WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited)
(Percentages shown based on Fund net assets) |
August 31, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| U.S. TREASURY INFLATION PROTECTED SECURITIES - 114.3% | ||||||||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
2.000 | % | 1/15/26 | 34,222,500 | $ | 40,313,285 | (a) | |||||||||
| U.S. Treasury Bonds, Inflation Indexed |
2.375 | % | 1/15/27 | 5,389,080 | 6,636,198 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
1.750 | % | 1/15/28 | 12,969,000 | 15,820,071 | (a) | ||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
2.500 | % | 1/15/29 | 12,768,592 | 16,609,488 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
3.875 | % | 4/15/29 | 42,144,360 | 59,719,358 | (a) | ||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
2.125 | % | 2/15/40 | 5,656,680 | 8,608,258 | (b) | ||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
2.125 | % | 2/15/41 | 3,548,316 | 5,464,567 | (c) | ||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
0.750 | % | 2/15/42 | 10,460,880 | 13,051,482 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
1.375 | % | 2/15/44 | 24,481,380 | 34,481,292 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 1/15/22 | 32,411,340 | 32,798,295 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 4/15/22 | 37,984,460 | 38,619,713 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 7/15/22 | 33,081,440 | 33,964,454 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 1/15/23 | 11,770,800 | 12,212,826 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.625 | % | 4/15/23 | 28,220,556 | 29,647,454 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.625 | % | 1/15/26 | 36,350,276 | 40,488,579 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 4/15/26 | 3,108,060 | 3,397,014 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 1/15/31 | 1,774,324 | 1,983,372 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES |
393,815,706 | |||||||||||||||
|
|
|
|||||||||||||||
| CORPORATE BONDS & NOTES - 12.2% | ||||||||||||||||
| COMMUNICATION SERVICES - 0.0%†† | ||||||||||||||||
| Wireless Telecommunication Services - 0.0%†† |
||||||||||||||||
| T-Mobile USA Inc., Senior Secured Notes |
3.750 | % | 4/15/27 | 40,000 | 44,330 | |||||||||||
|
|
|
|||||||||||||||
| ENERGY - 5.9% | ||||||||||||||||
| Energy Equipment & Services - 0.0%†† |
||||||||||||||||
| Halliburton Co., Senior Notes |
3.800 | % | 11/15/25 | 13,000 | 14,322 | |||||||||||
|
|
|
|||||||||||||||
| Oil, Gas & Consumable Fuels - 5.9% |
||||||||||||||||
| Apache Corp., Senior Notes |
4.250 | % | 1/15/44 | 440,000 | 447,416 | |||||||||||
| BP Capital Markets America Inc., Senior Notes |
3.633 | % | 4/6/30 | 300,000 | 339,141 | |||||||||||
| Chevron USA Inc., Senior Notes |
3.900 | % | 11/15/24 | 200,000 | 219,263 | |||||||||||
| Chevron USA Inc., Senior Notes |
4.950 | % | 8/15/47 | 1,590,000 | 2,188,201 | |||||||||||
| Enterprise Products Operating LLC, Senior Notes |
3.125 | % | 7/31/29 | 1,170,000 | 1,267,192 | |||||||||||
| EOG Resources Inc., Senior Notes |
4.375 | % | 4/15/30 | 40,000 | 47,298 | |||||||||||
| EOG Resources Inc., Senior Notes |
4.950 | % | 4/15/50 | 120,000 | 161,798 | |||||||||||
| Exxon Mobil Corp., Senior Notes |
4.327 | % | 3/19/50 | 3,500,000 | 4,390,077 | |||||||||||
| Exxon Mobil Corp., Senior Notes |
3.452 | % | 4/15/51 | 330,000 | 365,781 | |||||||||||
| Gazprom PJSC Via Gaz Capital SA, Senior Notes |
5.150 | % | 2/11/26 | 1,430,000 | 1,610,036 | (d) | ||||||||||
See Notes to Consolidated Schedule of Investments.
