WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
MORTGAGE-BACKED SECURITIES - 39.2%
FHLMC - 2.7%
Federal Home Loan Mortgage Corp. (FHLMC)		3.500	%		9/1/47		82,347	$	85,191
Federal Home Loan Mortgage Corp. (FHLMC)		4.000	%		9/1/48-11/1/48		493,662		512,257
Federal Home Loan Mortgage Corp. (FHLMC)		5.000	%		1/1/49		158,468		169,540
Federal Home Loan Mortgage Corp. (FHLMC)		3.000	%		9/1/49-10/1/49		190,898		194,780
Federal Home Loan Mortgage Corp. (FHLMC) Gold		3.000	%		10/1/46-5/1/47		228,580		235,177
Total FHLMC									1,196,945
FNMA - 26.8%
Federal National Mortgage Association (FNMA)		3.525	%		2/1/29		170,000		188,506
Federal National Mortgage Association (FNMA)		3.160	%		5/1/29		9,960		10,716
Federal National Mortgage Association (FNMA)		3.240	%		5/1/29		10,000		10,861
Federal National Mortgage Association (FNMA)		3.260	%		5/1/29		19,943		21,622
Federal National Mortgage Association (FNMA)		2.800	%		8/1/31		100,000		104,583
Federal National Mortgage Association (FNMA)		2.870	%		8/1/31		100,000		106,026
Federal National Mortgage Association (FNMA)		3.000	%		10/1/34-10/1/49		3,800,000		3,859,875	(a)
Federal National Mortgage Association (FNMA)		3.500	%		10/1/34-10/1/49		2,500,000		2,568,515	(a)
Federal National Mortgage Association (FNMA)		2.500	%		10/15/34-10/1/49		600,000		598,526	(a)
Federal National Mortgage Association (FNMA)		3.000	%		11/1/46-4/1/47		239,019		245,114
Federal National Mortgage Association (FNMA)		3.500	%		2/1/47-6/1/49		1,126,040		1,165,266
Federal National Mortgage Association (FNMA)		4.000	%		11/1/48		551,598		573,292
Federal National Mortgage Association (FNMA)		5.000	%		11/1/48		320,536		343,777
Federal National Mortgage Association (FNMA)		4.000	%		10/1/49		1,200,000		1,245,141	(a)
Federal National Mortgage Association (FNMA)		4.500	%		10/1/49		600,000		631,773	(a)
Total FNMA									11,673,593

See Notes to Schedule of Investments.

1

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
GNMA - 9.7%
Government National Mortgage Association (GNMA)		3.000	%		10/15/42		111,742	$	115,001
Government National Mortgage Association (GNMA) II		3.000	%		12/20/47		54,866		56,379
Government National Mortgage Association (GNMA) II		4.500	%		6/20/48-1/20/49		319,548		334,657
Government National Mortgage Association (GNMA) II		5.000	%		1/20/49		88,380		93,282
Government National Mortgage Association (GNMA) II		4.000	%		5/20/49		98,767		102,843
Government National Mortgage Association (GNMA) II		3.500	%		7/20/49		99,699		103,653
Government National Mortgage Association (GNMA) II		3.000	%		10/1/49		700,000		718,293	(a)
Government National Mortgage Association (GNMA) II		3.500	%		10/1/49		1,300,000		1,346,744	(a)
Government National Mortgage Association (GNMA) II		4.000	%		10/1/49		700,000		727,959	(a)
Government National Mortgage Association (GNMA) II		4.500	%		10/1/49		400,000		417,994	(a)
Government National Mortgage Association (GNMA) II		5.000	%		10/15/49		200,000		210,859	(a)
Total GNMA									4,227,664
TOTAL MORTGAGE-BACKED SECURITIES (Cost - $16,947,950)									17,098,202
CORPORATE BONDS & NOTES - 27.9%
COMMUNICATION SERVICES - 2.5%
Diversified Telecommunication Services - 1.0%
AT&T Inc., Senior Notes		3.400	%		5/15/25		90,000		93,901
AT&T Inc., Senior Notes		4.350	%		6/15/45		70,000		73,560
Verizon Communications Inc., Senior Notes		3.376	%		2/15/25		20,000		21,097
Verizon Communications Inc., Senior Notes		4.329	%		9/21/28		90,000		102,039
Verizon Communications Inc., Senior Notes		3.875	%		2/8/29		30,000		32,921
Verizon Communications Inc., Senior Notes		4.500	%		8/10/33		70,000		81,280
Verizon Communications Inc., Senior Notes		5.250	%		3/16/37		30,000		37,142
Total Diversified Telecommunication Services									441,940
Entertainment - 0.0%
Netflix Inc., Senior Notes		5.375	%		2/1/21		10,000		10,300

See Notes to Schedule of Investments.

2

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Media - 1.3%
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		5.125	%		5/1/27		10,000	$	10,437	(b)
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		5.750	%		4/1/48		120,000		136,799
Comcast Corp., Senior Notes		4.150	%		10/15/28		100,000		112,173
Comcast Corp., Senior Notes		4.700	%		10/15/48		70,000		85,711
DISH DBS Corp., Senior Notes		5.875	%		11/15/24		40,000		39,650
Fox Corp., Senior Notes		5.476	%		1/25/39		100,000		122,568	(b)
NBCUniversal Media LLC, Senior Notes		4.375	%		4/1/21		50,000		51,765
Total Media									559,103
Wireless Telecommunication Services - 0.2%
Sprint Corp., Senior Notes		7.875	%		9/15/23		30,000		32,954
Vodafone Group PLC, Senior Notes		4.375	%		5/30/28		30,000		33,135
Total Wireless Telecommunication Services									66,089
TOTAL COMMUNICATION SERVICES									1,077,432
CONSUMER DISCRETIONARY - 1.8%
Automobiles - 0.2%
General Motors Co., Senior Notes		5.950	%		4/1/49		10,000		10,714
General Motors Financial Co. Inc., Senior Notes		3.450	%		4/10/22		50,000		50,864
Total Automobiles									61,578
Diversified Consumer Services - 0.1%
Prime Security Services Borrower LLC/Prime Finance Inc., Senior Secured Notes		5.250	%		4/15/24		10,000		10,265	(b)
Prime Security Services Borrower LLC/Prime Finance Inc., Senior Secured Notes		5.750	%		4/15/26		40,000		41,652	(b)
Total Diversified Consumer Services									51,917
Hotels, Restaurants & Leisure - 1.3%
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		4.250	%		5/15/24		70,000		72,037	(b)
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Senior Notes		4.875	%		4/1/27		20,000		21,065
Las Vegas Sands Corp., Senior Notes		3.200	%		8/8/24		60,000		61,112
Las Vegas Sands Corp., Senior Notes		3.500	%		8/18/26		20,000		20,318
McDonald’s Corp., Senior Notes		3.800	%		4/1/28		110,000		120,555
McDonald’s Corp., Senior Notes		4.450	%		9/1/48		20,000		23,119
Sands China Ltd., Senior Notes		5.125	%		8/8/25		200,000		219,584
VOC Escrow Ltd., Senior Secured Notes		5.000	%		2/15/28		40,000		41,304	(b)
Total Hotels, Restaurants & Leisure									579,094

See Notes to Schedule of Investments.

