Attached files
| file | filename |
|---|---|
| 8-K - 8-K - Western Asset Mortgage Opportunity Fund Inc. | a12-11536_18k.htm |
| EX-99.1 - EX-99.1 - Western Asset Mortgage Opportunity Fund Inc. | a12-11536_1ex99d1.htm |
Exhibit 99.2
RLJ Western Asset Public/Private
Master Fund, L.P.
(a Delaware limited partnership)
Financial Statements for the Years Ended December 31, 2011 and December 31, 2010
and Report of Independent Auditors
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
Investment Manager
Western Asset Management Company
385 E. Colorado Blvd
Pasadena, California 91101
Administrator
The Bank of New York Mellon Corporate Trust
101 Barclay Street
New York, NY 10286
Custodian
BNY Mellon Asset Servicing
2 Hanson Place, 7th Floor
Brooklyn, NY 11217
Independent Auditors
PricewaterhouseCoopers LLP
350 South Grand Avenue
Los Angeles, California 90071
Legal Counsel
Ropes & Gray LLP
1211 Avenue of the Americas
New York, NY 10036-8704
This report is for Partners’ information only. Additional information regarding the RI.; Western Asset Public/Private Master Fund, L.P. may be obtained from the Investment Manager at the address or telephone number provided below:
RLJ Western Asset Public/Private Master Fund, L.P.
c/o Western Asset Management Company
385 E. Colorado Blvd
Pasadena, California 91101
Telephone: (626) 844-9400
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
TABLE OF CONTENTS
|
|
Page |
|
|
|
|
Independent Auditors’ Report |
1 |
|
|
|
|
Schedules of Investments |
2 |
|
|
|
|
Statements of Assets, Liabilities and Partners’ Capital |
17 |
|
|
|
|
Statements of Operations |
18 |
|
|
|
|
Statements of Changes in Partners’ Capital |
19 |
|
|
|
|
Statements of Cash Flows |
20 |
|
|
|
|
Notes to Financial Statements |
21 |
Report of Independent Auditors
To the General and Limited Partners of
RLJ Western Asset Public/Private Master Fund, L.P.:
In our opinion, the accompanying statements of assets, liabilities and partners’ capital, including the schedules of investments, and the related statements of operations, of changes in partners’ capital and of cash flows present fairly, in all material respects, the financial position of RLJ Western Asset Public/Private Master Fund, L.P. at December 31, 2011 and 2010, and the results of its operations, the changes in its partners’ capital and its cash flows for the years then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements are the responsibility of the General Partner. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by the General Partner, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
April 25, 2012
PricewaterhouseCoopers LLP, 350 S. Grand Avenue, Los Angeles, CA 90071
T: (213) 356 6000, F: (813) 637 4444, www.pwc.com/us
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
| ||
|
Mortgage-Backed Securities - 190.47% |
|
|
|
|
|
|
|
|
| ||
|
Commercial Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| ||
|
United States - 0.82% |
|
|
|
|
|
|
|
|
| ||
|
Bayview Commercial Asset Trust, Series 2007-5A, Class A2 |
|
$ |
14,274,504 |
|
1.19 |
|
10/25/2037 |
|
$ |
10,314,571 |
|
|
Total Commercial Mortgage-Backed Securities (Cost $13,037,150) |
|
|
|
|
|
|
|
10,314,571 |
| ||
|
|
|
|
|
|
|
|
|
|
| ||
|
Residential Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| ||
|
United States - 189.65% |
|
|
|
|
|
|
|
|
| ||
|
Adjustable Rate Mortgage Trust, Series 2005-10, Class 1A21 |
|
4,187,832 |
|
2.76 |
|
1/25/2036 |
|
2,705,888 |
| ||
|
Adjustable Rate Mortgage Trust, Series 2005-10, Class 3A31 |
|
21,643,000 |
|
5.18 |
|
1/25/2036 |
|
16,510,579 |
| ||
|
Adjustable Rate Mortgage Trust, Series 2005-11, Class 2A3 |
|
10,031,345 |
|
2.70 |
|
2/25/2036 |
|
3,702,940 |
| ||
|
Adjustable Rate Mortgage Trust, Series 2005-11, Class 2A42 |
|
9,961,359 |
|
2.70 |
|
2/25/2036 |
|
3,951,920 |
| ||
|
Adjustable Rate Mortgage Trust, Series 2005-12, Class 5A1 |
|
8,694,314 |
|
0.54 |
|
3/25/2036 |
|
3,764,881 |
| ||
|
Adjustable Rate Mortgage Trust; Series 2005-3, Class 3A1 |
|
3,804,446 |
|
4.79 |
|
7/25/2035 |
|
2,737,622 |
| ||
|
Adjustable Rate Mortgage Trust, Series 2005-3, Class 7A1 |
|
1,083,000 |
|
2.63 |
|
7/25/2035 |
|
791,667 |
| ||
|
Adjustable Rate Mortgage Trust; Series 2005-5, Class 1A1 |
|
5,237,213 |
|
2.68 |
|
9/25/2035 |
|
3,206,117 |
| ||
|
Adjustable Rate Mortgage Trust, Series 2005-7, Class 2A21 |
|
15,820,000 |
|
2.71 |
|
10/25/2035 |
|
9,303,362 |
| ||
|
Adjustable Rate Mortgage Trust, Series 2007-1, Class 1A1 |
|
1,133,082 |
|
2.93 |
|
3/25/2037 |
|
521,142 |
| ||
|
American Home Mortgage Assets LLC, Series 2005-2, Class 1A1 |
|
2,934,156 |
|
0.83 |
|
1/25/2036 |
|
1,260,369 |
| ||
|
American Home Mortgage Assets LLC, Series 2005-2, Class 2A1A |
|
4,195,365 |
|
3.01 |
|
1/25/2036 |
|
1,798,432 |
| ||
|
American Home Mortgage Assets LLC, Series 2006-2, Class 2A2 |
|
9,664,309 |
|
0.52 |
|
9/25/2046 |
|
1,043,407 |
| ||
|
American Home Mortgage Investment Trust, Series 2004-3, Class 3A |
|
4,859,482 |
|
2.43 |
|
10/25/2034 |
|
3,053,416 |
| ||
|
American Home Mortgage Investment Trust, Series 2005-1, Class 4A1 |
|
1,133,487 |
|
2.80 |
|
6/25/2045 |
|
821,270 |
| ||
|
American Home Mortgage Investment Trust, Series 2005-2 Class 5A4C |
|
3,215,000 |
|
5.41 |
* |
9/25/2035 |
|
2,091,476 |
| ||
|
American Home Mortgage Investment Trust, Series 2005-SDI, Class 1A1 |
|
3,625,206 |
|
0.74 |
|
9/25/2035 |
|
1,822,253 |
| ||
|
American Home Mortgage Investment Trust, Series 2006-1, Class 12A1 |
|
7,501,899 |
|
0.49 |
|
3/25/2046 |
|
3,949,435 |
| ||
|
American Home Mortgage Investment Trust, Series 2007-A, Class 4A |
|
4,074,370 |
|
0.74 |
|
7/25/2046 |
|
1,184,802 |
| ||
|
American Home Mortgage Investment Trust, Series 2007-SD2, Class A |
|
1,244,963 |
|
0.69 |
|
1/25/2047 |
|
248,181 |
| ||
|
Argent Securities, Inc., Series 2005-W3, Class A2D |
|
23,400,000 |
|
0.63 |
|
11/25/2035 |
|
13,523,258 |
| ||
|
Banc of America Alternative Loan Trust Series 2006-5, Class 3A1 |
|
2,866,496 |
|
6.00 |
* |
6/25/2046 |
|
2,659,016 |
| ||
|
Banc of America Funding Corp., Series 2004-C, Class 3A1 |
|
7,394,597 |
|
2.83 |
|
12/20/2034 |
|
5,160,246 |
| ||
|
Banc of America Funding Corp., Series 2005-B, Class 2A1 |
|
807,898 |
|
2.92 |
|
4/20/2035 |
|
550,537 |
| ||
|
Banc of America Funding Corp., Series 2005-F, Class 2A1 |
|
1,133,244 |
|
2.79 |
|
9/20/2035 |
|
552,234 |
| ||
|
Banc of America Funding Corp., Series 2005-F, Class 4A1 |
|
1,379,214 |
|
2.79 |
|
9/20/2035 |
|
906,187 |
| ||
|
Banc of America Funding Corp., Series 2006-5, Class 4A5 |
|
6,400,000 |
|
6.00 |
* |
9/25/2036 |
|
6,306,963 |
| ||
|
Banc of America Funding Corp., Series 2006-D, Class 6A1 |
|
7,791,753 |
|
5.32 |
|
5/20/2036 |
|
4,724,186 |
| ||
|
Banc of America Funding Corp., Series 2006-F, Class 1A1 |
|
21,293,210 |
|
2.73 |
|
7/20/2036 |
|
15,411,365 |
| ||
|
Banc of America Funding Corp., Series 2007-A, Class 2A1 |
|
6,981,468 |
|
0.44 |
|
2/20/2047 |
|
4,300,005 |
| ||
|
Banc of America Funding Corp., Series 2007-C, Class 5A1 |
|
3,182,006 |
|
2.73 |
|
5/20/2036 |
|
2,236,797 |
| ||
|
Banc of America Funding Corp., Series 2007-C, Class 7A1 |
|
13,458,981 |
|
0.49 |
|
5/20/2047 |
|
8,828,136 |
| ||
|
Banc of America Mortgage Securities, Inc., Series 2005-12, Class A2 |
|
11,923,192 |
|
1.19 |
|
1/25/2036 |
|
9,120,741 |
| ||
|
Banc of America Mortgage Securities, Inc, Series 2005-C, Class 2A1 |
|
2,085,046 |
|
2.86 |
|
4/25/2035 |
|
1,556,633 |
| ||
|
Banc of America Mortgage Securities, Inc., Series 2005-H, Class 2A1 |
|
3,106,586 |
|
2.76 |
|
9/25/2035 |
|
2,362,562 |
| ||
|
Bayview Financial Acquisition Trust, Series 2006-C, Class 2A4 |
|
8,180,848 |
|
0.37 |
|
11/28/2036 |
|
4,126,240 |
| ||
|
Bayview Financial Acquisition Trust, Series 2007-A, Class 2A |
|
14,328,177 |
|
0.64 |
|
5/28/2037 |
|
5,858,147 |
| ||
|
BCAP LLC Trust, Series 2006-AA2, Class A1 |
|
24,243,620 |
|
0.46 |
|
1/25/2037 |
|
11,163,169 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-1, Class 12A5 |
|
3,808,364 |
|
2.79 |
|
4/25/2034 |
|
2,991,230 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-12, Class 1A1 |
|
11,380,818 |
|
2.73 |
|
2/25/2035 |
|
8,008,466 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A |
|
295,641 |
|
4.76 |
|
7/25/2034 |
|
275,196 |
| ||
|
Bear Steams Adjustable Rate Mortgage Trust, Series 2004-7, Class 2A1 |
|
5,881,563 |
|
2.78 |
|
10/25/2034 |
|
4,088,275 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-1, Class 2A1 |
|
2,955,039 |
|
2.73 |
|
3/25/2035 |
|
2,271,574 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-10, Class A3 |
|
200,000 |
|
2.71 |
|
10/25/2035 |
|
155,134 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12, Class 24A1 |
|
793,044 |
|
5.57 |
|
2/25/2036 |
|
495,218 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-4, Class 2A3 |
|
15,000,000 |
|
2.75 |
|
8/25/2035 |
|
11,559,540 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-6, Class 1A1 |
|
9,232,630 |
|
2.73 |
|
8/25/2035 |
|
5,045,669 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4, Class 1A1 |
|
1,747,388 |
|
2.67 |
|
10/25/2036 |
|
1,063,354 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-2, Class 1A1 |
|
1,736,960 |
|
2.33 |
|
12/25/2046 |
|
1,016,469 |
| ||
|
Bear Stearns Alt-A Trust, Series 2004-12, Class 1A1 |
|
5,523,461 |
|
0.64 |
|
1/25/2035 |
|
4,354,978 |
| ||
|
Bear Stearns Alt-A Trust, Series 2004-12, Class 2A1 |
|
907,023 |
|
2.43 |
|
1/25/2035 |
|
654,916 |
| ||
|
Bear Stearns Alt-A Trust, Series 2004-12, Class 2A2 |
|
6,771,305 |
|
2.84 |
|
1/25/2035 |
|
4,708,745 |
| ||
|
Bear Steams Alt-A Trust, Series 2005-1, Class A1 |
|
6,634,791 |
|
0.85 |
|
1/25/2035 |
|
4,684,999 |
| ||
|
Bear Stearns Alt-A Trust, Series 2005-2, Class 2A4 |
|
2,774,144 |
|
2.70 |
|
4/25/2035 |
|
1,974,478 |
| ||
|
Bear Stearns Alt-A Trust, Series 2005-4, Class 24A1 |
|
13,120,883 |
|
4.99 |
|
5/25/2035 |
|
10,177,200 |
| ||
|
Bear Stearns Alt-A Trust, Series 2005-9, Class 25A1 |
|
5,064,788 |
|
5.33 |
|
11/25/2035 |
|
3,377,504 |
| ||
|
Bear Stearns Alt-A Trust, Series 2006-1, Class 22A1 |
|
6,050,599 |
|
2.56 |
|
2/25/2036 |
|
3,404,013 |
| ||
|
Bear Stearns Alt-A Trust, Series 2006-2, Class 23A1 |
|
14,753,619 |
|
2.77 |
|
3/25/2036 |
|
7,033,861 |
| ||
|
Bear Stearns Alt-A Trust, Series 2006-2, Class 24A1 |
|
15,172,352 |
|
5.49 |
|
3/25/2036 |
|
7,299,783 |
| ||
|
Bear Stearns Asset Backed Securities Trust, Series 2004-501, Class A2 |
|
6,428,241 |
|
0.74 |
|
12/25/2042 |
|
5,755,988 |
| ||
|
Bear Steams Asset Backed Securities Trust, Series 2005-AC3, Class 1A1 |
|
10,565,492 |
|
0.79 |
|
7/25/2035 |
|
6,829,112 |
| ||
|
Bear Stearns Asset Backed Securities Trust, Series 2005-CL1, Class A1 |
|
1,683,418 |
|
0.79 |
|
9/25/2034 |
|
1,251,568 |
| ||
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
|
|
Bear Stearns Asset Backed Securities Trust, Series 2005-SD3, Class 1A |
|
21,962,325 |
|
0.78 |
|
7/25/2035 |
|
16,523,290 |
|
|
Bear Stearns Asset Backed Securities Trust, Series 2006-AC2, Class 1A1 |
|
12,849,840 |
|
0.64 |
|
3/25/2036 |
|
4,696,912 |
|
|
CC Mortgage Funding Corp., Series 2004-3A, Class A2 |
|
219,370 |
|
0.59 |
|
8/25/2035 |
|
137,493 |
|
|
CC Mortgage Funding Corp., Series 2005-1A, Class A2 |
|
336,385 |
|
0.49 |
|
1/25/2036 |
|
190,734 |
|
|
CC Mortgage Funding Corp., Series 2005-3A, Class A2 |
|
2,397,876 |
|
0.52 |
|
7/25/2036 |
|
1,305,303 |
|
|
CC Mortgage Funding Corp., Series 2005-4A, Class A2 |
|
1,735,752 |
|
0.54 |
|
10/25/2036 |
|
977,222 |
|
|
CC Mortgage Funding Corp., Series 2006-2A, Class A1 |
|
6,495,631 |
|
0.42 |
|
4/25/2047 |
|
3,506,127 |
|
|
CC Mortgage Funding Corp., Series 2006-2A, Class A2 |
|
15,639,021 |
|
0.47 |
|
4/25/2047 |
|
6,675,876 |
|
|
CC Mortgage Funding Corp., Series 2006-3A, Class A2 |
|
4,536,080 |
|
0.47 |
|
8/25/2047 |
|
1,874,617 |
|
|
Chase Mortgage Finance Corp., Series 2005-A2, Class 1A5 |
|
19,584,601 |
|
2.77 |
|
1/25/2036 |
|
13,580,863 |
|
|
Chase Mortgage Finance Corp., Series 2006-S3, Class 2A1 |
|
5,286,793 |
|
5.50 |
* |
11/25/2021 |
|
4,895,835 |
|
|
Chase Mortgage Finance Corp., Series 2007-S1, Class A4 |
|
2,171,081 |
|
0.89 |
|
2/25/2037 |
|
1,667,800 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2005-10, Class 1A1A |
|
20,655,178 |
|
2.89 |
|
12/25/2035 |
|
8,824,594 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2005-10, Class 1A2A |
|
7,211,666 |
|
2.80 |
|
12/25/2035 |
|
2,957,425 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2005-11, Class A3 |
|
503,648 |
|
4.90 |
|
11/25/2035 |
|
435,943 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2005-9, Class 2A2 |
|
1,759,884 |
|
5.50 |
* |
11/25/2035 |
|
1,654,884 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2005-HE4, Class A2D |
|
10,866,000 |
|
0.65 |
|
10/25/2035 |
|
6,988,316 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3, Class 2A2A |
|
17,699,340 |
|
2.65 |
|
6/25/2036 |
|
6,745,183 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR5, Class 2A1A |
|
11,698,557 |
|
2.67 |
|
7/25/2036 |
|
4,990,406 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2007-6, Class 1A1A |
|
4,830,691 |
|
2.33 |
|
3/25/2037 |
|
2,240,204 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2007-AR4, Class 2A1A |
|
1,605,556 |
|
2.84 |
|
3/25/2037 |
|
938,807 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2007-AR5, Class 1A2A |
|
6,859,350 |
|
3.84 |
|
4/25/2037 |
|
3,828,114 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2007-AR8, Class 1A1A |
|
2,190,042 |
|
5.22 |
|
8/25/2047 |
|
1,386,962 |
|
|
Countrywide Alternative Loan Trust, Series 2004-6CB, Class A |
|
1,904,665 |
|
0.58 |
|
5/25/2034 |
|
1,453,202 |
|
|
Countrywide Alternative Loan Trust, Series 2005-14, Class 3A1 |
|
6,380,523 |
|
2.93 |
|
5/25/2035 |
|
3,136,384 |
|
|
Countrywide Alternative Loan Trust, Series 2005-2003, Class 4A1 |
|
2,837,453 |
|
5.25 |
* |
7/25/2020 |
|
2,683,995 |
|
|
Countrywide Alternative Loan Trust, Series 2005-32T1, Class A3 |
|
46,548,908 |
|
1.29 |
|
8/25/2035 |
|
26,168,540 |
|
|
Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1 |
|
1,007,448 |
|
2.73 |
|
8/25/2035 |
|
629,802 |
|
|
Countrywide Alternative Loan Trust, Series 2005-3CB, Class 1A6 |
|
32,132,839 |
|
6.86 |
|
3/25/2035 |
|
4,709,087 |
|
|
Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1 |
|
3,140,849 |
|
0.62 |
|
10/25/2035 |
|
1,471,136 |
|
|
Countrywide Alternative Loan Trust, Series 2005-62, Class 2A1 |
|
6,267,740 |
|
1.21 |
|
12/25/2035 |
|
3,389,845 |
|
|
Countrywide Alternative Loan Trust, Series 2005-7CB, Class 1A3 |
|
23,204,081 |
|
6.31 |
|
4/25/2035 |
|
3,069,055 |
|
|
Countrywide Alternative Loan Trust, Series 2005-J10, Class 1A1 |
|
3,741,567 |
|
0.79 |
|
10/25/2035 |
|
2,369,991 |
|
|
Countrywide Alternative Loan Trust, Series 2005-J3, Class 3A1 |
|
5,781,070 |
|
6.50 |
* |
9/25/2034 |
|
5,587,381 |
|
|
Countrywide Alternative Loan Trust, Series 2005-J7, Class 1A1 |
|
7,328,524 |
|
0.99 |
|
7/25/2035 |
|
4,723,717 |
|
|
Countrywide Alternative Loan Trust, Series 2005-J7, Class 1A2 |
|
8,820,061 |
|
4.51 |
|
7/25/2035 |
|
1,091,215 |
|
|
Countrywide Alternative Loan Trust, Series 2005-J8, Class 2A1 |
|
1,393,178 |
|
5.00 |
* |
6/25/2020 |
|
1,348,032 |
|
|
Countrywide Alternative Loan Trust, Series 2006-26CB, Class A21 |
|
9,106,811 |
|
6.86 |
|
9/25/2036 |
|
1,874,387 |
|
|
Countrywide Alternative Loan Trust, Series 2006-2CB, Class A5 |
|
3,652,677 |
|
6.81 |
|
3/25/2036 |
|
858,837 |
|
|
Countrywide Alternative Loan Trust, Series 2006-36T2, Class 1A7 |
|
29,779,223 |
|
6.25 |
|
12/25/2036 |
|
19,507,416 |
|
|
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 1A1 |
|
11,312,645 |
|
5.10 |
|
5/25/2036 |
|
5,649,693 |
|
|
Countrywide Alternative Loan Trust, Series 2006-HY3, Class 3A1 |
|
3,993,217 |
|
6.03 |
|
4/25/2036 |
|
2,302,090 |
|
|
Countrywide Alternative Loan Trust, Series 2006-J8, Class A5 |
|
3,746,011 |
|
6.00 |
* |
2/25/2037 |
|
2,270,214 |
|
|
Countrywide Alternative Loan Trust, Series 2006-OA16, Class A1D |
|
35,000,000 |
|
0.57 |
|
10/25/2046 |
|
8,760,920 |
|
|
Countrywide Alternative Loan Trust, Series 2007-3T1, Class 2A1 |
|
16,438,601 |
|
6.00 |
* |
3/25/2027 |
|
13,110,015 |
|
|
Countrywide Alternative Loan Trust, Series 2007-JL, Class 1A2 |
|
2,305,273 |
|
5.75 |
* |
3/25/2037 |
|
1,659,047 |
|
|
Countrywide Asset-Backed Certificates, Series 2005-1, Class AF5A |
|
2,607,000 |
|
5.50 |
* |
7/25/2035 |
|
1,887,948 |
|
|
Countrywide Asset-Backed Certificates, Series 2005-4, Class AF5B |
|
2,511,000 |
|
5.15 |
|
10/25/2035 |
|
1,742,343 |
|
|
Countrywide Asset-Backed Certificates, Series 2007-QH1, Class A1 |
|
1,432,427 |
|
0.49 |
|
2/25/2037 |
|
867,465 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-12, Class 12A1 |
|
10,260,709 |
|
2.78 |
|
8/25/2034 |
|
7,611,856 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-23, Class A |
|
3,303,110 |
|
2.55 |
|
11/25/2034 |
|
1,635,337 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-25, Class 1A2 |
|
2,350,730 |
|
0.68 |
|
2/25/2035 |
|
1,051,931 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB4, Class 2A1 |
|
4,993,996 |
|
2.62 |
|
9/20/2034 |
|
3,887,246 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB6, Class A1 |
|
614,845 |
|
2.72 |
|
11/20/2034 |
|
455,958 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB6, Class A2 |
|
14,254,793 |
|
2.72 |
|
11/20/2034 |
|
10,571,098 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-R1, Class 1AF |
|
1,140,023 |
|
0.69 |
|
11/25/2034 |
|
938,962 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-R2, Class 1AF1 |
|
3,754,972 |
|
0.71 |
|
11/25/2034 |
|
3,086,403 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-18, Class A7 |
|
2,570,574 |
|
18.72 |
|
10/25/2035 |
|
2,848,921 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-2, Class 2A1 |
|
798,600 |
|
0.61 |
|
3/25/2035 |
|
449,219 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-3, Class 1A2 |
|
1,136,962 |
|
0.58 |
|
4/25/2035 |
|
621,620 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-7, Class 2A1 |
|
3,259,425 |
|
0.60 |
|
3/25/2035 |
|
1,822,788 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1 |
|
1,018,565 |
|
0.59 |
|
5/25/2035 |
|
585,902 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 2A1 |
|
1,248,714 |
|
0.51 |
|
5/25/2035 |
|
704,818 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HY10, Class 1A1 |
|
3,039,419 |
|
3.32 |
|
2/20/2036 |
|
1,652,106 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-M133, Class 1A1 |
|
2,259,044 |
|
2.67 |
|
6/20/2035 |
|
1,496,901 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB6, Class 1A1 |
|
6,769,520 |
|
2.44 |
|
10/20/2035 |
|
3,772,193 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB9, Class 1A1 |
