WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) | August 31, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| U.S. TREASURY INFLATION PROTECTED SECURITIES - 133.2% | ||||||||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
2.000 | % | 1/15/26 | 38,431,250 | $ | 37,829,687 | (a) | |||||||||
| U.S. Treasury Bonds, Inflation Indexed |
2.375 | % | 1/15/27 | 3,025,900 | 3,027,762 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
2.500 | % | 1/15/29 | 12,789,900 | 13,086,605 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
3.875 | % | 4/15/29 | 41,759,325 | 45,704,819 | (a) | ||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
2.125 | % | 2/15/40 | 6,352,335 | 6,519,031 | (b) | ||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
2.125 | % | 2/15/41 | 2,089,875 | 2,146,230 | (c) | ||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
0.750 | % | 2/15/42 | 13,097,716 | 10,628,166 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
1.375 | % | 2/15/44 | 15,840,715 | 14,169,494 | (a) | ||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
0.750 | % | 2/15/45 | 13,086,368 | 10,228,475 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
0.250 | % | 2/15/50 | 2,907,562 | 1,875,539 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
0.125 | % | 2/15/52 | 6,093,983 | 3,688,015 | (a) | ||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
1.500 | % | 2/15/53 | 2,155,503 | 1,936,046 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.625 | % | 1/15/24 | 6,538,150 | 6,451,124 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.500 | % | 4/15/24 | 19,356,000 | 18,941,552 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 10/15/24 | 11,892,100 | 11,497,816 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.250 | % | 1/15/25 | 13,525,785 | 13,000,594 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 4/15/25 | 15,355,860 | 14,647,837 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 10/15/25 | 11,170,955 | 10,607,534 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.625 | % | 1/15/26 | 36,968,375 | 35,259,926 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 4/15/26 | 2,326,860 | 2,182,859 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 10/15/26 | 6,699,360 | 6,266,682 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 4/15/27 | 8,644,960 | 7,996,912 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 1/15/30 | 1,185,890 | 1,055,665 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 1/15/32 | 7,704,690 | 6,644,378 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
1.125 | % | 1/15/33 | 10,959,796 | 10,227,313 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES |
295,620,061 | |||||||||||||||
|
|
|
|||||||||||||||
| CORPORATE BONDS & NOTES - 12.3% | ||||||||||||||||
| COMMUNICATION SERVICES - 0.0%†† | ||||||||||||||||
| Wireless Telecommunication Services - 0.0%†† |
||||||||||||||||
| T-Mobile USA Inc., Senior Notes |
3.750 | % | 4/15/27 | 40,000 | 37,929 | |||||||||||
|
|
|
|||||||||||||||
| CONSUMER DISCRETIONARY - 0.6% | ||||||||||||||||
| Hotels, Restaurants & Leisure - 0.6% |
||||||||||||||||
| Sands China Ltd., Senior Notes |
5.650 | % | 8/8/28 | 600,000 | 566,817 | |||||||||||
| Sands China Ltd., Senior Notes |
3.350 | % | 3/8/29 | 200,000 | 166,835 | |||||||||||
| Sands China Ltd., Senior Notes |
4.875 | % | 6/18/30 | 420,000 | 367,311 | |||||||||||
| Sands China Ltd., Senior Notes |
3.500 | % | 8/8/31 | 400,000 | 322,121 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
1,423,084 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Consolidated Schedule of Investments.