3

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Household Durables - 0.1%
Lennar Corp., Senior Notes		4.500	%		4/30/24		40,000	$	42,140
Internet & Direct Marketing Retail - 0.1%
Amazon.com Inc., Senior Notes		4.050	%		8/22/47		40,000		48,057
TOTAL CONSUMER DISCRETIONARY									782,786
CONSUMER STAPLES - 2.2%
Beverages - 0.6%
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.150	%		1/23/25		10,000		10,922
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.000	%		4/13/28		50,000		55,144
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.439	%		10/6/48		30,000		33,959
Anheuser-Busch InBev Worldwide Inc., Senior Notes		5.550	%		1/23/49		90,000		117,785
Diageo Investment Corp., Senior Notes		2.875	%		5/11/22		50,000		51,141
Total Beverages									268,951
Food & Staples Retailing - 0.3%
Walmart Inc., Senior Notes		3.050	%		7/8/26		10,000		10,594
Walmart Inc., Senior Notes		3.700	%		6/26/28		100,000		110,830
Total Food & Staples Retailing									121,424
Food Products - 0.1%
Mars Inc., Senior Notes		2.700	%		4/1/25		20,000		20,522	(b)
Mars Inc., Senior Notes		3.200	%		4/1/30		10,000		10,579	(c)
Total Food Products									31,101
Tobacco - 1.2%
Altria Group Inc., Senior Notes		3.490	%		2/14/22		10,000		10,259
Altria Group Inc., Senior Notes		3.800	%		2/14/24		10,000		10,454
Altria Group Inc., Senior Notes		4.400	%		2/14/26		100,000		106,935
Altria Group Inc., Senior Notes		4.800	%		2/14/29		80,000		87,634
Altria Group Inc., Senior Notes		5.800	%		2/14/39		10,000		11,582
Altria Group Inc., Senior Notes		5.375	%		1/31/44		10,000		11,116
Altria Group Inc., Senior Notes		5.950	%		2/14/49		80,000		94,076
Altria Group Inc., Senior Notes		6.200	%		2/14/59		10,000		11,725
BAT Capital Corp., Senior Notes		3.557	%		8/15/27		30,000		30,218
BAT Capital Corp., Senior Notes		4.540	%		8/15/47		50,000		47,930
Philip Morris International Inc., Senior Notes		2.500	%		11/2/22		120,000		121,070
Total Tobacco									542,999
TOTAL CONSUMER STAPLES									964,475

See Notes to Schedule of Investments.

4

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
ENERGY - 5.2%
Energy Equipment & Services - 0.1%
Halliburton Co., Senior Notes		3.800	%		11/15/25		50,000	$	52,961
Oil, Gas & Consumable Fuels - 5.1%
Apache Corp., Senior Notes		4.375	%		10/15/28		10,000		10,241
Apache Corp., Senior Notes		4.250	%		1/15/44		60,000		53,431
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes		6.125	%		11/15/22		10,000		10,053	(b)
BP Capital Markets America Inc., Senior Notes		3.937	%		9/21/28		10,000		11,082
BP Capital Markets America Inc., Senior Notes		3.410	%		2/11/26		20,000		21,108
BP Capital Markets PLC, Senior Notes		3.506	%		3/17/25		50,000		53,058
Cimarex Energy Co., Senior Notes		3.900	%		5/15/27		90,000		91,635
Concho Resources Inc., Senior Notes		4.375	%		1/15/25		90,000		93,289
Continental Resources Inc., Senior Notes		4.500	%		4/15/23		50,000		51,908
Continental Resources Inc., Senior Notes		3.800	%		6/1/24		40,000		40,762
Continental Resources Inc., Senior Notes		4.375	%		1/15/28		10,000		10,328
Devon Energy Corp., Senior Notes		5.850	%		12/15/25		100,000		118,860
Devon Energy Corp., Senior Notes		5.000	%		6/15/45		40,000		46,253
Ecopetrol SA, Senior Notes		5.875	%		5/28/45		250,000		291,565
Energy Transfer Operating LP, Senior Notes		5.250	%		4/15/29		10,000		11,287
Enterprise Products Operating LLC, Senior Notes		4.150	%		10/16/28		50,000		55,372
Exxon Mobil Corp., Senior Notes		3.043	%		3/1/26		50,000		52,394
MEG Energy Corp., Senior Notes		6.375	%		1/30/23		30,000		28,950	(b)
MPLX LP, Senior Notes		4.875	%		6/1/25		60,000		66,006
MPLX LP, Senior Notes		4.800	%		2/15/29		90,000		99,356
MPLX LP, Senior Notes		5.500	%		2/15/49		10,000		11,597
Noble Energy Inc., Senior Notes		3.850	%		1/15/28		30,000		31,133
Occidental Petroleum Corp., Senior Notes		4.850	%		3/15/21		40,000		41,365
Occidental Petroleum Corp., Senior Notes		2.600	%		8/13/21		10,000		10,065
Occidental Petroleum Corp., Senior Notes		3.125	%		2/15/22		50,000		50,784
Occidental Petroleum Corp., Senior Notes		2.700	%		8/15/22		20,000		20,186
Occidental Petroleum Corp., Senior Notes		2.900	%		8/15/24		60,000		60,449
Occidental Petroleum Corp., Senior Notes		6.600	%		3/15/46		110,000		143,487
Occidental Petroleum Corp., Senior Notes		4.200	%		3/15/48		60,000		59,453
Petrobras Global Finance BV, Senior Notes		5.750	%		2/1/29		300,000		330,864
Petroleos Mexicanos, Senior Notes		6.625	%		6/15/35		40,000		39,090
Range Resources Corp., Senior Notes		4.875	%		5/15/25		40,000		33,000

See Notes to Schedule of Investments.

5

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Shell International Finance BV, Senior Notes		4.000	%		5/10/46		30,000	$	34,537
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		6.875	%		1/15/29		20,000		21,852	(b)
Transcontinental Gas Pipe Line Co. LLC, Senior Notes		7.850	%		2/1/26		10,000		12,684
Williams Cos. Inc., Senior Notes		7.750	%		6/15/31		50,000		66,286
WPX Energy Inc., Senior Notes		5.250	%		10/15/27		40,000		40,200
Total Oil, Gas & Consumable Fuels									2,223,970
TOTAL ENERGY									2,276,931
FINANCIALS - 8.3%
Banks - 6.8%
Banco Santander SA, Senior Notes		3.848	%		4/12/23		200,000		208,418
Bank of America Corp., Senior Notes (3.004% to 12/20/22 then 3 mo. USD LIBOR + 0.790%)		3.004	%		12/20/23		100,000		102,127	(d)
Bank of America Corp., Senior Notes (3.970% to 3/5/28 then 3 mo. USD LIBOR + 1.070%)		3.970	%		3/5/29		280,000		303,382	(d)
Bank of America Corp., Senior Notes (4.330% to 3/15/49 then 3 mo. USD LIBOR + 1.520%)		4.330	%		3/15/50		70,000		82,481	(d)
BNP Paribas SA, Senior Notes (4.705% to 1/10/24 then 3 mo. USD LIBOR + 2.235%)		4.705	%		1/10/25		200,000		216,191	(b)(d)
Citigroup Inc., Senior Notes		8.125	%		7/15/39		80,000		131,159
Citigroup Inc., Senior Notes		4.650	%		7/23/48		90,000		110,143
Citigroup Inc., Senior Notes (3.980% to 3/20/29 then 3 mo. USD LIBOR + 1.338%)		3.980	%		3/20/30		80,000		86,989	(d)
Citigroup Inc., Senior Notes (4.075% to 4/23/28 then 3 mo. USD LIBOR + 1.192%)		4.075	%		4/23/29		50,000		54,442	(d)
Citigroup Inc., Subordinated Notes		5.500	%		9/13/25		70,000		79,358
Danske Bank A/S, Senior Notes (3.001% to 9/20/21 then 3 mo. USD LIBOR + 1.249%)		3.001	%		9/20/22		200,000		200,733	(b)(d)
Fifth Third Bancorp, Senior Notes		3.650	%		1/25/24		10,000		10,541
HSBC Holdings PLC, Senior Notes (4.583% to 6/19/28 then 3 mo. USD LIBOR + 1.535%)		4.583	%		6/19/29		200,000		221,515	(d)
JPMorgan Chase & Co., Senior Notes (4.023% to 12/5/23 then 3 mo. USD LIBOR + 1.000%)		4.023	%		12/5/24		40,000		42,651	(d)

See Notes to Schedule of Investments.

