period would be consistent with the interests of the Fund and its stockholders.
Management and Sub-Advisory Fees and Expense Ratios
The Board reviewed and considered the contractual management fee (the "Contractual Management Fee") and the actual management fee (the "Actual Management Fee")
42
Western Asset Mortgage Opportunity Fund Inc.
payable by the Fund to the Manager under the Management Agreement and the sub-advisory fees (the "Sub-Advisory Fees") payable by the Manager to the Sub-Advisers under the Sub-Advisory Agreements in view of the nature, extent and overall quality of the management, investment advisory and other services provided by the Manager and the Sub-Advisers, respectively. The Board noted that the Sub-Advisory Fee payable to Western Asset under its Sub-Advisory Agreement with the Manager is paid by the Manager, not the Fund, and, accordingly, that the retention of Western Asset does not increase the fees or expenses otherwise incurred by the Fund's stockholders. Similarly, the Board noted that the Sub-Advisory Fee payable to Western Asset London under its Sub-Advisory Agreement with Western Asset is paid by Western Asset, not the Fund, and, accordingly, that the retention of Western Asset London does not increase the fees or expenses otherwise incurred by the Fund's stockholders.
In addition, the Board received and considered information and analyses prepared by Broadridge (the "Broadridge Expense Information") comparing the Contractual Management Fee and the Actual Management Fee and the Fund's actual total expenses with those of funds in an expense group, as well as a broader group of funds (the "Expense Universe"), each selected and provided by Broadridge. The comparison was based upon the constituent funds' latest fiscal years. It was noted that while the Board found the Broadridge Expense Information generally useful, they recognized its limitations, including that the data may vary depending on the selection of the peer group.
The Broadridge Expense Information showed that the Fund's Contractual Management Fee was equal to the Expense Universe median. The Broadridge Expense Information also showed that the Fund's Actual Management Fee was above the Expense Universe median based on common stock assets and equal to the Expense Universe median based on total managed assets, which includes common stock assets and leveraged assets. The Broadridge Expense Information also showed that the Fund's actual total expenses were above the Expense Universe median on the basis of both common stock assets and total managed assets. The Board took into account management's discussion of the Fund's expenses and noted the limited size of the Expense Universe.
The Board also reviewed Contract Renewal Information regarding fees charged by the Manager and/or the Sub-Advisers to other U.S. clients investing primarily in an asset class similar to that of the Fund, including, where applicable, institutional and separate accounts. The Manager reviewed with the Board the differences in services provided to these different types of accounts, noting that the Fund is provided with certain administrative services, office facilities, and Fund officers, and that the Fund is subject not only to heightened regulatory requirements relative to institutional clients but also to requirements for listing on the New York Stock Exchange, and that the Manager coordinates and oversees the provision of services to the Fund by the Fund's other service providers. The
Western Asset Mortgage Opportunity Fund Inc.
43
Board approval of management and subadvisory agreements (unaudited) (cont'd)
Board considered the fee comparisons in view of the different services provided in managing these other types of clients and funds.
The Board considered the overall management fee, the fees of the Sub-Advisers and the amount of the management fee retained by the Manager after payment of the Sub-Advisory Fees in each case in view of the services rendered for those amounts. The Board also received an analysis of complex-wide management fees provided by the Manager, which, among other things, set out a framework of fees based on asset classes.
Taking all of the above into consideration, as well as the factors identified below, the Board determined that the management fee and the Sub-Advisory Fees were reasonable in view of the nature, extent and overall quality of the management, investment advisory and other services provided by the Manager and the Sub-Advisers to the Fund under the Management Agreement and the Sub-Advisory Agreements, respectively.