| Western Asset Inflation-Linked Income Fund 2023 Quarterly Report |
1 |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d) | August 31, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| ENERGY - 5.2% | ||||||||||||||||
| Energy Equipment & Services - 0.0%†† |
||||||||||||||||
| Halliburton Co., Senior Notes |
3.800 | % | 11/15/25 | 3,000 | $ | 2,927 | ||||||||||
|
|
|
|||||||||||||||
| Oil, Gas & Consumable Fuels - 5.2% |
||||||||||||||||
| Apache Corp., Senior Notes |
4.250 | % | 1/15/44 | 440,000 | 301,309 | |||||||||||
| BP Capital Markets America Inc., Senior Notes |
3.633 | % | 4/6/30 | 300,000 | 277,236 | |||||||||||
| Chevron USA Inc., Senior Notes |
3.900 | % | 11/15/24 | 200,000 | 196,812 | |||||||||||
| Enterprise Products Operating LLC, Senior Notes |
3.125 | % | 7/31/29 | 1,170,000 | 1,049,017 | |||||||||||
| EOG Resources Inc., Senior Notes |
4.375 | % | 4/15/30 | 40,000 | 38,908 | |||||||||||
| EOG Resources Inc., Senior Notes |
4.950 | % | 4/15/50 | 120,000 | 113,640 | |||||||||||
| Exxon Mobil Corp., Senior Notes |
4.327 | % | 3/19/50 | 3,500,000 | 3,036,290 | |||||||||||
| Exxon Mobil Corp., Senior Notes |
3.452 | % | 4/15/51 | 330,000 | 245,796 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
5.550 | % | 3/15/26 | 110,000 | 109,179 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
3.000 | % | 2/15/27 | 810,000 | 730,032 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
6.200 | % | 3/15/40 | 1,330,000 | 1,314,978 | |||||||||||
| Petrobras Global Finance BV, Senior Notes |
5.999 | % | 1/27/28 | 510,000 | 507,046 | |||||||||||
| QazaqGaz NC JSC, Senior Notes |
4.375 | % | 9/26/27 | 1,600,000 | 1,474,960 | (d) | ||||||||||
| Williams Cos. Inc., Senior Notes |
5.750 | % | 6/24/44 | 1,340,000 | 1,270,373 | |||||||||||
| YPF SA, Senior Notes |
8.500 | % | 7/28/25 | 800,000 | 757,162 | (e) | ||||||||||
|
|
|
|||||||||||||||
| Total Oil, Gas & Consumable Fuels |
11,422,738 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
11,425,665 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 1.5% | ||||||||||||||||
| Banks - 1.1% |
||||||||||||||||
| JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/50 |
3.109 | % | 4/22/51 | 430,000 | 291,392 | (f) | ||||||||||
| Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then |
5.013 | % | 4/4/51 | 2,440,000 | 2,205,351 | (f) | ||||||||||
|
|
|
|||||||||||||||
| Total Banks |
2,496,743 | |||||||||||||||
|
|
|
|||||||||||||||
| Financial Services - 0.4% |
||||||||||||||||
| 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%) |
7.314 | % | 12/21/65 | 1,010,000 | 749,120 | (d)(f) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
3,245,863 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Consolidated Schedule of Investments.
|
2 |
Western Asset Inflation-Linked Income Fund 2023 Quarterly Report |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d) | August 31, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| HEALTH CARE - 1.1% | ||||||||||||||||
| Pharmaceuticals - 1.1% |
||||||||||||||||
| Bausch Health Americas Inc., Senior Notes |
9.250 | % | 4/1/26 | 1,520,000 | $ | 1,378,579 | (d) | |||||||||
