Western Asset Mortgage Opportunity Fund Inc. - FORM 8-K - EX-99.2 - THE UNAUDITED FINANCIAL STATEMENTS OF THE MASTER FUND - September 2, 2011

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8-K - WESTERN ASSET MORTGAGE DEFINED OPPORTUNITY FUND INC. - Western Asset Mortgage Opportunity Fund Inc.d8k.htm
EX-99.1 - THE UNAUDITED FINANCIAL STATEMENTS OF THE FEEDER FUND - Western Asset Mortgage Opportunity Fund Inc.dex991.htm

Exhibit 99.2

RLJ Western Asset Public/Private

Master Fund, L.P.

(a Delaware limited partnership)

Financial Statements for the Three and Six Months

Ended June 30, 2011 and June 30, 2010

(UNAUDITED)

RLJ WESTERN ASSET PUBLIC/ PRIVATE MASTER FUND, L.P.

(a Delaware limited partnership)

(UNAUDITED)

 

TABLE OF CONTENTS

 

      Page  

Statement of Assets, Liabilities and Partners’ Capital

      1   

Statements of Operations

      2   

Statement of Changes in Partners’ Capital

      3   

Statements of Cash Flows

      4   

RLJ WESTERN ASSET PUBLIC/ PRIVATE MASTER FUND, L.P.

(a Delaware limited partnership)

STATEMENT OF ASSETS, LIABILITIES AND PARTNERS’ CAPITAL

JUNE 30, 2011

(in U.S. Dollars)

(UNAUDITED)

 

 

ASSETS

   

Investments, at fair value (amortized cost $2,649,815,395)

    $ 2,669,902,604   

Cash and cash equivalents

      75,474,682   

Interest receivable

      8,128,074   

Debt issuance costs (net of amortization of $2,220,343)

      4,821,371   

Other assets

      14,284   
  

 

 

  

Total assets

    $ 2,758,341,015   
  

 

 

  

LIABILITIES AND PARTNERS’ CAPITAL

   

LIABILITIES

   

Loan payable

    $ 1,227,468,470   

Payable for investments purchased

      22,000,836   

UST Warrant payable, at fair value

      7,182,713   

Interest payable

      691,827   

Management fees payable

      310,289   

Administration fees payable

      122,095   

Professional fees payable

      84,346   

Distributions payable

      649   

Other accrued expenses

      175,930   
  

 

 

  

Total liabilities

      1,258,037,155   
  

 

 

  

PARTNERS’ CAPITAL

   

General Partner

      7,512   

Limited Partners

      1,500,296,348   
  

 

 

  

Total partners’ capital

      1,500,303,860   
  

 

 

  

TOTAL LIABILITIES AND PARTNERS’ CAPITAL

    $ 2,758,341,015   
  

 

 

  

 

1

RLJ WESTERN ASSET PUBLIC/ PRIVATE MASTER FUND, L.P.

(a Delaware limited partnership)

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2011 AND JUNE 30, 2010

(in U.S. Dollars)

(UNAUDITED)

 

 

     For the three months ended      For the six months ended  
     June 30, 2011     June 30, 2010      June 30, 2011     June 30, 2010  

INVESTMENT INCOME:

          

Interest income

    $ 67,564,648      $ 55,909,476       $ 136,991,837      $ 80,975,207   
  

 

 

    

 

 

     

 

 

    

 

 

  

EXPENSES:

          

Interest expense (including amortization of debt issuance costs of $343,037, $333,681, $682,305 and $638,498 respectively)

      4,123,267        3,459,927         8,374,228        5,130,985   

Management fees

      310,289        307,487         620,578        573,431   

Administration fees

      133,247        102,909         261,773        191,470   

Professional fees

      39,528        44,472         78,623        86,136   

Other expenses

      106,954        86,472         211,722        148,580   
  

 

 

    

 

 

     

 

 

    

 

 

  

Total expenses

      4,713,285        4,001,267         9,546,924        6,130,602   
  

 

 

    

 

 

     

 

 

    

 

 

  

Net investment income

      62,851,363        51,908,209         127,444,913        74,844,605   
  

 

 

    

 

 

     

 

 

    

 

 

  

NET REALIZED AND CHANGE IN UNREALIZED GAIN (LOSS) :

          

Net realized gain on investments

      1,135,941        1,588,880         9,171,729        1,588,880   

Net change in unrealized gain (loss) on investments

      (123,210,057 )      9,974,625         (97,733,292 )      12,644,474   

Net change in unrealized gain on UST Warrant

      —          —           100        —     
  

 

 

    

 

 

     

 

 

    

 

 

  

Total net realized and change in unrealized gain (loss)

      (122,074,116 )      11,563,505         (88,561,463 )      14,233,354   
  

 

 

    

 

 

     

 

 

    

 

 

  

NET INCREASE (DECREASE) IN PARTNERS’ CAPITAL RESULTING FROM OPERATIONS

    $ (59,222,753 )    $ 63,471,714       $ 38,883,450      $ 89,077,959   
  

 

 

    

 

 

     

 

 

    

 

 

  

 

2

RLJ WESTERN ASSET PUBLIC/ PRIVATE MASTER FUND, L.P.