Manager Profitability
The Board, as part of the Contract Renewal Information, received an analysis of the profitability to the Manager and its affiliates in providing services to the Fund for the Manager's fiscal years ended September 30, 2025 and September 30, 2024. The Board also received profitability information with respect to the Franklin Templeton fund complex as a whole. In addition, the Board received Contract Renewal Information with respect to the Manager's revenue and cost allocation methodologies used in preparing such profitability data. It was noted that the allocation methodologies had been reviewed by an outside consultant. In response to the Board's request, the Manager provided and the Board reviewed information comparing the profitability of Franklin Resources, Inc. with that of publicly traded peer fund management companies. The profitability to each of the Sub-Advisers was not considered to be a material factor in the Board's considerations since the Sub-Advisory Fee is paid by the Manager in the case of Western Asset and by Western Asset in the case of Western Asset London, not the Fund, although the Board noted the affiliation of the Manager with the Sub-Advisers. The profitability of the Manager and its affiliates was considered by the Board to be reasonable in view of the nature, extent and quality of services provided to the Fund.
Economies of Scale
The Board received and discussed Contract Renewal Information concerning whether the Manager realizes economies of scale if the Fund's assets grow. The Board noted that because the Fund is a closed-end fund, it has limited ability to increase its assets. The Board determined that the management fee structure was appropriate under the circumstances. For similar reasons as stated above with respect to the Sub-Advisers' profitability and the costs of the Sub-Advisers' provision of services, the Board did not consider the potential for economies of scale in the Sub-Advisers' management of the Fund to be a material factor in the Board's consideration of the Sub-Advisory Agreements.
44
Western Asset Mortgage Opportunity Fund Inc.
Other Benefits to the Manager and the Sub-Advisers
The Board considered other benefits received by the Manager, the Sub-Advisers and their affiliates as a result of their relationship with the Fund, including the opportunity to offer additional products and services to the Fund's stockholders. In view of the costs of providing investment management and other services to the Fund and the ongoing commitment of the Manager and the Sub-Advisers to the Fund, the Board considered that the ancillary benefits received by the Manager and its affiliates, including the Sub-Advisers, were reasonable.
Western Asset Mortgage Opportunity Fund Inc.
45
Dividend reinvestment plan (unaudited)
Unless you elect to receive distributions in cash (i.e., opt-out), all dividends, including any capital gain dividends and return of capital distributions, on your Common Stock will be automatically reinvested by Computershare Trust Company, N.A., as agent for the stock- holders (the "Plan Agent"), in additional shares of Common Stock under the Fund's Dividend Reinvestment Plan (the "Plan"). You may elect not to participate in the Plan by contacting the Plan Agent. If you do not participate, you will receive all cash distributions paid by check mailed directly to you by Computershare Trust Company, N.A., as dividend paying agent.
If you participate in the Plan, the number of shares of Common Stock you will receive will be determined as follows:
(1) If the market price of the Common Stock (plus $0.03 per share commission) on the payment date (or, if the payment date is not a NYSE trading day, the immediately preceding trading day) is equal to or exceeds the net asset value per share of the Common Stock at the close of trading on the NYSE on the payment date, the Fund will issue new Common Stock at a price equal to the greater of (a) the net asset value per share at the close of trading on the NYSE on the payment date or (b) 95% of the market price per share of the Common Stock on the payment date.
(2) If the net asset value per share of the Common Stock exceeds the market price of the Common Stock (plus $0.03 per share commission) at the close of trading on the NYSE on the payment date, the Plan Agent will receive the dividend or distribution in cash and will buy Common Stock in the open market, on the NYSE or elsewhere, for your account as soon as practicable commencing on the trading day following the payment date and terminating no later than the earlier of (a) 30 days after the dividend or distribution payment date, or (b) the payment date for the next succeeding dividend or distribution to be made to the stockholders; except when necessary to comply with applicable provisions of the federal securities laws. If during this period: (i) the market price (plus $0.03 per share commission) rises so that it equals or exceeds the net asset value per share of the Common Stock at the close of trading on the NYSE on the payment date before the Plan Agent has completed the open market purchases or (ii) if the Plan Agent is unable to invest the full amount eligible to be reinvested in open market purchases, the Plan Agent will cease purchasing Common Stock in the open market and the Fund shall issue the remaining Common Stock at a price per share equal to the greater of (a) the net asset value per share at the close of trading on the NYSE on the day prior to the issuance of shares for reinvestment or (b) 95% of the then current market price per share.