| Bausch Health Americas Inc., Senior Notes |
8.500 | % | 1/31/27 | 970,000 | 540,722 | (d) | ||||||||||
| Bausch Health Cos. Inc., Senior Notes |
5.250 | % | 1/30/30 | 1,160,000 | 490,942 | (d) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
2,410,243 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 1.0% | ||||||||||||||||
| Aerospace & Defense - 1.0% |
||||||||||||||||
| General Dynamics Corp., Senior Notes |
4.250 | % | 4/1/40 | 10,000 | 8,916 | |||||||||||
| General Dynamics Corp., Senior Notes |
4.250 | % | 4/1/50 | 2,560,000 | 2,258,005 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
2,266,921 | |||||||||||||||
|
|
|
|||||||||||||||
| INFORMATION TECHNOLOGY - 0.1% | ||||||||||||||||
| Semiconductors & Semiconductor Equipment - 0.1% |
||||||||||||||||
| Broadcom Inc., Senior Notes |
3.137 | % | 11/15/35 | 370,000 | 282,584 | (d) | ||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 2.8% | ||||||||||||||||
| Metals & Mining - 2.8% |
||||||||||||||||
| Anglo American Capital PLC, Senior Notes |
4.000 | % | 9/11/27 | 800,000 | 755,733 | (d) | ||||||||||
| Antofagasta PLC, Senior Notes |
2.375 | % | 10/14/30 | 550,000 | 439,128 | (d) | ||||||||||
| Barrick North America Finance LLC, Senior Notes |
5.750 | % | 5/1/43 | 530,000 | 530,915 | |||||||||||
| BHP Billiton Finance USA Ltd., Senior Notes |
5.000 | % | 9/30/43 | 810,000 | 783,824 | |||||||||||
| Glencore Finance Canada Ltd., Senior Notes |
5.550 | % | 10/25/42 | 1,170,000 | 1,070,351 | (d) | ||||||||||
| Glencore Funding LLC, Senior Notes |
4.125 | % | 3/12/24 | 370,000 | 366,672 | (d) | ||||||||||
| Glencore Funding LLC, Senior Notes |
4.000 | % | 3/27/27 | 200,000 | 190,203 | (d) | ||||||||||
| Glencore Funding LLC, Senior Notes |
3.875 | % | 10/27/27 | 800,000 | 750,478 | (d) | ||||||||||
| Southern Copper Corp., Senior Notes |
5.250 | % | 11/8/42 | 700,000 | 647,949 | |||||||||||
| Yamana Gold Inc., Senior Notes |
4.625 | % | 12/15/27 | 670,000 | 635,180 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
6,170,433 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost - $31,786,928) |
27,262,722 | |||||||||||||||
|
|
|
|||||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(g) - 8.1% | ||||||||||||||||
| Alternative Loan Trust, 2007-12T1 A3 |
6.000 | % | 6/25/37 | 1,098,826 | 520,260 | |||||||||||
| Angel Oak Mortgage Trust, 2023-1 A1 |
4.750 | % | 9/26/67 | 241,454 | 232,322 | (d) | ||||||||||
| BANK, 2021-BN32 XA, IO |
0.885 | % | 4/15/54 | 2,616,869 | 104,723 | (f) | ||||||||||
| Benchmark Mortgage Trust, 2021-B29 XA, IO |
1.147 | % | 9/15/54 | 4,216,794 | 220,336 | (f) | ||||||||||
| BHMS, 2018-ATLS D (1 mo. Term SOFR + 2.547%) |
7.857 | % | 7/15/35 | 2,520,000 | 2,391,126 | (d)(f) | ||||||||||
| BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%) |
9.416 | % | 2/15/39 | 542,747 | 518,265 | (d)(f) | ||||||||||
| BX Commercial Mortgage Trust, 2023-VLT2 A (1 mo. Term SOFR + 2.281%) |
7.591 | % | 6/15/40 | 180,000 | 180,358 | (d)(f) | ||||||||||
| BX Trust, 2021-ARIA D (1 mo. Term SOFR + 2.010%) |
7.320 | % | 10/15/36 | 850,000 | 808,346 | (d)(f) | ||||||||||
See Notes to Consolidated Schedule of Investments.