(a Delaware limited partnership)

STATEMENT OF CHANGES IN PARTNERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2011

(in U.S. Dollars)

(UNAUDITED)

 

 

           Limited Partners        
     General
Partner		     US Department
of the Treasury		     RLJ Western Asset
Public/Private
Collector Fund, L.P		     RLJ Western Asset
Public/Private
Affiliates		     Total  

PARTNERS’ CAPITAL, AT DECEMBER 31, 2010

    $ 7,556      $ 755,588,538      $ 660,078,719      $ 94,140,974      $ 1,509,815,787   

Distributions

      (245 )      (23,887,277 )      (21,448,634 )      (3,059,221 )      (48,395,377 ) 

Allocation of net increase in Partners’ Capital resulting from operations:

           

Net investment income

      644        63,752,998        55,740,936        7,950,335        127,444,913   

Net realized and change in unrealized gain (loss)

      (443 )      (44,280,560 )      (38,753,101 )      (5,527,359 )      (88,561,463 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

PARTNERS’ CAPITAL, AT JUNE 30, 2011

    $ 7,512      $ 751,173,699      $ 655,617,920      $ 93,504,729      $ 1,500,303,860   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Remaining uncalled capital commitments, end of period

    $ —        $ —        $ —        $ —        $ —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

3

RLJ WESTERN ASSET PUBLIC/ PRIVATE MASTER FUND, L.P.

(a Delaware limited partnership)

STATEMENTS OF CASH FLOWS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2011 AND JUNE 30, 2010

(in U.S. Dollars)

(UNAUDITED)

 

 

     For the three months ended     For the six months ended  
     June 30, 2011     June 30, 2010     June 30, 2011     June 30, 2010  

CASH FLOWS FROM OPERATING ACTIVITIES:

         

Net increase (decrease) in Partners’ Capital resulting from operations

    $ (59,222,753 )    $ 63,471,714      $ 38,883,450      $ 89,077,959   

Adjustments to reconcile net increase (decrease) in Partners’ Capital resulting from operations to net cash provided by (used in) operating activities:

         

Purchase of investments in securities

      (119,424,075 )      (849,319,611 )      (329,102,733 )      (2,200,261,646 ) 

Proceeds from disposition of investments

      124,615,076        143,726,399        277,628,934        179,837,330   

Net realized gain on investments

      (1,135,941 )      (1,588,880 )      (9,171,729 )      (1,588,880 ) 

Net change in unrealized loss on investments

      123,210,057        (9,974,625 )      97,733,292        (12,644,474 ) 

Net change in unrealized gain on UST Warrant

      —          —          (100 )      —     

Amortization of discount, net

      (41,315,937 )      (30,760,532 )      (83,777,786 )      (44,840,758 ) 

Accretion of interest only securities

      5,451,365        —          10,706,919        —     

Amortization of debt issuance costs

      343,037        333,680        682,305        638,497   

(Increase) decrease in interest receivable

      533,627        (2,615,685 )      299,597        (7,051,925 ) 

(Increase) decrease in other assets

      7,064        —          (14,284 )      —     

Increase (decrease) in payable for investments purchased

      15,982,899        (8,766,302 )      22,000,836        59,041,163   

Increase (decrease) in interest payable

      (91,074 )      275,511        (90,195 )      703,916   

Increase (decrease) in management fees payable

      —          (116,246 )      —          149,699   

Increase (decrease) in professional fees payable

      (78,549 )      5,742        (39,454 )      10,139   

Increase in administration fees payable

      14,858        13,671        4,534        5,565   

Increase (decrease) in other accrued expenses

      (68,065 )      48,897        (21,299 )      64,544   

Increase in distribution payable

      —          89        —          112   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net cash provided by (used in) operating activities

      48,821,589        (695,266,178 )      25,722,287        (1,936,858,759 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

CASH FLOWS FROM FINANCING ACTIVITIES:

         

Proceeds from (repayment of) loan

      (13,531,530 )      549,000,000        (13,531,530 )      1,004,000,000   

Contributions received in advanced

      —          70,000        —          70,000   

Contributions

      —          245,909,403        —          1,002,720,773   

Distributions net of payable

      (23,347,981 )      (17,505,764 )      (48,395,132 )      (22,011,293 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net cash provided by (used in) financing activities

      (36,879,511 )      777,473,639        (61,926,662 )      1,984,779,480   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net change in cash and cash equivalents

      11,942,078        82,207,461        (36,204,375 )      47,920,721   

CASH AND CASH EQUIVALENTS:

         

Beginning of period

      63,532,604        30,593,216        111,679,057        64,879,956   
  

 

 

    

 

 

    

 

 

    

 

 

  

End of period

    $ 75,474,682      $ 112,800,677      $ 75,474,682      $ 112,800,677   
  

 

 

    

 

 

    

 

 

    

 

 

  

SUPPLEMENTAL DISCLOSURE OF NON CASH TRANSACTION:

         

Cash paid during the period for interest

    $ 3,871,304      $ 2,850,735      $ 7,782,118      $ 3,788,571   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

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