| Western Asset Inflation-Linked Income Fund 2021 Quarterly Report |
1 |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d)
(Percentages shown based on Fund net assets) |
August 31, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
| KazTransGas JSC, Senior Notes |
4.375 | % | 9/26/27 | 1,600,000 | $ | 1,768,856 | (d) | |||||||||
| MEG Energy Corp., Secured Notes |
6.500 | % | 1/15/25 | 8,000 | 8,270 | (d) | ||||||||||
| Occidental Petroleum Corp., Senior Notes |
5.550 | % | 3/15/26 | 110,000 | 122,788 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
3.000 | % | 2/15/27 | 810,000 | 813,321 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
6.200 | % | 3/15/40 | 1,330,000 | 1,588,013 | |||||||||||
| Petrobras Global Finance BV, Senior Notes |
5.999 | % | 1/27/28 | 1,470,000 | 1,690,074 | |||||||||||
| Range Resources Corp., Senior Notes |
5.000 | % | 3/15/23 | 673,000 | 691,548 | |||||||||||
| Williams Cos. Inc., Senior Notes |
5.750 | % | 6/24/44 | 1,340,000 | 1,792,687 | |||||||||||
| YPF SA, Senior Notes |
8.500 | % | 7/28/25 | 800,000 | 688,000 | (e) | ||||||||||
|
|
|
|||||||||||||||
| Total Oil, Gas & Consumable Fuels |
20,199,760 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
20,214,082 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 1.4% | ||||||||||||||||
| Banks - 1.1% |
||||||||||||||||
| JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/50 then SOFR + 2.440%) |
3.109 | % | 4/22/51 | 430,000 | 450,559 | (f) | ||||||||||
| Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then SOFR + 4.502%) |
5.013 | % | 4/4/51 | 2,440,000 | 3,404,598 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Total Banks |
3,855,157 | |||||||||||||||
|
|
|
|||||||||||||||
| Diversified Financial Services - 0.3% |
||||||||||||||||
| ILFC E-Capital Trust II, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate and 30 year Treasury Constant Maturity Rate) + 1.800%) |
3.910 | % | 12/21/65 | 1,010,000 | 854,712 | (d)(f) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
4,709,869 | |||||||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 1.2% | ||||||||||||||||
| Pharmaceuticals - 1.2% |
||||||||||||||||
| Bausch Health Americas Inc., Senior Notes |
9.250 | % | 4/1/26 | 1,390,000 | 1,499,462 | (d) | ||||||||||
| Bausch Health Americas Inc., Senior Notes |
8.500 | % | 1/31/27 | 970,000 | 1,044,399 | (d) | ||||||||||
| Bausch Health Cos. Inc., Senior Notes |
9.000 | % | 12/15/25 | 1,280,000 | 1,363,200 | (d) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
3,907,061 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 1.0% | ||||||||||||||||
| Aerospace & Defense - 1.0% |
||||||||||||||||
| General Dynamics Corp., Senior Notes |
4.250 | % | 4/1/40 | 10,000 | 12,460 | |||||||||||
| General Dynamics Corp., Senior Notes |
4.250 | % | 4/1/50 | 2,560,000 | 3,324,532 | |||||||||||
|
|
|
|||||||||||||||
| Total Aerospace & Defense |
3,336,992 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Consolidated Schedule of Investments.
|
2 |
Western Asset Inflation-Linked Income Fund 2021 Quarterly Report |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d)
(Percentages shown based on Fund net assets) |
August 31, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Industrial Conglomerates - 0.0%†† |
||||||||||||||||
| General Electric Co., Senior Notes |
3.450 | % | 5/1/27 | 50,000 | $ | 55,190 | ||||||||||
| General Electric Co., Senior Notes |
3.625 | % | 5/1/30 | 110,000 | 123,781 | |||||||||||
|
|
|
|||||||||||||||
| Total Industrial Conglomerates |
178,971 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
3,515,963 | |||||||||||||||
|
|
|
|||||||||||||||
| INFORMATION TECHNOLOGY - 0.1% | ||||||||||||||||
| Semiconductors & Semiconductor Equipment - 0.1% |
||||||||||||||||
| Broadcom Inc., Senior Notes |
4.700 | % | 4/15/25 | 370,000 | 414,107 | |||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 2.6% | ||||||||||||||||
| Metals & Mining - 2.6% |
||||||||||||||||
| Anglo American Capital PLC, Senior Notes |
4.000 | % | 9/11/27 | 800,000 | 894,241 | (d) | ||||||||||
| Antofagasta PLC, Senior Notes |
2.375 | % | 10/14/30 | 550,000 | 535,675 | (d) | ||||||||||
| Barrick Gold Corp., Senior Notes |
5.250 | % | 4/1/42 | 170,000 | 224,746 | |||||||||||
