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 Opportunity Fund (DMO)

Taxable Bond Funds - Mortgage Bond Funds

Data as of Sept. 18, 2020
Market Price $13.64 (- $0.13)
NAV (Sept. 18, 2020) $14.23 (+ $0.01)
Premium / Discount -4.15% (-0.98%)
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
Capital & Leverage
Outstanding Shares 10,984,078
Total Assets (Reported: June 30, 2020) $216M
Estimated Total Assets $217M
Net Assets $156M
Market Cap $150M
Purchases Turnover 34.92%
Sales Turnover 37.53%
Total Leverage 28.00%
Structural Leverage (out of total) 100.00%
Portfolio Leverage (out of total) 0.00%
Expense Ratio 2.89%
Non Lev Exp Ratio 1.61%
Rel Lev Cost 3.26%
Discount Data
Average Discount (3 Yr) 8.00%
Discount Low(3 Yr) -28.84%
Discount High(3 Yr) 25.48%
Discount Rel Range 45.45%
Comp Discount 1.56
Discount St Dev (1Yr) 5.33
Z-Stat (6mo) -1.04
Z-Stat (1Yr) -1.32
Z-Stat (3Yr) -1.95
Comp Z-Stat (6mo) -0.76
Comp Z-Stat (3Yr) -1.44
Distribution Data
Market Yield 9.90%
Income Yield 8.24%
Lev Adj NAV Yield 7.41%
Distribution Frequency M
Current Distribution $0.113
Current Income $0.094
Ex-Date 9/22/20
Payable Date 10/1/20
Div Growth (3yr) -50.00%
Dividend Change -11.8% on 8/19/20
Expected Div 11/17/20
RoC (1yr) 13.41%
RoC (3yr) 2.75%
Tax Dividend Data 2019 2017 - 2019
Income 100% 86.8%
ST Gains 0% 3.7%
QDI 0% 0%
LT Gains 0% 9.5%
RoC 0% 0%
Volume & Liquidity
Average Daily $ (M) $926
Avg Volume 30 day 79,267
Avg Volume 90 day 67,859
Volume Trend 16.81%
Comp Volume Trend 13.67%
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): JLS 76.0%
NAV - Price Correlation (30 d) 79.8%
NAV - Price Correlation (90 d) -2.1%
NAV - Price Correlation (1 Yr) 98.1%
Price St Dev (1Yr) 46.6%
NAV St Dev (1Yr) 20.4%
Earnings / Share (6/30/20) $0.093
Earn Coverage 82.31%
Earnings Trend Down
UNII / Share (6/30/20) $-1.230
Rel UNII -109.44
UNII Trend Down
Bond Specific Data
Maturity 9.30
Duration 6.80
Credit Rating (rbo) CCC
Investment Grade 1.90%
Non Investment Grade 23.90%
Unrated Bonds 74.10%
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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