6

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
JPMorgan Chase & Co., Senior Notes (4.203% to 7/23/28 then 3 mo. USD LIBOR + 1.260%)		4.203	%		7/23/29		110,000	$	121,913	(d)
JPMorgan Chase & Co., Senior Notes (4.452% to 12/5/28 then 3 mo. USD LIBOR + 1.330%)		4.452	%		12/5/29		60,000		67,825	(d)
JPMorgan Chase & Co., Subordinated Notes		4.950	%		6/1/45		130,000		161,928
Lloyds Banking Group PLC, Senior Notes		4.375	%		3/22/28		200,000		217,501
Royal Bank of Canada, Senior Notes		3.200	%		4/30/21		50,000		50,941
Toronto-Dominion Bank, Senior Notes		3.250	%		6/11/21		50,000		51,051
Wells Fargo & Co., Senior Notes		3.750	%		1/24/24		10,000		10,581
Wells Fargo & Co., Senior Notes		4.150	%		1/24/29		100,000		110,878
Wells Fargo & Co., Senior Notes (3.584% to 5/22/27 then 3 mo. USD LIBOR + 1.310%)		3.584	%		5/22/28		100,000		105,937	(d)
Wells Fargo & Co., Subordinated Notes		4.300	%		7/22/27		40,000		43,825
Wells Fargo & Co., Subordinated Notes		4.750	%		12/7/46		150,000		177,084
Total Banks									2,969,594
Capital Markets - 1.1%
Goldman Sachs Group Inc., Senior Notes		3.200	%		2/23/23		10,000		10,267
Goldman Sachs Group Inc., Senior Notes (2.876% to 10/31/21 then 3 mo. USD LIBOR + 0.821%)		2.876	%		10/31/22		80,000		80,913	(d)
Goldman Sachs Group Inc., Senior Notes (3.814% to 4/23/28 then 3 mo. USD LIBOR + 1.158%)		3.814	%		4/23/29		80,000		84,937	(d)
Goldman Sachs Group Inc., Senior Notes (4.223% to 5/1/28 then 3 mo. USD LIBOR + 1.301%)		4.223	%		5/1/29		10,000		10,916	(d)
Goldman Sachs Group Inc., Subordinated Notes		5.150	%		5/22/45		170,000		201,756
Morgan Stanley, Senior Notes (3.772% to 1/24/28 then 3 mo. USD LIBOR + 1.140%)		3.772	%		1/24/29		80,000		85,502	(d)
Total Capital Markets									474,291
Consumer Finance - 0.2%
American Express Co., Senior Notes		3.700	%		11/5/21		20,000		20,650
American Express Credit Corp., Senior Notes		2.375	%		5/26/20		50,000		50,065
Total Consumer Finance									70,715
Diversified Financial Services - 0.0%
Park Aerospace Holdings Ltd., Senior Notes		5.250	%		8/15/22		10,000		10,539	(b)

See Notes to Schedule of Investments.

7

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Insurance - 0.2%
American International Group Inc., Senior Notes		3.750	%		7/10/25		50,000	$	52,828
Berkshire Hathaway Finance Corp., Senior Notes		4.250	%		1/15/49		20,000		23,678
Total Insurance									76,506
TOTAL FINANCIALS									3,601,645
HEALTH CARE - 3.0%
Biotechnology - 0.1%
Celgene Corp., Senior Notes		3.875	%		8/15/25		30,000		32,382
Celgene Corp., Senior Notes		5.000	%		8/15/45		20,000		25,078
Total Biotechnology									57,460
Health Care Equipment & Supplies - 0.4%
Abbott Laboratories, Senior Notes		3.750	%		11/30/26		50,000		54,472
Becton Dickinson and Co., Senior Notes		3.363	%		6/6/24		80,000		83,447
Becton Dickinson and Co., Senior Notes		3.700	%		6/6/27		20,000		21,232
Total Health Care Equipment & Supplies									159,151
Health Care Providers & Services - 2.0%
Anthem Inc., Senior Notes		3.650	%		12/1/27		40,000		42,031
Centene Corp., Senior Notes		4.750	%		1/15/25		20,000		20,530
Cigna Corp., Senior Notes		4.125	%		11/15/25		50,000		53,685
Cigna Corp., Senior Notes		4.375	%		10/15/28		130,000		142,048
CVS Health Corp., Senior Notes		3.350	%		3/9/21		27,000		27,432
CVS Health Corp., Senior Notes		4.300	%		3/25/28		210,000		227,080
CVS Health Corp., Senior Notes		5.050	%		3/25/48		110,000		124,842
HCA Inc., Senior Secured Notes		5.250	%		6/15/26		40,000		44,541
Humana Inc., Senior Notes		3.950	%		3/15/27		70,000		74,295
Humana Inc., Senior Notes		3.125	%		8/15/29		10,000		9,991
UnitedHealth Group Inc., Senior Notes		3.875	%		12/15/28		20,000		22,020
UnitedHealth Group Inc., Senior Notes		2.875	%		8/15/29		50,000		51,031
UnitedHealth Group Inc., Senior Notes		5.700	%		10/15/40		30,000		39,749
Total Health Care Providers & Services									879,275
Pharmaceuticals - 0.5%
Allergan Funding SCS, Senior Notes		4.750	%		3/15/45		10,000		10,595
Bristol-Myers Squibb Co., Senior Notes		2.600	%		5/16/22		20,000		20,276	(b)
Bristol-Myers Squibb Co., Senior Notes		2.900	%		7/26/24		30,000		30,929	(b)
Bristol-Myers Squibb Co., Senior Notes		3.200	%		6/15/26		20,000		20,982	(b)
Bristol-Myers Squibb Co., Senior Notes		3.400	%		7/26/29		50,000		53,406	(b)
Johnson & Johnson, Senior Notes		3.625	%		3/3/37		30,000		33,443

See Notes to Schedule of Investments.

8

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Pharmaceuticals - (continued)
Teva Pharmaceutical Finance Co. BV, Senior Notes		3.650	%		11/10/21		40,000	$	37,000
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		2.200	%		7/21/21		20,000		18,300
Total Pharmaceuticals									224,931
TOTAL HEALTH CARE									1,320,817
INDUSTRIALS - 1.8%
Aerospace & Defense - 0.5%
Boeing Co., Senior Notes		3.200	%		3/1/29		40,000		41,993
Boeing Co., Senior Notes		3.250	%		2/1/35		20,000		20,724
Boeing Co., Senior Notes		3.750	%		2/1/50		20,000		21,601
Lockheed Martin Corp., Senior Notes		3.550	%		1/15/26		50,000		53,606
Northrop Grumman Corp., Senior Notes		3.250	%		1/15/28		50,000		52,475
United Technologies Corp., Senior Notes		4.125	%		11/16/28		30,000		33,942
Total Aerospace & Defense									224,341
Air Freight & Logistics - 0.0%
XPO Logistics Inc., Senior Notes		6.500	%		6/15/22		10,000		10,195	(b)
Commercial Services & Supplies - 0.4%
Cintas Corp. No 2, Senior Notes		2.900	%		4/1/22		50,000		51,093
Republic Services Inc., Senior Notes		2.500	%		8/15/24		10,000		10,106
United Rentals North America Inc., Senior Notes		4.875	%		1/15/28		50,000		52,000
Waste Management Inc., Senior Notes		3.200	%		6/15/26		10,000		10,545
Waste Management Inc., Senior Notes		3.450	%		6/15/29		10,000		10,799
Waste Management Inc., Senior Notes		4.000	%		7/15/39		10,000		11,358
Waste Management Inc., Senior Notes		4.150	%		7/15/49		10,000		11,654
Total Commercial Services & Supplies									157,555
Electric Utilities - 0.1%
Sensata Technologies Inc., Senior Notes		4.375	%		2/15/30		40,000		39,950	(b)
Electrical Equipment - 0.1%
Eaton Corp., Senior Notes		2.750	%		11/2/22		50,000		50,877
Industrial Conglomerates - 0.6%
3M Co., Senior Notes		2.375	%		8/26/29		10,000		9,946
General Electric Co., Senior Notes		6.750	%		3/15/32		40,000		50,301
General Electric Co., Senior Notes		6.875	%		1/10/39		150,000		198,441
Total Industrial Conglomerates									258,688
Road & Rail - 0.1%
Union Pacific Corp., Senior Notes		4.500	%		9/10/48		50,000		59,662
TOTAL INDUSTRIALS									801,268

See Notes to Schedule of Investments.