| Barrick North America Finance LLC, Senior Notes |
5.750 | % | 5/1/43 | 530,000 | 745,442 | |||||||||||
| BHP Billiton Finance USA Ltd., Senior Notes |
5.000 | % | 9/30/43 | 810,000 | 1,118,258 | |||||||||||
| Glencore Finance Canada Ltd., Senior Notes |
5.550 | % | 10/25/42 | 1,170,000 | 1,524,516 | (d) | ||||||||||
| Glencore Funding LLC, Senior Notes |
4.125 | % | 3/12/24 | 370,000 | 398,016 | (d) | ||||||||||
| Glencore Funding LLC, Senior Notes |
4.000 | % | 3/27/27 | 200,000 | 221,372 | (d) | ||||||||||
| Glencore Funding LLC, Senior Notes |
3.875 | % | 10/27/27 | 800,000 | 884,126 | (d) | ||||||||||
| Southern Copper Corp., Senior Notes |
5.250 | % | 11/8/42 | 1,370,000 | 1,762,457 | |||||||||||
| Yamana Gold Inc., Senior Notes |
4.625 | % | 12/15/27 | 670,000 | 750,962 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
9,059,811 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES |
41,865,223 | |||||||||||||||
|
|
|
|||||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(g) - 6.8% | ||||||||||||||||
| Alternative Loan Trust, 2007-12T1 A3 |
6.000 | % | 6/25/37 | 1,296,980 | 907,916 | |||||||||||
| BANK, 2021-BN32 XA, IO |
0.893 | % | 4/15/54 | 2,628,110 | 155,627 | (f) | ||||||||||
| Bear Stearns ARM Trust, 2004-9 24A1 |
3.117 | % | 11/25/34 | 15,443 | 15,158 | (f) | ||||||||||
| BHMS, 2018-ATLS D (1 mo. USD LIBOR + 2.250%) |
2.346 | % | 7/15/35 | 2,520,000 | 2,516,242 | (d)(f) | ||||||||||
| BXMT Ltd., 2020-FL2 A (30 Day Average SOFR + 1.014%) |
1.064 | % | 2/15/38 | 660,000 | 659,951 | (d)(f) | ||||||||||
| Chase Mortgage Finance Trust, 2007-A1 2A3 |
2.400 | % | 2/25/37 | 2,687 | 2,698 | (f) | ||||||||||
| CSMC Trust, 2014-11R 9A2 (1 mo. USD LIBOR + 0.140%) |
0.369 | % | 10/27/36 | 2,056,458 | 1,796,758 | (d)(f) | ||||||||||
| CSMC Trust, 2019-NQM1 A1, Step bond (2.656% to 11/25/23 then 3.656%) |
2.656 | % | 10/25/59 | 510,496 | 518,513 | (d) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K721 X1, IO |
0.419 | % | 8/25/22 | 135,178,091 | 326,631 | (f) | ||||||||||
See Notes to Consolidated Schedule of Investments.
| Western Asset Inflation-Linked Income Fund 2021 Quarterly Report |
3 |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d)
(Percentages shown based on Fund net assets) |
August 31, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(g) - (continued) | ||||||||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4057 UI, IO |
3.000 | % | 5/15/27 | 402,164 | $ | 18,745 | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4085 IO, IO |
3.000 | % | 6/15/27 | 1,150,090 | 57,574 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA1 B1 (1 mo. USD LIBOR + 2.300%) |
2.384 | % | 1/25/50 | 440,000 | 439,496 | (d)(f) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA2 M2 (1 mo. USD LIBOR + 1.850%) |
1.934 | % | 2/25/50 | 625,902 | 630,803 | (d)(f) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA2 M2 (1 mo. USD LIBOR + 3.450%) |
3.534 | % | 10/25/29 | 1,300,000 | 1,345,442 | (f) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2014-C04 1M2 (1 mo. USD LIBOR + 4.900%) |
4.984 | % | 11/25/24 | 435,082 | 448,305 | (d)(f) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2017-C03 1B1 (1 mo. USD LIBOR + 4.850%) |
4.934 | % | 10/25/29 | 590,000 | 641,455 | (d)(f) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2017-C03 1M2 (1 mo. USD LIBOR + 3.000%) |
3.084 | % | 10/25/29 | 1,159,880 | 1,192,140 | (d)(f) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2017-C07 1B1 (1 mo. USD LIBOR + 4.000%) |
4.084 | % | 5/25/30 | 440,000 | 456,964 | (d)(f) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1M2 (1 mo. USD LIBOR + 2.050%) |
2.134 | % | 1/25/40 | 135,166 | 135,963 | (d)(f) | ||||||||||
| Government National Mortgage Association (GNMA), 2011-142 IO, IO |
0.000 | % | 9/16/46 | 1,660,663 | 534 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2012-44 IO, IO |
0.030 | % | 3/16/49 | 435,886 | 881 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2012-112 IO, IO |
0.150 | % | 2/16/53 | 1,034,293 | 5,951 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2012-152 IO, IO |
0.566 | % | 1/16/54 | 2,559,683 | 51,872 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2013-145 XI, IO |
0.001 | % | 9/16/44 | 195,477 | 606 | |||||||||||
See Notes to Consolidated Schedule of Investments.
