Market Overview

Western Asset Mortgage Defined Opportunity Fund Inc. Portfolio Composition as of June 30, 2018

Share:

Western Asset Mortgage Defined Opportunity Fund Inc. (NYSE:DMO)
announces its portfolio composition as of June 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     62.5%
Alt-A 18.5%
Sub-prime 18.6%
Prime 20.5%
Option ARM 4.7%
Agency 0.2%
CMBS 22.6%
Asset Backed 13.1%
High Yield Corporate Bonds 0.3%
Cash & Cash Equivalents 1.5%
 

Credit Quality Allocation**

AAA 1.6%
AA 0.1%
A 0.4%
BBB 3.2%
BB 9.9%
B 5.3%
CCC 15.8%
CC 7.7%
C 6.7%
D 3.7%
Not Rated 45.7%
 
 
Average Life (years) 7.7
Effective Duration (years) 5.4
Average Coupon (%) 5.6
 
 
Portfolio Statistics:
 
Inception Date     February 24, 2010
Inception Price $20.00
Total Assets*** $323,289,909
Net Assets $221,539,909
Loans**** 31.47%
Preferred Shares**** 0.00%
Reverse Repos**** 0.00%
 
Market Price $23.04
NAV $21.17
(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.

FN1112199

View Comments and Join the Discussion!