9

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
INFORMATION TECHNOLOGY - 1.3%
IT Services - 0.2%
Visa Inc., Senior Notes		3.150	%		12/14/25		80,000	$	85,270
Software - 0.8%
Microsoft Corp., Senior Notes		2.400	%		2/6/22		20,000		20,279
Microsoft Corp., Senior Notes		3.300	%		2/6/27		240,000		258,907
salesforce.com Inc., Senior Notes		3.250	%		4/11/23		50,000		52,160
Total Software									331,346
Technology Hardware, Storage & Peripherals - 0.3%
Apple Inc., Senior Notes		2.450	%		8/4/26		50,000		50,669
Dell International LLC/EMC Corp., Senior Secured Notes		4.420	%		6/15/21		90,000		92,800	(b)
Total Technology Hardware, Storage & Peripherals									143,469
TOTAL INFORMATION TECHNOLOGY									560,085
MATERIALS - 1.1%
Metals & Mining - 1.1%
ArcelorMittal, Senior Notes		6.250	%		2/25/22		50,000		54,028
ArcelorMittal, Senior Notes		6.125	%		6/1/25		30,000		33,758
ArcelorMittal, Senior Notes		4.550	%		3/11/26		60,000		62,778
Barrick North America Finance LLC, Senior Notes		5.750	%		5/1/43		50,000		65,467
BHP Billiton Finance USA Ltd., Senior Notes		5.000	%		9/30/43		30,000		38,731
Freeport-McMoRan Inc., Senior Notes		5.450	%		3/15/43		45,000		40,545
Glencore Funding LLC, Senior Notes		4.125	%		3/12/24		80,000		83,916	(b)
Glencore Funding LLC, Senior Notes		4.000	%		3/27/27		60,000		61,673	(b)
Glencore Funding LLC, Senior Notes		3.875	%		10/27/27		30,000		30,543	(b)
TOTAL MATERIALS									471,439
UTILITIES - 0.7%
Electric Utilities - 0.7%
Duke Energy Ohio Inc., Secured Bonds		3.650	%		2/1/29		20,000		21,882
FirstEnergy Corp., Senior Notes		4.250	%		3/15/23		40,000		42,308
FirstEnergy Corp., Senior Notes		7.375	%		11/15/31		180,000		254,683
TOTAL UTILITIES									318,873
TOTAL CORPORATE BONDS & NOTES (Cost - $11,427,403)									12,175,751
COLLATERALIZED MORTGAGE OBLIGATIONS(e) - 8.4%
Alternative Loan Trust, 2005-81 A1 (1 mo. USD LIBOR + 0.280%)		2.298	%		2/25/37		230,628		212,995	(d)
BX Commercial Mortgage Trust, 2018-IND G (1 mo. USD LIBOR + 2.050%)		4.078	%		11/15/35		149,203		149,669	(b)(d)

See Notes to Schedule of Investments.

10

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(e) - (continued)
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K091 A2		3.505	%		3/25/29		30,000	$	33,250
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA1 M2 (1 mo. USD LIBOR + 3.250%)		5.268	%		7/25/29		250,000		262,092	(d)
Federal National Mortgage Association (FNMA) - CAS, 2014-C02 1M2 (1 mo. USD LIBOR + 2.600%)		4.618	%		5/25/24		240,320		250,572	(d)
Federal National Mortgage Association (FNMA) - CAS, 2017-C07 1M2 (1 mo. USD LIBOR + 2.400%)		4.418	%		5/25/30		500,000		505,908	(b)(d)
Federal National Mortgage Association (FNMA) - CAS, 2014-C01 M2 (1 mo. USD LIBOR + 4.400%)		6.418	%		1/25/24		129,031		140,162	(d)
Federal National Mortgage Association (FNMA) - CAS, 2015-C03 1M2 (1 mo. USD LIBOR + 5.000%)		7.018	%		7/25/25		78,551		84,859	(b)(d)
Federal National Mortgage Association (FNMA) - CAS, 2017-C05 1M2 (1 mo. USD LIBOR + 2.200%)		4.218	%		1/25/30		125,000		126,625	(b)(d)
Federal National Mortgage Association (FNMA) - CAS, 2018-C03 1M1 (1 mo. USD LIBOR + 0.680%)		2.698	%		10/25/30		71,053		71,063	(b)(d)
Federal National Mortgage Association (FNMA) ACES, 2019-M1 A2		3.673	%		9/25/28		100,000		110,540	(d)
Federal National Mortgage Association (FNMA) ACES, 2019-M4 A2		3.610	%		2/25/31		10,000		11,166
Federal National Mortgage Association (FNMA) ACES, 2019-M5 A2		3.273	%		1/25/29		30,000		32,654
Federal National Mortgage Association (FNMA) ACES, 2019-M6 A2		3.450	%		1/1/29		20,000		22,129
Motel 6 Trust, 2017-MTL6 B (1 mo. USD LIBOR + 1.190%)		3.218	%		8/15/34		319,377		319,276	(b)(d)
Motel 6 Trust, 2017-MTL6 C (1 mo. USD LIBOR + 1.400%)		3.428	%		8/15/34		588,326		588,322	(b)(d)
MTRO Commercial Mortgage Trust, 2019- TECH D (1 mo. USD LIBOR + 1.800%)		3.828	%		12/15/33		100,000		100,063	(b)(d)

See Notes to Schedule of Investments.

11

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(e) - (continued)
WaMu Mortgage Pass-Through Certificates Series, 2005-AR8, 2A1A (1 mo. USD LIBOR + 0.580%)		2.598	%		7/25/45		78,418		$	78,047	(d)
Wells Fargo Commercial Mortgage Trust, 2018-C44 A5		4.212	%		5/15/51		500,000			564,235
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $3,618,357)										3,663,627
SOVEREIGN BONDS - 7.2%
Argentina - 0.2%
Argentina POM Politica Monetaria, Bonds (Argentina Central Bank 7 Day Repo Reference Rate)		79.499	%		6/21/20		1,200,000	ARS		8,870	(d)
Argentine Republic Government International Bond, Senior Notes		4.625	%		1/11/23		150,000			62,476
Total Argentina										71,346
Brazil - 1.4%
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/21		1,260,000	BRL		319,938
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/27		150,000			42,255
Brazilian Government International Bond, Senior Notes		5.000	%		1/27/45		250,000			258,950
Total Brazil										621,143
Indonesia - 1.4%
Indonesia Government International Bond, Senior Notes		4.350	%		1/11/48		400,000			441,029
Indonesia Treasury Bond, Senior Notes		7.000	%		5/15/27		1,941,000,000	IDR		135,746
Indonesia Treasury Bond, Senior Notes		7.500	%		6/15/35		330,000,000	IDR		22,842
Total Indonesia										599,617
Kuwait - 0.5%
Kuwait International Government Bond, Senior Notes		3.500	%		3/20/27		200,000			215,452	(b)
Mexico - 2.3%
Mexican Bonos, Bonds		8.000	%		11/7/47		2,550,000	MXN		138,982
Mexican Bonos, Senior Notes		8.500	%		5/31/29		5,540,000	MXN		312,357
Mexican Bonos, Senior Notes		7.750	%		11/13/42		6,150,000	MXN		325,844
Mexico Government International Bond, Senior Notes		4.750	%		3/8/44		210,000			227,325
Total Mexico										1,004,508
Russia - 1.4%
Russian Federal Bond - OFZ		7.050	%		1/19/28		24,210,000	RUB		378,199

See Notes to Schedule of Investments.