|
4 |
Western Asset Inflation-Linked Income Fund 2021 Quarterly Report |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d)
(Percentages shown based on Fund net assets) |
August 31, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(g) - (continued) |
|
|||||||||||||||
| Government National Mortgage Association (GNMA), 2014-47 IA, IO |
0.111 | % | 2/16/48 | 249,721 | $ | 3,024 | (f) | |||||||||
| Government National Mortgage Association (GNMA), 2014-50 IO, IO |
0.705 | % | 9/16/55 | 834,902 | 31,196 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2014-169 IO, IO |
0.683 | % | 10/16/56 | 8,255,671 | 261,635 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2015-101 IO, IO |
0.442 | % | 3/16/52 | 7,640,696 | 176,520 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2015-183 IO, IO |
0.652 | % | 9/16/57 | 7,916,768 | 302,017 | (f) | ||||||||||
| GSR Mortgage Loan Trust, 2004-11 1A1 |
2.950 | % | 9/25/34 | 44,537 | 46,180 | (f) | ||||||||||
| Hawaii Hotel Trust, 2019-MAUI F (1 mo. USD LIBOR + 2.750%) |
2.846 | % | 5/15/38 | 170,000 | 170,372 | (d)(f) | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN FFL (1 mo. USD LIBOR + 2.500%) |
2.596 | % | 1/16/37 | 26,903 | 26,853 | (d)(f) | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFL (1 mo. USD LIBOR + 3.000%) |
3.096 | % | 1/16/37 | 1,963,500 | 1,916,072 | (d)(f) | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX |
4.844 | % | 1/16/37 | 2,270,000 | 2,236,427 | (d)(f) | ||||||||||
| Merrill Lynch Mortgage Investors Trust, 2004-A1 2A1 |
2.301 | % | 2/25/34 | 4,085 | 4,207 | (f) | ||||||||||
| MRCD Mortgage Trust, 2019-PARK A |
2.718 | % | 12/15/36 | 850,000 | 887,773 | (d) | ||||||||||
| Natixis Commercial Mortgage Securities Trust, 2019-TRUE A (1 mo. USD LIBOR + 2.011%, 3.511% floor) |
3.511 | % | 4/18/24 | 2,050,000 | 2,030,697 | (d)(f) | ||||||||||
| New Residential Mortgage Loan Trust, 2014-1A A |
3.750 | % | 1/25/54 | 455,745 | 481,823 | (d)(f) | ||||||||||
| Nomura Resecuritization Trust, 2015-4R 2A2 (1 mo. USD LIBOR + 0.306%) |
0.369 | % | 10/26/36 | 2,580,681 | 2,335,981 | (d)(f) | ||||||||||
| RAMP Trust, 2004-SL4 A5 |
7.500 | % | 7/25/32 | 37,688 | 22,806 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
23,259,808 | ||||||||||||||
|
|
|
|||||||||||||||
| NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 4.7% |
|
|||||||||||||||
| Brazil - 1.7% |
||||||||||||||||
| Brazil Notas do Tesouro Nacional Serie B, Notes |
6.000 | % | 8/15/50 | 25,712,487 | BRL | 5,936,077 | ||||||||||
|
|
|
|||||||||||||||
| Canada - 1.0% |
||||||||||||||||
| Canadian Government Real Return Bond |
1.500 | % | 12/1/44 | 1,822,538 | CAD | 1,895,229 | ||||||||||
| Canadian Government Real Return Bond |
0.500 | % | 12/1/50 | 1,588,436 | CAD | 1,392,370 | ||||||||||
|
|
|
|||||||||||||||
| Total Canada |
3,287,599 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Consolidated Schedule of Investments.
| Western Asset Inflation-Linked Income Fund 2021 Quarterly Report |
5 |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d)
(Percentages shown based on Fund net assets) |
August 31, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Mexico - 1.0% |
||||||||||||||||
| Mexican Udibonos |
2.000 | % | 6/9/22 | 72,113,726 | MXN | $ | 3,599,092 | |||||||||
|
|
|
|||||||||||||||
| Russia - 1.0% |
||||||||||||||||
| Russian Federal Inflation Linked Bond - OFZ |
2.500 | % | 2/2/28 | 258,491,678 | RUB | 3,460,851 | ||||||||||
|
|
|
|||||||||||||||
| TOTAL NON-U.S. TREASURY INFLATION PROTECTED SECURITIES |
16,283,619 | |||||||||||||||
|
|
|
|||||||||||||||
| SOVEREIGN BONDS - 4.0% | ||||||||||||||||
| Brazil - 0.2% |
||||||||||||||||
| Brazil Notas do Tesouro Nacional Serie F, Notes |
10.000 | % | 1/1/23 | 2,920,000 | BRL | 574,470 | ||||||||||
| Brazil Notas do Tesouro Nacional Serie F, Notes |
10.000 | % | 1/1/27 | 965,000 | BRL | 186,731 | ||||||||||
|
|
|
|||||||||||||||
| Total Brazil |
761,201 | |||||||||||||||
|
|
|
|||||||||||||||
| Chile - 0.9% |
||||||||||||||||
| Bonos de la Tesoreria de la Republica en pesos, Bonds |