|
1,138,477 |
|
2.68 |
|
2/20/2036 |
|
669,594 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-J2, Class 3A10 |
|
550,047 |
|
47.37 |
|
8/25/2035 |
|
1,259,500 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-R1, Class 1AFI |
|
6,723,527 |
|
0.65 |
|
3/25/2035 |
|
5,204,938 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-R1, Class 2A1 |
|
921,927 |
|
6.00 |
* |
3/25/2035 |
|
893,991 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-R3, Class AF |
|
24,310,804 |
|
0.69 |
|
9/25/2035 |
|
19,962,257 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-3, Class 2A1 |
|
1,467,080 |
|
0.54 |
|
3/25/2036 |
|
812,644 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-R1, Class AP2 |
|
728,685 |
|
0.66 |
|
1/25/2036 |
|
603,332 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-R2, Class AP1 |
|
601,323 |
|
0.71 |
|
7/25/2036 |
|
511,678 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-3, Class A14 |
|
1,848,846 |
|
0.69 |
|
4/25/2037 |
|
1,236,870 |
|
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR1, Class 2A1 |
|
2,217,879 |
|
2.56 |
|
2/25/2034 |
|
1,854,049 |
|
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR7, Class 2A1 |
|
423,303 |
|
2.78 |
|
11/25/2034 |
|
366,526 |
|
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 12A1 |
|
1,579,864 |
|
5.25 |
* |
11/25/2020 |
|
1,505,726 |
|
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 303 |
|
8,484,539 |
|
5.50 |
* |
11/25/2035 |
|
6,142,476 |
|
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-7, Class 3A1 |
|
2,421,175 |
|
5.00 |
* |
8/25/2020 |
|
2,394,545 |
|
|
Credit Suisse Mortgage Capital Certificates, Series 2006-3, Class 5A4 |
|
9,718,626 |
|
6.00 |
* |
4/25/2036 |
|
6,947,030 |
|
|
Credit Suisse Mortgage Capital Certificates, Series 2006-7, Class 11A4 |
|
9,630,500 |
|
7.00 |
* |
8/25/2036 |
|
6,687,621 |
|
|
Credit Suisse Mortgage Capital Certificates, Series 2006-7, Class 5A1 |
|
7,735,273 |
|
0.72 |
|
8/25/2036 |
|
2,862,910 |
|
|
Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 3A1 |
|
3,489,339 |
|
6.00 |
* |
10/25/2021 |
|
2,759,195 |
|
|
Credit-Based Asset Servicing And Securitization LLC, Series 2007-SP1, Class A4 |
|
7,871,000 |
|
6.02 |
|
12/25/2037 |
|
6,341,531 |
|
|
CSAB Mortgage Backed Trust, Series 2007-1, Class 1A3A |
|
4,365,737 |
|
5.86 |
|
5/25/2037 |
|
2,222,291 |
|
|
Deutsche Alt-A Securities, Inc. Alternate Loan Trust, Series 2005-AR2, Class 3A1 |
|
17,656,697 |
|
2.57 |
|
10/25/2035 |
|
8,361,011 |
|
|
Deutsche Alt-A Securities, Inc. Alternate Loan Trust, Series 2006-AR1, Class 2A1 |
|
6,480,006 |
|
2.88 |
|
2/25/2036 |
|
3,406,481 |
|
|
Deutsche Alt-A Securities, Inc. Alternate Loan Trust, Series 2007-1, Class 2A1 |
|
28,602,676 |
|
0.39 |
|
8/25/2037 |
|
16,556,573 |
|
|
Downey Savings & Loan Association Mortgage Loan Trust, Series 2006-AR1, Class 2A1A |
|
26,199,008 |
|
1.15 |
|
4/19/2047 |
|
14,134,889 |
|
|
First Franklin Mortgage Loan Asset Backed Certificates, Series 2002-FF4, Class 2A2 |
|
1,128435 |
|
1.37 |
|
2/25/2033 |
|
747,642 |
|
|
First Horizon Alternative Mortgage Securities, Series 2005-AA2, Class 1A1 |
|
1,530,246 |
|
2.26 |
|
3/25/2035 |
|
1,147,574 |
|
|
First Horizon Alternative Mortgage Securities, Series 2005-AM, Class 3A1 |
|
13,166,623 |
|
2.28 |
|
8/25/2035 |
|
8,913,396 |
|
|
First Horizon Alternative Mortgage Securities, Series 2007-FAZ Class 1A10 |
|
9,679,629 |
|
0.54 |
|
4/25/2037 |
|
4,706,894 |
|
|
First Horizon Asset Securities, Inc., Series 2005-3, Class A5 |
|
3,399,102 |
|
14.48 |
|
6/25/2035 |
|
3,688,670 |
|
|
First Horizon Asset Securities, Inc., Series 2005-AR4, Class 2A1 |
|
10,949,870 |
|
2.64 |
|
10/25/2035 |
|
7,894,002 |
|
|
First Horizon Asset Securities, Inc., Series 2005-AR5, Class 1A1 |
|
760,980 |
|
2.63 |
|
11/25/2035 |
|
568,896 |
|
|
GMAC Mortgage Corp. Loan Trust, Series 2005-AR6, Class 2A1 |
|
12,944,149 |
|
3.08 |
|
11/19/2035 |
|
8,186,488 |
|
|
Greenpoint Mortgage Funding Trust, Series 2005-HE4, Class 2A1A |
|
1,424,287 |
|
0.51 |
|
7/25/2030 |
|
1,193,990 |
|
|
Greenpoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1 |
|
16,150,092 |
|
2.21 |
|
3/25/2036 |
|
9,593,736 |
|
|
Greenpoint Mortgage Funding Trust, Series 2006-AR3, Class 4A1 |
|
12,620,897 |
|
0.50 |
|
4/25/2036 |
|
5,718,945 |
|
|
Greenpoint Mortgage Funding Trust, Series 2006-AR4, Class A1A |
|
32 |
|
0.39 |
|
9/25/2046 |
|
32 |
|
|
Greenpoint Mortgage Funding Trust, Series 2006-AR5, Class A1A |
|
372,968 |
|
0.37 |
|
10/25/2046 |
|
354,679 |
|
|
Greenpoint Mortgage Funding Trust, Series 2006-AR5, Class A3A1 |
|
78,044,887 |
|
0.51 |
|
10/25/2046 |
|
16,743,984 |
|
|
Greenpoint Mortgage Funding Trust, Series 2006-AR6, Class A3A |
|
64,807,640 |
|
0.51 |
|
10/25/2046 |
|
10,985,089 |
|
|
Greenpoint Mortgage Funding Trust, Series 2007-AR1, Class 1A1A |
|
2,934,463 |
|
0.37 |
|
2/25/2047 |
|
2,159,240 |
|
|
Greenpoint Mortgage Funding Trust, Series 2007-AR2, Class 1A1 |
|
541,873 |
|
0.42 |
|
4/25/2047 |
|
440,242 |
|
|
GSAA Trust, Series 2005-11, Class 3A2 |
|
14,764,961 |
|
0.61 |
|
10/25/2035 |
|
4,377,220 |
|
|
GSAA Trust, Series 2005-MTR1, Class A3 |
|
2,966,000 |
|
0.60 |
|
10/25/2035 |
|
1,759,754 |
|
|
GSAA Trust, Series 2005-MTR1, Class A5 |
|
4,566,000 |
|
0.71 |
|
10/25/2035 |
|
750,061 |
|
|
GSAA Trust, Series 2006-10, Class AF3 |
|
12,775,903 |
|
5.98 |
|
6/25/2036 |
|
6,721,620 |
|
|
GSAA Trust, Series 2007-6, Class A5 |
|
14,015,042 |
|
0.57 |
|
5/25/2047 |
|
1,318,563 |
|
|
GSAA Trust, Series 2007-7, Class A4 |
|
2,390,000 |
|
0.56 |
|
7/25/2037 |
|
1,401,525 |
|
|
GSAA Trust, Series 2007-8, Class AS |
|
10,000,000 |
|
0.74 |
|
8/25/2037 |
|
6,068,270 |
|
|
GSAMP Trust, Series 2006-SEA1, Class A |
|
344,628 |
|
0.59 |
|
5/25/2036 |
|
283,415 |
|
|
GSMPS Mortgage Loan Trust, Series 2005-LT1, Class A1 |
|
3,770,822 |
|
0.52 |
|
2/25/2035 |
|
3,314,392 |
|
|
GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1A3 |
|
455,054 |
|
8.00 |
* |
1/25/2035 |
|
466,837 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
|
|
GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1AF |
|
5,682,707 |
|
0.64 |
|
1/25/2035 |
|
4,363,950 |
|
|
GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF |
|
2,501,832 |
|
0.64 |
|
3/25/2035 |
|
2,020,262 |
|
|
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF |
|
16,095,796 |
|
0.64 |
|
9/25/2035 |
|
12,565,119 |
|
|
GSMPS Mortgage Loan Trust, Series 2006-RP1, Class 1A2 |
|
1,210,547 |
|
7.50 |
* |
1/25/2036 |
|
1,207,687 |
|
|
GSMPS Mortgage Loan Trust, Series 2006-RP1, Class 1A3 |
|
2,140,473 |
|
8.00 |
* |
1/25/2036 |
|
2,181,264 |
|
|
GSMPS Mortgage Loan Trust, Series 2006-RP1, Class 1A4 |
|
338,745 |
|
8.50 |
* |
1/25/2036 |
|
351,570 |
|
|
GSMPS Mortgage Loan Trust, Series 2006-RP2, Class 1AF1 |
|
4,058,572 |
|
0.69 |
|
4/25/2036 |
|
3,244,418 |
|
|
GSR Mortgage Loan Trust, Series 2005-6F, Class 2A1 |
|
4,411,212 |
|
0.59 |
|
7/25/2035 |
|
3,843,312 |
|
|
GSR Mortgage Loan Trust, Series 2005-8F, Class 2A1 |
|
13,439,078 |
|
5.50 |
* |
11/25/2035 |
|
12,448,282 |
|
|
GSR Mortgage Loan Trust, Series 2005-AR2, Class 1A1 |
|
7,435,207 |
|
2.86 |
|
4/25/2035 |
|
5,022,765 |
|
|
GSR Mortgage Loan Trust, Series 2005-AR2, Class 1A2 |
|
3,229,395 |
|
2.86 |
|
4/25/2035 |
|
2,283,731 |
|
|
GSR Mortgage Loan Trust, Series 2005-AR2, Class 5A1 |
|
3,089,185 |
|
2.63 |
|
4/25/2035 |
|
2,556,239 |
|
|
GSR Mortgage Loan Trust, Series 2005-AR3, Class 3A1 |
|
7,700,336 |
|
2.73 |
|
5/25/2035 |
|
5,168,658 |
|
|
GSR Mortgage Loan Trust, Series 2005-AR3, Class 4A1 |
|
16,962,027 |
|
2.71 |
|
5/25/2035 |
|
11,172,480 |
|
|
GSR Mortgage Loan Trust, Series 2005-AR4, Class 2A1 |
|
3,286,852 |
|
2.77 |
|
7/25/2035 |
|
2,256,142 |
|
|
GSR Mortgage Loan Trust, Series 2005-AR4, Class 3A5 |
|
8,625,000 |
|
2.76 |
|
7/25/2035 |
|
5,489,588 |
|
|
GSR Mortgage Loan Trust, Series 2005-AR5, Class 1A1 |
|
1,366,382 |
|
2.84 |
|
10/25/2035 |
|
924,713 |
|
|
GSR Mortgage Loan Trust, Series 2006-10F, Class 4A2 |
|
17,234,855 |
|
6.36 |
|
1/25/2037 |
|
2,991,407 |
|
|
GSR Mortgage Loan Trust, Series 2006-9F, Class 5A2 |
|
32,959,622 |
|
6.26 |
|
10/25/2036 |
|
5,324,212 |
|
|
GSR Mortgage Loan Trust, Series 2006-OA1, Class 2A2 |
|
49,632,474 |
|
0.55 |
|
8/25/2046 |
|
7,800,190 |
|
|
Harborview Mortgage Loan Trust, Series 2004-10, Class 3A1A |
|
965,530 |
|
2.76 |
|
1/19/2035 |
|
687,542 |
|
|
Harborview Mortgage Loan Trust, Series 2004-11, Class 3A3 |
|
2,642,546 |
|
0.66 |
|
1/19/2035 |
|
1,162,588 |
|
|
Harborview Mortgage Loan Trust, Series 2005-15, Class 2A11 |
|
2,088,386 |
|
0.55 |
|
10/20/2045 |
|
1,260,702 |
|
|
Harborview Mortgage Loan Trust, Series 2005-4, Class 1A |
|
3,167,818 |
|
2.81 |
|
7/19/2035 |
|
1,960,756 |
|
|
Harborview Mortgage Loan Trust, Series 2005-9, Class 2A1A |
|
2,421,597 |
|
0.62 |
|
6/20/2035 |
|
1,801,455 |
|
|
Harborview Mortgage Loan Trust, Series 2005-9, Class 2A1C |
|
13,413,102 |
|
0.73 |
|
6/20/2035 |
|
8,494,021 |
|
|
Harborview Mortgage Loan Trust, Series 2006-13, Class A |
|
1,590,850 |
|
0.46 |
|
11/19/2046 |
|
655,101 |
|
|
Harborview Mortgage Loan Trust, Series 2006-3, Class 3A |
|
16,016,315 |
|
5.54 |
|
6/19/2036 |
|
8,696,987 |
|
|
Harborview Mortgage Loan Trust, Series 2006-6, Class 1A1A |
|
15,809,032 |
|
2.75 |
|
8/19/2036 |
|
8,151,089 |
|
|
Homestar Mortgage Acceptance Corp., Series 2004-2, Class AV1 |
|
3,930,626 |
|
0.64 |
|
6/25/2034 |
|
3,239,134 |
|
|
HSBC Asset Loan Obligation, Series 2007-ARI, Class 4A1 |
|
3,760,565 |
|
5.14 |
|
1/25/2037 |
|
2,239,706 |
|
|
Impac Secured Assets Cmn Owner Trust, Series 2005-1, Class 4A |
|
4,369,713 |
|
3.12 |
|
7/25/2035 |
|
2,607,373 |
|
|
Impac Secured Assets Cmn Owner Trust, Series 2006-1, Class 1A2B |
|
8,595,598 |
|
0.49 |
|
5/25/2036 |
|
4,115,624 |
|
|
Impac Secured Assets Cmn Owner Trust, Series 2007-1, Class A2 |
|
4,560,000 |
|
0.45 |
|
3/25/2050 |
|
2,281,842 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2007-AR7, Class 1A1 |
|
3,586,565 |
|
5.73 |
|
11/25/2037 |
|
2,569,078 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2004-AR1 Class 2A1 |
|
920,397 |
|
0.89 |
|
4/25/2034 |
|
594,722 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 |
|
2,863,808 |
|
0.68 |
|
12/25/2034 |
|
1,473,042 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2004-AR13, Class 1A1 |
|
2,715,543 |
|
2.65 |
|
1/25/2035 |
|
1,843,840 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 3A |
|
9,454,210 |
|
2.52 |
|
8/25/2034 |
|
7,533,502 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1A |
|
4,330,480 |
|
1.15 |
|
8/25/2034 |
|
2,598,608 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2005-AR1, Class 4A1 |
|
5,164,756 |
|
2.63 |
|
3/25/2035 |
|
4,407,510 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2 |
|
7,865,854 |
|
4.91 |
|
9/25/2035 |
|
5,500,033 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2005-AR21, Class 4A1 |
|
1,949,795 |
|
5.15 |
|
10/25/2035 |
|
1,383,836 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2005-AR3, Class 2A1 |
|
1,877,939 |
|
2.52 |
|
4/25/2035 |
|
1,414,603 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2005-AR7, Class 1A1 |
|
4,588,145 |
|
2.49 |
|
6/25/2035 |
|
2,298,115 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR11, Class 1A1 |
|
11,930,057 |
|
2.75 |
|
6/25/2036 |
|
5,704,213 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR14, Class 1A3A |
|
8,944,868 |
|
0.49 |
|
11/25/2046 |
|
1,709,579 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR15, Class A1 |
|
18,028,791 |
|
0.4l |
|
7/25/2036 |
|
7,466,930 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 1A1B |
|
16,558,585 |
|
0.50 |
|
4/25/2046 |
|
7,464,279 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 1A2 |
|
46,666,075 |
|
0.59 |
|
4/25/2046 |
|
5,930,465 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR25, Class 4A1 |
|
9,191,546 |
|
2.85 |
|
9/25/2036 |
|
4,919,260 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR25, Class 4A3 |
|
12,326,358 |
|
2.85 |
|
9/25/2036 |
|
3,340,973 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 2A1 |
|
2,916,126 |
|
0.42 |
|
10/25/2036 |
|
1,526,181 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 2-A2 |
|
20,222,194 |
|
0.49 |
|
10/25/2036 |
|
10,881,926 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-ARS5, Class 2A1A |
|
7,474,652 |
|
0.46 |
|
1/25/2037 |
|
3,272,739 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR4, Class A1A |
|
7,532,562 |
|
0.50 |
|
5/25/2046 |
|
4,049,626 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 3A1 |
|
12,496,601 |
|
2.82 |
|
5/25/2036 |
|
6,448,896 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 5A1 |
|
5,975,293 |
|
4.70 |
|
5/25/2036 |
|
2,649,827 |
|
|
Loan IndyMac Index Mortgage Loan Trust, Series 2006-AR9, Class 3A3 |
|
3,641,401 |
|
5.08 |
|
6/25/2036 |
|
2,88075 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2007-AR15, Class 2-A1 |
|
2,199,055 |
|
5.00 |
|
8/25/2037 |
|
1,270,493 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2007-AR5, Class 2A1 |
|
26,261,174 |
|
4.68 |
|
5/25/2037 |
|
12,969,763 |
|
|
IndyMac Residential Asset Backed Trust, Series 2005-D, Class A12 |
|
3,074,314 |
|
0.61 |
|
3/25/2036 |
|
982,191 |
|
|
JPMorgan Alternative Loan Trust, Series 2005-A2, Class 1A1 |
|
5,482,304 |
|
0.55 |
|
1/25/2036 |
|
3,466,219 |
|
|
JPMorgan Alternative Loan Trust, Series 2006-A4, Class A7 |
|
43,170,000 |
|
6.30 |
* |
9/25/2036 |
|
14,058,526 |
|
|
JPMorgan Alternative Loan Trust, Series 2006-S1, Class 3A4 |
|
7,400,000 |
|
6.18 |
|
3/25/2036 |
|
3,103,723 |
|
|
JPMorgan Alternative Loan Trust, Series 2007-A1, Class 3A1 |
|
10,994,409 |
|
5.84 |
|
3/25/2037 |
|
5,634,404 |
|
|
JPMorgan Mortgage Trust, Series 2004-A3, Class 5F3 |
|
632,562 |
|
2.17 |
|
6/25/2034 |
|
591,071 |
|
|
JPMorgan Mortgage Trust, Series 2005-A1, Class 3A2 |
|
1,495,464 |
|
5.02 |
|
2/25/2035 |
|
1,325,293 |
|
|
JPMorgan Mortgage Trust, Series 2005-A6, Class 2A4 |
|
4,000,000 |
|
2.77 |
|
8/25/2035 |
|
2,715,800 |
|
|
JPMorgan Mortgage Trust, Series 2005-A6, Class 3A3 |
|
10,230,600 |
|
2.77 |
|
9/25/2035 |
|
6,259,102 |
|
|
JPMorgan Mortgage Trust, Series 2005-A8, Class 2A3 |
|
6,120,000 |
|
2.59 |
|
11/25/2035 |
|
4,307,146 |
|
|
JPMorgan Mortgage Trust, Series 2005-ALT1, Class 2A1 |
|
8,919,268 |
|
2.61 |
|
10/25/2035 |
|
5,628,843 |
|
|
JPMorgan Mortgage Trust, Series 2005-83, Class 1A1 |
|
18,270,039 |
|
6.50 |
* |
1/25/2036 |
|
17,382,207 |
|
|
JPMorgan Mortgage Trust, Series 2005-93, Class 2A2 |
|
1,959,632 |
|
5.50 |
* |
1/25/2021 |
|
1,894,804 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
|
|
JPMorgan Mortgage Trust, Series 2006-A6, Class 3A3L |
|
3,000,000 |
|
5.46 |
|
10/25/2036 |
|
2,151,297 |
|
|
JPMorgan Mortgage Trust, Series 2006-52, Class 2A1 |
|
2,619,004 |
|
5.00 |
* |
7/25/2036 |
|
2,408,067 |
|
|
JPMorgan Mortgage Trust, Series 2006-52, Class 2A2 |
|
3,318,633 |
|
5.88 |
* |
7/25/2036 |
|
3,106,064 |
|
|
JPMorgan Mortgage Trust, Series 2007-A4, Class 2A3 |
|
9,128,585 |
|
5.70 |
|
6/25/2037 |
|
6,690,121 |
|
|
JPMorgan Mortgage Trust, Series 2007-52, Class 3A2 |
|
3,470,050 |
|
6.00 |
* |
6/25/2037 |
|
3,063,891 |
|
|
JPMorgan Mortgage Trust, Series 2007-52, Class 3A3 |
|
1,091,033 |
|
6.50 |
* |
6/25/2037 |
|
970,056 |
|
|
JPMorgan Mortgage Trust, Series 2007-53, Class 2A3 |
|
1,806,545 |
|
6.00 |
* |
8/25/2022 |
|
1,720,015 |
|
|
Lehman Mortgage Trust, Series 2006-1, Class 3A1 |
|
22,111,206 |
|
1.04 |
|
2/25/2036 |
|
15,288,815 |
|
|
Lehman Mortgage Trust, Series 2006-1, Class 3A2 |
|
22,111,206 |
|
4.46 |
|
2/25/2036 |
|
2,667,704 |
|
|
Lehman Mortgage Trust, Series 2006-3, Class 2A1 |
|
28,332,419 |
|
0.65 |
|
7/25/2036 |
|
11,038,849 |
|
|
Lehman Mortgage Trust, Series 2006-3, Class 2A2 |
|
21,163,326 |
|
6.85 |
|
7/25/2036 |
|
4,498,582 |
|
|
Lehman Mortgage Trust, Series 2006-7, Class 4A2 |
|
7,303,694 |
|
7.46 |
|
11/25/2036 |
|
1,904,113 |
|
|
Lehman XS Trust, Series 2005-5N, Class 1A1 |
|
2,115,130 |
|
0.59 |
|
11/25/2035 |
|
1,466,069 |
|
|
Lehman XS Trust, Series 2005-5N, Class 1A2 |
|
13,219,565 |
|
0.65 |
|
11/25/2035 |
|
3,351,543 |
|
|
Lehman XS Trust, Series 2005-5N, Class 3A1A |
|
6,356,226 |
|
0.59 |
|
11/25/2035 |
|
4,213,186 |
|
|
Lehman XS Trust, Series 2005-6, Class 3A3A |
|
3,225,000 |
|
5.76 |
|
11/25/2035 |
|
1,354,339 |
|
|
Lehman XS Trust, Series 2005-7N, Class 1A2A |
|
15,639,312 |
|
0.64 |
|
12/25/2035 |
|
4,526,908 |
|
|
Lehman XS Trust, Series 2005-9N, Class 1A1 |
|
9,418,030 |
|
0.56 |
|
12/30/2050 |
|
4,849,815 |
|
|
Lehman X5 Trust, Series 2006-ION, Class 2A1 |
|
19,168,783 |
|
0.41 |
|
5/25/2046 |
|
2,829,485 |
|
|
Lehman XS Trust, Series 2006-14N, Class 1A1B |
|
9,956,594 |
|
0.50 |
|
9/25/2046 |
|
3,899,351 |
|
|
Lehman XS Trust, Series 2006-19, Class A4 |
|
35,342,681 |
|
0.46 |
|
12/25/2036 |
|
14,969,287 |
|
|
Lehman XS Trust, Series 2006-20, Class A4 |
|
23,172,268 |
|
0.46 |
|
1/25/2037 |
|
8,862,118 |
|
|
Lehman XS Trust, Series 2006-4N, Class A1D1 |
|
30,568,630 |
|
0.62 |
|
4/25/2046 |
|
3,849,141 |
|
|
Lehman XS Trust, Series 2006-7, Class 2A3A |
|
27,201,389 |
|
0.57 |
|
5/25/2036 |
|
5,387,915 |
|
|
Lehman XS Trust, Series 2006-8, Class 2A4A |
|
16,479,000 |
|
0.55 |
|
6/25/2036 |
|
4,640,157 |
|
|
Lehman XS Trust, Series 2007-1, Class WF1 |
|
4,904,290 |
|
5.65 |
|
1/25/2037 |
|
2,603,276 |
|
|
Lehman XS Trust, Series 2007-2N, Class 3A3 |
|
12,477,218 |
|
0.46 |
|
2/25/2037 |
|
1,573,153 |
|
|
Master Adjustable Rate Mortgages Trust, Series 2004-12, Class 2A1 |
|
666,757 |
|
2.48 |
|
11/25/2034 |
|
518,346 |
|
|
Master Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7 |
|
5,100,000 |
|
2.72 |
|
11/21/2034 |
|
4,652,954 |
|
|
Master Adjustable Rate Mortgages Trust, Series 2005-7, Class 2A1 |
|
7,126,630 |
|
2.41 |
|
9/25/2035 |
|
4,614,536 |
|
|
Master Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1 |
|
1,178,001 |
|
2.68 |
|
4/25/2036 |
|
847,024 |
|
|
Master Adjustable Rate Mortgages Trust, Series 2006-OA1, Class 4A1 |
|
1,356,295 |
|
0.50 |
|
4/25/2046 |
|
702,473 |
|
|
Master Adjustable Rate Mortgages Trust, Series 2007-3, Class 22A4 |
|
4,600,000 |
|
0.59 |
|
5/25/2047 |
|
615,770 |
|
|
Master Alternative Loans Trust, Series 2006-2, Class 2A4 |
|
35,111,133 |
|
6.86 |
|
3/25/2036 |
|
8,857,700 |
|
|
Master Alternative Loans Trust, Series 2007-1, Class 1A1 |
|
8,678,433 |
|
0.89 |
|
10/25/2036 |
|
6,998,002 |
|
|
Master Reperforming Loan Trust, Series 2005-1, Class 1A1 |
|
526,225 |
|
6.00 |
* |
8/25/2034 |
|
512,646 |
|
|
Master Reperforming Loan Trust, Series 2005-2, Class 1A1F |
|
17,843,605 |
|
0.64 |
|
5/25/2035 |
|
14,129,084 |
|
|
Master Reperforming Loan Trust, Series 2006-1, Class 1A1F |
|
10,272,823 |
|
0.65 |
|