| Western Asset Inflation-Linked Income Fund 2023 Quarterly Report |
3 |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d) | August 31, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(g) - (continued) |
||||||||||||||||
| BX Trust, 2022-CLS A |
5.760 | % | 10/13/27 | 460,000 | $ | 424,363 | (d) | |||||||||
| BXMT Ltd., 2020-FL2 A (1 mo. Term SOFR + 1.014%) |
6.328 | % | 2/15/38 | 450,121 | 434,909 | (d)(f) | ||||||||||
| CD Mortgage Trust, 2017-CD5 A4 |
3.431 | % | 8/15/50 | 300,000 | 274,068 | |||||||||||
| Chase Mortgage Finance Trust, 2007-A1 2A3 |
5.271 | % | 2/25/37 | 1,575 | 1,466 | (f) | ||||||||||
| Citigroup Commercial Mortgage Trust, 2016-C3 A3 |
2.896 | % | 11/15/49 | 127,600 | 117,051 | |||||||||||
| Citigroup Commercial Mortgage Trust, 2023-SMRT A |
6.015 | % | 6/10/28 | 200,000 | 198,816 | (d)(f) | ||||||||||
| CRSO Trust, 2023-BRND A |
7.121 | % | 7/1/28 | 430,000 | 433,233 | (d) | ||||||||||
| CSMC Trust, 2019-NQM1 A1, Step bond (2.656% to 11/25/23 then 3.656%) |
2.656 | % | 10/25/59 | 141,839 | 136,062 | (d) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K115 X1, IO |
1.428 | % | 6/25/30 | 996,097 | 69,789 | (f) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4057 UI, IO |
3.000 | % | 5/15/27 | 161,304 | 4,426 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4085 IO, IO |
3.000 | % | 6/15/27 | 441,080 | 14,342 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA1 B1 (30 Day Average SOFR + 2.414%) |
7.702 | % | 1/25/50 | 440,000 | 437,187 | (d)(f) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA2 M2 (30 Day Average SOFR + 1.964%) |
7.252 | % | 2/25/50 | 232,422 | 233,194 | (d)(f) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA3 B1 (30 Day Average SOFR + 5.214%) |
10.502 | % | 6/25/50 | 264,526 | 285,251 | (d)(f) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA3 M1B (30 Day Average SOFR + 2.900%) |
8.188 | % | 4/25/42 | 600,000 | 610,888 | (d)(f) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2017-C07 1B1 (30 Day Average SOFR + 4.114%) |
9.402 | % | 5/25/30 | 440,000 | 470,271 | (d)(f) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2019-R03 1B1 (30 Day Average SOFR + 4.214%) |
9.502 | % | 9/25/31 | 240,000 | 251,844 | (d)(f) | ||||||||||
See Notes to Consolidated Schedule of Investments.
|
4 |
Western Asset Inflation-Linked Income Fund 2023 Quarterly Report |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d) | August 31, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(g) - (continued) | ||||||||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2019-R05 1B1 (30 Day Average SOFR + 4.214%) |
9.502 | % | 7/25/39 | 334,720 | $ | 345,048 | (d)(f) | |||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1B1 (30 Day Average SOFR + 3.364%) |
8.652 | % | 1/25/40 | 350,000 | 351,156 | (d)(f) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1M2 (30 Day Average SOFR + 2.164%) |
7.452 | % | 1/25/40 | 49,081 | 49,400 | (d)(f) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2021-R01 1B1 (30 Day Average SOFR + 3.100%) |
8.388 | % | 10/25/41 | 330,000 | 328,967 | (d)(f) | ||||||||||
| Government National Mortgage Association (GNMA), 2011-142 IO, IO |
0.000 | % | 9/16/46 | 1,126,686 | 11 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2012-44 IO, IO |
0.029 | % | 3/16/49 | 169,973 | 19 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2012-112 IO, IO |
0.116 | % | 2/16/53 | 567,479 | 1,342 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2012-152 IO, IO |
0.610 | % | 1/16/54 | 1,759,606 | 36,204 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2014-47 IA, IO |
0.148 | % | 2/16/48 | 111,245 | 460 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2014-50 IO, IO |
0.628 | % | 9/16/55 | 541,313 | 13,553 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2014-169 IO, IO |
0.622 | % | 10/16/56 | 5,518,018 | 119,859 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2015-101 IO, IO |
0.280 | % | 3/16/52 | 3,943,912 | 42,040 | (f) | ||||||||||
| Government National Mortgage Association (GNMA), 2015-183 IO, IO |
0.529 | % | 9/16/57 | 6,084,529 | 143,405 | (f) | ||||||||||
| GSR Mortgage Loan Trust, 2004-11 1A1 |
5.979 | % | 9/25/34 | 20,830 | 20,711 | (f) | ||||||||||
| Hawaii Hotel Trust, 2019-MAUI F (1 mo. Term SOFR + 2.797%) |
8.107 | % | 5/15/38 | 170,000 | 165,805 | (d)(f) | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX |
4.844 | % | 1/16/37 | 2,270,000 | 1,593,004 | (d)(f) | ||||||||||
| Merrill Lynch Mortgage Investors Trust, 2004-A1 2A1 |
4.105 | % | 2/25/34 | 2,969 | 2,724 | (f) | ||||||||||
| MHC Commercial Mortgage Trust, 2021-MHC A (1 mo. Term SOFR + 0.915%) |
6.225 | % | 4/15/38 | 450,000 | 443,765 | (d)(f) | ||||||||||
| MRCD Mortgage Trust, 2019-PARK A |
2.718 | % | 12/15/36 | 850,000 | 768,520 | (d) | ||||||||||
See Notes to Consolidated Schedule of Investments.