5.000 | % | 3/1/35 | 2,330,000,000 | CLP | 2,994,077 | ||||||||||
|
|
|
|||||||||||||||
| Indonesia - 1.3% |
||||||||||||||||
| Indonesia Government International Bond, Senior Notes |
4.750 | % | 7/18/47 | 400,000 | 487,604 | (d) | ||||||||||
| Indonesia Government International Bond, Senior Notes |
4.350 | % | 1/11/48 | 290,000 | 337,423 | |||||||||||
| Indonesia Treasury Bond |
7.000 | % | 5/15/27 | 49,188,000,000 | IDR | 3,722,080 | ||||||||||
|
|
|
|||||||||||||||
| Total Indonesia |
4,547,107 | |||||||||||||||
|
|
|
|||||||||||||||
| Mexico - 0.8% |
||||||||||||||||
| Mexican Bonos, Bonds |
8.000 | % | 11/7/47 | 21,750,000 | MXN | 1,129,594 | ||||||||||
| Mexico Government International Bond, Senior Notes |
4.500 | % | 4/22/29 | 1,480,000 | 1,696,102 | |||||||||||
|
|
|
|||||||||||||||
| Total Mexico |
2,825,696 | |||||||||||||||
|
|
|
|||||||||||||||
| Nigeria - 0.1% |
||||||||||||||||
| Nigeria Government International Bond, Senior Notes |
6.500 | % | 11/28/27 | 200,000 | 211,819 | (d) | ||||||||||
|
|
|
|||||||||||||||
| Russia - 0.4% |
||||||||||||||||
| Russian Federal Bond - OFZ |
7.050 | % | 1/19/28 | 103,953,000 | RUB | 1,442,606 | ||||||||||
|
|
|
|||||||||||||||
| United Arab Emirates - 0.3% |
||||||||||||||||
| Abu Dhabi Government International Bond, Senior Notes |
3.875 | % | 4/16/50 | 960,000 | 1,124,248 | (d) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL SOVEREIGN BONDS |
13,906,754 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Consolidated Schedule of Investments.
|
6 |
Western Asset Inflation-Linked Income Fund 2021 Quarterly Report |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d)
(Percentages shown based on Fund net assets) |
August 31, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| ASSET-BACKED SECURITIES - 1.8% | ||||||||||||||||
| Ameriquest Mortgage Securities Inc., Asset- Backed Pass-Through Certificates, 2005-R7 M2 (1 mo. USD LIBOR + 0.750%) |
0.834 | % | 9/25/35 | 272,119 | $ | 272,438 | (f) | |||||||||
| Countrywide Home Equity Loan Trust, 2005-C 2A (1 mo. USD LIBOR + 0.180%) |
0.276 | % | 7/15/35 | 317,113 | 310,154 | (f) | ||||||||||
| Countrywide Home Equity Loan Trust, 2006-I 2A (1 mo. USD LIBOR + 0.140%) |
0.236 | % | 1/15/37 | 494,422 | 472,453 | (f) | ||||||||||
| First Franklin Mortgage Loan Trust, 2006- FF15 A5 (1 mo. USD LIBOR + 0.160%) |
0.244 | % | 11/25/36 | 737,217 | 729,464 | (f) | ||||||||||
| Greystone CRE Notes Ltd., 2021-FL3 A (1 mo. USD LIBOR + 1.020%) |
1.107 | % | 7/15/39 | 1,020,000 | 1,022,868 | (d)(f) | ||||||||||
| Legacy Mortgage Asset Trust, 2019-GS1 A1, Step bond |
4.000 | % | 1/25/59 | 660,478 | 662,282 | (d) | ||||||||||
| Morgan Stanley ABS Capital I Inc. Trust, 2004-HE7 M1 (1 mo. USD LIBOR + 0.900%) |
0.984 | % | 8/25/34 | 675,550 | 671,572 | (f) | ||||||||||
| Saxon Asset Securities Trust, 2006-3 A4 (1 mo. USD LIBOR + 0.240%) |
0.324 | % | 10/25/46 | 1,110,000 | 1,015,983 | (f) | ||||||||||
| Towd Point Mortgage Trust, 2015-2 1B3 |
3.400 | % | 11/25/60 | 950,000 | 996,815 | (d)(f) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
6,154,029 | |||||||||||||||
|
|
|
|||||||||||||||
| MORTGAGE-BACKED SECURITIES - 0.2% | ||||||||||||||||
| FNMA - 0.2% |
||||||||||||||||
| Federal National Mortgage Association (FNMA) |
2.680 | % | 1/1/35-2/1/35 | 300,000 | 329,776 | |||||||||||
| Federal National Mortgage Association (FNMA) |
2.790 | % | 1/1/35 | 466,548 | 515,757 | (f) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES |
845,533 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
496,130,672 | |||||||||||||||
|
|
|
|||||||||||||||
| SHARES | ||||||||||||||||
| SHORT-TERM INVESTMENTS - 2.5% | ||||||||||||||||
| Dreyfus Government Cash Management, Institutional Shares |
0.030 | % | 8,629,655 | 8,629,655 | ||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS - 146.5% |
504,760,327 | |||||||||||||||
| Liabilities in Excess of Other Assets - (46.5)% |
(160,194,131 | ) | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 344,566,196 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Consolidated Schedule of Investments.