7/25/2035 |
|
8,087,681 |
|
|
Master Reperforming Loan Trust, Series 2006-2, Class 1A1 |
|
303,282 |
|
5.31 |
|
5/25/2036 |
|
270,191 |
|
|
Master Specialized Loan Trust, Series 2007-1, Class A |
|
1,621,941 |
|
0.66 |
|
1/25/2037 |
|
490,029 |
|
|
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-H1, Class 2A1 |
|
662,951 |
|
1.79 |
|
10/25/2037 |
|
371,641 |
|
|
Merrill Lynch Mortgage Investors, Inc, Series 2005-A10, Class .A |
|
983,855 |
|
0.50 |
|
2/25/2036 |
|
634,781 |
|
|
Merrill Lynch Mortgage Investors, Inc, Series 2005-A5, Class A3 |
|
12,800,000 |
|
2.61 |
|
6/25/2035 |
|
9,111,360 |
|
|
Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A3 |
|
15,288,000 |
|
0.67 |
|
8/25/2035 |
|
7,337,888 |
|
|
Merrill Lynch Mortgage Investors, Inc., Series 2005-A9, Class 1A1 |
|
4,283,125 |
|
2.41 |
|
12/25/2035 |
|
2,931,671 |
|
|
Merrill Lynch Mortgage Investors, Inc., Series 2006-A1, Class 1A1 |
|
1,768,456 |
|
2.76 |
|
3/25/2036 |
|
924,345 |
|
|
Merrill Lynch Mortgage Investors, Inc., Series 2006-A1, Class 2A1 |
|
2,603,957 |
|
5.65 |
|
3/25/2036 |
|
1,485,542 |
|
|
Merrill Lynch Mortgage Investors, Inc., Series 2006-OPT1, Class A2C |
|
2,758,157 |
|
0.44 |
|
8/25/2037 |
|
994,037 |
|
|
MLCC Mortgage Investors, Inc., Series 2006-1, Class 1A |
|
606,830 |
|
2.02 |
|
2/25/2036 |
|
457,133 |
|
|
Morgan Stanley ABS Capital I, Series 2006-NCI, Class A4 |
|
31,227,439 |
|
0.59 |
|
12/25/2035 |
|
20,189,507 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 2A2 |
|
14,037,579 |
|
2.77 |
|
8/25/2034 |
|
10,408,963 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2005-11AR, Class A2 |
|
30,197,762 |
|
0.56 |
|
1/25/2036 |
|
14,656,424 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 2A1 |
|
1,037,373 |
|
2.45 |
|
7/25/2035 |
|
638,430 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 3A |
|
31,813,918 |
|
2.54 |
|
7/25/2035 |
|
18,606,688 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2005-5AR, Class 4A1 |
|
1,968,587 |
|
5.29 |
|
9/25/2035 |
|
1,279,977 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2006-1AR, Class 1A1 |
|
44,516,442 |
|
0.57 |
|
2/25/2036 |
|
23,308,585 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2006-1AR, Class 1AX |
|
138,447,830 |
|
3.75 |
|
2/25/2036 |
|
12,690,543 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 1A3 |
|
5,153,230 |
|
0.55 |
|
3/25/2036 |
|
2,816,694 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2006-9AR, Class A2 |
|
2,521,900 |
|
0.44 |
|
8/25/2036 |
|
827,123 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2007-15AR, Class 4A1 |
|
16,476,731 |
|
5.21 |
|
11/25/2037 |
|
9,614,469 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2007-3XS, Class 1A3A |
|
22,034,762 |
|
5.75 |
|
1/25/2047 |
|
15,535,322 |
|
|
Nomura Asset Acceptance Corp., Series 2004-R1, Class A1 |
|
263,731 |
|
6.50 |
* |
3/25/2034 |
|
266,978 |
|
|
Nomura Asset Acceptance Corp., Series 2004-R2, Class A1 |
|
380,196 |
|
6.50 |
* |
10/25/2034 |
|
382,717 |
|
|
Nomura Asset Acceptance Corp., Series 2005-AP3, Class AS |
|
2,985,256 |
|
5.19 |
* |
8/25/2035 |
|
2,025,998 |
|
|
Nomura Asset Acceptance Corp., Series 2006-API, Class A2 |
|
2,590,258 |
|
5.52 |
|
1/25/2036 |
|
1,548,267 |
|
|
Opteum Mortgage Acceptance Corp., Series 2005-4, Class 1A1C |
|
3,100,000 |
|
0.70 |
|
11/25/2035 |
|
1,568,578 |
|
|
Opteum Mortgage Acceptance Corp., Series 2005-5, Class 1A1D |
|
10,000,000 |
|
0.67 |
|
12/25/2035 |
|
5,424,110 |
|
|
Opteum Mortgage Acceptance Corp., Series 2005-5, Class 1APT |
|
10,336,348 |
|
0.57 |
|
12/25/2035 |
|
6,453,851 |
|
|
Option One Mortgage Loan Trust, Series 2002-1, Class A |
|
2,972,817 |
|
0.87 |
|
2/25/2032 |
|
2,242,447 |
|
|
PHI -I Alternative Mortgage Trust, Series 2007-2, Class 2A3 |
|
9,583,400 |
|
1.19 |
|
5/25/2037 |
|
5,512,113 |
|
|
Prime Mortgage Trust, Series 2006-CL1, Class A1 |
|
11,544,273 |
|
0.79 |
|
2/25/2035 |
|
8,804,494 |
|
|
RAAC Series, Series 2006-RP2, Class A |
|
883,795 |
|
0.54 |
|
2/25/2037 |
|
634,488 |
|
|
RAAC Series, Series 2006-RM, Class A |
|
7,288,347 |
|
0.56 |
|
5/25/2036 |
|
4,370,253 |
|
|
RAAC Series, Series 2006-RP4, Class A |
|
1,715,391 |
|
0.58 |
|
1/25/2046 |
|
1,224,149 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
|
|
RAAC Series, Series 2007-RP1, Class A |
|
27,382,697 |
|
0.58 |
|
5/25/2046 |
|
16,968,127 |
|
|
RAAC Series, Series 2007-RP2, Class A |
|
910,639 |
|
0.64 |
|
2/25/2046 |
|
524,074 |
|
|
RAAC Series, Series 2007-RP3, Class A |
|
6,269,402 |
|
0.67 |
|
10/25/2046 |
|
3,159,904 |
|
|
RAAC Series, Series 2007-SP1, Class. A3 |
|
33,211,000 |
|
0.77 |
|
3/25/2037 |
|
20,505,400 |
|
|
Renaissance Home Equity Loan Trust, Series 2006-2, Class AV3 |
|
1,600,000 |
|
0.53 |
|
8/25/2036 |
|
718,691 |
|
|
Residential. Accredit Loans, Inc., Series 2005-QA10, Class A41 |
|
9,263,173 |
|
5.68 |
|
9/25/2035 |
|
5,654,148 |
|
|
Residential Accredit Loans, Inc., Series 2005-QA3, Class NB2 |
|
2,074,667 |
|
2.99 |
|
3/25/2035 |
|
1,304,325 |
|
|
Residential Accredit Loans, Inc., Series 2005-QA4, Class A41 |
|
20,580,778 |
|
3.00 |
|
4/25/2035 |
|
16,918,943 |
|
|
Residential Accredit Loans, Inc., Series 2005-QA7, Class A22. |
|
1,476,396 |
|
3.23 |
|
7/25/2035 |
|
1,070,425 |
|
|
Residential Accredit Loans, Inc., Series 2006-QA1, Class A1l |
|
11,121,611 |
|
3.40 |
|
1/25/2036 |
|
5,380,936 |
|
|
Residential Accredit Loans, Inc., Series 2006.-QA1, Class A21 |
|
7,731,293 |
|
3.82 |
|
1/25/2036 |
|
3,871,754 |
|
|
Residential Accredit Loans, Inc., Series 2006-QA10, Class A1 |
|
14,018,635 |
|
0.48 |
|
12/25/2036 |
|
6,110,737 |
|
|
Residential Accredit Loans, Inc., Series 2006-QA4, Class A |
|
7,419,864 |
|
0.47 |
|
5/25/2036 |
|
3,683,280 |
|
|
Residential Accredit Loans, Inc., Series 2006-QA6, Class A1 |
|
16,963,087 |
|
0.48 |
|
7/25/2036 |
|
7,080,986 |
|
|
Residential Accredit Loans, Inc., Series 2006-Q0E Class A2 |
|
4,913,039 |
|
0.56 |
|
2/25/2046 |
|
1,544,940 |
|
|
Residential Accredit Loans, Inc., Series 2006-Q54, Class A6 |
|
3,181,492 |
|
5.21 |
|
4/25/2036 |
|
468,787 |
|
|
Residential Accredit Loans, Inc„ Series 2007-QA1, Class A1 |
|
26,651,097 |
|
0.43 |
|
1/25/2037 |
|
11,800,413 |
|
|
Residential Accredit Loans, Inc., Series 2007-QA2, Class A1 |
|
12,367,920 |
|
0.42 |
|
2/25/2037 |
|
6,100,885 |
|
|
Residential Accredit Loans, Inc., Series 2007-QA2, Class A3 |
|
413,140 |
|
0.44 |
|
3/25/2037 |
|
167,079 |
|
|
Residential Accredit Loans, Inc., Series 2007-QO4, Class A1A |
|
844,507 |
|
0.48 |
|
5/25/2047 |
|
453,704 |
|
|
Residential Asset Mortgage Products, Inc., Series 2004-SL2, Class A4 |
|
1,038,014 |
|
8.50 |
* |
10/25/2031 |
|
1,105,901 |
|
|
Residential Asset Mortgage Products, Inc., Series 2004-SL3, Class A3 |
|
771,366 |
|
7.50 |
* |
12/25/2031 |
|
778,634 |
|
|
Residential Asset Mortgage Products, Inc., Series 2004-SL3, Class A4 |
|
1,968,489 |
|
8.50 |
* |
12/25/2031 |
|
2,032,689 |
|
|
Residential Asset Mortgage Products, Inc., Series 2004-SL4, Class A5 |
|
834,611 |
|
7.50 |
* |
7/25/2032 |
|
764,135 |
|
|
Residential Asset Mortgage Products, Inc., Series 2005-SL1, Class A6 |
|
598,683 |
|
7.50 |
* |
5/25/2032 |
|
590,188 |
|
|
Residential Asset Mortgage Products, Inc., Series 2005-SLI, Class A7 |
|
9,073,863 |
|
8.00 |
* |
5/25/2032 |
|
8,517,581 |
|
|
Residential Asset Mortgage Products, Inc., Series 2006-RS4, Class A4 |
|
34,312,810 |
|
0.57 |
|
7/25/2036 |
|
8,396,688 |
|
|
Residential Asset Mortgage Products, Inc., Series 2007-R51, Class A4 |
|
17,000,000 |
|
0.57 |
|
2/25/2037 |
|
1,551,913 |
|
|
Residential Asset Securitization Trust, Series 2005-A13, Class 1A3 |
|
13,320,574 |
|
0.76 |
|
10/25/2035 |
|
8,329,195 |
|
|
Residential Asset Securitization Trust, Series 2005-A13, Class 1A4 |
|
13,320,574 |
|
4.74 |
|
10/25/2035 |
|
1,555,130 |
|
|
Residential Asset Securitization Trust, Series 2005-A5, Class A1 |
|
7,766,827 |
|
0.59 |
|
5/25/2035 |
|
6,064,883 |
|
|
Residential Asset Securitization Trust, Series 2005-A5, Class A2 |
|
25,532,649 |
|
4.91 |
|
5/25/2035 |
|
2,322,475 |
|
|
Residential Asset Securitization Trust, Series 2006-A1, Class 1A6 |
|
5,622,780 |
|
0.79 |
|
4/25/2036 |
|
2,728,769 |
|
|
Residential Asset Securitization Trust, Series 2006-A1, Class 1A7 |
|
5,622,780 |
|
5.21 |
|
4/25/2036 |
|
937,037 |
|
|
Residential Asset Securitization Trust, Series 2006-A7CB, Class 1A1 |
|
4,239,142 |
|
0.79 |
|
7/25/2036 |
|
1,628,453 |
|
|
Residential Asset Securitization Trust, Series 2007-A2, Class 1A1 |
|
6,326,997 |
|
6.00 |
* |
4/25/2037 |
|
4,512,022 |
|
|
Residential Asset Securitization Trust, Series 2007-A8, Class 1A3 |
|
10,711,403 |
|
6.00 |
* |
8/25/2037 |
|
7,283,486 |
|
|
Residential Funding Mortgage Securities I, Series 2005-SA3, Class 1A |
|
2,552,739 |
|
2.90 |
|
8/25/2035 |
|
1,591,559 |
|
|
Residential Funding Mortgage Securities I, Series 2005-SA5, Class 1A |
|
23,105,618 |
|
3.03 |
|
11/25/2035 |
|
12,559,821 |
|
|
Residential Funding Mortgage Securities I, Series 2005-SA5, Class 3A |
|
2,804,525 |
|
5.34 |
|
11/25/2035 |
|
1,986,109 |
|
|
Residential Funding Mortgage Securities I, Series 2006-SA2, Class 4A1 |
|
9,354,323 |
|
5.90 |
|
8/25/2036 |
|
7,995,215 |
|
|
Residential Funding Mortgage Securities I, Series 2007-53, Class 2A1 |
|
3,253,900 |
|
5.50 |
* |
3/25/2022 |
|
3,136,041 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A |
|
590,180 |
|
2.76 |
|
9/25/2034 |
|
492,644 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 1A2 |
|
5,822,464 |
|
2.59 |
|
11/25/2034 |
|
4,107,090 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 1A2 |
|
2,067,092 |
|
2.67 |
|
12/25/2034 |
|
1,426,705 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 5A |
|
1,265,617 |
|
5.50 |
* |
12/25/2034 |
|
1,139,797 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 1A1 |
|
2,505,134 |
|
2.57 |
|
1/25/2035 |
|
1,642,346 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 3A |
|
775,032 |
|
2.53 |
|
7/25/2034 |
|
666,400 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-1, Class 1A1 |
|
9,503,078 |
|
2.57 |
|
2/25/2035 |
|
6,412,791 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-11, Class 3A |
|
3,451,963 |
|
2.55 |
|
5/25/2035 |
|
2,556,835 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 3A1 |
|
8,356,980 |
|
2.50 |
|
6/25/2035 |
|
6,116,825 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1 |
|
3,885,403 |
|
2.50 |
|
7/25/2035 |
|
2,426,116 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 2A1 |
|
360,256 |
|
5.11 |
|
7/25/2035 |
|
275,585 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 2A1 |
|
978,840 |
|
0.59 |
|
10/25/2035 |
|
637,622 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-20, Class 1A1 |
|
2,301,941 |
|
5.39 |
|
10/25/2035 |
|
1,243,967 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-20, Class 4A1 |
|
791,937 |
|
5.53 |
|
10/25/2035 |
|
595,769 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22, Class 1A4 |
|
3,386,819 |
|
2.47 |
|
12/25/2035 |
|
1,149,771 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-4, Class 1A1 |
|
23,590,804 |
|
2.53 |
|
3/25/2035 |
|
14,581,075 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-4, Class 3A1 |
|
2,211,356 |
|
2.51 |
|
3/25/2035 |
|
1,764,355 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-4, Class 5A |
|
13,056,222 |
|
5.19 |
|
3/25/2035 |
|
11,001,734 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-7, Class 1A3 |
|
2,135,148 |
|
2.51 |
|
4/25/2035 |
|
1,462,081 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1, Class 5A2 |
|
35,530,000 |
|
2.66 |
|
2/25/2036 |
|
21,547,096 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1, Class 7A4 |
|
12,512,750 |
|
5.48 |
|
2/25/2036 |
|
6,093,034 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 3A2 |
|
6,436,374 |
|
5.33 |
|
4/25/2036 |
|
1,982,686 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-4, Class 4A1 |
|
6,642,996 |
|
5.41 |
|
5/25/2036 |
|
4,654,973 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-4, Class 5A1 |
|
6,144,575 |
|
5.48 |
|
5/25/2036 |
|
4,422,761 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-4, Class 6A |
|
10,200,252 |
|
5.53 |
|
5/25/2036 |
|
7,257,072 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-8, Class 3A5 |
|
23,940,000 |
|
5.12 |
|
9/25/2036 |
|
13,255,267 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-1, Class 2A3 |
|
17,198,165 |
|
5.37 |
|
2/25/2037 |
|
7,743,663 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 4A2 |
|
12,318,000 |
|
5.36 |
|
4/25/2047 |
|
5,764,294 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-5, Class 2A2 |
|
23,700,000 |
|
5.17 |
|
6/25/2037 |
|
8,985,713 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-7, Class 1A1 |
|
8,186,464 |
|
0.59 |
|
8/25/2037 |
|
4,362,477 |
|
|
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 1A1 |
|
17,531,104 |
|
2.51 |
|
12/27/2035 |
|
8,042,113 |
|
|
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1 |
|
18,948,986 |
|
2.36 |
|
3/25/2046 |
|
10,752,867 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
|
|
Structured Asset Securities Corp., Series 2003-34A, Class 1A |
|
3,024,939 |
|
3.09 |
|
11/25/2033 |
|
2,422,789 |
|
|
Structured Asset Securities Corp., Series 2005-15, Class 2A7 |
|
7,000,000 |
|
5.50 |
* |
8/25/2035 |
|
6,102,299 |
|
|
Structured Asset Securities Corp., Series 2005-16, Class 1A2 |
|
18,500,000 |
|
5.50 |
* |
9/25/2035 |
|
15,752,140 |
|
|
Structured Asset Securities Corp., Series 2005-2XS, Class 1A5B |
|
12,117,411 |
|
4.65 |
|
2/25/2035 |
|
11,600,398 |
|
|
Structured Asset Securities Corp., Series 2005-4XS, Class 1A4B |
|
1,900,000 |
|
5.25 |
* |
3/25/2035 |
|
1,561,207 |
|
|
Structured Asset Securities Corp., Series 2005-5, Class 2A2 |
|
14,235,000 |
|
5.50 |
* |
4/25/2035 |
|
13,128,884 |
|
|
Structured Asset Securities Corp., Series 2005-RF1, Class A |
|
2,248,714 |
|
0.64 |
|
3/25/2035 |
|
1,734,638 |
|
|
Structured Asset Securities Corp., Series 2005-RF2, Class A |
|
3,169,769 |
|
0.64 |
|
4/25/2035 |
|
2,523,002 |
|
|
Structured Asset Securities Corp., Series 2005-RF3, Class 1A |
|
18,810,127 |
|
0.64 |
|
6/25/2035 |
|
14,053,065 |
|
|
Structured Asset Securities Corp., Series 2006-GEL3, Class A2 |
|
14,793,165 |
|
0.52 |
|
7/25/2036 |
|
10,696,494 |
|
|
Structured Asset Securities Corp., Series 2006-RF3, Class 1A1 |
|
1,261,187 |
|
6.00 |
* |
10/25/2036 |
|
1,251,066 |
|
|
SunTrust Alternative Loan Trust, Series 2005-1F, Class 1A1 |
|
23,174,460 |
|
0.94 |
|
12/25/2035 |
|
14,341,770 |
|
|
SunTrust Alternative Loan Trust, Series 2005-1F, Class 1A6 |
|
14,198,947 |
|
5.75 |
* |
12/25/2035 |
|
8,892,858 |
|
|
Thornburg Mortgage Securities Trust, Series 2007-4, Class 2A1 |
|
6,054,829 |
|
6.04 |
|
9/25/2037 |
|
5,374,981 |
|
|
Thornburg Mortgage Securities Trust, Series 2007-4, Class 3A1 |
|
2,514,392 |
|
6.05 |
|
9/25/2037 |
|
2,445,267 |
|
|
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A |
|
1,583,676 |
|
0.55 |
|
3/25/2036 |
|
1,088,424 |
|
|
Wachovia Mortgage Loan Trust LLC, Series 2005-5, Class 2A2 |
|
2,303,419 |
|
2.68 |
|
10/20/2035 |
|
2,143,663 |
|
|
Wachovia Mortgage Loan Trust LLC, Series 2005-B, Class 2A3 |
|
12,566,000 |
|
2.68 |
|
10/20/2035 |
|
9,165,917 |
|
|
Wachovia Mortgage Loan Trust LLC, Series 2005-B, Class 2A4 |
|
4,000,000 |
|
2.68 |
|
10/20/2035 |
|
2,906,300 |
|
|
Wachovia Mortgage Loan Trust LLC, Series 2006-A, Class 2A1 |
|
25,106,894 |
|
2.79 |
|
5/20/2036 |
|
16,070,898 |
|
|
Wachovia Mortgage Loan Trust LLC, Series 2006-ALT1, Class A1 |
|
7,109,449 |
|
0.37 |
|
1/25/2037 |
|
3,272,614 |
|
|
Wachovia Mortgage Loan Trust LLC, Series 2006-ALTI, Class A2 |
|
16,628,453 |
|
0.47 |
|
1/25/2037 |
|
7,721,356 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2005-10, Class 2A3 |
|
19,493,773 |
|
1.19 |
|
11/25/2035 |
|
10,879,455 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2005-7, Class 1A6 |
|
1,111,755 |
|
46.82 |
|
9/25/2035 |
|
1,994,463 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class 5A4 |
|
2,227,047 |
|
33.78 |
|
11/25/2035 |
|
3,031,843 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-5, Class 1A1 |
|
2,051,286 |
|
0.89 |
|
7/25/2036 |
|
902,828 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-AR1, Class A1B |
|
2,476,199 |
|
0.61 |
|
2/25/2036 |
|
271,151 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-AR10, Class A1 |
|
18,293,854 |
|
0.39 |
|
12/25/2036 |
|
7,772 656 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-AR10, Class A3A |
|
15,623,010 |
|
0.52 |
|
12/25/2036 |
|
7,499,076 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-AR5, Class 4A |
|
1,487,314 |
|
1.20 |
|
6/25/2046 |
|
514,530 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2007-3, Class A9 |
|
34,216,833 |
|
6.37 |
|
4/25/2037 |
|
7,781,130 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2002-AR17, Class 1A |
|
1,160,257 |
|
1.41 |
|
11/25/2042 |
|
901,347 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2004-AR10, Class A1A |
|
3,586,671 |
|
0.69 |
|
7/25/2044 |
|
2,426,239 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2004-AR10, Class A3 |
|
4,731,373 |
|
0.80 |
|
7/25/2044 |
|
3,225,874 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2004-AR12, Class A2B |
|
2,350,515 |
|
0.71 |
|
10/25/2044 |
|
1,236,820 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2004-AR13, Class A1A |
|
858,556 |
|
0.61 |
|
11/25/2034 |
|
596,036 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2005 AR10, Class 1A3 |
|
840,000 |
|
2.50 |
|
9/25/2035 |
|
548,129 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A |
|
1,052,191 |
|
0.61 |
|
8/25/2045 |
|
766,917 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1C3 |
|
11,523,997 |
|
0.80 |
|
8/25/2045 |
|
5,938,558 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1C3 |
|
26,863,029 |
|
0.78 |
|
10/25/2045 |
|
13,262,466 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR19, Class A1A2 |
|
683,646 |
|
0.58 |
|
12/25/2045 |
|
471,170 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR19, Class A1C3 |
|
1,904,577 |
|
0.79 |
|
12/25/2045 |
|
971,028 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR5, Class A5 |
|
8,073,889 |
|
2.57 |
|
5/25/2035 |
|
7,004,486 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR5, Class A6 |
|
4,550,000 |
|
2.57 |
|
5/25/2035 |
|
3,345,720 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR7, Class A4 |
|
11,625,803 |
|
2.35 |
|
8/25/2035 |
|
8,503,892 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR8, Class 1A1A |
|
554,485 |
|
0.56 |
|
7/25/2045 |
|
419,318 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR10, Class 1A1 |
|
4,475,707 |
|
5.84 |
|
9/25/2036 |
|
3,003,517 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR10, Class 1A2 |
|
534,626 |