12

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Russia - (continued)
Russian Federal Bond - OFZ		6.900	%		5/23/29		8,290,000	RUB	$	127,771
Russian Federal Bond - OFZ		7.650	%		4/10/30		6,220,000	RUB		100,660
Russian Federal Bond - OFZ		7.250	%		5/10/34		240,000			3,735
Total Russia										610,365
TOTAL SOVEREIGN BONDS (Cost - $3,030,241)										3,122,431
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 6.0%
U.S. Government Obligations - 6.0%
U.S. Treasury Bonds		3.625	%		2/15/44		390,000			504,166
U.S. Treasury Bonds		3.375	%		5/15/44		240,000			298,941
U.S. Treasury Bonds		3.000	%		2/15/48		210,000			249,334
U.S. Treasury Bonds		3.125	%		5/15/48		350,000			425,414
U.S. Treasury Bonds		3.000	%		8/15/48		90,000			107,030
U.S. Treasury Bonds		3.000	%		2/15/49		30,000			35,769
U.S. Treasury Bonds		2.875	%		5/15/49		290,000			338,224
U.S. Treasury Notes		2.250	%		3/31/21		20,000			20,147
U.S. Treasury Notes		2.625	%		1/31/26		300,000			318,176
U.S. Treasury Notes		2.375	%		5/15/29		310,000			329,205
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $2,502,687)										2,626,406
						SHARES
INVESTMENTS IN UNDERLYING FUNDS - 2.7%
Invesco Senior Loan ETF (Cost - $1,190,812)							51,746			1,168,942
						FACE AMOUNT†
U.S. TREASURY INFLATION PROTECTED SECURITIES - 1.9%
U.S. Treasury Bonds, Inflation Indexed		0.750	%		2/15/42		110,000			131,280
U.S. Treasury Bonds, Inflation Indexed		1.375	%		2/15/44		90,000			117,984
U.S. Treasury Bonds, Inflation Indexed		1.000	%		2/15/46		60,000			71,901
U.S. Treasury Bonds, Inflation Indexed		1.000	%		2/15/49		460,000			526,305
TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost - $776,290)										847,470
ASSET-BACKED SECURITIES - 1.7%
Argent Securities Inc. Pass-Through Certificates, 2004-W7 M1 (1 mo. USD LIBOR + 0.825%)		2.843	%		5/25/34		73,201			73,326	(d)
Hertz Vehicle Financing II LP, 2018-1A A		3.290	%		2/25/24		325,000			333,237	(b)
Morgan Stanley ABS Capital I Inc. Trust, 2004-NC7 M1 (1 mo. USD LIBOR + 0.855%)		2.873	%		7/25/34		90,077			90,395	(d)

See Notes to Schedule of Investments.

13

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY		RATE			MATURITY DATE		FACE AMOUNT†		VALUE
ASSET-BACKED SECURITIES - (continued)
RASC Series Trust, 2005-KS12 M1 (1 mo. USD LIBOR + 0.440%)			2.458	%		1/25/36		117,645	$	117,793	(d)
SLM Student Loan Trust, 2006-10 A6 (3 mo. USD LIBOR + 0.150%)			2.426	%		3/25/44		125,000		119,172	(d)
United States Small Business Administration, 2019-20D 1			2.980	%		4/1/39		30,000		31,268
TOTAL ASSET-BACKED SECURITIES (Cost - $756,853)										765,191
		EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT†
PURCHASED OPTIONS - 0.2%
EXCHANGE-TRADED PURCHASED OPTIONS - 0.2%
Euro-Bund Futures, Call @ 188.00EUR			11/22/19			20		2,000,000		218
U.S. Treasury 2-Year Notes, Put @ $106.63			10/25/19			2		4,000		0	(f)
U.S. Treasury 2-Year Notes, Put @ $105.75			11/22/19			3		6,000		0	(f)
U.S. Treasury 5-Year Notes, Call @ $119.50			10/25/19			13		13,000		3,555
U.S. Treasury 5-Year Notes, Put @ $115.50			10/25/19			32		32,000		250
U.S. Treasury 5-Year Notes, Put @ $115.75			10/25/19			11		11,000		86
U.S. Treasury 5-Year Notes, Put @ $115.00			11/22/19			76		76,000		1,188
U.S. Treasury 10-Year Notes, Call @ $130.00			10/25/19			23		23,000		19,406
U.S. Treasury 10-Year Notes, Call @ $131.00			10/25/19			48		48,000		19,500
U.S. Treasury 10-Year Notes, Call @ $132.00			10/25/19			33		33,000		5,672
U.S. Treasury 10-Year Notes, Put @ $128.00			10/25/19			38		38,000		2,969
U.S. Treasury 10-Year Notes, Put @ $129.00			10/25/19			33		33,000		7,219
U.S. Treasury Long-Term Bonds, Call @ $166.00			10/25/19			28		28,000		13,125
U.S. Treasury Long-Term Bonds, Put @ $155.00			10/25/19			27		27,000		2,109
U.S. Treasury Long-Term Bonds, Put @ $158.00			10/25/19			28		28,000		8,750
TOTAL EXCHANGE-TRADED PURCHASED OPTIONS										84,047
	COUNTERPARTY
OTC PURCHASED OPTIONS - 0.0%
Credit default swaption with Goldman Sachs Group Inc. to sell protection on Markit CDX.NA.IG.32 Index, Call @ 50.00bps	Goldman Sachs Group Inc.		10/16/19			1,360,000		1,360,000		449

See Notes to Schedule of Investments.

14

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	COUNTERPARTY		EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
OTC PURCHASED OPTIONS - (continued)
U.S. Dollar/Australian dollar, Put @ 0.70AUD		Citibank N.A.		12/5/19			380,000		380,000	$	700
U.S. Dollar/Euro, Call @ 1.13EUR		Citibank N.A.		10/21/19			560,000		560,000		18,911
TOTAL OTC PURCHASED OPTIONS											20,060
TOTAL PURCHASED OPTIONS (Cost - $110,401)											104,107
			RATE			MATURITY DATE		FACE AMOUNT†
SENIOR LOANS - 0.1%
INDUSTRIALS - 0.1%
Commercial Services & Supplies - 0.1%
Allied Universal Holdco LLC, Delayed Draw Term Loan				—			7/10/26		901		901	(g)
Allied Universal Holdco LLC, Initial Term Loan				—			7/10/26		9,099		9,105	(g)
API Group Inc., Term Loan B				—			5/11/26		20,000		20,050	(g)(h)
TOTAL SENIOR LOANS (Cost - $30,037)											30,056
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $40,391,031)											41,602,183
SHORT-TERM INVESTMENTS - 30.8%
U.S. TREASURY BILLS - 28.2%
U.S. Treasury Bills				1.618	%		10/15/19		1,500,000		1,499,011	(i)
U.S. Treasury Bills				1.706	%		10/17/19		800,000		799,370	(i)
U.S. Treasury Bills				1.746	%		10/31/19		1,050,000		1,048,458	(i)
U.S. Treasury Bills				1.714	%		11/7/19		2,000,000		1,996,464	(i)
U.S. Treasury Bills				1.802	%		12/5/19		2,000,000		1,993,553	(i)
U.S. Treasury Bills				1.724	%		12/19/19		3,000,000		2,988,642	(i)
U.S. Treasury Bills				1.809	%		12/26/19		2,000,000		1,991,472	(i)
TOTAL U.S. TREASURY BILLS (Cost - $12,314,212)											12,316,970
U.S. GOVERNMENT AGENCIES - 0.5%
Federal Home Loan Bank (FHLB), Discount Notes (Cost - $189,721)				1.857	%		10/28/19		190,000		189,732

See Notes to Schedule of Investments.

15

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			SHARES		VALUE
OVERNIGHT DEPOSITS - 2.1%
BNY Mellon Cash Reserve Fund (Cost - $928,218)		0.450	%		928,218	$	928,218
TOTAL SHORT-TERM INVESTMENTS (Cost - $13,432,151)							13,434,920
TOTAL INVESTMENTS - 126.1% (Cost - $53,823,182)							55,037,103
Liabilities in Excess of Other Assets - (26.1)%							(11,396,682	)
TOTAL NET ASSETS - 100.0%						$	43,640,421

† Face amount/notional amount denominated in U.S. dollars, unless otherwise noted.