| Western Asset Inflation-Linked Income Fund 2021 Quarterly Report |
7 |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d) |
August 31, 2021 |
| † | Face amount denominated in U.S. dollars, unless otherwise noted. |
| †† | Represents less than 0.1%. |
| (a) | All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements. |
| (b) | All or a portion of this security is held at the broker as collateral for open swap contracts. |
| (c) | All or a portion of this security is held at the broker as collateral for open futures contracts. |
| (d) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
| (e) | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
| (f) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (g) | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit. |
Abbreviation(s) used in this schedule:
| ARM | — Adjustable Rate Mortgage | |
| BRL | — Brazilian Real | |
| CAD | — Canadian Dollar | |
| CAS | — Connecticut Avenue Securities | |
| CLP | — Chilean Peso | |
| GTD | — Guaranteed | |
| IDR | — Indonesian Rupiah | |
| IO | — Interest Only | |
| JSC | — Joint Stock Company | |
| LIBOR | — London Interbank Offered Rate | |
| MXN | — Mexican Peso | |
| OFZ | — Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation) | |
| PJSC | — Private Joint Stock Company | |
| REMIC | — Real Estate Mortgage Investment Conduit | |
| RUB | — Russian Ruble | |
| SOFR | — Secured Overnight Financing Rate | |
| USD | — United States Dollar | |
See Notes to Consolidated Schedule of Investments.
|
8 |
Western Asset Inflation-Linked Income Fund 2021 Quarterly Report |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d) |
August 31, 2021 |
At August 31, 2021, the Fund had the following open reverse repurchase agreements:
| Counterparty |
Rate |
Effective Date |
Maturity Date |
Face Amount of Reverse Repurchase Agreements |
Asset Class of Collateral* |
Collateral Value** |
||||||||||||||
| Morgan Stanley & Co. Inc. |
0.110% | 6/11/2021 | 9/10/2021 | $ |
163,575,000 |
|
U.S. Treasury Inflation Protected Securities | $ |
168,601,789 |
| ||||||||||
| * | Refer to the Consolidated Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements. |
| ** | Including accrued interest. |
At August 31, 2021, the Fund had the following open futures contracts:
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| 90-Day Eurodollar |
322 | 12/23 | $ | 79,673,951 | $ | 79,723,175 | $ | 49,224 | ||||||||||||
| Brent Crude |
124 | 12/21 | 7,582,665 | 8,804,000 | 1,221,335 | |||||||||||||||
| Copper |
138 | 12/21 | 15,072,045 | 15,093,750 | 21,705 | |||||||||||||||
| Euro |
53 | 9/21 | 8,098,177 | 7,827,769 | (270,408 | ) | ||||||||||||||
| Gold 100 Ounce |
73 | 12/21 | 13,243,112 | 13,272,130 | 29,018 | |||||||||||||||
| Japanese Yen |
35 | 9/21 | 4,000,833 | 3,977,750 | (23,083 | ) | ||||||||||||||
| Mexican Peso |
97 | 9/21 | 2,439,335 | 2,411,420 | (27,915 | ) | ||||||||||||||
| U.S. Treasury 5-Year Notes |
54 | 12/21 | 6,672,383 | 6,680,813 | 8,430 | |||||||||||||||
| U.S. Treasury 10-Year Notes |
923 | 12/21 | 123,246,815 | 123,177,239 | (69,576 | ) | ||||||||||||||
| WTI Crude |
78 | 2/22 | 5,212,975 | 5,242,380 | 29,405 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 968,135 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| British Pound |
33 | 9/21 | 2,911,755 | 2,837,588 | 74,167 | |||||||||||||||
| U.S. Treasury Long-Term Bonds |
201 | 12/21 | 32,680,842 | 32,756,719 | (75,877 | ) | ||||||||||||||
| U.S. Treasury Ultra Long- Term Bonds |
160 | 12/21 | 31,399,723 | 31,565,000 | (165,277 | ) | ||||||||||||||
| WTI Crude |
70 | 10/21 | 4,822,825 | 4,795,000 | 27,825 | |||||||||||||||
|
|
|
|||||||||||||||||||
| (139,162 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation on open futures contracts |
|
$ | 828,973 | |||||||||||||||||
|
|
|
|||||||||||||||||||
See Notes to Consolidated Schedule of Investments.