|
5.84 |
|
9/25/2036 |
|
358,772 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR11, Class 1A |
|
3,988,860 |
|
1.17 |
|
9/25/2046 |
|
2,263,399 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 2A3 |
|
1,191,238 |
|
5.68 |
|
10/25/2036 |
|
863,342 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR13, Class 1A |
|
529,379 |
|
1.09 |
|
10/25/2046 |
|
266,140 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR14, Class 1A3 |
|
23,875,000 |
|
2.31 |
|
11/25/2036 |
|
15,189,872 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-ARI4, Class 1A4 |
|
29,098,745 |
|
2.31 |
|
11/25/2036 |
|
19,198,013 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR14, Class 2A3 |
|
3,220,000 |
|
5.32 |
|
11/25/2036 |
|
2,174,260 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 1A1 |
|
1,656,961 |
|
2.39 |
|
12/25/2036 |
|
1,067,290 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 2A2 |
|
9,559,459 |
|
5.34 |
|
12/25/2036 |
|
6,868,901 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR18, Class 2A3 |
|
11,636,709 |
|
5.20 |
|
1/25/2037 |
|
8,586,355 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1B |
|
17,526,476 |
|
1.21 |
|
2/25/2046 |
|
8,634,839 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1B |
|
22,544,578 |
|
1.15 |
|
5/25/2046 |
|
10,788,009 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR5, Class A12A |
|
1,024,907 |
|
1.19 |
|
6/25/2046 |
|
642,448 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR5, Class A1A |
|
28,779,154 |
|
1.20 |
|
6/25/2046 |
|
16,034,392 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 1A |
|
15,082,100 |
|
1.19 |
|
7/25/2046 |
|
8,094,277 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A |
|
2,830,290 |
|
1.19 |
|
7/25/2046 |
|
1,625,322 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 1A3 |
|
3,996,346 |
|
2.55 |
|
8/25/2046 |
|
2,643,559 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 3A2 |
|
4,015,000 |
|
5.69 |
|
8/25/2036 |
|
3,136,466 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR9, Class 1A |
|
6,612,298 |
|
1.21 |
|
8/25/2046 |
|
3,684,002 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 1A1 |
|
4,278,637 |
|
5.06 |
|
2/25/2037 |
|
2,660,007 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 4A1 |
|
3,488,145 |
|
2.61 |
|
2/25/2037 |
|
2,305,273 |
|
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY2, Class 1A1 |
|
9,739,238 |
|
2.56 |
|
12/25/2036 |
|
6,254,334 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY3, Class 1A1 |
|
3,167,325 |
|
5.09 |
|
3/25/2037 |
|
1,826,590 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY3, Class 3A3 |
|
7,523,965 |
|
5.57 |
|
3/25/2037 |
|
5,291,063 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY3, Class 4A1 |
|
5,993,578 |
|
2.61 |
|
3/25/2037 |
|
4,484,527 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1 |
|
8,300,203 |
|
2.34 |
|
9/25/2036 |
|
5,754,107 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY5, Class 3A1 |
|
17,528,837 |
|
5.47 |
|
5/25/2037 |
|
14,564,535 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY6, Class 1A1 |
|
36,372,329 |
|
5.03 |
|
6/25/2037 |
|
24,158,100 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 1A1 |
|
3,961,257 |
|
2.61 |
|
7/25/2037 |
|
2,201,175 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 2A3 |
|
358,937 |
|
5.24 |
|
7/25/2037 |
|
196,077 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 3A1 |
|
13,660,628 |
|
5.36 |
|
7/25/2037 |
|
9,099,617 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 4A2 |
|
12,452,614 |
|
5.43 |
|
7/25/2037 |
|
9,385,523 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA1, Class A1A |
|
1,842,468 |
|
0.91 |
|
2/25/2047 |
|
910,231 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA2, Class 1A |
|
11,865,588 |
|
0.91 |
|
3/25/2047 |
|
5,871,271 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA2, Class 2A |
|
21,940,937 |
|
2.47 |
|
3/25/2047 |
|
12,416,310 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 2A |
|
40,214,417 |
|
0.98 |
|
4/25/2047 |
|
21,357,112 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA5, Class 1A |
|
41,147,334 |
|
0.96 |
|
6/25/2047 |
|
23,807,312 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA6, Class 1A |
|
47,231,689 |
|
1.02 |
|
7/25/2047 |
|
27,271,104 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA6, Class 1A1B |
|
2,004,075 |
|
1.02 |
|
7/25/2047 |
|
601,788 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA6, Class 2A |
|
1,071,661 |
|
2.47 |
|
7/25/2047 |
|
552,145 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 4A2 |
|
11,305,000 |
|
2.72 |
|
10/25/2035 |
|
9,047,719 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 5A1 |
|
13,493,964 |
|
2.73 |
|
7/25/2036 |
|
9,465,179 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 5A2 |
|
4,256,421 |
|
2.73 |
|
7/25/2036 |
|
2,985,615 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 5A4 |
|
7,170,075 |
|
2.73 |
|
7/25/2036 |
|
5,029,363 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 5A6 |
|
7,067,516 |
|
2.73 |
|
7/25/2036 |
|
4,957,425 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR11, Class A6 |
|
15,844,287 |
|
5.14 |
|
8/25/2036 |
|
12,098,064 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4, Class 2A1 |
|
654,797 |
|
5.62 |
|
4/25/2036 |
|
571,343 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR7, Class 2A5 |
|
774,416 |
|
2.75 |
|
5/25/2036 |
|
526,350 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2007-8, Class 2A6 |
|
3,757,066 |
|
6.00 |
* |
7/25/2037 |
|
3,223,266 |
| |
|
|
|
|
|
|
|
|
|
|
| |
|
Total Residential Mortgage-Backed Securities (Cost $2,666,238,337) |
|
|
|
|
|
|
|
2,393,445,394 |
| |
|
|
|
|
|
|
|
|
|
|
| |
|
Total U.S. Mortgage-Backed Securities (Cost $2,679,275,487) |
|
|
|
|
|
|
|
2,403,759,965 |
| |
|
|
|
|
|
|
|
|
|
|
| |
|
Total Investments (Cost $2,679,275,487) |
|
|
|
|
|
|
|
$ |
2,403,759,965 |
|
Percentages are based on Partners’ Capital as of December 31, 2011
* This represents fixed interest rates as of December 31, 2011. All others are variable and floating rates as of December 31, 2011.
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
| ||
|
Mortgage-Backed Securities - 174.45% |
|
|
|
|
|
|
|
|
| ||
|
Commercial Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| ||
|
United States - 0.94% |
|
|
|
|
|
|
|
|
| ||
|
Bayview Commercial Asset Trust, Series 2007-5A, Class A2 |
|
$ |
16,341,471 |
|
1.16 |
|
10/25/2037 |
|
$ |
14,257,672 |
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Total Commercial Mortgage-Backed Securities (Cost $13,848,268) |
|
|
|
|
|
|
|
14,257,672 |
| ||
|
|
|
|
|
|
|
|
|
|
| ||
|
Residential Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| ||
|
United States - 173.51% |
|
|
|
|
|
|
|
|
| ||
|
Adjustable Rate Mortgage Trust, Series 2005-10, Class 1A21 |
|
4,290,108 |
|
3.05 |
|
1/25/2036 |
|
3,016,709 |
| ||
|
Adjustable Rate Mortgage Trust, Series 2005-10, Class 3A31 |
|
21,643,000 |
|
5.29 |
|
1/25/2036 |
|
17,397,314 |
| ||
|
Adjustable Rate Mortgage Trust, Series 2005-11, Class 2A3 |
|
10,580,535 |
|
3.06 |
|
2/25/2036 |
|
4,039,458 |
| ||
|
Adjustable Rate Mortgage Trust, Series 2005-11, Class 2A42 |
|
5,249,914 |
|
3.06 |
|
2/25/2036 |
|
2,445,441 |
| ||
|
Adjustable Rate Mortgage Trust, Series 2005-12, Class 5A1 |
|
9,780,752 |
|
0.51 |
|
3/25/2036 |
|
5,458,070 |
| ||
|
Adjustable Rate Mortgage Trust, Series 2005-3, Class 3A1 |
|
4,441,047 |
|
4.84 |
|
7/25/2035 |
|
3,963,017 |
| ||
|
Adjustable Rate Mortgage Trust, Series 21105-3, Class 7A1 |
|
1,133,408 |
|
2.87 |
|
7/25/2035 |
|
960,638 |
| ||
|
Adjustable Rate Mortgage Trust, Series 2005-5, Class 1A1 |
|
5,387,450 |
|
2.80 |
|
9/25/2035 |
|
3,848,158 |
| ||
|
Adjustable Rate Mortgage Trust, Series 2007-1, Class 1A1 |
|
1,260,218 |
|
3.06 |
|
3/25/2037 |
|
661,930 |
| ||
|
American Home Mortgage Assets, Series 2005-2, Class 1A1 |
|
3,481,374 |
|
0.80 |
|
1/25/2036 |
|
1,716,579 |
| ||
|
American Home Mortgage Assets, Series 2005-2, Class 2A1A |
|
4,746,019 |
|
3.15 |
|
1/25/2036 |
|
2,412,857 |
| ||
|
American Home Mortgage Assets, Series 2006-2, Class 2A2 |
|
14,785,600 |
|
0.49 |
|
9/25/2046 |
|
2,074,331 |
| ||
|
American Home Mortgage Investment Trust, Series 2004-3, Class 3A |
|
5,478,578 |
|
2.26 |
|
10/25/2034 |
|
4,234,261 |
| ||
|
American Home Mortgage investment Trust, Series 2005-1, Class 4A1 |
|
1,302,112 |
|
2.46 |
|
6/25/2045 |
|
1,041,368 |
| ||
|
American Home Mortgage Investment Trust, Series 2005-2, Class 5A4C |
|
3,215,000 |
|
5.41 |
* |
9/25/2035 |
|
2,484,044 |
| ||
|
American Home Mortgage Investment Trust, Series 2005-SD1, Class 1A1 |
|
4,283,716 |
|
0.71 |
|
9/25/2035 |
|
2,504,911 |
| ||
|
American Home Mortgage Investment Trust, Series 2006-1, Class 12A1 |
|
8,322,205 |
|
0.46 |
|
3/25/2046 |
|
5,286,547 |
| ||
|
American Home Mortgage Investment Trust, Series 2007-A, Class 4A |
|
4,290,575 |
|
0.71 |
|
7/25/2046 |
|
1,462,065 |
| ||
|
American Home Mortgage Investment Trust, Series 2007-5D2, Class A |
|
1,368,722 |
|
0.66 |
|
1/25/2047 |
|
410,837 |
| ||
|
Banc of America Alternative Loan Trust, Series 2006-5, Class 3A1 |
|
4,287,429 |
|
6.00 |
* |
6/25/2046 |
|
4,048,992 |
| ||
|
Banc of America Funding Corp., Series 2004-C, Class 3A1 |
|
4,120,802 |
|
3.19 |
|
12/20/2034 |
|
3,444,030 |
| ||
|
Banc of America Funding Corp., Series 2005-B, Class 2A1 |
|
859,333 |
|
3.03 |
|
4/20/2035 |
|
645,041 |
| ||
|
Banc of America Funding Corp., Series 2005-F, Class 2A1 |
|
1,215,749 |
|
3.07 |
|
9/20/2035 |
|
717,121 |
| ||
|
Banc of America Funding Corp., Series 2005-F, Class 4AI |
|
1,500,446 |
|
3.14 |
|
9/20/2035 |
|
1,198,114 |
| ||
|
Banc of America Funding Corp., Series 2006-2, Class 2A2 |
|
5,000,000 |
|
6.25 |
* |
3/25/2036 |
|
4,447,970 |
| ||
|
Banc of America Funding Corp., Series 2006-2, Class 2A20 |
|
13,000,000 |
|
5.75 |
* |
3/25/2036 |
|
11,589,552 |
| ||
|
Banc of America Funding Corp., Series 2006-5, Class 4A5 |
|
6,400,000 |
|
6.00 |
* |
9/25/2036 |
|
5,509,203 |
| ||
|
Banc of America Funding Corp., Series 2006-D, Class 6A1 |
|
9,163,369 |
|
5.60 |
|
5/20/2036 |
|
6,043,874 |
| ||
|
Banc of America Funding Corp., Series 2006-F, Class 1A1 |
|
23,119,163 |
|
4.87 |
|
7/20/2036 |
|
20,244,503 |
| ||
|
Banc of America Funding Corp., Series 2007-A, Class 2A1 |
|
8,473,452 |
|
0.42 |
|
2/20/2047 |
|
6,114,553 |
| ||
|
Banc of America Funding Corp., Series 2007-C, Class 5A1 |
|
3,610,673 |
|
2.98 |
|
5/20/2036 |
|
2,795,863 |
| ||
|
Banc of America Funding Corp., Series 2007-C, Class 7A1 |
|
15,873,132 |
|
0.47 |
|
5/20/2047 |
|
11,392,671 |
| ||
|
Banc of America Mortgage Securities, Inc., Series 2005-12, Class A2 |
|
14,821,860 |
|
1.16 |
|
1/25/2036 |
|
12,180,027 |
| ||
|
Banc of America Mortgage Securities, Inc, Series 2005-C, Class 2A1 |
|
2,278,064 |
|
2.98 |
|
4/25/2035 |
|
1,941,150 |
| ||
|
Banc of America Mortgage Securities, Inc., Series 2005-E, Class 2A7 |
|
26,590,000 |
|
2.87 |
|
6/25/2035 |
|
21,528,141 |
| ||
|
Banc of America Mortgage Securities, Inc., Series 2005-H, Class 2A1 |
|
3,626,515 |
|
3.18 |
|
9/25/2035 |
|
3,088,108 |
| ||
|
Bayview Financial Acquisition Trust, Series 2006-C, Class 2A4 |
|
9,585,325 |
|
0.54 |
|
11/28/2036 |
|
5,314,200 |
| ||
|
Bayview Financial Acquisition Trust, Series 2007-A, Class 2A |
|
16,308,263 |
|
0.61 |
|
5/28/2037 |
|
9,423,208 |
| ||
|
BCAP LLC Trust„ Series 2006-AA2, Class. Al |
|
28,166,975 |
|
0.43 |
|
1/25/2037 |
|
16,036,698 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-1, Class 12A5 |
|
4,210,659 |
|
3.07 |
|
4/25/2034 |
|
3,685,796 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-12, Class 1A1 |
|
13,082,420 |
|
3.31 |
|
2/25/2035 |
|
10,720,009 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A |
|
416,865 |
|
4.84 |
|
7/25/2034 |
|
397,497 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-7, Class 2A1 |
|
7,054,946 |
|
3.19 |
|
10/25/2034 |
|
5,765,894 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-1, Class 2A1 |
|
3,343,038 |
|
3.06 |
|
3/25/2035 |
|
2,742,568 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-10, Class A3 |
|
200,000 |
|
2.87 |
|
10/25/2035 |
|
167,239 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12, Class 24A1 |
|
883,813 |
|
5.59 |
|
2/23/2036 |
|
636,149 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-4, Class 2A3 |
|
15,000,000 |
|
2.87 |
|
8/25/2035 |
|
13,172,805 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4, Class 1A1 |
|
1,943,915 |
|
2.92 |
|
10/25/2036 |
|
1,187,114 |
| ||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-2, Class 1A1 |
|
1,967,035 |
|
2.33 |
|
12/25/2046 |
|
1,374,528 |
| ||
|
Bear Stearns Alt-A Trust, Series 2004-12, Class 1A1 |
|
1,421,224 |
|
0.61 |
|
1/25/2035 |
|
1,166,198 |
| ||
|
Bear Stearns Alt-A Trust, Series 2004-12, Class 2A1 |
|
1,006,372 |
|
2.80 |
|
1/25/2035 |
|
811,743 |
| ||
|
Bear Stearns Alt-A Trust, Series 2004-12, Class 2A2 |
|
7,553,259 |
|
3.02 |
|
1/25/2035 |
|
5,879,261 |
| ||
|
Bear Stearns Alt-A Trust, Series 2005-1, Class A1 |
|
4,970,039 |
|
0.54 |
|
1/25/2035 |
|
3,995,817 |
| ||
|
Bear Stearns Alt-A Trust, Series 2005-2, Class 2A4 |
|
2,987,195 |
|
2.92 |
|
4/25/2035 |
|
2,6770 |
| ||
|
Bear Stearns Alt-A Trust, Series 2005.4, Class 24A1 |
|
15,312,963 |
|
5.25 |
|
5/25/2035 |
|
13,679,637 |
| ||
|
Bear Stearns Alt-A Trust, Series 2005-9, Class 25A1 |
|
5,547,506 |
|
5.55 |
|
11/25/2035 |
|
4,207,162 |
| ||
|
Bear Stearns Alt-A Trust, Series 2006-2, Class 23A1 |
|
16,119,848 |
|
4.89 |
|
3/25/2036 |
|
8,480,800 |
| ||
|
Bear Stearns Alt-A Trust, Series 2006-2, Class 24A1 |
|
16,930,503 |
|
5.63 |
|
3/25/2036 |
|
10,871,652 |
| ||
|
Bear Stearns Asset Backed Securities Trust, Series 2004-SDI, Class A2 |
|
8,277,882 |
|
0.71 |
|
12/25/2042 |
|
6,790,314 |
| ||
|
Bear Stearns Asset Backed Securities Trust, Series 2005-AC3, Class 1A1 |
|
11,387,104 |
|
0.76 |
|
7/25/2035 |
|
8,092,303 |
| ||
|
Bear Stearns Asset Backed Securities Trust, Series 2005-AC9, Class A3 |
|
18,442,987 |
|
0.61 |
|
12/25/2035 |
|
12,008,856 |
| ||
|
Bear Stearns Asset Backed Securities Trust, Series 2005-CL1, Class A1 |
|
1,925,821 |
|
0.76 |
|
9/25/2034 |
|
1,449,142 |
| ||
|
Bear Stearns Asset Backed Securities Trust, Series 2003-SD3, Class 1A |
|
25,216,855 |
|
0.75 |
|
7/25/2035 |
|
19,715,797 |
| ||
|
Bear Stearns Asset Backed Securities Trust, Series 2006-AC2, Class 1A1 |
|
13,935,857 |
|
0.61 |
|
3/25/2036 |
|
7,318,736 |
| ||
|
CC Mortgage Funding Corp., Series 2004-3A, Class A2 |
|
245,159 |
|
0.56 |
|
8/25/2035 |
|
164,717 |
| ||
|
CC Mortgage Funding Corp., Series 2005-1A, Class A2 |
|
371,348 |
|
0.46 |
|
1/25/2036 |
|
|
| ||
|
CC Mortgage Funding Corp., Series 2005-2A, Class A2 |
|
1,996,976 |
|
0.49 |
|
5/25/2036 |
|
1,333,261 |
| ||
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
|
|
CC Mortgage Funding Corp., Series 2005-3A, Class A2 |
|
2,849,517 |
|
0.49 |
|
7/25/2036 |
|
1,830,396 |
|
|
CC Mortgage Funding Corp., Series 2006-2A, Class A1 |
|
7,191,790 |
|
0.39 |
|
4/25/2047 |
|
3,688,878 |
|
|
CC Mortgage Funding Corp., Series 2006-2A, Class A2 |
|
17,315,108 |
|
0.44 |
|
4/25/2047 |
|
8,834,895 |
|
|
CC Mortgage Funding Corp., Series 2006-3A, Class A2 |
|
5,353,007 |
|
0.44 |
|
8/25/2047 |
|
2,489,801 |
|
|
Chase Mortgage Finance Corp., Series 2005-A2, Class 1A5 |
|
21,000,000 |
|
3.96 |
|
1/25/2036 |
|
16,628,031 |
|
|
Chase Mortgage Finance Corp., Series 2006-S3, Class 2A1 |
|
8,673,198 |
|
5.50 |
* |
11/25/2021 |
|
8,261,967 |
|
|
Chase Mortgage Finance Corp., Series 2007-S1, Class A4 |
|
2,533,815 |
|
0.86 |
|
2/25/2037 |
|
1,900,744 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2005-10, Class 1A1A |
|
4,517,820 |
|
3.08 |
|
12/25/2035 |
|
2,975,947 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2005-10, Class 1A2A |
|
8,198,249 |
|
2.92 |
|
12/25/2035 |
|
5,053,950 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2005-11, Class A3 |
|
689,127 |
|
4.90 |
|
12/25/2035 |
|
649,269 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2005-9, Class 2A2 |
|
2,132,575 |
|
5.50 |
* |
11/25/2035 |
|
2 ,066,107 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2005-HE4, Class A2D |
|
10,866,000 |
|
0.62 |
|
10/25/2035 |
|
8,581,978 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3, Class 2A2A |
|
21,236,533 |
|
2.70 |
|
6/25/2036 |
|
10,517,563 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2006-ARS, Class 2A1A |
|
14,029,136 |
|
2.92 |
|
7/25/2036 |
|
6,827,714 |
|
|
Citigroup. Mortgage Loan Trust, Inc., Series 2007-6, Class 1A1A |
|
5,516,117 |
|
3.06 |
|
3/25/2037 |
|
2,838,373 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2007-AR4, Class 2A1A |
|
1,677,119 |
|
3.40 |
|
3/25/2037 |
|
1,034,274 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2007-AR5, Class 1A2A |
|
8,638,586 |
|
5.40 |
|
4/25/2037 |
|
5,816,015 |
|
|
Citigroup Mortgage Loan Trust, Inc., Series 2007-AR8, Class 1A1A |
|
2,443,032 |
|
5.52 |
|
8/25/2047 |
|
1,868,609 |
|
|
Citigroup Mortgage Loan Trust, inc., Series 2007-SHL1, Class A |
|
3,807,362 |
|
0.66 |
|
11/25/2046 |
|
1,980,110 |
|
|
Countrywide Alternative Loan Trust, Series 2004-6CB, Class A |
|
1,176,475 |
|
0.55 |
|
5/25/2034 |
|
904,028 |
|
|
Countrywide Alternative Loan Trust, Series 2005-14, Class 3A1 |
|
6,902,212 |
|
3.34 |
|
5/25/2035 |
|
3,594,168 |
|
|
Countrywide Alternative Loan Trust, Series 2005-20CB, Class 4A1 |
|
3,517,428 |
|
5.25 |
* |
7/25/2020 |
|
3,270,670 |
|
|
Countrywide Alternative Loan Trust, Series 2005-32T1, Class A3 |
|
46,548,908 |
|
1.26 |
|
8/25/2035 |
|
31,407,945 |
|
|
Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1 |
|
1,106,504 |
|
2.98 |
|
8/25/2035 |
|
758,648 |
|
|
Countrywide Alternative Loan Trust, Series 2005-3CB, Class 1A6 |
|
37,652,111 |
|
6.89 |
|
3/25/2035 |
|
6,105,655 |
|
|
Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1 |
|
1,842,623 |
|
0.59 |
|
10/25/2035 |
|
1,118,262 |
|
|
Countrywide Alternative Loan Trust, Series 2005-62, Class 2A1 |
|
7,171,127 |
|
1.33 |
|
12/25/2035 |
|
4,581,899 |
|
|
Countrywide Alternative Loan Trust, Series 2005-7CB, Class 1A3 |
|
27,690,876 |
|
6.34 |
|
4/25/2035 |
|
3,584,664 |
|
|
Countrywide Alternative Loan Trust, Series 2005-J10, Class 1A1 |
|
4,268,067 |
|
0.76 |
|
10/25/2035 |
|
3,033,439 |
|
|
Countrywide Alternative Loan Trust, Series 2005-J3, Class 3A1 |
|
7,330,157 |
|
6.50 |
* |
9/25/2034 |
|
7,128,416 |
|
|
Countrywide Alternative Loan Trust, Series 2005-J7, Class 1A1 |
|
8,704,402 |
|
0.96 |
|
7/25/2035 |
|
6,150,609 |
|
|
Countrywide Alternative Loan Trust, Series 2005-J7, Class 1A2 |
|
10,475,964 |
|
4.54 |
|
7/25/2035 |
|
1,134,950 |
|
|
Countrywide Alternative Loan Trust, Series 2005-J8, Class 2A1 |
