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Western Asset Mortgage Defined Opportunity Fund Inc. as of June 30, 2010

^{Published on 2010-07-22 13:21:21 - Market Wire}
 

NEW YORK--([ BUSINESS WIRE ])--Western Asset Mortgage Defined Opportunity Fund Inc. (NYSE: DMO) announces its portfolio composition as of June 30, 2010.

Investment Objectives: The Funda™s 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 (aMBSa) consisting primarily of non-agency residential mortgage-backed securities ("RMBS") and commercial mortgage-backed securities ("CMBS"). The Fund intends to invest in MBS directly, and indirectly through a separate investment in a public-private investment fund ("PPIF") formed in connection with the Legacy Securities Public-Private Investment Program ("PPIP") established by the U.S. Department of the Treasury.

* On March 15, 2010 the Fund announced that a commitment of $68 million was made to a public-private investment fund formed in connection with the Public-Private Investment Program (aMaster Funda) established by the U.S. Treasury. The data (except for aTotal Assetsa and aNet Assetsa) included in this press release incorporates the Fund's pro rata exposure to the Master Funda™s holdings. Portfolio holdings and weightings are historical and are presented here for informational purposes only. They are subject to change at any time.

** Excludes the Funda™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 1a"3% of the Funda™s total assets, plus the amount of any implicit leverage at the Master Fund level attributable to the Funda™s investment in the Master Fund.

Western Asset Mortgage Defined Opportunity Fund Inc., a non-diversified closed-end investment management company traded on the New York Stock Exchange under the symbol aDMOa, is advised by Legg Mason Partners Fund Advisor, LLC (aLMPFAa), a wholly owned subsidiary of Legg Mason, Inc. (aLegg Masona), and is sub-advised by Western Asset Management Company (aWAMa), an affiliate of the advisor. Wilshire Associates Incorporated, an investment adviser unaffiliated with Legg Mason, LMPFA and WAM, serves as the Funda™s allocation subadviser.

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 shareholdera™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.

All data and commentary provided is for informational purposes only. Legg Mason, Inc. and its affiliates do not engage in the sale of shares of the Fund. The Funda™s common shares are traded on the New York Stock Exchange.

For more information, please call Fund Investor Services at 888-777-0102, or consult the Funda™s web site at [ www.leggmason.com/cef ].

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.

¹ Credit quality is a measure of a bond issuer's ability to repay interest and a principal in a timely manner. The credit ratings shown are based on each portfolio security's rating as provided by the following Nationally Recognized Statistical Rating Organizations ("NRSRO"): Standard and Poor's ("S&P"), Moody's Investors Service ("Moody's"), Fitch Ratings, Ltd. In the case where a security is not rated by an NRSRO the rating is determined by Western Asset Management ("WAM"), the fund's investment manager (and not an NRSRO). For this purpose, if two or more of the other NRSROs have assigned a rating to a security, the highest rating is used. If a security is not rated by a NRSRO, WAM will analyze comparable securities with similar characteristics (size, capital structure, industry sector, risks, etc.) and assign its own rating using denominations similar to those of S&P. Unrated securities assigned a rating by WAM are specified separately in the credit quality breakdown being shown. A negative allocation may be apparent, which is primarily due to the Fund's unsettled trade activity. Currency forwards and futures are not rated by a NRSRO or WAM and are listed as "Non Rated". 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 by WAM monthly and may change over time. Please note, WAM is not a NRSRO nor has the Fund itself been rated by a NRSRO.

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