Western Asset Mortgage Opportunity Fund (DMO) 8-K Financial Statements for the Six Months

Exhibit 99.2

RLJ Western Asset Public/Private

Master Fund, L.P.

(a Delaware limited partnership)

Financial Statements for the Three and Six Months

Ended June 30, 2011 and June 30, 2010

(UNAUDITED)

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

(a Delaware limited partnership)

(UNAUDITED)

TABLE OF CONTENTS

	Page
Statement of Assets, Liabilities and Partners’ Capital		1
Statements of Operations		2
Statement of Changes in Partners’ Capital		3
Statements of Cash Flows		4

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

(a Delaware limited partnership)

STATEMENT OF ASSETS, LIABILITIES AND PARTNERS’ CAPITAL

JUNE 30, 2011

(in U.S. Dollars)

(UNAUDITED)

ASSETS
Investments, at fair value (amortized cost $2,649,815,395)	$	2,669,902,604
Cash and cash equivalents		75,474,682
Interest receivable		8,128,074
Debt issuance costs (net of amortization of $2,220,343)		4,821,371
Other assets		14,284
Total assets	$	2,758,341,015
LIABILITIES AND PARTNERS’ CAPITAL
LIABILITIES
Loan payable	$	1,227,468,470
Payable for investments purchased		22,000,836
UST Warrant payable, at fair value		7,182,713
Interest payable		691,827
Management fees payable		310,289
Administration fees payable		122,095
Professional fees payable		84,346
Distributions payable		649
Other accrued expenses		175,930
Total liabilities		1,258,037,155
PARTNERS’ CAPITAL
General Partner		7,512
Limited Partners		1,500,296,348
Total partners’ capital		1,500,303,860
TOTAL LIABILITIES AND PARTNERS’ CAPITAL	$	2,758,341,015

1

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

(a Delaware limited partnership)

STATEMENTS OF OPERATIONS

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

(in U.S. Dollars)

(UNAUDITED)

	For the three months ended					For the six months ended
	June 30, 2011			June 30, 2010		June 30, 2011			June 30, 2010
INVESTMENT INCOME:
Interest income	$	67,564,648		$	55,909,476	$	136,991,837		$	80,975,207
EXPENSES:
Interest expense (including amortization of debt issuance costs of $343,037, $333,681, $682,305 and $638,498 respectively)		4,123,267			3,459,927		8,374,228			5,130,985
Management fees		310,289			307,487		620,578			573,431
Administration fees		133,247			102,909		261,773			191,470
Professional fees		39,528			44,472		78,623			86,136
Other expenses		106,954			86,472		211,722			148,580
Total expenses		4,713,285			4,001,267		9,546,924			6,130,602
Net investment income		62,851,363			51,908,209		127,444,913			74,844,605
NET REALIZED AND CHANGE IN UNREALIZED GAIN (LOSS) :
Net realized gain on investments		1,135,941			1,588,880		9,171,729			1,588,880
Net change in unrealized gain (loss) on investments		(123,210,057	)		9,974,625		(97,733,292	)		12,644,474
Net change in unrealized gain on UST Warrant		—			—		100			—
Total net realized and change in unrealized gain (loss)		(122,074,116	)		11,563,505		(88,561,463	)		14,233,354
NET INCREASE (DECREASE) IN PARTNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(59,222,753	)	$	63,471,714	$	38,883,450		$	89,077,959

2

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

(a Delaware limited partnership)

STATEMENT OF CHANGES IN PARTNERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2011

(in U.S. Dollars)

(UNAUDITED)

				Limited Partners
	General Partner			US Department of the Treasury			RLJ Western Asset Public/Private Collector Fund, L.P			RLJ Western Asset Public/Private Affiliates			Total
PARTNERS’ CAPITAL, AT DECEMBER 31, 2010	$	7,556		$	755,588,538		$	660,078,719		$	94,140,974		$	1,509,815,787
Distributions		(245	)		(23,887,277	)		(21,448,634	)		(3,059,221	)		(48,395,377	)
Allocation of net increase in Partners’ Capital resulting from operations:
Net investment income		644			63,752,998			55,740,936			7,950,335			127,444,913
Net realized and change in unrealized gain (loss)		(443	)		(44,280,560	)		(38,753,101	)		(5,527,359	)		(88,561,463	)
PARTNERS’ CAPITAL, AT JUNE 30, 2011	$	7,512		$	751,173,699		$	655,617,920		$	93,504,729		$	1,500,303,860
Remaining uncalled capital commitments, end of period	$	—		$	—		$	—		$	—		$	—

3

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

(a Delaware limited partnership)

STATEMENTS OF CASH FLOWS

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

(in U.S. Dollars)

(UNAUDITED)

	For the three months ended						For the six months ended
	June 30, 2011			June 30, 2010			June 30, 2011			June 30, 2010
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in Partners’ Capital resulting from operations	$	(59,222,753	)	$	63,471,714		$	38,883,450		$	89,077,959
Adjustments to reconcile net increase (decrease) in Partners’ Capital resulting from operations to net cash provided by (used in) operating activities:
Purchase of investments in securities		(119,424,075	)		(849,319,611	)		(329,102,733	)		(2,200,261,646	)
Proceeds from disposition of investments		124,615,076			143,726,399			277,628,934			179,837,330
Net realized gain on investments		(1,135,941	)		(1,588,880	)		(9,171,729	)		(1,588,880	)
Net change in unrealized loss on investments		123,210,057			(9,974,625	)		97,733,292			(12,644,474	)
Net change in unrealized gain on UST Warrant		—			—			(100	)		—
Amortization of discount, net		(41,315,937	)		(30,760,532	)		(83,777,786	)		(44,840,758	)
Accretion of interest only securities		5,451,365			—			10,706,919			—
Amortization of debt issuance costs		343,037			333,680			682,305			638,497
(Increase) decrease in interest receivable		533,627			(2,615,685	)		299,597			(7,051,925	)
(Increase) decrease in other assets		7,064			—			(14,284	)		—
Increase (decrease) in payable for investments purchased		15,982,899			(8,766,302	)		22,000,836			59,041,163
Increase (decrease) in interest payable		(91,074	)		275,511			(90,195	)		703,916
Increase (decrease) in management fees payable		—			(116,246	)		—			149,699
Increase (decrease) in professional fees payable		(78,549	)		5,742			(39,454	)		10,139
Increase in administration fees payable		14,858			13,671			4,534			5,565
Increase (decrease) in other accrued expenses		(68,065	)		48,897			(21,299	)		64,544
Increase in distribution payable		—			89			—			112
Net cash provided by (used in) operating activities		48,821,589			(695,266,178	)		25,722,287			(1,936,858,759	)
CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from (repayment of) loan		(13,531,530	)		549,000,000			(13,531,530	)		1,004,000,000
Contributions received in advanced		—			70,000			—			70,000
Contributions		—			245,909,403			—			1,002,720,773
Distributions net of payable		(23,347,981	)		(17,505,764	)		(48,395,132	)		(22,011,293	)
Net cash provided by (used in) financing activities		(36,879,511	)		777,473,639			(61,926,662	)		1,984,779,480
Net change in cash and cash equivalents		11,942,078			82,207,461			(36,204,375	)		47,920,721
CASH AND CASH EQUIVALENTS:
Beginning of period		63,532,604			30,593,216			111,679,057			64,879,956
End of period	$	75,474,682		$	112,800,677		$	75,474,682		$	112,800,677
SUPPLEMENTAL DISCLOSURE OF NON CASH TRANSACTION:
Cash paid during the period for interest	$	3,871,304		$	2,850,735		$	7,782,118		$	3,788,571

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