| Western Asset Inflation-Linked Income Fund 2023 Quarterly Report |
5 |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d) | August 31, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(g) - (continued) |
|
|||||||||||||||
| New Residential Mortgage Loan Trust, 2014-1A A |
3.750 | % | 1/25/54 | 300,404 | $ | 280,972 | (d)(f) | |||||||||
| PRKCM Trust, 2021-AFC1 A1 |
1.510 | % | 8/25/56 | 731,206 | 576,531 | (d)(f) | ||||||||||
| PRKCM Trust, 2023-AFC1 A1 |
6.598 | % | 2/25/58 | 701,286 | 700,574 | (d) | ||||||||||
| RAMP Trust, 2004-SL4 A5 |
7.500 | % | 7/25/32 | 33,139 | 13,603 | |||||||||||
| SREIT Trust, 2021-PALM B (1 mo. Term SOFR + 0.924%) |
6.234 | % | 10/15/34 | 830,000 | 806,127 | (d)(f) | ||||||||||
| Towd Point Mortgage Trust, 2015-2 1B3 |
3.606 | % | 11/25/60 | 950,000 | 793,774 | (d)(f) | ||||||||||
| Towd Point Mortgage Trust, 2020-2 A1A |
1.636 | % | 4/25/60 | 824,616 | 717,919 | (d)(f) | ||||||||||
| Towd Point Mortgage Trust, 2020-2 M1B |
3.000 | % | 4/25/60 | 250,000 | 184,751 | (d)(f) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
17,873,140 | |||||||||||||||
|
|
|
|||||||||||||||
| SOVEREIGN BONDS - 3.5% |
| |||||||||||||||
| Brazil - 0.1% |
||||||||||||||||
| Brazil Notas do Tesouro Nacional Serie F, Notes |
10.000 | % | 1/1/27 | 965,000 | BRL | 192,413 | ||||||||||
|
|
|
|||||||||||||||
| Chile - 1.0% |
||||||||||||||||
| Bonos de la Tesoreria de la Republica en pesos, Bonds |
5.000 | % | 3/1/35 | 2,060,000,000 | CLP | 2,280,460 | ||||||||||
|
|
|
|||||||||||||||
| Indonesia - 1.3% |
||||||||||||||||
| Indonesia Treasury Bond |
7.000 | % | 5/15/27 | 43,881,000,000 | IDR | 2,953,396 | ||||||||||
|
|
|
|||||||||||||||
| Mexico - 1.0% |
||||||||||||||||
| Mexican Bonos, Bonds |
8.000 | % | 11/7/47 | 16,190,000 | MXN | 826,179 | ||||||||||
| Mexico Government International Bond, Senior Notes |
4.500 | % | 4/22/29 | 1,480,000 | 1,430,543 | |||||||||||
|
|
|
|||||||||||||||
| Total Mexico |
2,256,722 | |||||||||||||||
|
|
|
|||||||||||||||
| Nigeria - 0.1% |
||||||||||||||||
| Nigeria Government International Bond, Senior Notes |
6.500 | % | 11/28/27 | 200,000 | 172,062 | (d) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL SOVEREIGN BONDS |
7,855,053 | |||||||||||||||
|
|
|
|||||||||||||||
| NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 1.4% |
|
|||||||||||||||
| Brazil - 1.4% |
||||||||||||||||
| Brazil Notas do Tesouro Nacional Serie B, Notes |
6.000 | % | 8/15/50 | 15,034,611 | BRL | 3,208,269 | ||||||||||
|
|
|
|||||||||||||||
| ASSET-BACKED SECURITIES - 0.5% | ||||||||||||||||
| Countrywide Home Equity Loan Trust, 2005-C 2A (1 mo. Term SOFR + 0.294%) |
5.605 | % | 7/15/35 | 176,845 | 166,158 | (f) | ||||||||||
| Countrywide Home Equity Loan Trust, 2006-I 2A (1 mo. Term SOFR + 0.254%) |
5.565 | % | 1/15/37 | 290,687 | 261,764 | (f) | ||||||||||
See Notes to Consolidated Schedule of Investments.