|
1,868,552 |
|
5.00 |
* |
6/25/2020 |
|
1,674,197 |
|
|
Countrywide Alternative Loan Trust, Series 2006-26CB, Class A21 |
|
9,884,594 |
|
6.89 |
|
9/25/2036 |
|
1,784,583 |
|
|
Countrywide Alternative Loan Trust, Series 2006-2CB, Class A5 |
|
4,115,720 |
|
6.84 |
|
3/25/2036 |
|
745,987 |
|
|
Countrywide Alternative Loan Trust, Series 2006-36T2, Class 1A7 |
|
32,347,743 |
|
6.25 |
|
12/25/2036 |
|
23,966,120 |
|
|
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 1A1 |
|
12,290,064 |
|
5.41 |
|
5/25/2036 |
|
7,797,997 |
|
|
Countrywide Alternative Loan Trust, Series 2006-HY3, Class 3A1 |
|
4,911,676 |
|
6.09 |
|
4/25/2036 |
|
3,309,826 |
|
|
Countrywide Alternative Loan Trust, Series 2006-J8, Class A5 |
|
4,114,081 |
|
6.00 |
* |
2/25/2037 |
|
2,891,985 |
|
|
Countrywide Alternative Loan Trust, Series 2007-3T1, Class 2A1 |
|
21,144,575 |
|
6.00 |
* |
3/25/2027 |
|
17,781,214 |
|
|
Countrywide Alternative Loan Trust, Series 2007-J1, Class 1A2 |
|
2,500,000 |
|
5.75 |
* |
3/25/2037 |
|
1,706,835 |
|
|
Countrywide Asset-Backed Certificates, Series 2005-1, Class AF5A |
|
2,607,000 |
|
5.50 |
* |
7/25/2035 |
|
2,111,717 |
|
|
Countrywide Asset-Backed Certificates, Series 2005-4, Class AF5B |
|
2,511,000 |
|
5.15 |
* |
10/25/2035 |
|
1,946,989 |
|
|
Countrywide Asset-Backed Certificates, Series 2007-QH1, Class A1 |
|
1,531,744 |
|
0.46 |
|
2/25/2037 |
|
1,025,008 |
|
|
Countrywide Home Equity Loan Trust, Series 2007-GW, Class A |
|
4,637,102 |
|
0.81 |
|
8/15/2037 |
|
3,561,624 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-12, Class 12A1 |
|
12,042,094 |
|
2.95 |
|
8/25/2034 |
|
10,002,669 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-23, Class A |
|
3,606,088 |
|
2.52 |
|
11/25/2034 |
|
2,401,121 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-25, Class 1A2 |
|
2,591,967 |
|
0.65 |
|
2/25/2035 |
|
1,471,343 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB4, Class 2A1 |
|
5,510,114 |
|
2.83 |
|
9/20/2034 |
|
4,684,969 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB6, Class A1 |
|
688,284 |
|
3.10 |
|
11/20/2334 |
|
590,656 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB6, Class A2 |
|
15,677,826 |
|
3.10 |
|
11/20/2034 |
|
13,454,036 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-R1, Class 1AF |
|
1,259,832 |
|
0.66 |
|
11/25/2034 |
|
1,121,586 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-R2, Class 1AF1 |
|
2,492,123 |
|
0.68 |
|
11/25/2034 |
|
2,178,794 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-18, Class A7 |
|
3,718,935 |
|
18.81 |
|
10/25/2035 |
|
4,027,459 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-2, Class 2A1 |
|
875,859 |
|
0.58 |
|
3/25/2035 |
|
555,514 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-3, Class 1A2 |
|
1,229,696 |
|
0.55 |
|
4/25/2035 |
|
798,338 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-7, Class 2A1 |
|
3,502,324 |
|
0.57 |
|
3/25/2035 |
|
2,224,326 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1 |
|
1,132,049 |
|
0.56 |
|
5/25/2035 |
|
736,265 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 2AI |
|
1,296,372 |
|
0.48 |
|
5/25/2035 |
|
785,259 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HY10, Class 1A1 |
|
3,413,303 |
|
3.37 |
|
2/20/2036 |
|
1,969,691 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB3, Class 1A1 |
|
2,319,833 |
|
2.89 |
|
6/20/2035 |
|
1,640,363 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB6, Class 1A1 |
|
7,283,442 |
|
2.81 |
|
10/20/2035 |
|
4,622,342 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB9, Class 1A1 |
|
1,243,413 |
|
2.51 |
|
2/20/2036 |
|
723,920 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-J2, Class 3A10 |
|
622,176 |
|
47.74 |
|
8/25/2035 |
|
1,180,509 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-R1, Class 1AF1 |
|
7,176,025 |
|
0.62 |
|
3/25/2035 |
|
5,915,728 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-R1, Class 2A1 |
|
993,126 |
|
6.00 |
* |
3/25/2035 |
|
980,222 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-R3, Class AF |
|
24,895,093 |
|
0.66 |
|
9/25/2035 |
|
21,274,898 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-3, Class 2A1 |
|
1,626,714 |
|
0.51 |
|
3/25/2036 |
|
1,046,351 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-R2 Class AF1 |
|
562,821 |
|
0.68 |
|
7/25/2036 |
|
458,793 |
|
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-3, Class A14 |
|
2,628,047 |
|
0.66 |
|
4/25/2037 |
|
2169,734 |
|
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR1, Class 2A1 |
|
2,424,159 |
|
2.58 |
|
2/25/2034 |
|
2,367,504 |
|
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR7, Class 2A1 |
|
461,292 |
|
2.92 |
|
11/25/2034 |
|
450,196 |
|
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 12A1 |
|
2,375,476 |
|
5.25 |
* |
11/25/2020 |
|
2,325,777 |
|
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 3A3 |
|
9,534,542 |
|
5.50 |
* |
11/25/2035 |
|
7,608,879 |
|
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-7, Class 3A1 |
|
3,516,848 |
|
5.00 |
* |
8/25/2020 |
|
3,423,117 |
|
|
Credit Suisse Mortgage Capital Certificates, Series 2006-7, Class 11A4 |
|
10,682,081 |
|
7.00 |
* |
8/25/2036 |
|
8,510,767 |
|
|
Credit Suisse Mortgage Capital Certificates, Series 2006-7, Class 5A1 |
|
9,614,010 |
|
0.69 |
|
8/25/2036 |
|
4,943,476 |
|
|
Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 3A1 |
|
4,852,038 |
|
6.00 |
* |
10/25/2021 |
|
4,061,495 |
|
|
CSAB Mortgage Backed Trust, Series 2007-1, Class 1A3A |
|
4,855,984 |
|
5.86 |
|
5/25/2037 |
|
2,794,716 |
|
|
Deutsche Alt-A Securities, Inc. Alternate Loan Trust, Series 2005-AR2, Class 3A1 |
|
13,269,769 |
|
2.95 |
|
10/25/2035 |
|
8,482,408 |
|
|
Deutsche Alt-A Securities, Inc Alternate Loan Trust, Series 2006-AR1, Class 2A1 |
|
5,431,964 |
|
3.01 |
|
2/25/2036 |
|
3,421,627 |
|
|
Deutsche Alt-A Securities, Inc. Alternate Loan Trust, Series 2007-1, Class 2A1 |
|
32,048,568 |
|
0.36 |
|
8/25/2037 |
|
21,139,108 |
|
|
Downey Savings & Loan Association Mortgage Loan Trust, Series 2006-AR1, Class 2A1A |
|
17,557,462 |
|
1.27 |
|
4/19/2047 |
|
11,990,430 |
|
|
First Franklin Mortgage Loan Asset Backed Certificates, Series 2002-FF4, Class 2A2 |
|
1,144,861 |
|
1.38 |
|
2/25/2033 |
|
795,939 |
|
|
First Horizon Alternative Mortgage Securities, Series 2005-AA2, Class 1A1 |
|
1,573,038 |
|
2.62 |
|
3/25/2035 |
|
1,336,266 |
|
|
First Horizon Alternative Mortgage Securities, Series 2005-AA6, Class 3A1 |
|
13,908,857 |
|
2.38 |
|
8/25/2035 |
|
10,634,267 |
|
|
First Horizon Alternative Mortgage Securities, Series 2007-FA2, Class 1A10 |
|
11,078,434 |
|
0.51 |
|
4/25/2037 |
|
5,786,111 |
|
|
First Horizon Asset Securities, Inc., Series 2005-3, Class A5 |
|
4,763,287 |
|
14.56 |
|
6/25/2035 |
|
4,880,576 |
|
|
First Horizon Asset Securities, Inc., Series 2005-AR4, Class 2A1 |
|
11,652,729 |
|
2.88 |
|
10/25/2035 |
|
9,461,923 |
|
|
First Horizon Asset Securities, Inc., Series 2005-AR5, Class 1A1 |
|
853,573 |
|
2.80 |
|
11/25/2035 |
|
717,390 |
|
|
Greenpoint Mortgage Funding Trust, Series 2005-HE4, Class 2A1A |
|
2,054,620 |
|
0.48 |
|
7/25/2030 |
|
1,687,208 |
|
|
Greenpoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1 |
|
17,257,394 |
|
2.33 |
|
3/25/2036 |
|
11,783,072 |
|
|
Greenpoint Mortgage Funding Trust, Series 2006-AR3, Class 4A1 |
|
13,641,194 |
|
0.47 |
|
4/25/2036 |
|
8,245,174 |
|
|
Greenpoint Mortgage Funding Trust, Series 2006-AR4, Class A1A |
|
147,713 |
|
0.36 |
|
9/25/2046 |
|
145,633 |
|
|
Greenpoint Mortgage Funding Trust, Series 2006-AR5, Class A1A |
|
1,643,721 |
|
0.34 |
|
10/25/2046 |
|
1,500,905 |
|
|
Greenpoint Mortgage Funding Trust, Series 2006-AR5, Class A3A1 |
|
48,747,160 |
|
0.48 |
|
10/25/2046 |
|
12,428,868 |
|
|
Greenpoint Mortgage Funding Trust, Series 2006-AR6, Class A3A |
|
68,792,547 |
|
0.48 |
|
10/25/2046 |
|
17,626,301 |
|
|
Greenpoint Mortgage Funding Trust, Series 2007-AR1, Class 1A1A |
|
3,661,136 |
|
0.34 |
|
2/25/2047 |
|
2,765,703 |
|
|
Greenpoint Mortgage Funding Trust, Series 2007-AR2, Class 1A1 |
|
849,905 |
|
0.39 |
|
4/25/2047 |
|
689,948 |
|
|
GSAA Trust, Series 2005-MTR1, Class A5 |
|
4,566,000 |
|
0.68 |
|
10/25/2035 |
|
1,312,506 |
|
|
GSAA Trust, Series 2006-10, Class AF3 |
|
13,617,225 |
|
5.98 |
|
6/25/2036 |
|
8,722,555 |
|
|
GSAA Trust, Series 2007-6, Class A4 |
|
3,920,000 |
|
0.56 |
|
5/25/2047 |
|
2,459,028 |
|
|
GSAA Trust, Series 2007-7, Class A4 |
|
2,390,000 |
|
0.53 |
|
7/25/2037 |
|
1,558,249 |
|
|
GSAA Trust, Series 2007-8, Class A3 |
|
10,000,000 |
|
0.71 |
|
8/25/2037 |
|
5,561,250 |
|
|
GSAMP Trust, Series 2006-SEA1, Class A |
|
424,680 |
|
0.56 |
|
5/25/2036 |
|
356,606 |
|
|
GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1A3 |
|
75,525 |
|
8.00 |
* |
1/25/2035 |
|
75,933 |
|
|
GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1AF |
|
4,305,923 |
|
0.61 |
|
1/25/2035 |
|
3,656,771 |
|
|
GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF |
|
2,536,371 |
|
0.61 |
|
3/25/2035 |
|
2,131,275 |
|
|
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF |
|
13,242,962 |
|
0.61 |
|
9/25/2035 |
|
10,986,189 |
|
|
GSMPS Mortgage Loan Trust, Series 2006-RP1, Class 1A2 |
|
1,077,450 |
|
7.50 |
* |
1/25/2036 |
|
995,298 |
|
|
GSMPS Mortgage Loan Trust, Series 2006-RP1, Class 1A4 |
|
391,013 |
|
8.50 |
* |
1/25/2036 |
|
388,318 |
|
|
GSMPS Mortgage Loan Trust, Series 2006-RP2, Class 1AF1 |
|
4,452,211 |
|
0.66 |
|
4/25/2036 |
|
3,754,950 |
|
|
GSR Mortgage Loan Trust, Series 2005-6F, Class 2A1 |
|
5,254,093 |
|
0.56 |
|
7/25/2035 |
|
4,699,850 |
|
|
GSR Mortgage Loan Trust, Series 2005-8F, Class 2A1 |
|
23,980,572 |
|
5.50 |
* |
11/25/2035 |
|
21,693,952 |
|
|
GSR Mortgage Loan Trust, Series 2005-A112, Class 1A1 |
|
8,152,827 |
|
3.47 |
|
4/25/2035 |
|
6,286,034 |
|
|
GSR Mortgage Loan Trust, Series 2005-AR2, Class 1A2 |
|
2,222,245 |
|
3.47 |
|
4/25/2035 |
|
1,695,799 |
|
|
GSR Mortgage Loan Trust, Series 2005-AR2, Class 5A1 |
|
3,321,825 |
|
2.87 |
|
4/25/2035 |
|
2,946,698 |
|
|
GSR Mortgage Loan Trust, Series 2005-AR3, Class 3A1 |
|
8,358,497 |
|
2.94 |
|
5/25/2035 |
|
6,273,177 |
|
|
GSR Mortgage Loan Trust, Series 2005-AR3, Class 4A1 |
|
17,839,303 |
|
2.94 |
|
5/25/2035 |
|
12,642,072 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
|
|
GSR Mortgage Loan Trust Series 2005-AR4, Class 2A1 |
|
3,674,657 |
|
2.91 |
|
7/25/2035 |
|
2,747,879 |
|
|
GSR Mortgage Loan Trust, Series 2005-AR4, Class 3A5 |
|
2,000,000 |
|
2.89 |
|
7/25/2035 |
|
1,553,784 |
|
|
GSR Mortgage Loan Trust Series 2005-AR3, Class 1A1 |
|
1,580,429 |
|
3.04 |
|
10/25/2035 |
|
1,171,121 |
|
|
GSR Mortgage Loan Trust Series 2006-10F, Class 4A2 |
|
20,215,457 |
|
6.39 |
|
1/25/2037 |
|
4,069,743 |
|
|
Harborview Mortgage Loan Trust, Series 2004-10, Class 3A1A |
|
1,066,707 |
|
3.01 |
|
1/19/2035 |
|
828,129 |
|
|
Harborview Mortgage Loan Trust, Series 2004-11, Class 3A3 |
|
3,029,580 |
|
0.64 |
|
1/19/2035 |
|
1,652,263 |
|
|
Harborview Mortgage Loan Trust, Series 2005-15, Class 2A11 |
|
2,352,781 |
|
0.53 |
|
10/20/2045 |
|
1,487,412 |
|
|
Harborview Mortgage Loan Trust, Series 2005-4, Class 1A |
|
3,561,316 |
|
2.96 |
|
7/19/2035 |
|
2,245,068 |
|
|
Harborview Mortgage Loan Trust Series 2005-9, Class 2A1A |
|
663,602 |
|
0.60 |
|
6/20/2035 |
|
546,502 |
|
|
Harborview Mortgage Loan Trust, Series 2005-9, Class 2A1C |
|
15,352,707 |
|
0.71 |
|
6/20/2035 |
|
10,767,345 |
|
|
Harborview Mortgage Loan Trust, Series 2006-13, Class A |
|
1,740,321 |
|
0.44 |
|
11/19/2046 |
|
935,465 |
|
|
Harborview Mortgage Loan Trust, Series 2006-6, Class 1A1A |
|
18,058,512 |
|
2.94 |
|
8/19/2036 |
|
10,624,238 |
|
|
Homestar Mortgage Acceptance Corp., Series 2004-2, Class AV1 |
|
4,555,275 |
|
0.61 |
|
6/25/2034 |
|
3,690,110 |
|
|
HSBC Asset Loan Obligation, Series 2007-AR1, Class 4A1 |
|
4,114,276 |
|
5.56 |
|
1/25/2037 |
|
2,714,389 |
|
|
Impac Secured Assets Cmn Owner Trust, Series 2005-1, Class 4A |
|
5,513,935 |
|
3.27 |
|
7/25/2035 |
|
3,559,466 |
|
|
Impac Secured Assets Cmn Owner Trust, Series 2006-1, Class 1A2B |
|
9,537,335 |
|
0.46 |
|
5/25/2036 |
|
4,179,794 |
|
|
Impac Secured Assets Cmn Owner Trust, Series 2007-1, Class A2 |
|
4,560,000 |
|
0.42 |
|
3/25/2050 |
|
2,197,902 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2007-AR3, Class 1A1 |
|
18,376,550 |
|
5.67 |
|
7/25/2037 |
|
14,983,670 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2007-AR7, Class LA1 |
|
3,358,855 |
|
5.87 |
|
11/25/2037 |
|
2,699,146 |
|
|
IndyMac Index Mortgage Loan Trust; Series 2004-AR1, Class 2A1 |
|
1,081,304 |
|
0.86 |
|
4/25/2034 |
|
811,407 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 |
|
3,090,070 |
|
0.65 |
|
12/25/2034 |
|
1,955,248 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2004-AR13, Class 1A1 |
|
3,120,207 |
|
2.83 |
|
1/25/2035 |
|
2,315,531 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 3A |
|
10,749,391 |
|
2.65 |
|
8/25/2034 |
|
9,224,343 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2004-ARS, Class 2A1A |
|
5,080,430 |
|
1.12 |
|
8/25/2034 |
|
3,580,230 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2005-AR1, Class 4A1 |
|
5,821,815 |
|
2.82 |
|
3/25/2035 |
|
4,969,286 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2 |
|
8,818,411 |
|
5.05 |
|
9/25/2035 |
|
7,332,632 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2005-AR3, Class 2A1 |
|
1,934,869 |
|
2.61 |
|
4/25/2035 |
|
1,569,405 |
|
|
IndyMac Index Mortgage Loan Trust Series 2005-AR7, Class 1A1 |
|
4,941,699 |
|
2.72 |
|
6/25/2035 |
|
2,544,827 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR11, Class 1A1 |
|
13,587,560 |
|
2.88 |
|
6/25/2036 |
|
7,618,233 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR14, Class 1A3A |
|
9,803,087 |
|
0.46 |
|
11/25/2046 |
|
2,417,539 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR15, Class A1 |
|
21,377,082 |
|
0.38 |
|
7/25/2036 |
|
11,935,124 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR2 Class 1A1B |
|
18,441,122 |
|
0.47 |
|
4/25/2046 |
|
10,739,888 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR2 Class 1A2 |
|
57,097,344 |
|
0.56 |
|
4/25/2046 |
|
11,331,653 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR25, Class 4A3 |
|
12,870,000 |
|
4.75 |
|
9/25/2036 |
|
5,769,132 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 2A2 |
|
23,846,502 |
|
0.46 |
|
10/25/2036 |
|
16,750,260 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR35, Class 2A1A |
|
8,697,650 |
|
0.43 |
|
1/25/2037 |
|
4,669,160 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR4, Class A1 A |
|
8,358,106 |
|
0.47 |
|
5/25/2046 |
|
5,036,352 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 3A1 |
|
14,880,633 |
|
5.22 |
|
5/25/2036 |
|
8,487,705 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 5A1 |
|
3,665,042 |
|
4.90 |
|
5/25/2036 |
|
2,297,747 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR9, Class 3A3 |
|
4,323,536 |
|
5.33 |
|
6/25/2036 |
|
3,291,396 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2007-AR15, Class 2A1 |
|
2,733,608 |
|
5.24 |
|
8/25/2037 |
|
1,824,454 |
|
|
IndyMac Index Mortgage Loan Trust, Series 2007-AR5, Class 2A1 |
|
31,478,143 |
|
5.11 |
|
5/25/2037 |
|
17,478,648 |
|
|
JPMorgan Alternative Loan Trust, Series 2006-A4, Class A7 |
|
41,320,000 |
|
6.30 |
* |
9/25/2036 |
|
21,046,838 |
|
|
JPMorgan Alternative Loan Trust, Series 2006-53, Class A3A |
|
6,971,000 |
|
6.00 |
|
8/25/2036 |
|
6,103,341 |
|
|
JPMorgan Alternative Loan Trust, Series 2007-A1, Class 3A1 |
|
11,045,709 |
|
6.13 |
|
3/25/2037 |
|
7,037,641 |
|
|
JPMorgan Mortgage Trust, Series 2004-A3, Class SF3 |
|
848,728 |
|
4.28 |
|
6/25/2034 |
|
822,768 |
|
|
JPMorgan Mortgage Trust, Series 2005-Al, Class 3A2 |
|
2,610,986 |
|
5.01 |
|
2/25/2035 |
|
2,315,414 |
|
|
JPMorgan Mortgage Trust, Series 2005-A6, Class 2A4 |
|
4,000,000 |
|
3.15 |
|
8/25/2035 |
|
3,164,996 |
|
|
JPMorgan Mortgage Trust, Series 2005-A8, Class 2A3 |
|
6,120,000 |
|
2.99 |
|
11/25/2035 |
|
4,711,617 |
|
|
JPMorgan Mortgage Trust, Series 2005-ALT1, Class 2A1 |
|
9,717,746 |
|
2.90 |
|
10/25/2035 |
|
7,069,981 |
|
|
JPMorgan Mortgage Trust, Series 2005-S3, Class 1A1 |
|
20,730,117 |
|
6.50 |
* |
1/25/2036 |
|
14,602,854 |
|
|
JPMorgan Mortgage Trust Series 2005-S3, Class 2A2 |
|
2,722,224 |
|
5.50 |
* |
1/25/2021 |
|
2,778,220 |
|
|
JPMorgan Mortgage Trust, Series 2006-A6, Class 3A3L |
|
3,000,000 |
|
5.54 |
|
10/25/2036 |
|
2,251,524 |
|
|
JPMorgan Mortgage Trust, Series 2006-S2, Class 1A24 |
|
3,359,774 |
|
5.00 |
* |
7/25/2036 |
|
2,962,125 |
|
|
JPMorgan Mortgage Trust, Series 2006-S2, Class 2A1 |
|
4,253,594 |
|
5.00 |
* |
7/25/2036 |
|
3,951,627 |
|
|
JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2 |
|
4,807,011 |
|
5.88 |
* |
7/25/2036 |
|
4,554,576 |
|
|
JPMorgan Mortgage Trust, Series 2007-A4, Class 2A3 |
|
9,800,000 |
|
5.82 |
|
6/25/2037 |
|
7,734,405 |
|
|
JPMorgan Mortgage Trust, Series 2007-S2, Class 3A2 |
|
4,412,809 |
|
6.00 |
* |
6/25/2037 |
|
4,292,273 |
|
|
JPMorgan Mortgage Trust, Series 2007-S2, Class 3A3 |
|
1,285,340 |
|
6.50 |
* |
6/25/2037 |
|
1,254,179 |
|
|
JPMorgan Mortgage Trust, Series 2007-S3, Class 2A3 |
|
2,524,874 |
|
6.00 |
* |
8/25/2022 |
|
2,467,713 |
|
|
Lehman Mortgage Trust, Series 2006-1, Class 3A1 |
|
25,264,372 |
|
1.01 |
|
2/25/2036 |
|
21,288,998 |
|
|
Lehman Mortgage Trust, Series 2006-1, Class 3A2 |
|
25,264,372 |
|
4.49 |
|
2/25/2036 |
|
2,696,823 |
|
|
Lehman Mortgage Trust, Series 2006-3, Class 2A1 |
|
34,569,934 |
|
0.62 |
|
7/25/2036 |
|
16,525,431 |
|
|
Lehman Mortgage Trust Series 2006-3, Class 2A2 |
|
25,822,531 |
|
6.88 |
|
7/25/2036 |
|
4,537,313 |
|
|
Lehman Mortgage Trust Series 2006-7, Class 4A2 |
|
7,819,230 |
|
7.49 |
|
11/25/2036 |
|
1,711,227 |
|
|
Lehman Mortgage Trust, Series 2006-9, Class 3A2 |
|
10,807,049 |
|
6.97 |
|
1/25/2037 |
|
2,453,121 |
|
|
Lehman XS Trust, Series 2005-5N, Class 1A1 |
|
1,879,199 |
|
0.56 |
|
11/25/2035 |
|
1,378,253 |
|
|
Lehman XS Trust Series 2005-5N, Class 1A2 |
|
15,659,990 |
|
0.62 |
|
11/25/2035 |
|
6,297,336 |
|
|
Lehman XS Trust, Series 2005-5N, Class 3AIA |
|
4,087,947 |
|
0.56 |
|
11/25/2035 |
|
3,141,211 |
|
|
Lehman XS Trust, Series 2005-5N, Class 3A2 |
|
16,147,705 |
|
0.62 |
|
11/25/2035 |
|
7,269,729 |
|
|
Lehman XS Trust, Series 2005-6, Class 3A3A |
|
3,225,000 |
|
5.76 |
|
11/25/2035 |
|
1,700,807 |
|
|
Lehman XS Trust, Series 2005-7N, Class 1A2A |
|
17,447,369 |
|
0.61 |
|
12/25/2035 |
|
5,707,540 |
|
|
Lehman XS Trust, Series 2005-9N, Class 1A1 |
|
901,162 |
|
0.53 |
|
12/30/2050 |
|
558,124 |
|
|
Lehman XS Trust, Series 2006-19, Class A4 |
|
31,199,702 |
|
0.43 |
|
12/25/2036 |
|
15,545,563 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
|