(a) This security is traded on a to-be-announced (“TBA”) basis. At September 30, 2019, the Fund held TBA securities with a total cost of $12,314,001.

(b) 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.

(c) 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.

(d) 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.

(e) 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.

(f) Value is less than $1.

(g) All or a portion of this loan is unfunded as of September 30, 2019. The interest rate for fully unfunded term loans is to be determined.

(h) Security is valued using significant unobservable inputs (Note 1).

(i) Rate shown represents yield-to-maturity.

See Notes to Schedule of Investments.

16

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

Abbreviations used in this schedule:

ACES	— Alternative Credit Enhancement Securities
ARS	— Argentine Peso
AUD	— Australian Dollar
bps	— basis point spread (100 basis points = 1.00%)
BRL	— Brazilian Real
CAS	— Connecticut Avenue Securities
ETF	— Exchange-Traded Fund
EUR	— Euro
IDR	— Indonesian Rupiah
LIBOR	— London Interbank Offered Rate
MXN	— Mexican Peso
RUB	— Russian Ruble
USD	— United States Dollar

SCHEDULE OF WRITTEN OPTIONS
EXCHANGE-TRADED WRITTEN OPTIONS
SECURITY		EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
U.S. Treasury 5-Year Notes, Put			10/25/19	$	116.00			29		29,000	$	(453	)
U.S. Treasury 10-Year Notes, Call			10/25/19		130.50			11		11,000		(6,531	)
U.S. Treasury 10-Year Notes, Call			10/25/19		132.50			8		8,000		(875	)
U.S. Treasury 10-Year Notes, Call			10/25/19		133.50			24		24,000		(1,125	)
U.S. Treasury 10-Year Notes, Call			11/22/19		136.00			31		31,000		(1,938	)
U.S. Treasury 10-Year Notes, Put			10/25/19		126.00			15		15,000		(234	)
U.S. Treasury 10-Year Notes, Put			10/25/19		130.00			10		10,000		(5,312	)
U.S. Treasury 10-Year Notes, Put			10/25/19		130.50			11		11,000		(8,594	)
U.S. Treasury 10-Year Notes, Put			11/22/19		127.00			31		31,000		(3,875	)
U.S. Treasury Long-Term Bonds, Call			11/22/19		166.00			14		14,000		(14,219	)
U.S. Treasury Long-Term Bonds, Call			11/22/19		172.00			27		27,000		(6,328	)
U.S. Treasury Long-Term Bonds, Put			10/25/19		151.00			27		27,000		(844	)
U.S. Treasury Long-Term Bonds, Put			11/22/19		150.00			27		27,000		(2,109	)
U.S. Treasury Long-Term Bonds, Put			11/22/19		158.00			14		14,000		(10,281	)
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS (Premiums received - $100,736)											$	(62,718	)
OTC WRITTEN OPTIONS
	COUNTERPARTY
Interest rate swaption with Bank of America N.A., Call	Bank of America N.A.		12/9/19		135.00	bps		170,000		170,000	$	(962	)
Interest rate swaption with Bank of America N.A., Call	Bank of America N.A.		12/9/19		135.00	bps		100,000		100,000		(566	)
Interest rate swaption with Bank of America N.A., Put	Bank of America N.A.		12/9/19		185.00	bps		170,000		170,000		(557	)

See Notes to Schedule of Investments.

17

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

SCHEDULE OF WRITTEN OPTIONS (continued)
SECURITY	COUNTERPARTY		EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
Interest rate swaption with Bank of America N.A., Put		Bank of America N.A.		12/9/19		185.00	bps		100,000		100,000	$	(328	)
U.S. Dollar/Mexican Peso, Call		Citibank N.A.		11/23/19		20.53	MXN		100,000		100,000		(573	)
TOTAL OTC WRITTEN OPTIONS (Premiums received - $4,136)												$	(2,986	)
TOTAL WRITTEN OPTIONS (Premiums received - $104,872)												$	(65,704	)

† Notional amount denominated in U.S. dollars, unless otherwise noted.

Abbreviations used in this schedule:

bps	— basis point spread (100 basis points = 1.00%)
MXN	— Mexican Peso

At September 30, 2019, 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		26		12/19	$	6,349,680	$	6,372,600	$	22,920
90-Day EuroDollar		33		6/20		8,035,864		8,121,713		85,849
Euro-BTP		9		12/19		1,418,513		1,430,953		12,440
U.S. Treasury 2-Year Notes		5		12/19		1,076,440		1,077,500		1,060
U.S. Treasury 5-Year Notes		119		12/19		14,244,714		14,178,664		(66,050	)
U.S. Treasury Long-Term Bonds		22		12/19		3,613,525		3,570,875		(42,650	)
U.S. Treasury Ultra Long-Term Bonds		17		12/19		3,156,154		3,262,406		106,252
										119,821
Contracts to Sell:
30-Day Federal Funds		23		11/19		9,422,314		9,415,899		6,415
Euro-Bund		40		12/19		7,664,063		7,598,693		65,370
Japanese 10-Year Bonds		1		12/19		1,434,274		1,434,374		(100	)
U.S. Treasury 10-Year Notes		9		12/19		1,162,453		1,172,812		(10,359	)
U.S. Treasury Ultra 10-Year Notes		6		12/19		863,527		854,437		9,090
										70,416
Net unrealized appreciation on open futures contracts									$	190,237

See Notes to Schedule of Investments.

18

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

At September 30, 2019, the Fund had the following open forward foreign currency contracts:

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
ARS	740,450		USD	15,621	Citibank N.A		10/15/19	$	(3,469	)
USD	22,068		IDR	314,667,623	Bank of America N.A.		10/17/19		(56	)
USD	44,446		IDR	635,136,762	Bank of America N.A.		10/17/19		(210	)
BRL	70,035		USD	17,672	Barclays Bank PLC		10/17/19		(880	)
BRL	87,151		USD	21,615	Barclays Bank PLC		10/17/19		(718	)
CAD	1,864,967		USD	1,423,117	Barclays Bank PLC		10/17/19		(14,146	)
CNY	1,480,000		USD	208,789	Barclays Bank PLC		10/17/19		(1,515	)
GBP	231,770		USD	291,293	Barclays Bank PLC		10/17/19		(5,468	)
IDR	6,573,226,415		USD	457,714	Barclays Bank PLC		10/17/19		4,443
INR	21,682,319		USD	308,491	Barclays Bank PLC		10/17/19		(3,132	)
USD	20,974		BRL	83,822	Barclays Bank PLC		10/17/19		876
USD	298,333		CNY	2,055,422	Barclays Bank PLC		10/17/19		10,472
USD	258,155		EUR	230,000	Barclays Bank PLC		10/17/19		7,059
USD	421,546		IDR	5,988,906,604	Barclays Bank PLC		10/17/19		472
USD	410,623		INR	29,072,091	Barclays Bank PLC		10/17/19		1,191
USD	3,792		JPY	400,000	Barclays Bank PLC		10/17/19		86
USD	439,815		MXN	8,696,811	Barclays Bank PLC		10/17/19		700
ZAR	860,416		USD	60,422	Barclays Bank PLC		10/17/19		(3,814	)
USD	230,220		BRL	868,389	BNP Paribas SA		10/17/19		22,003
AUD	4,608		USD	3,223	Citibank N.A		10/17/19		(113	)
AUD	33,348		USD	22,994	Citibank N.A		10/17/19		(487	)
AUD	53,318		USD	37,030	Citibank N.A		10/17/19		(1,046	)
BRL	640,000		USD	168,465	Citibank N.A		10/17/19		(15,011	)
BRL	741,256		USD	195,353	Citibank N.A		10/17/19		(17,619	)
BRL	1,280,000		USD	336,532	Citibank N.A		10/17/19		(29,622	)
CAD	98,492		USD	74,283	Citibank N.A		10/17/19		127
CAD	112,998		USD	84,977	Citibank N.A		10/17/19		392
CAD	159,146		USD	121,833	Citibank N.A		10/17/19		(1,599	)
CAD	210,657		USD	158,916	Citibank N.A		10/17/19		234
COP	358,942,466		USD	110,682	Citibank N.A		10/17/19		(7,567	)
EUR	37,704		USD	42,539	Citibank N.A		10/17/19		(1,376	)
EUR	100,000		USD	110,285	Citibank N.A		10/17/19		(1,113	)
GBP	20,297		USD	24,694	Citibank N.A		10/17/19		337
GBP	23,627		USD	29,704	Citibank N.A		10/17/19		(566	)
GBP	23,896		USD	28,917	Citibank N.A		10/17/19		552
GBP	44,553		USD	55,544	Citibank N.A		10/17/19		(600	)
GBP	86,969		USD	108,651	Citibank N.A		10/17/19		(1,399	)
MXN	554,468		USD	28,060	Citibank N.A		10/17/19		(64	)

See Notes to Schedule of Investments.

