Western Asset Mortgage Defined Opportunity Fund’s public-private investment fund or Master Fund was terminated on July 15.
The Fund will receive distributions from the Master Fund as assets pay down, mature, and are disposed of over time. These will, in turn, be used to make direct MBS investments.
Western Asset Management Co. is the Master Fund's investment adviser and the Fund's subadviser.
As of June 30, the Fund had 31.60% of its total investments invested in the Master Fund. The fund could have been extended up to Nov. 5.
The Fund also expects to use direct borrowing to replace the implicit leverage it now has as an investor in the Master Fund to execute direct MBS purchases.
There is no guarantee that the Fund can increase its credit facility or that the terms of the borrowings under any such facility will be similar to or more attractive versus the terms of the loans from the Treasury to the Master Fund.
Western Asset Management Co. has said it will continue to maximize the value of the Master Fund's assets, start to return capital to investors, prudently manage dispositions, as well as plan and execute the Master Fund's orderly termination.
Western Asset Mortgage Defined Opportunity Fund is a non-diversified, limited-term and closed-end management investment firm managed by Legg Mason Partners Fund Advisor,which is a wholly owned unit of Legg Mason.