|
Lehman XS Trust Series 2006-20, Class A4 |
|
28,422,875 |
|
0.43 |
|
1/25/2037 |
|
12,900,973 |
|
|
Lehman XS Trust, Series 2006-4N, Class A1D1 |
|
31,522,446 |
|
0.59 |
|
4/25/2046 |
|
5,127,882 |
|
|
Lehman XS Trust, Series 2007-1, Class WF1 |
|
5,301,628 |
|
6.13 |
|
1/25/2037 |
|
3,113,630 |
|
|
Lehman XS Trust, Series 2007-2N, Class 3A3 |
|
14,035,608 |
|
0.43 |
|
2/25/2037 |
|
3,142,334 |
|
|
Lehman XS Trust, Series 2007-9, Class 1A1 |
|
3,400,457 |
|
0.38 |
|
6/25/2037 |
|
2,146,182 |
|
|
Master Adjustable Rate Mortgages Trust, Series 2004-12, Class 2A1 |
|
753,336 |
|
2.64 |
|
11/25/2034 |
|
559,841 |
|
|
Master Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7 |
|
5,100,000 |
|
2.90 |
|
11/21/2034 |
|
4,733,310 |
|
|
Master Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1 |
|
1,373,868 |
|
3.01 |
|
4/25/2036 |
|
1,084,420 |
|
|
Master Adjustable Rate Mortgages Trust, Series 2006-0A1, Class 4A1 |
|
1,490,059 |
|
0.47 |
|
4/25/2046 |
|
876,063 |
|
|
Master Adjustable Rate Mortgages Trust, Series 2007-3, Class 22A4 |
|
4,600,000 |
|
0 56 |
|
5/25/2047 |
|
|
|
|
Master Alternative Loans Trust, Series 2006-2, Class 2A4 |
|
40,248,843 |
|
6.89 |
|
3/25/2036 |
|
9,163,829 |
|
|
Master Alternative Loans Trust, Series 2007-1, Class 1A1 |
|
16,854,651 |
|
0.86 |
|
10/25/2036 |
|
12,864,481 |
|
|
Master Reperforming Loan Trust, Series 2005-1, Class 1A1 |
|
601,523 |
|
6.00 |
* |
8/25/2034 |
|
396,043 |
|
|
Master Reperforming Loan Trust, Series 2005-2, Class 1A1F |
|
14,450,307 |
|
0.61 |
|
5/25/2035 |
|
11,795,901 |
|
|
Master Reperforming Loan Trust, Series 2006-1, Class 1A1F |
|
11,219,143 |
|
0.62 |
|
7/25/2035 |
|
9,194,368 |
|
|
Master Reperforming Loan Trust, Series 2006-2, Class 1A1 |
|
327,567 |
|
5.52 |
|
5/25/2036 |
|
301,860 |
|
|
Master Specialized Loan Trust, Series 2007-1, Class A |
|
1,725,588 |
|
0.63 |
|
1/25/2037 |
|
787,626 |
|
|
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-H1, Class 2A1 |
|
707,648 |
|
1.76 |
|
10/25/2037 |
|
480,302 |
|
|
Merrill Lynch Mortgage Investors, Inc, Series 2005-A10, Class A |
|
1,046,633 |
|
0.47 |
|
2/25/2036 |
|
802,199 |
|
|
Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3 |
|
12,800,000 |
|
2.75 |
|
6/25/2035 |
|
10,201,165 |
|
|
Merrill Lynch Mortgage Investors, Inc., Series 2005-A9, Class 1A1 |
|
4,420,880 |
|
2.56 |
|
12/25/2035 |
|
3,360,629 |
|
|
Merrill Lynch Mortgage Investors, Inc., Series 2006-Al, Class 2A1 |
|
2,969,117 |
|
5.89 |
|
3/25/2036 |
|
1,955,140 |
|
|
Merrill Lynch Mortgage Investors, Inc., Series 2006-OPT1, Class A2C |
|
2,758,157 |
|
0.41 |
|
8/25/2037 |
|
1,552,608 |
|
|
MLCC Mortgage Investors, Inc., Series 2006-1, Class 1A |
|
764,027 |
|
2.18 |
|
2/25/2036 |
|
634,098 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2004-6AR Class 2A2 |
|
11,934,784 |
|
2.93 |
|
8/25/2034 |
|
10,234,435 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2005-11AR, Class A1 |
|
4,431,186 |
|
0.54 |
|
1/25/2036 |
|
2,345,910 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 2A1 |
|
1,074,110 |
|
2.66 |
|
7/25/2035 |
|
749,202 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 3A |
|
10,522,524 |
|
2.70 |
|
7/25/2035 |
|
7,606,922 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2005-5AR, Class 4A1 |
|
2,094,066 |
|
5.42 |
|
9/25/2035 |
|
1,506,061 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2006-1AR, Class 1A1 |
|
7,866,915 |
|
0.54 |
|
2/25/2036 |
|
4,632,771 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2006-8AR, Class 4A1 |
|
2,320,107 |
|
2.35 |
|
6/25/2036 |
|
2,188,972 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2006-9AR, Class A2 |
|
2,751,948 |
|
0.41 |
|
8/25/2036 |
|
1,194,745 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2007-15AR, Class 4A1 |
|
13,612,940 |
|
5.56 |
|
11/25/2037 |
|
9,022,180 |
|
|
Morgan Stanley Mortgage Loan Trust, Series 2007-3XS, Class 1A3A |
|
25,494,135 |
|
5.75 |
|
1/25/2047 |
|
19,273,642 |
|
|
Nomura Asset Acceptance Corp., Series 2004-R1, Class A1 |
|
278,297 |
|
6.50 |
* |
3/25/2034 |
|
279,490 |
|
|
Nomura Asset Acceptance Corp., Series 2004-R2, Class A1 |
|
433,018 |
|
6.50 |
* |
10/25/2034 |
|
442,550 |
|
|
Nomura Asset Acceptance Corp., Series 2005-AP3, Class A5 |
|
3,224,208 |
|
5.19 |
* |
8/25/2035 |
|
2,103,193 |
|
|
Nomura Asset Acceptance Corp., Series 2006-AP1, Class A2 |
|
2,972,604 |
|
5.52 |
|
1/25/2036 |
|
2,160,706 |
|
|
Opteum Mortgage Acceptance Corp., Series 2005-5, Class 1A1D |
|
10,000,000 |
|
0.64 |
|
12/25/2035 |
|
5,427,070 |
|
|
Option One Mortgage Loan Trust, Series 2002-1, Class A |
|
3,264,734 |
|
0.84 |
|
2/25/2032 |
|
2,665,590 |
|
|
PHH Alternative Mortgage Trust, Series 2007-2, Class 2A3 |
|
9,773,934 |
|
1.16 |
|
5/25/2037 |
|
6,063,983 |
|
|
Prime Mortgage Trust, Series 2006-CLI, Class A1 |
|
13,275,604 |
|
0.76 |
|
2/25/2035 |
|
10,875,587 |
|
|
RAAC Series, Series 2006-RP2, Class A |
|
1,070,454 |
|
0.51 |
|
2/25/2037 |
|
770,784 |
|
|
RAAC Series, Series 2006-RP3, Class A |
|
8,251,180 |
|
0.53 |
|
5/25/2036 |
|
5,294,642 |
|
|
RAAC Series, Series 2006-RP4, Class A |
|
2,040,245 |
|
0.55 |
|
1/25/2046 |
|
1,547,747 |
|
|
RAAC Series, Series 2007-RP1, Class A |
|
31,346,756 |
|
0.55 |
|
5/25/2046 |
|
20,336,865 |
|
|
RAAC Series, Series 2007-RP2, Class A |
|
1,044,875 |
|
0.61 |
|
2/25/2046 |
|
679,998 |
|
|
RAAC Series, Series 2007-RP3, Class A |
|
7,052,335 |
|
0.64 |
|
10/25/2046 |
|
4,351,438 |
|
|
RAAC Series, Series 2007-SP1, Class A2 |
|
6,028,000 |
|
0.61 |
|
3/25/2037 |
|
4,886,044 |
|
|
RAAC Series, Series 2007-SP1, Class A3 |
|
33,211,000 |
|
0.74 |
|
3/25/2037 |
|
15,570,081 |
|
|
Renaissance Home Equity Loan Trust, Series 2006-2, Class AV3 |
|
1,600,000 |
|
0.50 |
|
8/25/2036 |
|
944,302 |
|
|
Residential Accredit Loans, Inc., Series 2005-QA3, Class NB2 |
|
2,393,264 |
|
3.26 |
|
3/25/2035 |
|
1,675,721 |
|
|
Residential Accredit Loans, Inc., Series 2005-QA4, Class A41 |
|
22,435,500 |
|
3.17 |
|
4/25/2035 |
|
19,925,595 |
|
|
Residential Accredit Loans, Inc., Series 2005-QA7, Class A22 |
|
1,551,270 |
|
3.18 |
|
7/25/2035 |
|
1,131,553 |
|
|
Residential Accredit Loans, Inc., Series 2006-QA1, Class A1l |
|
12,296411 |
|
3.73 |
|
1/25/2036 |
|
6,638,043 |
|
|
Residential Accredit Loans, Inc., Series 2006-QA1, Class A21 |
|
8,625,106 |
|
5.30 |
|
1/25/2036 |
|
4,797,448 |
|
|
Residential Accredit Loans, Inc., Series 2006-QA10, Class A1 |
|
17,024,992 |
|
0.45 |
|
12/25/2036 |
|
8,558,770 |
|
|
Residential Accredit Loans, Inc., Series 2006-QA4, Class A |
|
8,72322 |
|
0.44 |
|
5/25/2036 |
|
4,307,864 |
|
|
Residential Accredit Loans, Inc., Series 2006-QA6, Class A1 |
|
20,424,572 |
|
0 45 |
|
7/25/2036 |
|
10,093,252 |
|
|
Residential Accredit Loans, Inc., Series 2006-QO8, Class 1A1A |
|
283,338 |
|
0.35 |
|
10/25/2046 |
|
279,934 |
|
|
Residential Accredit Loans, Inc., Series 2006-QS4, Class A6 |
|
3,645,152 |
|
5.24 |
|
4/25/2036 |
|
508,875 |
|
|
Residential Accredit Loans, Inc., Series 2006-QS8, Class A2 |
|
816,042 |
|
6.00 |
* |
8/25/2036 |
|
554,348 |
|
|
Residential Accredit Loans, Inc., Series 2007-QA1, Class A1 |
|
32,952,886 |
|
0.40 |
|
1/25/2037 |
|
17,510,109 |
|
|
Residential Accredit Loans, Inc., Series 2007-QA2, Class A1 |
|
15,197,466 |
|
0.39 |
|
2/25/2037 |
|
8,535,641 |
|
|
Residential Accredit Loans, Inc., Series 2007-QA2, Class A3 |
|
495,106 |
|
0.41 |
|
2/25/2037 |
|
254,739 |
|
|
Residential Accredit Loans, Inc., Series 2007-QO4, Class A1A |
|
949,728 |
|
0.45 |
|
5/25/2047 |
|
592,324 |
|
|
Residential Asset Mortgage Products, Inc., Series 2004-SL2, Class A4 |
|
1,112,439 |
|
8.50 |
* |
10/25/2031 |
|
1,122,266 |
|
|
Residential Asset Mortgage Products, Inc., Series 2004-SL3, Class A3 |
|
830,822 |
|
7.50 |
* |
12/25/2031 |
|
834,204 |
|
|
Residential Asset Mortgage Products, Inc., Series 2004-SL3, Class A4 |
|
1,380,889 |
|
8.50 |
* |
12/25/2031 |
|
1,409,429 |
|
|
Residential Asset Mortgage Products, Inc., Series 2004-SL4, Class AS |
|
960,119 |
|
7.50 |
* |
7/25/2032 |
|
955,563 |
|
|
Residential Asset Mortgage Products, Inc., Series 2005-SL1, Class A6 |
|
704,512 |
|
7.50 |
* |
5/25/2032 |
|
689,527 |
|
|
Residential Asset Mortgage Products, Inc., Series 2005-SL1, Class A7 |
|
9,888,732 |
|
8.00 |
* |
5/25/2032 |
|
9,292,995 |
|
|
Residential Asset Mortgage Products, Inc., Series 2007-R51, Class A4 |
|
17,000,000 |
|
0.54 |
|
2/25/2037 |
|
1,902,878 |
|
|
Residential Asset Securitization Trust, Series 2005-A13, Class 1A3 |
|
15,846,116 |
|
0.73 |
|
10/25/2035 |
|
11,713,544 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
|
|
Residential Asset Securitization Trust, Series 2005-A13, Class 1A4 |
|
15,846,116 |
|
4.77 |
|
10/25/2035 |
|
2,596,400 |
|
|
Residential Asset Securitization Trust, Series 2005-A5, Class A1 |
|
11,104,342 |
|
0.56 |
|
5/25/2035 |
|
9,639,846 |
|
|
Residential Asset Securitization Trust, Series 2005-A5, Class A2 |
|
36,504,386 |
|
4.94 |
|
5/25/2035 |
|
3,159,283 |
|
|
Residential Asset Securitization Trust, Series 2006-Al, Class 1A6 |
|
6,175,797 |
|
0.76 |
|
4/25/2036 |
|
3,818,347 |
|
|
Residential Asset Securitization Trust, Series 2006-Al, Class 1A7 |
|
6,175,797 |
|
5.24 |
|
4/25/2036 |
|
812,537 |
|
|
Residential Asset Securitization Trust, Series 2006-A7CB, Class 1A1 |
|
4,813,867 |
|
0.76 |
|
7/25/2036 |
|
2,376,813 |
|
|
Residential Asset Securitization Trust, Series 2007-A2, Class 1A1 |
|
7,265,253 |
|
6.00 |
* |
4/25/2037 |
|
5,247,619 |
|
|
Residential Asset Securitization Trust, Series 2007-A8, Class 1A3 |
|
13,027,245 |
|
6.00 |
* |
8/25/2037 |
|
8,997,879 |
|
|
Residential Funding Mortgage Securities I, Series 2005-5A3, Class 1A |
|
2,662,804 |
|
3.03 |
|
8/25/2035 |
|
2,010,132 |
|
|
Residential Funding Mortgage Securities I, Series 2005-5A5, Class 1A |
|
25,591,162 |
|
3.34 |
|
11/25/2035 |
|
16,170,928 |
|
|
Residential Funding Mortgage Securities I Series 2006-SA2, Class 4A1 |
|
10,809,475 |
|
5.87 |
|
8/25/2036 |
|
9,301,521 |
|
|
Residential Funding Mortgage Securities I, Series 2007-S3, Class 2A1 |
|
5,492,698 |
|
5.50 |
* |
3/25/2022 |
|
5,144,115 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A |
|
692,000 |
|
2.99 |
|
9/25/2034 |
|
630,402 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 1A2 |
|
4,502,047 |
|
2.72 |
|
11/25/2034 |
|
3,566,044 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 1A2 |
|
2,199,763 |
|
2.75 |
|
12/25/2034 |
|
1,731,711 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 5A |
|
1,790,487 |
|
5.50 |
* |
12/25/2034 |
|
1,634,562 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 1A1 |
|
2,660,754 |
|
2.69 |
|
1/25/2035 |
|
1,902,759 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 3A |
|
824,234 |
|
2.60 |
|
7/25/2034 |
|
743,353 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-1, Class 1A1 |
|
10,326,401 |
|
2.78 |
|
2/25/2035 |
|
7,437,466 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-11, Class 3A |
|
3,702,791 |
|
2.65 |
|
5/25/2035 |
|
2,672,337 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 3A1 |
|
9,118,940 |
|
2.58 |
|
6/25/2035 |
|
7,214,960 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1 |
|
4,203,797 |
|
2.62 |
|
7/25/2035 |
|
2,913,795 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 2A1 |
|
429,388 |
|
5.21 |
|
7/25/2035 |
|
366,022 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 2A1 |
|
1,157,145 |
|
0.56 |
|
10/25/2035 |
|
853,232 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-20, Class 1A1 |
|
2,618,399 |
|
5.70 |
|
10/25/2035 |
|
1,804,815 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-20, Class 4A1 |
|
843,949 |
|
5.72 |
|
10/25/2035 |
|
665,089 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-4, Class 1A1 |
|
11,886,021 |
|
2.92 |
|
3/25/2035 |
|
7,969,993 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-4, Class 3A1 |
|
2,393,035 |
|
2.84 |
|
3/25/2035 |
|
1,914,488 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-4, Class 5A |
|
16,992,881 |
|
5.48 |
|
3/25/2035 |
|
15,694,574 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-7, Class 1A3 |
|
2,308,643 |
|
2.79 |
|
4/25/2035 |
|
1,724,732 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1, Class 5A2 |
|
35,530,000 |
|
3.31 |
|
2/25/2036 |
|
22,382,337 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1, Class 7A4 |
|
9,203,000 |
|
5.62 |
|
2/25/2036 |
|
5,397,173 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 3A2 |
|
6,863,916 |
|
5.64 |
|
4/25/2036 |
|
2,783,057 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-4, Class 4A1 |
|
7,782,655 |
|
5.57 |
|
5/25/2036 |
|
6,045,146 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-4, Class 5A1 |
|
7,287,946 |
|
5.66 |
|
5/25/2036 |
|
6,110,235 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-4, Class 6A |
|
12,718,205 |
|
5.71 |
|
5/25/2036 |
|
9,773,241 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-8, Class 3A5 |
|
23,940,000 |
|
5.31 |
|
9/25/2036 |
|
16,550,943 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 4A2 |
|
12,318,000 |
|
5.51 |
|
4/25/2047 |
|
7,347,231 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-5, Class 2A2 |
|
23,700,000 |
|
5.38 |
|
6/25/2037 |
|
13,276,622 |
|
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-7, Class 1A1 |
|
9,275,749 |
|
0.56 |
|
8/25/2037 |
|
6,043,086 |
|
|
Structured Asset Mortgage Investments, Inc, Series 2005-AR7, Class 1A1 |
|
20,559,746 |
|
2.64 |
|
12/27/2035 |
|
12,366,009 |
|
|
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1 |
|
9,405,294 |
|
2.48 |
|
3/25/2046 |
|
5,636,630 |
|
|
Structured Asset Securities Corp., Series 2003-34A, Class 1A |
|
3,035,219 |
|
3.22 |
|
11/25/2033 |
|
2,702,753 |
|
|
Structured Asset Securities Corp., Series 2005-15, Class 2A7 |
|
7,000,000 |
|
5.50 |
* |
8/25/2035 |
|
6,265,434 |
|
|
Structured Asset Securities Corp., Series 2005-16, Class 1A2 |
|
18,500,000 |
|
5.50 |
* |
9/25/2035 |
|
17,445,093 |
|
|
Structured Asset Securities Corp., Series 2005-2XS, Class 1A5B |
|
14,204,525 |
|
4.65 |
|
2/25/2035 |
|
12,564,584 |
|
|
Structured Asset Securities Corp., Series 200514XS, Class 1A4B |
|
1,900,000 |
|
5.25 |
* |
3/25/2035 |
|
1,310,614 |
|
|
Structured Asset Securities Corp., Series 2005-5, Class 2A2 |
|
14,235,000 |
|
5.50 |
* |
4/25/2035 |
|
11,652,273 |
|
|
Structured Asset Securities Corp., Series 2005-RF1, Class A |
|
1,196,668 |
|
0.61 |
|
3/25/2035 |
|
988,478 |
|
|
Structured Asset Securities Corp., Series 2005-RF2, Class A |
|
964,285 |
|
0.61 |
|
4/25/2035 |
|
820,286 |
|
|
Structured Asset Securities Corp., Series 2005-RF3, Class 1A |
|
2,755,836 |
|
0.61 |
|
6/25/2035 |
|
2,287,630 |
|
|
Structured Asset Securities Corp., Series 2006-GEL3, Class A2 |
|
15,780,000 |
|
0.49 |
|
7/25/2036 |
|
11,530,178 |
|
|
Structured Asset Securities Corp., Series 2006-RF3, Class 1A1 |
|
1,429,809 |
|
6.00 |
* |
10/25/2036 |
|
1,411,861 |
|
|
SunTrust Alternative Loan Trust, Series 2005-1F, Class 1A1 |
|
27,985,502 |
|
0.91 |
|
12/25/2035 |
|
20,446,516 |
|
|
Thornburg Mortgage Securities Trust, Series 2007-4, Class 2A1 |
|
7,812,573 |
|
6.20 |
|
9/25/2037 |
|
7,274,818 |
|
|
Thornburg Mortgage Securities Trust, Series 2007-4 Class 3A1 |
|
3,329,268 |
|
6.18 |
|
9/25/2037 |
|
3,232,339 |
|
|
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A |
|
1,850,772 |
|
0.52 |
|
3/25/2036 |
|
1,198,650 |
|
|
Wachovia Mortgage Loan Trust LLC, Series 2005-B, Class 2A2 |
|
3,714,266 |
|
3.08 |
|
10/20/2035 |
|
3,565,781 |
|
|
Wachovia Mortgage Loan Trust LLC, Series 2005-B, Class 2A3 |
|
12,566,000 |
|
3.08 |
|
10/20/2035 |
|
10,783,387 |
|
|
Wachovia Mortgage Loan Trust LLC, Series 2006-A, Class 2A1 |
|
26,731,882 |
|
3.85 |
|
5/20/2036 |
|
20,251,913 |
|
|
Wachovia Mortgage Loan Trust LLC, Series 2006-ALT1, Class A1 |
|
7,880,460 |
|
0.34 |
|
1/25/2037 |
|
4,596,176 |
|
|
Wachovia Mortgage Loan Trust LLC, Series 2006-ALT1, Class A2 |
|
18,431,788 |
|
0.44 |
|
1/25/2037 |
|
10,765,565 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2005-10, Class 2A3 |
|
19,765,799 |
|
1.16 |
|
11/25/2035 |
|
12,502,441 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2005-7, Class 1A6 |
|
1,111,755 |
|
47.18 |
|
9/25/2035 |
|
1,697,085 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class 5A4 |
|
2,311,358 |
|
34.02 |
|
11/25/2035 |
|
2,890,917 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-2, Class 1A2 |
|
18,731,700 |
|
6.00 |
* |
3/25/2036 |
|
14,359,890 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-5, Class 1A1 |
|
2,330,588 |
|
0.86 |
|
7/25/2036 |
|
1,325,004 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-AR1, Class A1B |
|
2,729,197 |
|
0.58 |
|
2/25/2036 |
|
414,199 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-AR10, Class A1 |
|
6,13E471 |
|
0.36 |
|
12/25/2036 |
|
3,561,010 |
|
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-AR10, Class A3A |
|
17,957,604 |
|
0.49 |
|
12/25/2036 |
|
11,088,318 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
|
Investments |
|
Par |
|
Interest |
|
Maturity |
|
Fair Value |
| |
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-AR5, Class 4A |
|
1,609,933 |
|
1.32 |
|
6/25/2046 |
|
737,784 |
| |
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2007-3, Class A9 |
|
36,773,374 |
|
6.40 |
|
4/25/2037 |
|
6,549,154 |
| |
|
WaMu Alternative Mortgage Pass-Through Certificates, Series 2007-HY1, Class A1 |
|
8,987,223 |
|
0.35 |
|
2/25/2037 |
|
5,022,231 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2002-AR17, Class 1A |
|
1,344,941 |
|
1.53 |
|
11/25/2042 |
|
1,189,459 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2004-AR10, Class A3 |
|
5,458,884 |
|
0.80 |
|
7/25/2044 |
|
4,285,693 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2004-AR12, Class A2B |
|
2,644,167 |
|
0.71 |
|
10/25/2044 |
|
1,646,023 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2001-AR13, Class A1A |
|
966,710 |
|
0.61 |
|
11/25/2034 |
|
850,889 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR10, Class 1A3 |
|
840,000 |
|
2.77 |
|
9/25/2035 |
|
671,325 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2005-ARI1, Class A1A |
|
1,159,278 |
|
0.58 |
|
8/25/2045 |
|
979,838 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1C3 |
|
12,696,854 |
|
0.77 |
|
8/25/2045 |
|
7,335,798 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR19, Class A1A2 |
|
756,588 |
|
0.55 |
|
12/25/2045 |
|
584,507 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR5, Class A5 |
|
8,073,889 |
|
2.70 |
|
5/25/2035 |
|
7,407,785 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR5, Class A6 |
|
4,550,000 |
|
2.70 |
|
5/25/2035 |
|
3,773,993 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR7, Class A4 |
|
13,021,717 |
|
2.79 |
|
8/25/2035 |
|