| Western Asset Inflation-Linked Income Fund 2021 Quarterly Report |
9 |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d) |
August 31, 2021 |
At August 31, 2021, the Fund had the following open forward foreign currency contracts:
| Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| INR | 236,697,367 | USD | 3,129,179 | Citibank N.A. | 10/18/21 | $ | 97,502 | |||||||||||||||
| MYR | 11,377,459 | USD | 2,721,880 | Goldman Sachs Group Inc. | 10/18/21 | 9,115 | ||||||||||||||||
| USD | 1,685,030 | EUR | 1,418,609 | BNP Paribas SA | 10/19/21 | 8,378 | ||||||||||||||||
| USD | 1,049,685 | MXN | 21,300,000 | Citibank N.A. | 10/19/21 | (3,753 | ) | |||||||||||||||
| GBP | 1,928,058 | USD | 2,668,816 | Goldman Sachs Group Inc. | 10/19/21 | (17,735 | ) | |||||||||||||||
| USD | 3,260,366 | CAD | 4,047,196 | Goldman Sachs Group Inc. | 10/19/21 | 52,752 | ||||||||||||||||
| USD | 4,027,999 | CLP | 3,021,201,024 | Goldman Sachs Group Inc. | 10/19/21 | 131,418 | ||||||||||||||||
| AUD | 145,262 | USD | 108,947 | JPMorgan Chase & Co. | 10/19/21 | (2,651 | ) | |||||||||||||||
| IDR | 5,269,305,390 | USD | 357,048 | JPMorgan Chase & Co. | 10/19/21 | 10,871 | ||||||||||||||||
| USD | 910,861 | JPY | 99,967,625 | JPMorgan Chase & Co. | 10/19/21 | 1,816 | ||||||||||||||||
| BRL | 24,556,828 | USD | 4,671,251 | Morgan Stanley & Co. Inc. | 10/19/21 | 44,604 | ||||||||||||||||
| COP | 21,134,053,192 | USD | 5,497,647 | Morgan Stanley & Co. Inc. | 10/19/21 | 95,017 | ||||||||||||||||
| RUB | 676,685,641 | USD | 8,914,902 | Morgan Stanley & Co. Inc. | 10/19/21 | 246,850 | ||||||||||||||||
| USD | 5,589,776 | EUR | 4,700,000 | Morgan Stanley & Co. Inc. | 10/19/21 | 34,854 | ||||||||||||||||
| USD | 4,766,396 | MXN | 96,321,722 | Morgan Stanley & Co. Inc. | 10/19/21 | 2,595 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total | $ | 711,633 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Abbreviation(s) used in this table:
| AUD | — Australian Dollar | |
| BRL | — Brazilian Real | |
| CAD | — Canadian Dollar | |
| CLP | — Chilean Peso | |
| COP | — Colombian Peso | |
| EUR | — Euro | |
| GBP | — British Pound | |
| IDR | — Indonesian Rupiah | |
| INR | — Indian Rupee | |
| JPY | — Japanese Yen | |
| MXN | — Mexican Peso | |
| MYR | — Malaysian Ringgit | |
| RUB | — Russian Ruble | |
| USD | — United States Dollar |
At August 31, 2021, the Fund had the following open swap contracts:
| CENTRALLY CLEARED INTEREST RATE SWAPS | ||||||||||||||||||||||
| NOTIONAL AMOUNT |
TERMINATION DATE |
PAYMENTS MADE BY THE FUND† |
PAYMENTS RECEIVED BY THE FUND† |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| $ | 21,580,000 | 3/22/23 | 2.570%* | CPURNSA* | — | $ | 615,036 | |||||||||||||||
See Notes to Consolidated Schedule of Investments.
|
10 |
Western Asset Inflation-Linked Income Fund 2021 Quarterly Report |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d) |
August 31, 2021 |
| CENTRALLY CLEARED INTEREST RATE SWAPS (cont’d) | ||||||||||||||||||||
| NOTIONAL AMOUNT |
TERMINATION DATE |
PAYMENTS MADE BY THE FUND† |
PAYMENTS RECEIVED BY |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||
| $ | 7,110,000 | 4/7/25 | 0.802%* | CPURNSA* | $ | 45,882 | $ | 735,207 | ||||||||||||
| 21,580,000 | 3/22/26 | CPURNSA* | 2.504%* | — | (706,309 | ) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| Total | $ | 50,270,000 | $ | 45,882 | $ | 643,934 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1 |
||||||||||||||||||||||
| REFERENCE ENTITY |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
PERIODIC PAYMENTS RECEIVED BY THE FUND† |
MARKET VALUE3 |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION |
||||||||||||||||
| Markit CDX.NA.HY.36 | ||||||||||||||||||||||
| Index | $ | 9,464,000 | 6/20/26 | 5.000% quarterly | $ | 928,437 | $ | 781,191 | $ | 147,246 | ||||||||||||
| Markit CDX.NA.IG.36 | ||||||||||||||||||||||
| Index | 73,036,000 | 6/20/26 | 1.000% quarterly | 1,852,047 | 1,498,281 | 353,766 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total | $ | 82,500,000 | $ | 2,780,484 | $ | 2,279,472 | $ | 501,012 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| 1 | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| 2 | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| 3 | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| † | Percentage shown is an annual percentage rate. |
| * | One time payment made at termination date. |
Abbreviation(s) used in this table:
| CPURNSA | — U.S. CPI Urban Consumers NSA Index |
This Consolidated Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Consolidated Schedule of Investments.