|
6 |
Western Asset Inflation-Linked Income Fund 2023 Quarterly Report |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d) | August 31, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
| First Franklin Mortgage Loan Trust, 2006- FF15 A5 (1 mo. Term SOFR + 0.274%) |
5.589 | % | 11/25/36 | 276,564 | $ | 270,635 | (f) | |||||||||
| Morgan Stanley ABS Capital Inc. Trust, 2004- HE7 M1 (1 mo. Term SOFR + 1.014%) |
6.329 | % | 8/25/34 | 533,408 | 511,632 | (f) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
1,210,189 | |||||||||||||||
|
|
|
|||||||||||||||
| MORTGAGE-BACKED SECURITIES - 0.3% | ||||||||||||||||
| Fhlmc - 0.1% |
||||||||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
6.000 | % | 12/1/52 | 93,263 | 94,343 | |||||||||||
|
|
|
|||||||||||||||
| Fnma - 0.2% |
||||||||||||||||
| Federal National Mortgage Association (FNMA) |
2.789 | % | 1/1/35 | 459,859 | 386,616 | (f) | ||||||||||
| Federal National Mortgage Association (FNMA) |
6.500 | % | 11/1/52 | 93,084 | 95,320 | |||||||||||
|
|
|
|||||||||||||||
| Total FNMA |
481,936 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES |
576,279 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
353,605,713 | |||||||||||||||
|
|
|
|||||||||||||||
| SHARES | ||||||||||||||||
| SHORT-TERM INVESTMENTS - 1.5% | ||||||||||||||||
| Western Asset Premier Institutional Government Reserves, Premium Shares |
5.261 | % | 3,237,196 | 3,237,196 | (h)(i) | |||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS - 160.8% |
356,842,909 | |||||||||||||||
| Liabilities in Excess of Other Assets - (60.8)% |
(134,945,139 | ) | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 221,897,770 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Consolidated Schedule of Investments.
| Western Asset Inflation-Linked Income Fund 2023 Quarterly Report |
7 |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d) | August 31, 2023 |
| † | 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 centrally cleared 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. |
| (h) | Rate shown is one-day yield as of the end of the reporting period. |
| (i) | In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At August 31, 2023, the total market value of investments in Affiliated Companies was $3,237,196 and the cost was $3,237,196 (Note 2). |
Abbreviation(s) used in this schedule:
| BRL | — Brazilian Real | |
| CAS | — Connecticut Avenue Securities | |
| CD | — Certificate of Deposit | |
| CLP | — Chilean Peso | |
| GTD | — Guaranteed | |
| IDR | — Indonesian Rupiah | |
| IO | — Interest Only | |
| JSC | — Joint Stock Company | |
| LIBOR | — London Interbank Offered Rate | |
| MXN | — Mexican Peso | |
| REMIC | — Real Estate Mortgage Investment Conduit | |
| SOFR | — Secured Overnight Financing Rate | |
| USD | — United States Dollar | |
See Notes to Consolidated Schedule of Investments.
