CEF Advisors

7204 Glen Forest Drive, Suite #105 Richmond, Virginia 23226 USA   ♦   Toll-Free: (800) 356-3508 / Local: (804) 288-2482    ♦   www.CEFadvisors.com   ♦   Contact@CEFadvisors.com

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Western Asset Mortgage Defined Opportunity Fund (DMO)

Taxable Bond Funds - Mortgage Bond Funds

Data as of Dec. 13, 2018
Market Price $21.50 (+ $0.17)
NAV (Dec. 13, 2018) $20.94 (- $0.01)
Premium / Discount 2.67% (+0.86%)
Fund Info
Inception Feb. 24, 2010
Sponsor Legg Mason Partners Fund Advisors
Website https://www.leggmason....
Phone 1-888-777-0102
Objective: Current income; non-agency residential and commercial mortgage backed securities. The fund intends to liquidate on or about March 1, 2022
Related Indexes
High Income Index
Taxable Bond & BDC Index
US Bond Index
Alternative Income Index
Capital & Leverage
Outstanding Shares 10,467,325
Total Assets (Reported: June 30, 2018) $326M
Estimated Total Assets $320M
Net Assets $219M
Market Cap $225M
Purchases Turnover 34.92%
Sales Turnover 37.53%
Total Leverage 31.40%
Structural Leverage (out of total) 100.00%
Portfolio Leverage (out of total) 0.00%
Expense Ratio 2.97%
Non Lev Exp Ratio 1.70%
Rel Lev Cost 2.75%
Discount Data
Average Discount (3 Yr) 11.57%
Discount Low(3 Yr) -7.61%
Discount High(3 Yr) 25.48%
Discount Rel Range 31.08%
Comp Discount 7.02
Discount St Dev (1Yr) 5.93
Z-Stat (6mo) -1.30
Z-Stat (1Yr) -1.48
Z-Stat (3Yr) -1.53
Comp Z-Stat (6mo) -1.25
Comp Z-Stat (3Yr) -1.07
Distribution Data
Market Yield 9.77%
Income Yield 9.77%
Lev Adj NAV Yield 7.63%
Distribution Frequency M
Current Distribution $0.175
Current Income $0.175
Ex-Date 12/20/18
Payable Date 12/31/18
Div Growth (3yr) -16.67%
Dividend Change -7.9% on 11/12/18
Expected Div 2/14/19
RoC (1yr) 0.00%
RoC (3yr) 0.00%
Tax Dividend Data 2017 2015 - 2017
Income 81.9% 83.4%
ST Gains 5.5% 2.4%
QDI 0% 0%
LT Gains 12.7% 14.2%
RoC 0% 0%
Volume & Liquidity
Average Daily $ (M) $842
Avg Volume 30 day 45,894
Avg Volume 90 day 39,155
Volume Trend 17.21%
Comp Volume Trend -4.49%
Correlation & Volatility
Price Correlation (1yr)
vs. S&P 500 (TR)
Price Correlation (1yr)
vs. CEFA's 12 Major CEF Sectors Index
Price Correlation (1yr)
vs. CEFA's Taxable Bond & BDC Index
Most Correlated Peer (Mk Pr): JMM 41.0%
NAV - Price Correlation (30 d) 2.8%
NAV - Price Correlation (90 d) 65.1%
NAV - Price Correlation (1 Yr) 56.0%
Price St Dev (1Yr) 16.8%
NAV St Dev (1Yr) 4.0%
Earnings / Share (9/30/18) $0.145
Earn Coverage 82.57%
Earnings Trend Up
UNII / Share (9/30/18) $0.558
Rel UNII 26.58
UNII Trend Down
Bond Specific Data
Maturity 7.21
Duration 4.93
Credit Rating (rbo) CCC
Investment Grade 2.40%
Non Investment Grade 44.90%
Unrated Bonds 52.70%
NAV Beta (2yr)
vs. S&P 500 (TR)
NAV Beta (2yr)
vs. CEFA's 12 Major CEF Sectors Index
NAV Beta (2yr)
vs. CEFA's Taxable Bond & BDC Index


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NOTES: Distribution type sourced from CEFdata.com. For specific information about a fund's distribution sources, visit the fund sponsor's website.

The following information applies to closed-end funds and business development companies in general: Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation (FDIC). Shares of closed-end funds (CEFs) and business development companies (BDCs) are subject to investment risks, including the possible loss of principal invested. There can be no assurance that fund objectives will be achieved. Closed-end funds and business development companies frequently trade at a discount to their net asset value. NAV returns are net of fund expenses, and assume reinvestment of distributions.

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