| Western Asset Inflation-Linked Income Fund 2021 Quarterly Report |
11 |
Notes to Consolidated Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Inflation-Linked Income Fund (the “Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified, closed-end management investment company. The Fund commenced operations on September 26, 2003.
The Fund’s primary investment objective is to provide current income for its shareholders. Capital appreciation, when consistent with current income, is a secondary investment objective. Under normal market conditions and at the time of purchase, the Fund will invest at least 80% of its total managed assets in inflation-linked securities and at least 60% of its total managed assets in U.S. Treasury Inflation Protected Securities (“TIPS”). The Fund may also invest up to 40% of its total managed assets in non-U.S. dollar investments. The Fund can invest no more than 10% of its total managed assets in securities rated below investment grade at the time of purchase (or, if unrated, assets of comparable quality as determined by management). If a security is rated by multiple nationally recognized statistical rating organizations (“NRSROs”) and receives different ratings, the Fund will treat the security as being rated in the highest rating category received from an NRSRO.
The Fund may gain exposure to the commodities markets by investing a portion of its assets in a wholly-owned subsidiary, Western Asset Inflation-Linked Income Fund CFC (the “Subsidiary”), organized under the laws of the Cayman Islands. Among other investments, the Subsidiary may invest in commodity-linked instruments. The Fund may invest up to 25% of its total assets in the Subsidiary; although 10% of total managed assets may be utilized for commodity-related strategies. This schedule of investments is the consolidated schedule of investments of the Fund and the Subsidiary.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are
|
12 |
Notes to Consolidated Schedule of Investments (unaudited) (continued)
deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Global Fund Valuation Committee (formerly known as Legg Mason North Atlantic Fund Valuation Committee prior to March 1, 2021) (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the
|
13 |
Notes to Consolidated Schedule of Investments (unaudited) (continued)
particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| • | 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 Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:
| ASSETS |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Long-Term Investments†: |
||||||||||||||||
| U.S. Treasury Inflation Protected Securities |
— | $ | 393,815,706 | — | $ | 393,815,706 | ||||||||||
| Corporate Bonds & Notes |
— | 41,865,223 | — | 41,865,223 | ||||||||||||
| Collateralized Mortgage Obligations |
— | 23,259,808 | — | 23,259,808 | ||||||||||||
| Non-U.S. Treasury Inflation Protected Securities |
— | 16,283,619 | — | 16,283,619 | ||||||||||||
| Sovereign Bonds |
— | 13,906,754 | — | 13,906,754 | ||||||||||||
| Asset-Backed Securities |
— | 6,154,029 | — | 6,154,029 | ||||||||||||
| Mortgage-Backed Securities |
— | 845,533 | — | 845,533 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long-Term Investments |
— | 496,130,672 | — | 496,130,672 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments† |
$ | 8,629,655 | — | — | 8,629,655 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
$ | 8,629,655 | $ | 496,130,672 | — | $ | 504,760,327 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
14 |
Notes to Consolidated Schedule of Investments (unaudited) (continued)
| ASSETS (cont’d) |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts†† |
$ | 1,461,109 | — | — | $ | 1,461,109 | ||||||||||
| Forward Foreign Currency Contracts†† |
— | $ | 735,772 | — | 735,772 | |||||||||||
| Centrally Cleared Interest Rate Swaps†† |
— | 1,350,243 | — | 1,350,243 | ||||||||||||
| Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection†† |
— | 501,012 | — | 501,012 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments |
$ | 1,461,109 | $ | 2,587,027 | — | $ | 4,048,136 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 10,090,764 | $ | 498,717,699 | — | $ | 508,808,463 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts†† |
$ | 632,136 | — | — | $ | 632,136 | ||||||||||
| Forward Foreign Currency Contracts†† |
— | $ | 24,139 | — | 24,139 | |||||||||||
| Centrally Cleared Interest Rate Swaps†† |
— | 706,309 | — | 706,309 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 632,136 | $ | 730,448 | — | $ | 1,362,584 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| † | See Consolidated Schedule of Investments for additional detailed categorizations. |
| †† | Reflects the unrealized appreciation (depreciation) of the instruments. |
|
15 |