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 Feb. 15, 2019
Current
Market Price $20.82 (+ $0.06)
NAV (Feb. 15, 2019) $19.16 (+ $0.03)
Premium / Discount 8.66% (+0.14%)
Fund Info
Inception Feb. 24, 2010
Sponsor Legg Mason Partners Fund Advisors
Website https://www.leggmason....
Phone 1-888-777-0102
NAV Symbol XDMOX
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
Alternative Income Index
Capital & Leverage
Outstanding Shares 10,467,325
Total Assets (Reported: June 30, 2018) $326M
Estimated Total Assets $299M
Net Assets $201M
Market Cap $218M
Purchases Turnover 34.92%
Sales Turnover 37.53%
Total Leverage 32.90%
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 2.62%
Discount Data
Average Discount (3 Yr) 11.90%
Discount Low(3 Yr) -0.33%
Discount High(3 Yr) 25.48%
Discount Rel Range 34.84%
Comp Discount 11.17
Discount St Dev (1Yr) 4.95
Z-Stat
Z-Stat (6mo) 0.95
Z-Stat (1Yr) -0.19
Z-Stat (3Yr) -0.60
Comp Z-Stat (6mo) 0.17
Comp Z-Stat (3Yr) -0.89
Distribution Data
Market Yield 10.09%
Income Yield 10.09%
Lev Adj NAV Yield 8.25%
Distribution Frequency M
Current Distribution $0.175
Current Income $0.175
Ex-Date 2/14/19
Payable Date 3/1/19
Div Growth (3yr) -16.67%
Dividend Change -7.9% on 11/12/18
Expected Div 2/14/19
RoC (1yr) 1.10%
RoC (3yr) 0.43%
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) $1,108
Avg Volume 30 day 48,337
Avg Volume 90 day 53,216
Volume Trend -9.17%
Comp Volume Trend 10.47%
Correlation & Volatility
Price Correlation (1yr)
vs. S&P 500 (TR)
34.0%
Price Correlation (1yr)
vs. CEFA's 12 Major CEF Sectors Index
39.0%
Price Correlation (1yr)
vs. CEFA's Taxable Bond & BDC Index
45.0%
Most Correlated Peer (Mk Pr): JMM 45.0%
NAV - Price Correlation (30 d) 66.7%
NAV - Price Correlation (90 d) 69.5%
NAV - Price Correlation (1 Yr) 67.1%
Price St Dev (1Yr) 17.1%
NAV St Dev (1Yr) 7.9%
Earnings
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 2.28%
Non Investment Grade 42.28%
Unrated Bonds 55.42%
Performance
NAV Beta (2yr)
vs. S&P 500 (TR)
0.04
NAV Beta (2yr)
vs. CEFA's 12 Major CEF Sectors Index
0.22
NAV Beta (2yr)
vs. CEFA's Taxable Bond & BDC Index
0.68

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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.

This material is presented for informational purposes only. Under no circumstances is it to be considered an offer to sell, or a solicitation to buy any investment referred to on this page. While the information contained herein is from sources believed reliable, we do not represent that it is accurate or complete and it should not be relied upon as such. Past performance is not necessarily indicative of future results. All investments involve risk including the loss of principal. Returns are presented gross of investment management fees and other appropriate fees (i.e. commissions, custodial fees, etc.).

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