19

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
MXN	599,998		USD	31,229	Citibank N.A		10/17/19	$	(934	)
MXN	636,120		USD	32,106	Citibank N.A		10/17/19		12
MXN	1,244,596		USD	63,996	Citibank N.A		10/17/19		(1,155	)
MXN	2,000,000		USD	100,238	Citibank N.A		10/17/19		745
MXN	4,283,163		USD	220,727	Citibank N.A		10/17/19		(4,464	)
USD	80,370		CAD	106,908	Citibank N.A		10/17/19		(398	)
USD	522,387		CAD	685,659	Citibank N.A		10/17/19		4,376
USD	17,476		EUR	15,457	Citibank N.A		10/17/19		601
USD	38,894		EUR	34,562	Citibank N.A		10/17/19		1,162
USD	50,160		EUR	44,782	Citibank N.A		10/17/19		1,270
USD	55,831		EUR	50,000	Citibank N.A		10/17/19		1,245
USD	56,240		EUR	50,000	Citibank N.A		10/17/19		1,654
USD	56,648		EUR	50,000	Citibank N.A		10/17/19		2,062
USD	66,818		EUR	60,000	Citibank N.A		10/17/19		1,314
USD	93,992		EUR	84,713	Citibank N.A		10/17/19		1,509
USD	28,181		GBP	23,107	Citibank N.A		10/17/19		(315	)
USD	3,297		JPY	350,000	Citibank N.A		10/17/19		55
USD	3,311		JPY	350,000	Citibank N.A		10/17/19		68
USD	3,323		JPY	350,000	Citibank N.A		10/17/19		80
USD	26,645		JPY	2,869,743	Citibank N.A		10/17/19		59
USD	31,229		MXN	621,534	Citibank N.A		10/17/19		(153	)
USD	39,607		RUB	2,558,326	Citibank N.A		10/17/19		269
USD	61,450		ZAR	933,361	Citibank N.A		10/17/19		42
ZAR	72,945		USD	5,095	Citibank N.A		10/17/19		(296	)
USD	281,466		BRL	1,060,000	Goldman Sachs Group Inc.		10/17/19		27,306
BRL	163,110		USD	40,149	JPMorgan Chase & Co.		10/17/19		(1,039	)
BRL	231,043		USD	60,120	JPMorgan Chase & Co.		10/17/19		(4,723	)
CNH	19,939		USD	2,801	JPMorgan Chase & Co.		10/17/19		(11	)
CNY	173,036		USD	24,442	JPMorgan Chase & Co.		10/17/19		(208	)
COP	30,007,848		USD	9,297	JPMorgan Chase & Co.		10/17/19		(676	)
COP	55,280,572		USD	16,454	JPMorgan Chase & Co.		10/17/19		(573	)
IDR	350,828,631		USD	24,460	JPMorgan Chase & Co.		10/17/19		207
IDR	402,142,306		USD	27,832	JPMorgan Chase & Co.		10/17/19		442
IDR	547,372,468		USD	38,203	JPMorgan Chase & Co.		10/17/19		282
IDR	750,466,256		USD	53,551	JPMorgan Chase & Co.		10/17/19		(787	)
INR	1,748,069		USD	24,564	JPMorgan Chase & Co.		10/17/19		55
INR	1,802,183		USD	25,974	JPMorgan Chase & Co.		10/17/19		(593	)
INR	1,950,697		USD	27,048	JPMorgan Chase & Co.		10/17/19		424
INR	3,631,386		USD	50,979	JPMorgan Chase & Co.		10/17/19		163

See Notes to Schedule of Investments.

20

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
PHP	1,095,571		USD	20,828	JPMorgan Chase & Co.		10/17/19	$	297
PHP	17,189,635		USD	329,303	JPMorgan Chase & Co.		10/17/19		2,148
USD	2,895		CNH	19,939	JPMorgan Chase & Co.		10/17/19		104
USD	21,102		CNY	148,878	JPMorgan Chase & Co.		10/17/19		252
USD	25,035		CNY	172,335	JPMorgan Chase & Co.		10/17/19		899
USD	25,879		CNY	182,397	JPMorgan Chase & Co.		10/17/19		335
USD	48,380		CNY	340,370	JPMorgan Chase & Co.		10/17/19		711
USD	273,050		EUR	240,715	JPMorgan Chase & Co.		10/17/19		10,256
USD	22,646		IDR	324,518,055	JPMorgan Chase & Co.		10/17/19		(170	)
USD	24,339		IDR	350,972,975	JPMorgan Chase & Co.		10/17/19		(337	)
USD	26,582		IDR	375,020,246	JPMorgan Chase & Co.		10/17/19		215
USD	44,667		IDR	634,813,811	JPMorgan Chase & Co.		10/17/19		34
USD	24,238		INR	1,742,563	JPMorgan Chase & Co.		10/17/19		(303	)
USD	17,660		PHP	922,005	JPMorgan Chase & Co.		10/17/19		(119	)
USD	21,031		PHP	1,085,346	JPMorgan Chase & Co.		10/17/19		104
USD	21,973		PHP	1,154,881	JPMorgan Chase & Co.		10/17/19		(296	)
USD	41,447		PHP	2,156,658	JPMorgan Chase & Co.		10/17/19		(138	)
USD	251,773		PHP	12,966,316	JPMorgan Chase & Co.		10/17/19		1,756
USD	3,698		RUB	238,644	JPMorgan Chase & Co.		10/17/19		28
EUR	252,000		USD	284,785	Citibank N.A		10/23/19		(9,535	)
ARS	549,900		USD	9,506	BNP Paribas SA		11/4/19		(1,127	)
MXN	581,633		USD	28,983	Citibank N.A		11/26/19		201
USD	29,000		MXN	581,633	Citibank N.A		11/26/19		(183	)
IDR	5,988,906,604		USD	415,839	Barclays Bank PLC		1/17/20		1,049
INR	29,072,091		USD	405,822	Barclays Bank PLC		1/17/20		(547	)
MXN	8,696,811		USD	433,642	Barclays Bank PLC		1/17/20		(633	)
USD	207,559		CNY	1,480,000	Barclays Bank PLC		1/17/20		567
ZAR	933,361		USD	60,730	Citibank N.A		1/17/20		(52	)
USD	2,795		CNH	19,939	JPMorgan Chase & Co.		1/17/20		11
USD	327,715		PHP	17,189,635	JPMorgan Chase & Co.		1/17/20		(2,436	)
Total								$	(30,478	)

See Notes to Schedule of Investments.