11,034,928 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2005-AR8, Class 1A1A |
|
617,644 |
|
0.53 |
|
7/25/2045 |
|
518,754 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR10, Class 1A1 |
|
5,029,358 |
|
5.85 |
|
9/25/2036 |
|
3,914,198 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR10, Class 1A2 |
|
959,964 |
|
5.85 |
|
9/25/2036 |
|
877,582 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR11, Class 1A |
|
4,346,454 |
|
1.29 |
|
9/25/2046 |
|
2,843,945 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 2A3 |
|
1,347,495 |
|
5.69 |
|
10/25/2036 |
|
1,095,241 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR13, Class 1A |
|
583,380 |
|
1.11 |
|
10/25/2046 |
|
384,582 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR14, Class 1A3 |
|
23,875,000 |
|
5.49 |
|
11/25/2036 |
|
17,510,952 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR14, Class 1A4 |
|
33,461,035 |
|
5.47 |
|
11/25/2036 |
|
25,842,694 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR14, Class 2A3 |
|
2,470,000 |
|
5.62 |
|
11/25/2036 |
|
1,808,779 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 1A1 |
|
1,888,969 |
|
5.42 |
|
12/25/2036 |
|
1,448,894 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 2A2 |
|
10,001,125 |
|
5.56 |
|
12/25/2036 |
|
8,214,354 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR18, Class 2A3 |
|
13,847,867 |
|
5.38 |
|
1/25/2037 |
|
10,694,472 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1B |
|
25,692,723 |
|
1.27 |
|
5/25/2046 |
|
16,093,767 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-A.R5, Class A12A |
|
1,118,300 |
|
1.31 |
|
6/25/2046 |
|
848,008 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR5, Class A1A |
|
31,411,432 |
|
1.32 |
|
6/25/2046 |
|
22,909,606 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 1A |
|
17,041,723 |
|
1.31 |
|
7/25/2046 |
|
10,941,400 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A |
|
3,217,899 |
|
1.31 |
|
7/25/2046 |
|
2,073,724 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 1A3 |
|
4,100,000 |
|
5.72 |
|
8/25/2046 |
|
2,990,790 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 3A2 |
|
4,015,000 |
|
5.94 |
|
8/25/2036 |
|
3,327,162 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR9, Class 1A |
|
7,377,068 |
|
1.33 |
|
8/25/2046 |
|
4,832,496 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 1A1 |
|
5,123,824 |
|
5.49 |
|
2/25/2337 |
|
3,736,436 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 4A1 |
|
3,901,615 |
|
5.00 |
|
2/25/2037 |
|
3,061,847 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY3, Class 1A1 |
|
3,662,797 |
|
5.39 |
|
3/25/2037 |
|
2,695,192 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY3, Class 3A3 |
|
8,886,133 |
|
5.74 |
|
3/25/2037 |
|
7,579,027 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY3, Class 4A1 |
|
6,074,892 |
|
4.94 |
|
3/25/2037 |
|
5,270,333 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1 |
|
3,581,494 |
|
5.36 |
|
9/25/2036 |
|
2,884,578 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY5, Class 3A1 |
|
21,016,180 |
|
5.74 |
|
5/25/2037 |
|
19,032,253 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY6, Class 1A1 |
|
41,181,787 |
|
5.41 |
|
6/25/2037 |
|
30,735,696 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 1A1 |
|
4,465,060 |
|
3.48 |
|
7/25/2037 |
|
3221,009 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 2A3 |
|
411,540 |
|
5.63 |
|
7/25/2037 |
|
265,759 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 3A1 |
|
15,687,269 |
|
5.68 |
|
7/25/2037 |
|
12,399,076 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 4A2 |
|
14,604,543 |
|
5.74 |
|
7/25/2037 |
|
12,015,158 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA1, Class A1A |
|
2,002,449 |
|
1.03 |
|
2/25/2047 |
|
1,224,193 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA2, Class 1A |
|
11,414,793 |
|
1.03 |
|
3/25/2017 |
|
7,027,221 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA2, Class 2A |
|
22,913,949 |
|
2.90 |
|
3/25/2047 |
|
13,747,888 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 2A |
|
17,801,113 |
|
1.10 |
|
4/25/2047 |
|
10,920,288 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA5, Class 1A |
|
44,872,794 |
|
1.08 |
|
6/25/2047 |
|
29,793,201 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA6, Class 1A |
|
50,720,673 |
|
1.14 |
|
7/25/2047 |
|
33,287,824 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA6, Class 1A1B |
|
2,152,599 |
|
1.14 |
|
7/25/2047 |
|
704,642 |
| |
|
WaMu Mortgage Pass-Through Certificates, Series 2007-OA6, Class 2A |
|
1,139,223 |
|
2.90 |
|
7/25/2(147 |
|
721,709 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 4A2 |
|
11,305,000 |
|
2.89 |
|
10/25/2035 |
|
9,500,247 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 5A1 |
|
10,251,619 |
|
5.40 |
|
7/25/2036 |
|
8,220,907 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 5A2 |
|
4,904,689 |
|
5.40 |
|
7/25/2036 |
|
4,125,412 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-.AR10, Class 5A4 |
|
8,262,103 |
|
5.40 |
|
7/25/2036 |
|
6,467,954 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 5A6 |
|
5,844,820 |
|
5.40 |
|
7/25/2036 |
|
4,677,388 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR11, Class A6 |
|
16,331,000 |
|
5.25 |
|
8/25/2036 |
|
14,320,670 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4, Class 2A1 |
|
801,832 |
|
5.65 |
|
4/25/2036 |
|
734,841 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR7, Class 2A5 |
|
902,580 |
|
5.51 |
|
5/25/2036 |
|
733,350 |
| |
|
Wells Fargo Mortgage Backed Securities Trust, Series 2007-8, Class 1A14 |
|
9,823,245 |
|
38.22 |
|
7/25/2037 |
|
15,074,181 |
| |
|
Wells Fargo Mortgage Backed Securities Trust; Series 2007-8, Class 2A6 |
|
3,757,066 |
|
6.00 |
* |
7/25/2037 |
|
3,231,648 |
| |
|
|
|
|
|
|
|
|
|
|
| |
|
Total Residential Mortgage-Backed Securities (Cost $2,502,250,732) |
|
|
|
|
|
|
|
2,619,661,829 |
| |
|
|
|
|
|
|
|
|
|
|
| |
|
Total U.S. Mortgage-Backed Securities |
|
|
|
|
|
|
|
2,633,919,501 |
| |
|
|
|
|
|
|
|
|
|
|
| |
|
Total Investments (Cost $2,516,099,000) |
|
|
|
|
|
|
|
$ |
2,633,919,501 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
SCHEDULES OF INVESTMENTS
DECEMBER 31, 2011
(in U.S. Dollars)
Percentages are based on Partners’ Capital as of December 31, 2010
* This represents fixed interest rates as of December 32, 2010. Alt others are variable and floating rates as of December 31, 2010.
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
STATEMENTS OF ASSETS, LIABILITIES AND PARTNERS’ CAPITAL
DECEMBER 31, 2011 AND DECEMBER 31, 2010
(in U.S. Dollars)
|
|
|
December 31, 2011 |
|
December 31, 2010 |
| ||
|
|
|
|
|
|
| ||
|
ASSETS |
|
|
|
|
| ||
|
|
|
|
|
|
| ||
|
Investments, at fair value (cost $2,679,275,487 and $2,516,099,000, respectively) |
|
$ |
2,403,759,965 |
|
$ |
2,633,919,501 |
|
|
Cash and cash equivalents |
|
82,517,999 |
|
111,679,057 |
| ||
|
Interest receivable |
|
7,913,747 |
|
8,427,671 |
| ||
|
Debt issuance costs (net of amortization of $2,913,957 and $1,538,038, respectively) |
|
4,127,757 |
|
5,503,676 |
| ||
|
|
|
|
|
|
| ||
|
Total assets |
|
$ |
2,498,319,468 |
|
$ |
2,759,529,905 |
|
|
|
|
|
|
|
| ||
|
LIABILITIES AND PARTNERS’ CAPITAL |
|
|
|
|
| ||
|
|
|
|
|
|
| ||
|
LIABILITIES |
|
|
|
|
| ||
|
|
|
|
|
|
| ||
|
Loan payable |
|
$ |
1,227,468,470 |
|
$ |
1,241,000,000 |
|
|
UST Warrant payable, at fair value |
|
7,196,675 |
|
7,182,813 |
| ||
|
Interest payable |
|
784,076 |
|
782,022 |
| ||
|
Management fees payable |
|
310,289 |
|
310,289 |
| ||
|
Professional fees payable |
|
164,273 |
|
123,800 |
| ||
|
Administration fees payable |
|
97,385 |
|
117,561 |
| ||
|
Distributions payable |
|
941 |
|
404 |
| ||
|
Other accrued expenses |
|
274,474 |
|
197,229 |
| ||
|
|
|
|
|
|
| ||
|
Total liabilities |
|
1,236,296,583 |
|
1,249,714,118 |
| ||
|
|
|
|
|
|
| ||
|
PARTNERS’ CAPITAL |
|
|
|
|
| ||
|
|
|
|
|
|
| ||
|
General Partner |
|
6,324 |
|
7,556 |
| ||
|
Limited Partners |
|
1,262,016,561 |
|
1,509,808,231 |
| ||
|
|
|
|
|
|
| ||
|
Total partners’ capital |
|
1,262,022,885 |
|
1,509,815,787 |
| ||
|
|
|
|
|
|
| ||
|
TOTAL LIABILITIES AND PARTNERS’ CAPITAL |
|
$ |
2,498,319,468 |
|
$ |
2,759,529,905 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 2011 AND DECEMBER 31, 2010
(in U.S. Dollars)
|
|
|
For the Years Ended |
| ||||
|
|
|
December 31, 2011 |
|
December 31, 2010 |
| ||
|
INVESTMENT INCOME: |
|
|
|
|
| ||
|
Interest income |
|
$ |
262,128,365 |
|
$ |
235,349,840 |
|
|
|
|
|
|
|
| ||
|
EXPENSES: |
|
|
|
|
| ||
|
Interest expense (including amortization of debt issuance costs of $1,375,919, and $1,337,870 respectively) |
|
16,756,735 |
|
13,677,383 |
| ||
|
Management fees |
|
1,241,157 |
|
1,194,010 |
| ||
|
Administration fees |
|
538,801 |
|
434,354 |
| ||
|
Professional fees |
|
194,815 |
|
126,247 |
| ||
|
Other expenses |
|
427,978 |
|
356,725 |
| ||
|
|
|
|
|
|
| ||
|
Total expenses |
|
19,159,486 |
|
15,788,719 |
| ||
|
|
|
|
|
|
| ||
|
Net investment income |
|
242,968,879 |
|
219,561,121 |
| ||
|
|
|
|
|
|
| ||
|
NET REALIZED AND CHANGE IN UNREALIZED GAIN (LOSS): |
|
|
|
|
| ||
|
Net realized gain on investments |
|
8,768,695 |
|
10,405,547 |
| ||
|
Net change in unrealized gain (loss) on investments |
|
(393,336,023 |
) |
113,772,508 |
| ||
|
Net change in unrealized loss on UST Warrant |
|
(13,862 |
) |
(141,100 |
) | ||
|
|
|
|
|
|
| ||
|
Total net realized and change in unrealized gain (loss) |
|
(384,581,190 |
) |
124,036,955 |
| ||
|
|
|
|
|
|
| ||
|
NET INCREASE (DECREASE) IN PARTNERS’ CAPITAL RESULTING FROM OPERATIONS |
|
$ |
(141,612,311 |
) |
$ |
343,598,076 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2011 AND DECEMBER 31, 2010
(in U.S. Dollars)
|
|
|
Limited Partners |
| |||||||||||||
|
|
|
General Partner |
|
US Department |
|
RLJ Western |
|
RLJ Western |
|
Total |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
PARTNERS’ CAPITAL, AT JANUARY 1, 2011 |
|
$ |
7,556 |
|
$ |
755,588,538 |
|
$ |
660,078,719 |
|
$ |
94,140,974 |
|
$ |
1,509,815,787 |
|
|
Distributions (See Note 5) |
|
(537 |
) |
(52,469,448 |
) |
(47,006,118 |
) |
(6,704,488 |
) |
(106,180,591 |
) | |||||
|
Allocation of net decrease in Partners’ Capital resulting from operations: |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net investment income |
|
1,228 |
|
121,551,207 |
|
106,260,500 |
|
15,155,944 |
|
242,968,879 |
| |||||
|
Net realized and change in unrealized loss |
|
(1,923 |
) |
(192,282,703 |
) |
(168,292,928 |
) |
(24,003,636 |
) |
(384,581,190 |
) | |||||
|
PARTNERS’ CAPITAL, AT DECEMBER 31, 2011 |
|
$ |
6,324 |
|
$ |
632,387,594 |
|
$ |
551,040,173 |
|
$ |
78,588,794 |
|
$ |
1,262,022,885 |
|
|
|
|
Limited Partners |
| |||||||||||||
|
|
|
General Partner |
|
US Department |
|
RLJ Western |
|
RLJ Western |
|
Total |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
PARTNERS’ CAPITAL, AT JANUARY 1, 2010 |
|
$ |
783 |
|
$ |
78,212,573 |
|
$ |
78,170,193 |
|
$ |
— |
|
$ |
156,383,549 |
|
|
Contributions |
|
5,448 |
|
544,798,357 |
|
533,178,700 |
|
11,619,658 |
|
1,089,602,163 |
| |||||
|
Transfer (See Note 5) |
|
— |
|
— |
|
(73,866,584 |
) |
73,866,584 |
|
— |
| |||||
|
Distributions (See Note 5) |
|
(405 |
) |
(39,381,742 |
) |
(35,885,902 |
) |
(4,499,952 |
) |
(79,768,001 |
) | |||||
|
Allocation of net. increase in Partners’ Capital resulting from operations: |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net investment income |
|
1,109 |
|
109,870,633 |
|
98,414,520 |
|
11,274,859 |
|
219,561,121 |
| |||||
|
Net realized and change in unrealized gain |
|
— |
|
— |
|
— |
|
— |
|
— |
| |||||
|
PARTNERS’ CAPITAL, AT DECEMBER 31, 2010 |
|
$ |
7,556 |
|
$ |
755588,538 |
|
$ |
660,078,719 |
|
$ |
94,140,974 |
|
$ |
1,509,815,787 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
STATEMENTS OF CASH FLOWS
FOR THE YEARS ENDED DECEMBER 31, 2011 AND DECEMBER 31, 2010
(in U.S. Dollars)
|
|
|
For the Years Ended |
| ||||
|
|
|
December 31, 2011 |
|
December 31, 2010 |
| ||
|
CASH FLOWS FROM OPERATING ACTIVITIES: |
|
|
|
|
| ||
|
Net increase (decrease) in Partners’ Capital resulting from operations |
|
$ |
(141,612,311 |
) |
$ |
343,598,076 |
|
|
|
|
|
|
|
| ||
|
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 |
|
(540,253,524 |
) |
(2,646,024,914 |
) | ||
|
Proceeds from disposition of investments |
|
523,012,976 |
|
516,534,525 |
| ||
|
Net realized gain on investments |
|
(8,768,695 |
) |
(10,405,547 |
) | ||
|
Net change in unrealized (gain) loss on investments |
|
393,336,023 |
|
(113,772,508 |
) | ||
|
Net change in unrealized loss on UST Warrant |
|
13,862 |
|
141,100 |
| ||
|
Accretion of discount, net |
|
(159,884,521 |
) |
(142,150,846 |
) | ||
|
Amortization of interest only securities |
|
22,717,277 |
|
11,787,892 |
| ||
|
Amortization of debt issuance costs |
|
1,375,919 |
|
1,337,870 |
| ||
|
(Increase) decrease in interest receivable |
|
513,924 |
|
(7,118,998 |
) | ||
|
Increase in interest payable |
|
2,054 |
|
745,981 |
| ||
|
Increase in management fees payable |
|
— |
|
152,501 |
| ||
|
Increase in professional fees payable |
|
40,473 |
|
50,250 |
| ||
|
Increase (decrease) in administration fees payable |
|
(20,176 |
) |
38,394 |
| ||
|
Decrease in payable for investments purchased |
|
— |
|
(9,114,452 |
) | ||
|
Increase in other accrued expenses |
|
77,245 |
|
165,211 |
| ||
|
|
|
|
|
|
| ||
|
Net cash provided by (used in) operating activities |
|
90,550,526 |
|
(2,054,035,465 |
) | ||
|
|
|
|
|
|
| ||
|
CASH FLOWS FROM FINANCING ACTIVITIES: |
|
|
|
|
| ||
|
Proceeds from (repayment of) loan |
|
(13,531,530 |
) |
1,091,000,000 |
| ||
|
Contributions |
|
— |
|
1,089,602,163 |
| ||
|
Distributions net of payable |
|
(106,180,054 |
) |
(79,767,597 |
) | ||
|
|
|
|
|
|
| ||
|
Net cash provided by (used in) financing activities |
|
(119,711,584 |
) |
2,100,834,566 |
| ||
|
|
|
|
|
|
| ||
|
Net change in cash and cash equivalents |
|
(29,161,058 |
) |
46,799,101 |
| ||
|
|
|
|
|
|
| ||
|
CASH AND CASH EQUIVALENTS: |
|
|
|
|
| ||
|
Beginning of year |
|
111,679,057 |
|
64,879,956 |
| ||
|
End of year |
|
$ |
82,517,999 |
|
$ |
111,679,057 |
|
|
|
|
|
|
|
| ||
|
SUPPLEMENTAL DISCLOSURE OF NON CASH TRANSACTION: |
|
|
|
|
| ||
|
Debt issuance costs associated with the UST Warrant (See Note 6) |
|
$ |
— |
|
$ |
174,795 |
|
|
Cash paid during the year for interest |
|
$ |
15,378,762 |
|
$ |
11,593,532 |
|
The accompanying notes are an integral part of these financial statements
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2011
1. ORGANIZATION
RIJ Western Asset Public/Private Master Fund, L.P. (the “Master Fund”), a Delaware limited partnership, was formed on September 25, 2009 pursuant to the Amended and Restated Limited Partnership Agreement (“Master Fund Agreement”) and commenced operations on November 5, 2009 (the “Initial Closing Date”). The general partner of the Master Fund is KJ Western Asset Management LLC, a Delaware limited liability company (the “General Partner”). The investors in the Master Fund include the General Partner, RLJ Western Asset Public/Private Collector Fund, L.P., a Delaware limited partnership (the “Collector Fund”), RI-J Western Asset Public/Private Affiliates (the “Affiliated Investors”) and the US Department of the Treasury (the “UST”), under a master-feeder structure. The investors in the Collector Fund are RI.J. Western Asset Public/Private Fund, L.P. (“Onshore Feeder”), RI4 Western Asset Public/Private Cayman Fund, L.P. (“Cayman Feeder”), and Western Asset Mortgage Defined Opportunity Fund Inc. (“DMCY’).
The Master Fund was formed in connection with the Public-Private Investment Program (“PPM”), as mandated by the United States Emergency Economic Stabilization Act of 2008, which seeks to enable credit to flow freely and improve the balance sheets of financial institutions by creating funds to purchase troubled assets from these entities. The UST will match the aggregate private investors’ capital commitments of up to a maximum amount of $1.25 billion. In addition, the UST will provide a senior secured multiple-draw term loan facility (the “UST Credit Facility”) of up to $2.5 billion. As of December 31, 2011, the percentage owned by the Collector Fund, Affiliated Investors and UST was 43.76%, 6.24%, and 50% respectively based on capital commitments. See Note 5 for further details.
The Master Fund’s investment objective is to seek to generate attractive returns through long-term opportunistic investments in commercial mortgage backed securities and non-agency residential mortgage backed securities issued prior to 2009 that were originally rated AAA or an equivalent rating by two or more nationally recognized statistical rating organizations without ratings enhancement and that are secured directly by the actual mortgage loans, leases or other assets and not other securities (collectively, “Eligible Assets”). Per the Master Fund Agreement, at least 90% of the assets underlying any Eligible Asset will be domiciled in the United States, and will be purchased solely from financial institutions from which the Secretary of the UST may purchase assets. The Master Fund will also be permitted to make temporary investments in the UST securities and certain money market mutual funds that own only instruments that are unconditionally guaranteed by the United States government. The Master Fund will not, without the written consent of the UST, invest an amount (excluding leverage) in excess of 5% of the Master Fund’s aggregate capital commitments in any particular issuance of Eligible Assets.
The Master Fund’s investment manager is Western Asset Management Company (the “Investment Manager”), a wholly-owned subsidiary of Legg Mason, Inc. The General Partner and Investment Manager will hereforth be referred to as (“Management”). The Bank of New York Mellon is the Administrator and BNY Mellon Asset Servicing is the Custodian.
The term of the Master Fund will continue until the dissolution date of November 5, 2017, which is the eighth anniversary of the Initial Closing Date, unless the Master Fund is dissolved sooner in accordance with the terms of the Master Fund Agreement. However, the General Partner with written consent of the UST, may extend the term of the Master Fund for up to two consecutive one-year periods.
2. SIGNIFICANT ACCOUNTING POLICIES
Basis of Accounting
The financial statements of the Master Fund are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), as expressed in U.S. Dollars. The Master Fund uses the accrual basis of accounting. Accordingly, income and expenses are recorded as earned and incurred, respectively.