|
8 |
Western Asset Inflation-Linked Income Fund 2023 Quarterly Report |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d) | August 31, 2023 |
At August 31, 2023, 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. |
5.420 | % | 6/5/2023 | 9/5/2023 | $ | 143,249,920 | U.S. Treasury Inflation Protected Securities | $ | 142,269,193 | |||||||||||||
| Cash | 4,315,000 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $ | 143,249,920 | $ | 146,584,193 | |||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| * | 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, 2023, the Fund had the following open futures contracts:
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| Copper |
75 | 12/23 | $ | 7,382,063 | $ | 7,166,250 | $ | (215,813 | ) | |||||||||||
| Euro |
4 | 9/23 | 540,680 | 542,625 | 1,945 | |||||||||||||||
| Gold 100 Ounce |
37 | 12/23 | 7,314,623 | 7,273,830 | (40,793 | ) | ||||||||||||||
| Japanese Yen |
35 | 9/23 | 3,183,325 | 3,015,250 | (168,075 | ) | ||||||||||||||
| U.S. Treasury 10-Year Notes |
19 | 12/23 | 2,087,507 | 2,109,594 | 22,087 | |||||||||||||||
| WTI Crude |
182 | 1/24 | 14,558,962 | 14,729,260 | 170,298 | |||||||||||||||
|
|
|
|||||||||||||||||||
| (230,351 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| U.S. Treasury Long-Term Bonds |
48 | 12/23 | 5,757,667 | 5,841,000 | (83,333 | ) | ||||||||||||||
| U.S. Treasury Ultra Long-Term Bonds |
33 | 12/23 | 4,183,021 | 4,272,469 | (89,448 | ) | ||||||||||||||
| WTI Crude |
33 | 9/23 | 2,730,338 | 2,759,790 | (29,452 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (202,233 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation on open futures contracts |
|
$ | (432,584 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||
See Notes to Consolidated Schedule of Investments.
| Western Asset Inflation-Linked Income Fund 2023 Quarterly Report |
9 |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d) | August 31, 2023 |
At August 31, 2023, the Fund had the following open forward foreign currency contracts:
| Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| AUD |
9,217,474 | USD | 6,151,243 | BNP Paribas SA | 10/20/23 | $ | (167,790 | ) | ||||||||||||
| MXN |
19,111,313 | USD | 1,088,843 | Goldman Sachs Group Inc. | 10/20/23 | 21,928 | ||||||||||||||
| MXN |
45,428,342 | USD | 2,631,847 | Goldman Sachs Group Inc. | 10/20/23 | 8,498 | ||||||||||||||
| USD |
2,519,523 | CLP | 2,055,477,440 | Goldman Sachs Group Inc. | 10/20/23 | 121,134 | ||||||||||||||
| USD |
1,495,539 | IDR | 22,576,659,367 | JPMorgan Chase & Co. | 10/20/23 | 13,607 | ||||||||||||||
| INR |
219,765,423 | USD | 2,659,311 | Morgan Stanley & Co. Inc. | 10/20/23 | (9,563 | ) | |||||||||||||
| MYR |
8,757,521 | USD | 1,897,415 | Morgan Stanley & Co. Inc. | 10/20/23 | (3,625 | ) | |||||||||||||
| USD |
509,512 | BRL | 2,521,472 | Morgan Stanley & Co. Inc. | 10/20/23 | 4,106 | ||||||||||||||
| USD |
474,403 | EUR | 429,658 | Morgan Stanley & Co. Inc. | 10/20/23 | 7,370 | ||||||||||||||
| USD |
2,026,765 | JPY | 282,422,892 | Morgan Stanley & Co. Inc. | 10/20/23 | 69,917 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation on open forward foreign currency contracts |
$ | 65,582 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
Abbreviation(s) used in this table:
| AUD | — Australian Dollar | |
| BRL | — Brazilian Real | |
| CLP | — Chilean Peso | |
| EUR | — Euro | |
| IDR | — Indonesian Rupiah | |
| INR | — Indian Rupee | |
| JPY | — Japanese Yen | |
| MXN | — Mexican Peso | |
| MYR | — Malaysian Ringgit | |
| USD | — United States Dollar |
At August 31, 2023, the Fund had the following open swap contracts:
| 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.40 Index | $ | 7,024,000 | 6/20/28 | 5.000% quarterly | $ | 198,447 | $ | (20,732 | ) | $ | 219,179 | |||||||||||
| Markit CDX.NA.IG.40 Index | 53,294,000 | 6/20/28 | 1.000% quarterly | 825,590 | 376,274 | 449,316 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total | $ | 60,318,000 | $ | 1,024,037 | $ | 355,542 | $ | 668,495 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
See Notes to Consolidated Schedule of Investments.