Common Stock in your account will be held by the Plan Agent in non-certificated form. Any proxy you receive will include all shares of Common Stock you have received under the Plan. You may withdraw from the Plan (i.e., opt-out) by notifying the Plan Agent in writing at P.O. Box 43006, Providence, RI 02940-3078 or by calling the Plan Agent at 1-888-888-0151. Such withdrawal will be effective immediately if notice is received by the Plan Agent not less than ten business days prior to any dividend or distribution record date; otherwise such
46
Western Asset Mortgage Opportunity Fund Inc.
withdrawal will be effective as soon as practicable after the Plan Agent's investment of the most recently declared dividend or distribution on the Common Stock.
Plan participants who sell their shares will be charged a service charge (currently $5.00 per transaction) and the Plan Agent is authorized to deduct brokerage charges actually incurred from the proceeds (currently $0.05 per share commission). There is no service charge for reinvestment of your dividends or distributions in Common Stock. However, all participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market purchases. Because all dividends and distributions will be automatically reinvested in additional shares of Common Stock, this allows you to add to your investment through dollar cost averaging, which may lower the average cost of your Common Stock over time. Dollar cost averaging is a technique for lowering the average cost per share over time if the Fund's net asset value declines. While dollar cost averaging has definite advantages, it cannot assure profit or protect against loss in declining markets.
Automatically reinvesting dividends and distributions does not mean that you do not have to pay income taxes due upon receiving dividends and distributions. Investors will be subject to income tax on amounts reinvested under the Plan.
The Fund reserves the right to amend or terminate the Plan if, in the judgment of the Board of Directors, the change is warranted. The Plan may be terminated, amended or supplemented by the Fund upon notice in writing mailed to stockholders at least 30 days prior to the record date for the payment of any dividend or distribution by the Fund for which the termination or amendment is to be effective. Upon any termination, you will be sent cash for any fractional share of Common Stock in your account. You may elect to notify the Plan Agent in advance of such termination to have the Plan Agent sell part or all of your Common Stock on your behalf. Additional information about the Plan and your account may be obtained from the Plan Agent at P.O. Box 43006, Providence, RI 02940-3078 or by calling the Plan Agent at 1-888-888-0151.
Western Asset Mortgage Opportunity Fund Inc.
47
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Western Asset
Mortgage Opportunity Fund Inc.
Directors
Robert D. Agdern
Carol L. Colman
Anthony Grillo
Eileen A. Kamerick
Chair
Nisha Kumar
Peter Mason
Hillary A. Sale
Jane Trust
Officers
Jane Trust
President and Chief Executive
Officer
President and Chief Executive
Officer
Christopher Berarducci
Treasurer and Principal Financial
Officer
Treasurer and Principal Financial
Officer
Fred Jensen
Chief Compliance Officer
Chief Compliance Officer
Marc A. De Oliveira
Secretary and Chief Legal Officer
Secretary and Chief Legal Officer
Thomas C. Mandia
Senior Vice President
Senior Vice President
Jeanne M. Kelly
Senior Vice President
Senior Vice President
Western Asset Mortgage Opportunity Fund Inc.
One Madison Avenue
17th Floor
New York, NY 10010
17th Floor
New York, NY 10010
Investment manager
Franklin Templeton Fund Adviser, LLC
Subadvisers
Western Asset Management Company, LLC
Western Asset Management Company Limited
Custodian
The Bank of New York Mellon
Transfer agent
Computershare Inc.
P.O. Box 43006
Providence, RI 02940-3078
P.O. Box 43006
Providence, RI 02940-3078
Independent registered
public accounting firm
public accounting firm
PricewaterhouseCoopers LLP
Baltimore, MD
Baltimore, MD
Legal counsel
Simpson Thacher & Bartlett LLP
900 G Street NW
Washington, DC 20001
900 G Street NW
Washington, DC 20001
New York Stock
Exchange Symbol
Exchange Symbol
DMO
Western Asset Mortgage Opportunity Fund Inc.
