Investment Commentary and Annual Report to ... - Western Asset
Investment Commentary and Annual Report to ... - Western Asset
Investment Commentary and Annual Report to ... - Western Asset
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<strong>Annual</strong> <strong>Report</strong> <strong>to</strong> ShareholdersNotes <strong>to</strong> Financial Statements—ContinuedSwap Counterparty(Reference Entity):Credit Suisse First Bos<strong>to</strong>n USA(Fremont Home Loan Trust2005-A, 1-Month LIBOR +100bp, due 1/25/35)Termination DatePeriodicPaymentsMade by theFund‡ Notional Amount (2) Market ValueJanuary 25, 2035 2.08%MonthlyUpfrontPremiumsPaid/(Received)UnrealizedAppreciation/Depreciation$17,202 $16,760 $— $16,760Credit Suisse First Bos<strong>to</strong>n USA(IndyMac Home Equity Loan<strong>Asset</strong>-Backed, Trust 2004-C M8,1-Month LIBOR + 190bp, due3/25/35)Credit Suisse First Bos<strong>to</strong>n USA(IndyMac Home Equity Loan<strong>Asset</strong>-Backed, Trust 2004-C M9,1-Month LIBOR + 325bp, due3/25/35)Credit Suisse First Bos<strong>to</strong>n USA(Long Beach Mortgage LoanTrust 2004-1 M9, 1-Month LIBOR+ 350bp, due 2/25/34)Credit Suisse First Bos<strong>to</strong>n USA(Long Beach Mortgage LoanTrust 2005-1 M8, 1-Month LIBOR+ 170 bp, due 2/25/35)Credit Suisse First Bos<strong>to</strong>n USA(Long Beach Mortgage LoanTrust 2005-1 M9, 1-Month LIBOR+ 275bp, due 2/25/35)Credit Suisse First Bos<strong>to</strong>n USA(MASTR <strong>Asset</strong> Backed SecuritiesTrust 2005-NC1 M8, 1-MonthLIBOR + 153bp, due 12/25/34)Credit Suisse First Bos<strong>to</strong>n USA(MASTR <strong>Asset</strong> Backed SecuritiesTrust 2005-NC1 M9, 1-MonthLIBOR + 240bp, due 12/25/34)Credit Suisse First Bos<strong>to</strong>n USA(Merrill Lynch MortgageInves<strong>to</strong>rs, Inc. 2004-WMC1 B3,1-Month LIBOR + 225bp, due9/25/35)March 25, 2035 1.28%MonthlyMarch 25, 2035 2.05%MonthlyFebruary 25, 2034 2.15%MonthlyFebruary 25, 2035 1.31%MonthlyFebruary 25, 2035 2.08%MonthlyDecember 25, 2034 1.31%MonthlyDecember 25, 2034 2.08%MonthlySeptember 25, 2035 2.05%Monthly22,446 21,278 — 21,27817,912 16,927 — 16,92713,422 9,666 — 9,66620,879 19,923 — 19,92317,102 16,321 — 16,32125,304 23,987 — 23,98722,737 21,599 — 21,59920,173 9,994 — 9,99438
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