|
10 |
Western Asset Inflation-Linked Income Fund 2023 Quarterly Report |
WESTERN ASSET INFLATION-LINKED INCOME FUND
| Consolidated schedule of investments (unaudited) (cont’d) | August 31, 2023 |
| 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. |
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 2023 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 Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.
(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
|
12 |
Notes to Consolidated Schedule of Investments (unaudited) (cont’d)
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 deemed by the adviser to be unreliable, the market price may be determined by the adviser 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.
Pursuant to policies adopted by the Board of Trustees, the Fund’s adviser has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s adviser is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s adviser and 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.
|
13 |
Notes to Consolidated Schedule of Investments (unaudited) (cont’d)
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 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 – unadjusted 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 |
— | $ | 295,620,061 | — | $ | 295,620,061 | ||||||||||
| Corporate Bonds & Notes |
— | 27,262,722 | — | 27,262,722 | ||||||||||||
| Collateralized Mortgage Obligations |
— | 17,873,140 | — | 17,873,140 | ||||||||||||
| Sovereign Bonds |
— | 7,855,053 | — | 7,855,053 | ||||||||||||
| Non-U.S. Treasury Inflation Protected Securities |
— | 3,208,269 | — | 3,208,269 | ||||||||||||
| Asset-Backed Securities |
— | 1,210,189 | — | 1,210,189 | ||||||||||||
| Mortgage-Backed Securities |
— | 576,279 | — | 576,279 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long-Term Investments |
— | 353,605,713 | — | 353,605,713 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments† |
$ | 3,237,196 | — | — | 3,237,196 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
$ | 3,237,196 | $ | 353,605,713 | — | $ | 356,842,909 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
14 |
Notes to Consolidated Schedule of Investments (unaudited) (cont’d)
| 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†† |
$ | 194,330 | — | — | $ | 194,330 | ||||||||||
| Forward Foreign Currency Contracts†† |
— | $ | 246,560 | — | 246,560 | |||||||||||
| Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection†† |
— | 668,495 | — | 668,495 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments |
$ | 194,330 | $ | 915,055 | — | $ | 1,109,385 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 3,431,526 | $ | 354,520,768 | — | $ | 357,952,294 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts†† |
$ | 626,914 | — | — | $ | 626,914 | ||||||||||
| Forward Foreign Currency Contracts†† |
— | $ | 180,978 | — | 180,978 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 626,914 | $ | 180,978 | — | $ | 807,892 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| † | See Consolidated Schedule of Investments for additional detailed categorizations. |
| †† | Reflects the unrealized appreciation (depreciation) of the instruments. |
2. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended August 31, 2023. The following transactions were effected in such company for the period ended August 31, 2023.
| Affiliate Value at November 30, 2022 |
Purchased | Sold | Realized Gain (Loss) |
Dividend Income |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) |
Affiliate Value at February 28, 2023 |
||||||||||||||||||||||||||||||
| Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||
| Western Asset Premier Institutional Government Reserves, Premium Shares | $ | 3,529,871 | $ | 87,004,317 | 87,004,317 | $ | 87,296,992 | 87,296,992 | — | $ | 134,581 | — | $ | 3,237,196 | ||||||||||||||||||||||
|
15 |