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2011
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in partners’ capital from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.
Recently Issued Accounting Pronouncements
In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAM’ and International Financial Reporting Standards (“IFRS”).” ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAM’ and IFRS. ASU 2011-04 requires reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 requires reporting entities to make disclosures about amounts and reasons for all transfers in and out of Leven and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. Management is currently evaluating the impact of ASU 2011-04 on the Master Fund’s financial statements.
In December 2011, the FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities. ASU 2011-11 requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under IFRS. The new disclosure requirements mandate that entities disclose both gross and net information about instruments and transactions eligible for offset in the statements of assets liabilities and partners’ capital as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, ASU 2011-11 requires disclosure of collateral received and posted in connection with master netting agreements or similar arrangements. New disclosures are required for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is evaluating the impact of ASU 2011-11 on the Master Fund’s financial statements and disclosures.
Investment Valuation
The Master Fund values investments, including any short-term investments and derivatives, on the basis of current market quotations provided by a pricing service or by a broker/dealer experienced in such matters. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, market transactions in comparable investments and various relationships between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments.
If recent quotations are not readily available for any security or if Management determines, in its reasonable discretion, that available estimated quotations do not fairly represent the fair value of such security, such security is valued at its fair value employing methods determined in good faith by Management. The value assigned to these securities is based upon available information including, but not limited to, original and subsequent transaction prices, third-party transactions, and subsequent rounds of financing and may also be adjusted to reflect liquidity and/or transferability restrictions. Such values may not necessarily represent the amount which may ultimately be realized upon sale. Due to the inherent uncertainty of the valuation, the estimated fair value may differ from the value of the securities had a ready market existed, and the difference could be material.
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2011
Investment Transactions, Investment Income and Expenses
Investment transactions are recorded on their trade date. Realized gains and losses on investment transactions are reported on the basis of first-in and first-out method. Interest income and expenses are recorded on the accrual basis and include accretion of discount and amortization of premium over the life of the respective security using the effective interest method. Gains and losses realized on repayment of principal on Eligible Assets are reported as interest income in the accompanying Statements of Operations_
Mortgage-Backed Securities
Mortgage-Backed Securities (“MBS”) include CMBS and RMBS. These are securities whose payments depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) primarily on the cash flow from secured commercial or residential mortgage loans made to borrowers. Such loans are secured (on a first priority basis or second priority basis, subject to permitted liens, easements and other encumbrances) by commercial or residential real estate, the proceeds of which are used to purchase and or to construct commercial or residential real estate. The value of some mortgage-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose the Master Fund to a lower rate of return upon reinvestment of principal. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although certain mortgage-related securities are supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
Income Taxes
For Federal income tax purposes the Master Fund is treated as a partnership. The partners are required to report their respective portion of the Master Fund’s taxable income or loss in their own income tax returns and are liable for any related taxes thereon. Accordingly, no provision for Federal income taxes is made in the financial statements of the Master Fund.
The Master Fund is subject to the authoritative guidance with respect to accounting for and disclosure of uncertainty in tax positions, which requires the Master Fund to determine whether a tax position is more likely than not to be sustained upon examination. Management has analyzed the Master Fund’s tax positions for all open tax years and has concluded that as of December 31, 2011, there are no uncertain tax positions that would require financial statement recognition or disclosure. The Master Fund’s policy is to recognize interest and penalties, if any, related to uncertain tax positions as a component of income tax expense. For the year ended December 31, 2011, the Master Fund did not recognize any interest or penalties for uncertain tax provisions.
The Master Fund files U.S. Federal income tax returns as well as various states returns. With few exceptions, the Master Fund is no longer subject to Federal income tax by tax authorities for years before 2009. There are currently no examinations being conducted of the Master Fund by the Internal Revenue Service (“IRS”) or any other taxing authority.
Cash and Cash Equivalents
The Master Fund maintains cash in a bank deposit account that, at times, may exceed US. federally insured limits. The Master Fund has not experienced any losses in such accounts and does not believe it is exposed to any significant credit risk on such bank deposits.
The Master Fund considers investments in money market funds and short-term highly liquid investments with maturities of three months or less (when acquired) to be cash equivalents. Cash equivalents were carried at amortized cost. As of December 31, 2011 and December 31, 2010, the Master Fund had short-term highly liquid investments of $82,228,545 and $111,470,031 respectively
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2011
3. FAIR VALUE MEASUREMENT
The Master Fund has adopted FASB ASC 820. In accordance with ASC 820, fair value is defined as the price the Master Fund would receive to sell an asset or pay for a liability in an orderly transaction between the market participants at the reporting date. ASC 820 also establishes a three-level hierarchy for presenting valuations, based on the transparency of inputs into valuation techniques used to measure fair valuation. Inputs may be observable or unobservable, and refer broadly to the assumptions that a market participant would consider significant to value an asset or liability. The determination of “observable” requires judgment. In general, the Master Fund considers observable inputs to be data which is readily available, regularly updated, reliable, transacted at arms-length, and verifiable. Unobservable inputs may be used when observable inputs are not readily available, current or transacted at arms-length. In this situation, the Master Fund may use one or more valuation techniques ( e.g. market or income approach), using the best available information as of the reporting date, along with the Master Fund’s own assumptions of market participant behavior.
Within Level 3, the use of a market approach generally involves using inputs that are based on available market transactions or information derived from transaction in comparable securities. The income approach is generally based on expected cash flows or earnings. Under both approaches, adjustments may be applied to reflect various risks (e.g. liquidity, financial health of the investment issuer, quality of the information available for fair value measurement).
Assets and liabilities are classified into one of the following levels, based on the lowest level of input that is significant to the fair value measurement:
Level 1- quoted prices in active markets for identical investments.
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs, including the Management’s own assumptions in determining the fair value of investments. Level 3 fair value methodologies include (i) the use of proprietary models that require the use of judgment and the application of various assumptions including, but not limited to, prepayment assumptions and default rate assumptions, and (ii) the solicitation of valuations from third parties (typically, broker-dealers). The fair value of the UST warrant is developed internally using an income approach. Significant inputs used include discount rate, return on net assets and timing of capital calls. In these situations, it is possible that a different valuation model could produce materially different fair value measurements. In some cases, a fair value measurement may require the use of multiple inputs, for which the Master Fund must exercise judgment to determine relative significance for placement in the hierarchy.
The valuation levels are not necessarily an indication of the risk or liquidity associated with investing in those securities.
The following tables summarize the valuation of the Master Fund’s financial instruments by the above pricing observability levels as of December 31, 2011 and December 31, 2010 respectively.
|
|
|
Assets and Liability at Fair Value as of December 31, 2011 |
| ||||||||||
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| ||||
|
Assets |
|
|
|
|
|
|
|
|
| ||||
|
Mortgage-backed securities |
|
$ |
— |
|
$ |
2,403,759,965 |
|
$ |
— |
|
$ |
2,403,759,965 |
|
|
Cash equivalents |
|
82,228,545 |
|
— |
|
— |
|
82,228,545 |
| ||||
|
Total assets |
|
$ |
82,228,545 |
|
$ |
2,403,759,965 |
|
$ |
— |
|
$ |
2,485,988,510 |
|
|
Liability |
|
|
|
|
|
|
|
|
| ||||
|
UST Warrant payable |
|
$ |
— |
|
$ |
— |
|
$ |
7,196,675 |
|
$ |
— |
|
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2011
|
|
|
Assets and Liability at Fair Value as of December 31, 2010 |
| ||||||||||
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| ||||
|
Assets |
|
|
|
|
|
|
|
|
| ||||
|
Mortgage-backed securities |
|
$ |
— |
|
$ |
2,633,919,501 |
|
$ |
— |
|
$ |
2,633,919,501 |
|
|
Cash equivalents |
|
111,470,031 |
|
— |
|
— |
|
111,470,031 |
| ||||
|
Total assets |
|
$ |
111,470,031 |
|
$ |
2,633,919,501 |
|
$ |
— |
|
$ |
2,745,389,532 |
|
|
Liability |
|
|
|
|
|
|
|
|
| ||||
|
UST Warrant payable |
|
$ |
— |
|
$ |
— |
|
$ |
7,182,813 |
|
$ |
— |
|
Transfers in and out of Level 3 were measured using the fair values determined as of the beginning of the year. The amount of the total loss for the years ended December 31, 2011 and December 31, 2010 that are attributable to the change in unrealized loss relating to the Level 3 liability still held as of December 31, 2011 and December 31, 2010 are $13,862 and $141,000 respectively, which are reflected in net change in unrealized depreciation on UST Warrant payable on the Statements of Operations.
The following tables provide reconciliations of the liability in which unobservable inputs (Level 3) were used in determining fair value during the years ended December 31, 2011 and December 31, 2010:
|
|
|
UST Warrant |
| |
|
Balance as of January 1, 2011 |
|
$ |
7,182,813 |
|
|
Acquisitions |
|
— |
| |
|
Settlements |
|
— |
| |
|
Net unrealized appreciation |
|
13,862 |
| |
|
Transfers into Level 3 |
|
— |
| |
|
Transfers out of Level 3 |
|
— |
| |
|
Balance as of December 31, 2011 |
|
$ |
7,196,675 |
|
|
|
|
UST Warrant |
| |
|
Balance as of January 1, 2010 |
|
$ |
6,866,918 |
|
|
Acquisitions |
|
174,795 |
| |
|
Settlements |
|
— |
| |
|
Net unrealized appreciation |
|
141,100 |
| |
|
Transfers into Level 3 |
|
— |
| |
|
Transfers out of Level 3 |
|
— |
| |
|
Balance as of December 31, 2010 |
|
$ |
7,182,813 |
|
4. LOAN AGREEMENT
The Master Fund entered into a loan agreement dated November 5, 2009, as a borrower, with the UST, as the lender (“Lender”), The Bank of New York Mellon, as the Administrative and Collateral Agent (the “Loan Agreement”) under the UST Credit Facility as a result of the Master Fund’s participation in the PFIP. The loans borrowed from the UST Credit Facility are used to finance the purchase of the Eligible Assets. The loans will be due and payable on the earliest of (i) ten years from the Initial Closing Date of the Master Fund, (ii) the date of expiration, termination or dissolution of the Master Fund, and (iii) such earlier time as the obligations of the Master Fund and the Loan Agreement and the other credit documentation with respect to the UST Credit Facility have been accelerated. The Master Fund incurs interest on the aggregate principal amount of loans, as of any date of determination, at a rate per annum equal to LIBOR plus the Applicable Margin as defined in the Loan Agreement. The interest rate was 1.30% and 126% on
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2011
December 31, 2011 December 31, 2010 respectively. The non-recourse provision of the LIST loans allows the Master Fund to satisfy loan obligations with Eligible Assets, subject to certain conditions, even if the value of the Eligible Assets falls below the outstanding amount of the loan. The Master Fund could repay the UST loans prior to the maturity dates without penalty. Principal and interest due on the loans will be paid with the proceeds of principal paydowns and interest received from the Eligible Assets. Credit agreements underlying each loan contain provisions to address instances in which interest payments on Eligible Assets fall short of amounts due to the UST. The Master Fund is subject to repayment priorities as defined in the Loan Agreement and summarized below assuming the Master Fund does not default, as applicable:
(1) administrative expenses, excluding certain tax expenses of the Master Fund;
(2) interest due on permitted interest rate hedges;
(3) current period loan interest due to Lender;
(4) amounts to the interest reserve account if the total deposit in the interest reserve account is less than the required interest reserve amount;
(5) loan paydown amounts required when the fair value of Eligible Assets is less than the aggregate principal loans balance as of the date;
(6) interest due on permitted interest rate hedges if not paid in accordance with step (2) above;
(7) optional prepayments to the Lender during the investment period, which is three years (“Investment Period”) or investments in temporary assets in accordance with Section 2.06(a) of the Loan Agreement;
(8) remaining amounts to Partners after steps (1) through (7) of up to: the lesser of consolidated net interest income for the preceding twelve months or 8% on the funded capital commitments;
(9) optional prepayment up to the scheduled prepayment percentage or the outstanding loan balance; and
(10) any final prepayment to the Lender after satisfying steps (1) through (9).
The fair value of the UST loans, which qualify as financial instruments under ASC 825-10 (formerly FAS 107 Disclosures About Fair Value of Financial Instruments), approximates the carrying amounts presented in the accompanying Statements of Assets, Liabilities and Partners’ Capital as of December 31, 2011 and December 31, 2010.
As of December 31, 2011, investments and cash equivalents of $2,486,277,964, which includes $2,403,759,965 of Eligible Assets and $82,517,999 of cash equivalents, were collateralized by the Master Fund for borrowings from the UST Credit Facility.
As of December 31, 2010, investments and cash equivalents of $2,745,598,558, which includes $2,633,919,501 of Eligible Assets and $111,679,057 of cash equivalents, were collateralized by the Master Fund for borrowings from the UST Credit Facility.
The Master Fund made a Full Turn Election (“Full Turn Election”), which occurs when the Master Fund borrows from the UST up to 100% of the aggregate amounts of drawn Master Fund capital commitments. In consideration of the borrowing, the Master Fund issued a warrant to the UST (“UST Warrant”) as evidenced by the issuance of a contingent promissory note. See Note 6 for further details on the UST Warrant.
The Master Fund is subject to certain financial covenants such as the asset coverage test pursuant to the Loan Agreement. The Master Fund is required to maintain a minimum asset coverage ratio of 150% (as required for the Full Turn Election), which would require total assets (adjusted as appropriate) to be at least 150% of UST loan (including interest payable). As of December 31, 2011 and December 31, 2010, the Master Fund is in compliance with this covenant.
The Master Fund’s participation in the PPIP has certain risk factors as further described in Note 8.
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2011
5. PARTNERS’ CAPITAL
Capital Commitments and Capital Contributions - Under the terms of the Master Fund Agreement, the General Partner admitted Limited Partners (the ‘Limited Partners” and collectively with the General Partner, “Partners”) to the Master Fund on November 5, 2009, March 12, 2010 and May 5, 2010. In aggregate, a total of $1,241,162,721 in Partners’ capital commitments was accepted, including commitments of $543,113,872, $620,578,257, $77,464,386 and $6,206 from the Collector Fund, the UST, Affiliated Investors and the General Partner respectively. The General Partner and its affiliates accounted for 624% of total capital commitments. As of December 31, 2011 and December 31, 2010, the Master Fund called and received all capital commitments in cash contributions from the Partners.
On May 5, 2010, two affiliated Limited Partners transferred their interest in the Collector Fund totaling $73,886,584 directly to the Master Fund.
Capital Allocations - All income, gains, deductions, losses and credits of the Master Fund will generally be allocated among the Partners in a manner consistent with the distribution priorities described below. Accordingly, UST management fee has been allocated to UST and amortization of debt issuance costs and unrealized loss on UST warrant have been allocated to the limited partners. However the UST is entitled to a special allocation for the warrant percentage, which is described below.
Capital Distributions -Distribution of investment proceeds are initially made to the Partners in proportion to each of their respective percentage interests in such Investment. The Investment Manager has the discretion to retain capital for future investment opportunities during the Investment Period. Each Partner’s (other than the UST’s) share of each distribution of the investment proceeds are to be divided between such Partner on the one hand and the Lender on the other hand as follows:
(1) Return of Capital: First, 100% to such Partner until the cumulative distribution to such Partner of investment proceeds equals such Partner’s capital contributions;
(2) UST Warrant Proceeds Split: Thereafter, 97.5% to such Partner and 2.5% UST warrant to the Lender. Pursuant to the Master Fund Agreement, warrant percentage is contingent upon whether the borrowing is made with a Full Turn Election or Half Turn Election at the initial of dosing. The warrant percentage is 2.5% for a Full Turn Election and 1.5% for a Half Turn Election. The Master Fund has made a Full Turn Election, therefore the applicable warrant percentage is 2.5%. An escrow account was established for the deposit of a special allocation representing the warrant amount. The warrant payment is subject to clawback from the UST if it exceeds 2.5% of investment proceeds exceeding cumulative capital contributions to the Master Fund.
(3) Distributions of Temporary Investment Income: Each distribution of temporary investment income shall be divided among all Partners pro rata in proportion to their respective interests in the applicable temporary investments, as reasonably determined by the General Partner.
For the years ended December 31, 2011 and December 31, 2010, the Partners in the Master Fund received distributions of $106,180,591 and $79,768,001 which are recallable. However, the General Partner does not intend to recall such amounts.
6. THE UST WARRANT
As part of the financing arrangement, the Master Fund granted a warrant to the UST equal to a preferential percentage of 2.5% of investment proceeds exceeding cumulative capital contributions to the Master Fund. The applicable warrant payment will be distributed by the Master Fund to the UST following the return of 100% of each Partner’s capital contributions to the Master Fund (see Note 5 Partners’ Capital). The UST Warrant has been accounted for as a freestanding derivative instrument, the current estimated fair value of which is reflected in “UST Warrant payable” on the accompanying Statements of Assets, Liabilities and Partners’ Capital.
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2011
The provisions of ASC 815 (Derivatives and Hedging) require enhanced financial statement disclosures that enable investors to understand how and why the Master Fund uses derivatives, how derivatives are accounted for, and how the derivative instruments affect the Master Fund’s results of operations and financial position. The Master Fund does not designate any derivative instruments as hedging instruments under ASC 815.
The related debt issuance costs are amortized into interest expense over the life of the loan, which is expected to be through December 31, 2014. For the years ended December 31, 2011 and December 31, 2010, amortization of the debt issuance costs of $1,375,919 and $1,337,870 respectively was included in interest expense as reflected on the Statements of Operations.
7. MANAGEMENT AGREEMENT
In consideration of the services rendered to the Master Fund by the Investment Manager pursuant to the Master Fund Agreement, the Master Fund pays a management fee to the General Partner with respect to the capital commitment of the UST (the “UST Management Fee”), such fee is payable quarterly in arrears and is equal to 0.20% per annum of the capital commitment of the UST prior to the expiration or termination of the Investment Period and thereafter, 020% per annum of the lesser of (A) the UST’s capital commitment to the Master Fund as of the last day of the period to which the UST Management Fee relates and (B) the UST interest value as of the last day of the period to which the UST Management Fee relates. Payment of the UST Management Fee will be charged to the UST and not to the Collector Funds. The Collector Funds pays a separate management fee at the Collector Fund level.
During the years ended December 31, 2011 and December 31, 2010, the Master Fund incurred UST Management Fees of $1,241,157 and $1,194,010 respectively. As of December 31, 2011 and December 31, 2010 management fees of $310,289 remained payable.
8. RISK FACTORS
The Master Fund’s investment portfolio is comprised entirely of CMBS and non-agency RMBS subject to various risks as described below:
Credit Risk - Credit-related risk on CMBS and non-agency RMBS arises from losses due to delinquencies and defaults by the borrowers in payments on the underlying mortgage loans and breaches by originators and servicers of their obligations under the underlying documentation pursuant to which the RMBS are issued. The rate of delinquencies and defaults on residential mortgage loans and the aggregate amount of the resulting losses will be affected by a number of factors, including general economic conditions, particularly those in the area where the related mortgaged property is located, the level of the borrower’s equity in the mortgaged property and the individual financial circumstances of the borrower.
Prepayment Risk - CMBS and non-agency RMBS are susceptible to prepayment risks. Except in the case of certain types of RMBS, the mortgage loans underlying RMBS generally do not contain prepayment penalties and a reduction in market interest rates will increase the likelihood of prepayments on the related RMBS, resulting in a reduction in yield to maturity for most holders of such securities. In the case of certain home equity loan securities and certain types of RMBS, even though the underlying mortgage loans often contain prepayment premiums, such prepayment premiums may not be sufficient to discourage borrowers from prepaying their mortgage loans in the event of a reduction in market interest rates, resulting in a reduction in the yield to maturity for holders of the related RMBS.
Interest Rate Risk - The rate of interest payable on certain CMBS and RMBS may be set or effectively capped at the weighted average net coupon of the underlying mortgage loans themselves, often referred to as an “available funds cap”. As a result of this cap, the return to the holder of such CMBS and RMBS is dependent on the relative timing and rate of delinquencies and prepayments of mortgage loans bearing a
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2011
higher rate of interest. In general, early prepayments will have a greater negative impact on the yield to the holder of such CMBS and RMBS.
General Market Risk - The market value of any particular CMBS and RMBS asset may be subject to substantial variation. The entire market or particular instruments traded on a market may decline even if earnings or other factors improve as the prices of these instruments are subject to numerous economic, political, psychological and other factors that have little or no correlation to the performance of a particular instrument.
Concentration Risk - To the extent the Master Fund concentrates its investments in CMBS and RMBS, the overall impact on the Master Fund as a result of adverse developments in the` CMBS and RMBS market could be considerably greater than if the Master Fund did not concentrate its investments in CMBS and RMBS.
Indemnifications - The Master Fund enters into contracts that contain a variety of indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown. However, the Master Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
PPIP Risk - The PPIP is new and no track record exists to predict whether it will be successful or viable over the life of the Master Fund. The PPIP is further subject to various political pressures and changes, and the UST or the United States government may change, suspend, or terminate the program at any time, which may be detrimental to the Investors.
9. FINANCIAL HIGHLIGHTS
The financial highlights are calculated for the years ended December 31, 2011 and December 31, 2010 and exclude data for the General Partner; calculations of these highlights on an individual limited partner basis may yield results that vary from those stated herein due to the timing of capital transactions and different expense arrangements.
RATIOS TO LIMITED PARTNERS’
|
|
|
2011 Ratios |
|
2010 Ratios |
|
|
|
|
|
|
|
|
|
UST |
|
|
|
|
|
|
Interest expense |
|
1.04 |
|
1.09 |
|
|
Other expenses |
|
0.25 |
|
0.29 |
|
|
Total expenses |
|
1.29 |
|
1.38 |
|
|
Net investment income |
|
16.39 |
|
19.41 |
|
|
|
|
|
|
|
|
|
Collector Fund (4) |
|
|
|
|
|
|
Interest expense |
|
1.23 |
|
1.36 |
|
|
Other expenses |
|
0.08 |
|
0.08 |
|
|
Total expenses |
|
1.31 |
|
1.44 |
|
|
Net investment income |
|
16.42 |
|
19.18 |
|
|
|
|
|
|
|
|
|
Affiliated Investors (4) |
|
|
|
|
|
|
Interest expense |
|
1.23 |
|
0.87 |
|
|
Other expenses |
|
0.08 |
|
0.09 |
|
|
Total expenses |
|
1.31 |
|
0.96 |
|
|
Net investment income |
|
16.42 |
|
13.33 |
|
RLJ WESTERN ASSET PUBLIC/PRIVATE MASTER FUND, L.P.
(a Delaware limited partnership)
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2011
|
|
|
Inception through |
| ||||
|
Internal Rate Of Return (2) |
|
December 31, 2011 |
|
December 31, 2010 |
|
December 31, 2009 |
|
|
UST |
|
9.33 |
|
34.84 |
|
3.30 |
|
|
Collector Fund |
|
9.36 |
|
34.83 |
|
3.23 |
|
|
Affiliated Investors (4) |
|
8.94 |
|
32.83 |
|
0.00 |
|
(1) The ratios of expenses and net investment income to Limited Farmers’ Capital represent the expenses and net investment income for the years allocated to each group of Limited Partners.
(2) The internal rate of return CIRRI is presented for each group of Limited Partners and is net of all expenses and profit sharing allocations, if any, to the General Partner. The IRR is computed based on the actual dates of the Limited Partners’ cash flows and the residual value of the Limited Partners’ capital account at December 31, 2011 and December 31, 2010.
(3) The satins are based on weighted average partner’s capital which was calculated using the end of the month partners’ capital balance, adjusted for timing of capital transactions except the interval rate of return
(4) Affiliated Investors were Limited Partners of the feeder fund until May 5, 2010 when they transferred directly into the Master Fund. The ratios were calculated from May 6, 2010 to December 31, 2010 the period the Affiliated Investors were directly invested within the Master Fund. The internal rate of return for the Affiliated Investors were calculated as if they were invested directly within the Master Fund since Inception. See not 4 for further details.
10. SUBSEQUENT EVENTS
The General Partner has evaluated events and transactions that have occurred through April 25, 2012, the date the financial statements were available to be issued and have disclosed such events and transactions below.
During the period from January 1, 2012 through April 25, 2012, the Master Fund made distributions to the Partners in the amount of $23,928,454.