Western Asset Mortgage Opportunity Fund Inc.
One Madison Avenue
17th Floor
New York, NY 10010
One Madison Avenue
17th Floor
New York, NY 10010
Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that from time to time the Fund may purchase, at market prices, shares of its stock.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission ("SEC") for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund's Forms N-PORT are available on the SEC's website at www.sec.gov. To obtain information on Form N-PORT, shareholders can call the Fund at 1-888-777-0102.
Information on how the Fund voted proxies relating to portfolio securities during the prior 12-month period ended June 30th of each year and a description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio transactions are available (1) without charge, upon request, by calling 1-888-777-0102, (2) at www.franklintempleton.com and (3) on the SEC's website at www.sec.gov.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Fund may be found on Franklin Templeton's website, which can be accessed at www.franklintempleton.com. Any reference to Franklin Templeton's website in this report is intended to allow investors public access to information regarding the Fund and does not, and is not intended to, incorporate Franklin Templeton's website in this report.
This report is transmitted to the shareholders of Western Asset Mortgage Opportunity Fund Inc. for their information. This is not a prospectus, circular or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
Computershare Inc.
P.O. Box 43006
Providence, RI 02940-3078
P.O. Box 43006
Providence, RI 02940-3078
90724-S 8/26
| (b) | Not applicable |
| ITEM 2. | CODE OF ETHICS. |
Not applicable.
| ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable.
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable.
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
| ITEM 6. | SCHEDULE OF INVESTMENTS. |
| (a) | Please see schedule of investments contained in the Financial Statements and Financial Highlights included under Item 1 of this Form N-CSR. | |
| (b) | Not applicable. |
| ITEM 7. | FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 8. | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 9. | PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 10. | REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 11. | STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT. |
The information is disclosed as part of the Financial Statements included in Item 1 of this Form N-CSR, as applicable.
| ITEM 12. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 13. | INVESTMENT PROFESSIONALS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 14. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
| ITEM 15. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no changes to the procedures by which shareholders may recommend nominees to the Registrant's Board of Trustees that would require disclosure herein.
| ITEM 16. | CONTROLS AND PROCEDURES. |
| (a) | The Registrants acknowledge the Staff's comment. In future filings on Form N-CSR, the certifications required by Rule 30a-2 and Item 19(a)(3) will include the designations "Principal Executive Officer" and "Principal Financial Officer" in the signature blocks, reflecting the capacity in which each signatory executes the certification, in conformity with the language of the Rule and Form N-CSR. The Registrants may also include each signatory's actual title with respect to the Funds alongside the required designation. | |
| (b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are likely to materially affect the Registrant's internal control over financial reporting. |
| ITEM 17. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 18. | RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION. |
| (a) | Not applicable. | |
| (b) | Not applicable. |
| ITEM 19. | EXHIBITS. |
(a) (1) Not applicable.
Exhibit 99.CODE ETH
(a) (3) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.CERT
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.906CERT
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.
| Western Asset Mortgage Opportunity Fund Inc. | ||
| By: | /s/ Jane Trust | |
| Jane Trust | ||
| Chief Executive Officer | ||
| Date: | August 25, 2026 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Jane Trust | |
| Jane Trust | ||
| Chief Executive Officer | ||
| Date: | August 25, 2026 | |
| By: | /s/ Christopher Berarducci | |
| Christopher Berarducci | ||
| Principal Financial Officer | ||
| Date: | August 25, 2026 |
Western Asset Mortgage Opportunity Fund Inc. published this content on August 25, 2026, and is solely responsible for the information contained herein. Distributed via EDGAR on August 25, 2026 at 13:05 UTC. If you believe the information included in the content is inaccurate or outdated and requires editing or removal, please contact us at [email protected]