Western Asset Mortgage Defined Opportunity Fund Inc. Portfolio Composition as of September 30, 2018
November 01 2018 - 8:30AM
Business Wire
Western Asset Mortgage Defined Opportunity Fund Inc. (NYSE: DMO)
announces its portfolio composition as of September 30, 2018.
Investment Objectives: The Fund’s primary investment
objective is to provide current income. As a secondary investment
objective, the Fund will seek capital appreciation.
Investment Strategy: The Fund seeks to achieve its
investment objectives by investing primarily in a diverse portfolio
of mortgage-backed securities (“MBS”) consisting primarily of
non-agency residential mortgage-backed securities ("RMBS") and
commercial mortgage-backed securities ("CMBS").
Portfolio Composition*:
Asset
Allocation
RMBS
61.3%
Alt-A
17.9%
Sub-prime
18.5%
Prime
20.1%
Option ARM
4.6%
Agency
0.2%
CMBS
19.7%
Asset Backed
11.0%
High Yield Corporate Bonds
0.2%
Cash & Cash Equivalents
7.8%
Credit Quality
Allocation**
AAA 1.2% AA 0.1% A 0.1% BBB 1.0% BB 6.1% B 5.2% CCC 15.3% CC 7.2% C
6.3% D 4.8% Not Rated 52.7%
Average Life (years)
7.2
Effective Duration (years)
4.9
Average Coupon (%)
5.4
Portfolio Statistics:
Inception Date
February 24, 2010
Inception Price
$20.00
Total Assets***
$323,737,473
Net Assets
$221,987,473
Loans****
31.43%
Preferred Shares****
0.00%
Reverse Repos****
0.00%
Market Price
$23.00
NAV
$21.21
(Daily NAV is available on market
quotation systems using the symbol XDMOX.)
Distribution Rate
$0.1900 per share
Frequency
Monthly (Declared quarterly, paid monthly) *
Portfolio holdings and weightings are historical and are presented
here for informational purposes only. They are subject to change at
any time. Negative allocations and allocations in excess of 100%,
if any, are primarily due to the Fund's unsettled trade activity.
** Credit quality is a measure of a bond issuer's ability to repay
interest and principal in a timely manner. The credit ratings shown
are based on each portfolio security’s rating as provided by
Standard and Poor’s, Moody’s Investors Service and/or Fitch
Ratings, Ltd. and typically range from AAA (highest) to D (lowest),
or an equivalent and/or similar rating. For this purpose, when two
or more of the agencies have assigned differing ratings to a
security, the highest rating is used. Securities that are unrated
by all three agencies are reflected as such. The credit quality of
the investments in the Fund's portfolio does not apply to the
stability or safety of the Fund. These ratings are updated monthly
and may change over time. Please note, the Fund itself has not been
rated by an independent rating agency. *** The difference between
total assets and net assets, if any, is due primarily to the Fund’s
use of borrowings; net assets do not include borrowings. The Fund
may employ leverage in the form of loans, preferred stock, reverse
repurchase agreements and/or other instruments. When the Fund
engages in transactions that have a leveraging effect on the Fund’s
portfolio, the value of the Fund will be more volatile and all
other risks will tend to be compounded. This value excludes the
Fund’s exposure to leverage indirectly through the Fund's
investment in the Master Fund. The Fund does not intend to incur
additional direct leverage at the Fund level to the extent that its
existing direct leverage at the Fund level and its implicit
leverage through its investment in the Master Fund exceeds 33 1⁄3%
of the Fund’s total assets. **** Percentages are based on total
assets. If the Fund employs leverage, the Effective Duration is
based on net assets.
Western Asset Mortgage Defined Opportunity Fund Inc., a
non-diversified, limited term, closed-end investment management
company traded on the New York Stock Exchange under the symbol
“DMO”, is advised by Legg Mason Partners Fund Advisor, LLC
(“LMPFA”), a wholly owned subsidiary of Legg Mason, Inc. (“Legg
Mason”), and is sub-advised by Western Asset Management Company
(“WAM”), an affiliate of the advisor.
All investments are subject to risks, including the possible
loss of principal. The Fund's investments are subject to liquidity
risk, credit risk, inflation risk, and interest rate risk.
Mortgage-backed securities are subject to additional risks,
including prepayment risk, which can limit the potential gains in a
declining interest rate environment. 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 is not guaranteed
by the U.S. Government, the U.S. Treasury, or any government
agency. The credit quality ratings shown may change over time.
Data and commentary provided in this press release are for
informational purposes only. Legg Mason and its affiliates do not
engage in selling shares of the Fund.
For more information, please call Fund Investor Services at
1-888-777-0102, or consult the Fund’s web site at
http://www.lmcef.com. Hard copies of the Fund’s complete audited
financial statements are available free of charge upon request.
The U.S. Department of the Treasury has not participated in the
preparation of this release or the prospectus or made any
representation regarding, and expressly disclaims any liability or
responsibility to any investor in the Fund for, the accuracy,
completeness or correctness of any of the information contained
herein or therein. Without limitation of the foregoing, the U.S.
Department of the Treasury does not approve or disapprove of any
tax disclosure or advice set forth herein or therein.
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version on businesswire.com: https://www.businesswire.com/news/home/20181101005309/en/
Western Asset Mortgage Defined Opportunity Fund Inc.Fund
Investor Services, 1-888-777-0102
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