21

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

Abbreviations used in this table:

ARS	— Argentine Peso
AUD	— Australian Dollar
BRL	— Brazilian Real
CAD	— Canadian Dollar
CNH	— Chinese Offshore Yuan
CNY	— Chinese Yuan Renminbi
COP	— Colombian Peso
EUR	— Euro
GBP	— British Pound
IDR	— Indonesian Rupiah
INR	— Indian Rupee
JPY	— Japanese Yen
MXN	— Mexican Peso
PHP	— Philippine Peso
RUB	— Russian Ruble
USD	— United States Dollar
ZAR	— South African Rand

At September 30, 2019, 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)
		30,500,000	MXN		4/5/21	28-Day TIIE-Banxico every 28 days	7.351% every 28 days	$	(18,581	)	$	30,780
		828,000			4/26/22	3-Month LIBOR quarterly	2.250% semi-annually		164			6,808
		845,000			4/26/23	2.300% semi-annually	3-Month LIBOR quarterly		51			(7,317	)
		2,470,000	CAD		8/13/24	3-Month CAD CDOR semi-annually	1.545% semi-annually		—			(16,544	)
		1,870,000			8/15/24	1.504% semi-annually	3-Month LIBOR quarterly		—			664
		1,250,000			12/31/25	2.250% semi-annually	3-Month LIBOR quarterly		8,595			(63,952	)
		1,456,000			1/31/26	2.500% semi-annually	3-Month LIBOR quarterly		(19,270	)		(67,771	)
		3,386,000			4/30/26	1.850% semi-annually	3-Month LIBOR quarterly		(28,832	)		(43,176	)
		895,000			6/30/26	1.250% annually	U.S. Daily Federal Funds Intraday Effective Rate annually		(948	)		670

See Notes to Schedule of Investments.

22

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

CENTRALLY CLEARED INTEREST RATE SWAPS (cont’d)
	NOTIONAL AMOUNT*		TERMINATION DATE		PAYMENTS MADE BY THE FUND†		PAYMENTS RECEIVED BY THE FUND†		UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)
		524,000		2/15/36		3-Month LIBOR quarterly		3.000% semi-annually	$	287		$	101,389
		327,000		5/15/44		2.875% semi-annually		3-Month LIBOR quarterly		698			(78,867	)
		296,000		5/15/44		3.000% semi-annually		3-Month LIBOR quarterly		222			(78,632	)
		897,000		8/15/44		2.750% semi-annually		3-Month LIBOR quarterly		(77,992	)		(114,698	)
		164,000		11/15/44		1.810% semi-annually		3-Month LIBOR quarterly		218			(3,337	)
		162,000		11/15/44		1.850% semi-annually		3-Month LIBOR quarterly		(11,735	)		7,292
Total									$	(147,123	)	$	(326,691	)

OTC INTEREST RATE SWAPS
SWAP COUNTERPARTY	NOTIONAL AMOUNT			TERMINATION DATE		PAYMENTS MADE BY THE FUND†	PAYMENTS RECEIVED BY THE FUND†			UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION
Citibank N.A.		3,450,000	BRL		1/2/20	BRL-CDI**		8.410%**		$	1,395		$	24,530
Citibank N.A.		1,277,000	BRL		1/4/27	BRL-CDI**		7.024%**			764			3,526
JPMorgan Chase & Co.		300,000	BRL		1/4/27	BRL-CDI**		7.044%**			—			1,074
Total										$	2,159		$	29,130
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.IG.33 Index	$	1,905,000			12/20/24	1.000% quarterly	$	37,871		$	37,703		$	168
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION4
REFERENCE ENTITY	NOTIONAL AMOUNT2			TERMINATION DATE		PERIODIC PAYMENTS MADE BY THE FUND†	MARKET VALUE3			UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED DEPRECIATION
Markit CDX.NA.HY.33 Index	$	510,000			12/20/24	5.000% quarterly	$	(34,209	)	$	(33,010	)	$	(1,199	)

See Notes to Schedule of Investments.

23

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2019

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.

4 If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive 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 the underlying securities comprising the referenced index.

† Percentage shown is an annual percentage rate.

* Notional amount denominated in U.S. dollars, unless otherwise noted.

** One time payment made at termination date.

Abbreviations used in this table:

BRL	— Brazilian Real
BRL-CDI	— Brazil Cetip InterBank Deposit Rate
CAD	— Canadian Dollar
CDOR	— Canadian Dollar Offered Rate
LIBOR	— London Interbank Offered Rate
MXN	— Mexican Peso
TIIE	— Equilibrium Interbanking Interest Rate (Tasa de Intere’s Interbancaria de Equilibrio)

This 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 Schedule of Investments.

24

Notes to Schedule of Investments (unaudited)

1. Organization and significant accounting policies

Western Asset Total Return ETF (the “Fund”) is a separate diversified investment series of Legg Mason ETF Investment Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The Fund is an actively managed exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly-traded securities. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of the Fund may be directly purchased from and redeemed by the Fund at NAV solely by certain large institutional investors who have entered into agreements with the Fund’s distributor (“Authorized Participants”). Also unlike shares of a mutual fund, shares of the Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day.

Shares of the Fund are listed and traded at market prices on NASDAQ. The market price for the Fund’s shares may be different from the Fund’s NAV. The Fund issues and redeems shares at NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only Authorized Participants may purchase or redeem Creation Units directly with the Fund at NAV. Creation Units generally are issued and redeemed in cash. However, Creation Units may also be issued and redeemed partially in-kind for a basket securities and partially in cash. Except when aggregated in Creation Units, shares of the Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from the Fund at NAV.

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 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 use the currency exchange rates, generally determined as of 4:00 p.m. (London Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by

25

Notes to Schedule of Investments (unaudited) (continued)

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 Legg Mason North Atlantic Fund Valuation Committee (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 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.

26

Notes to Schedule of Investments (unaudited) (continued)

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.

27

Notes to Schedule of Investments (unaudited) (continued)

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†:
Mortgage-Backed Securities		—	$	17,098,202		—	$	17,098,202
Corporate Bonds & Notes		—		12,175,751		—		12,175,751
Collateralized Mortgage Obligations		—		3,663,627		—		3,663,627
Sovereign Bonds		—		3,122,431		—		3,122,431
U.S. Government & Agency Obligations		—		2,626,406		—		2,626,406
Investments in Underlying Funds	$	1,168,942		—		—		1,168,942
U.S. Treasury Inflation Protected Securities		—		847,470		—		847,470
Asset-Backed Securities		—		765,191		—		765,191
Purchased Options:
Exchange-Traded Purchased Options		84,047		—		—		84,047
OTC Purchased Options		—		20,060		—		20,060
Senior Loans:
Industrials		—		10,006	$	20,050		30,056
Total Long-Term Investments		1,252,989		40,329,144		20,050		41,602,183
Short-Term Investments†:
U.S. Treasury Bills		—		12,316,970		—		12,316,970
U.S. Government Agencies		—		189,732		—		189,732
Overnight Deposits		—		928,218		—		928,218
Total Short-Term Investments		—		13,434,920		—		13,434,920
Total Investments	$	1,252,989	$	53,764,064	$	20,050	$	55,037,103
Other Financial Instruments:
Futures Contracts	$	309,396		—		—	$	309,396
Forward Foreign Currency Contracts		—	$	113,313		—		113,313
Centrally Cleared Interest Rate Swaps		—		147,603		—		147,603
OTC Interest Rate Swaps‡		—		31,289		—		31,289
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection		—		168		—		168
Total Other Financial Instruments	$	309,396	$	292,373		—	$	601,769
Total	$	1,562,385	$	54,056,437	$	20,050	$	55,638,872

28

Notes to Schedule of Investments (unaudited) (continued)

LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Written Options:
Exchange-Traded Written Options	$	62,718		—		—	$	62,718
OTC Written Options		—	$	2,986		—		2,986
Futures Contracts		119,159		—		—		119,159
Forward Foreign Currency Contracts		—		143,791		—		143,791
Centrally Cleared Interest Rate Swaps		—		474,294		—		474,294
Centrally Cleared Credit Default Swaps on Credit Indices - Buy Protection		—		1,199		—		1,199
Total	$	181,877	$	622,270		—	$	804,147

† See Schedule of Investments for additional detailed categorizations.

‡ Value includes any premium paid or received with respect to swap contracts.

29