WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) | October 31, 2019 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| CORPORATE BONDS & NOTES - 86.2% | ||||||||||||||||
| COMMUNICATION SERVICES - 8.5% | ||||||||||||||||
| Diversified Telecommunication Services - 3.1% |
||||||||||||||||
| AT&T Inc., Senior Notes |
3.600 | % | 7/15/25 | $ | 500,000 | $ | 527,062 | |||||||||
| Telecom Italia SpA, Senior Notes |
5.303 | % | 5/30/24 | 260,000 | 278,200 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Telecommunication Services |
805,262 | |||||||||||||||
|
|
|
|||||||||||||||
| Media - 4.4% |
||||||||||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
4.464 | % | 7/23/22 | 100,000 | 105,126 | |||||||||||
| Discovery Communications LLC, Senior Notes |
4.375 | % | 6/15/21 | 250,000 | 258,267 | |||||||||||
| Discovery Communications LLC, Senior Notes |
4.125 | % | 5/15/29 | 20,000 | 21,283 | |||||||||||
| Time Warner Entertainment Co. LP, Senior Secured Notes |
8.375 | % | 3/15/23 | 640,000 | 762,167 | |||||||||||
|
|
|
|||||||||||||||
| Total Media |
1,146,843 | |||||||||||||||
|
|
|
|||||||||||||||
| Wireless Telecommunication Services - 1.0% |
||||||||||||||||
| Sprint Corp., Senior Notes |
7.250 | % | 9/15/21 | 230,000 | 245,424 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL COMMUNICATION SERVICES |
2,197,529 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER DISCRETIONARY - 5.1% | ||||||||||||||||
| Automobiles - 3.2% |
||||||||||||||||
| Daimler Finance North America LLC, Senior Notes |
2.850 | % | 1/6/22 | 150,000 | 151,916 | (a) | ||||||||||
| Ford Motor Credit Co. LLC, Senior Notes |
5.875 | % | 8/2/21 | 250,000 | 262,279 | |||||||||||
| Ford Motor Credit Co. LLC, Senior Notes |
3.350 | % | 11/1/22 | 260,000 | 260,775 | |||||||||||
| General Motors Financial Co. Inc., Senior Notes |
3.450 | % | 4/10/22 | 130,000 | 132,512 | |||||||||||
|
|
|
|||||||||||||||
| Total Automobiles |
807,482 | |||||||||||||||
|
|
|
|||||||||||||||
| Hotels, Restaurants & Leisure - 0.5% |
||||||||||||||||
| Las Vegas Sands Corp., Senior Notes |
3.200 | % | 8/8/24 | 130,000 | 133,017 | |||||||||||
|
|
|
|||||||||||||||
| Household Durables - 1.1% |
||||||||||||||||
| DR Horton Inc., Senior Notes |
2.500 | % | 10/15/24 | 70,000 | 70,086 | |||||||||||
| Lennar Corp., Senior Notes |
2.950 | % | 11/29/20 | 60,000 | 60,075 | |||||||||||
| Lennar Corp., Senior Notes |
8.375 | % | 1/15/21 | 60,000 | 63,900 | |||||||||||
| Newell Brands Inc., Senior Notes |
3.850 | % | 4/1/23 | 93,000 | 96,271 | |||||||||||
|
|
|
|||||||||||||||
| Total Household Durables |
290,332 | |||||||||||||||
|
|
|
|||||||||||||||
| Multiline Retail - 0.3% |
||||||||||||||||
| Dollar Tree Inc., Senior Notes |
3.700 | % | 5/15/23 | 80,000 | 83,722 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
1,314,553 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER STAPLES - 3.8% | ||||||||||||||||
| Food Products - 1.0% |
||||||||||||||||
| Smithfield Foods Inc., Senior Notes |
3.350 | % | 2/1/22 | 260,000 | 261,370 | (a) | ||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
1
Western Asset Short Duration Income ETF 2019 Quarterly Report
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2019 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Tobacco - 2.8% |
||||||||||||||||
| Altria Group Inc., Senior Notes |
3.800 | % | 2/14/24 | $ | 500,000 | $ | 524,572 | |||||||||
| Imperial Brands Finance PLC, Senior Notes |
3.125 | % | 7/26/24 | 200,000 | 201,159 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Tobacco |
725,731 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER STAPLES |
987,101 | |||||||||||||||
|
|
|
|||||||||||||||
| ENERGY - 15.5% | ||||||||||||||||
| Oil, Gas & Consumable Fuels - 15.5% |
||||||||||||||||
| Chesapeake Energy Corp., Senior Notes |
7.000 | % | 10/1/24 | 250,000 | 168,750 | |||||||||||
| Cimarex Energy Co., Senior Notes |
4.375 | % | 6/1/24 | 130,000 | 136,200 | |||||||||||
| Concho Resources Inc., Senior Notes |
4.375 | % | 1/15/25 | 130,000 | 134,356 | |||||||||||
| Continental Resources Inc., Senior Notes |
4.500 | % | 4/15/23 | 240,000 | 249,997 | |||||||||||
| Ecopetrol SA, Senior Notes |
5.875 | % | 9/18/23 | 120,000 | 133,014 | |||||||||||
| Energy Transfer Operating LP, Senior Notes |
4.200 | % | 9/15/23 | 60,000 | 63,406 | |||||||||||
| Energy Transfer Operating LP, Senior Notes |
4.050 | % | 3/15/25 | 250,000 | 262,483 | |||||||||||
| KazMunayGas National Co. JSC, Senior Notes |
4.750 | % | 4/24/25 | 250,000 | 272,795 | (a) | ||||||||||
| MPLX LP, Senior Notes |
3.375 | % | 3/15/23 | 100,000 | 102,710 | |||||||||||
| Oasis Petroleum Inc., Senior Notes |
6.875 | % | 3/15/22 | 80,000 | 70,200 | |||||||||||
| Oasis Petroleum Inc., Senior Notes |
6.875 | % | 1/15/23 | 95,000 | 82,175 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
4.850 | % | 3/15/21 | 120,000 | 124,030 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
2.900 | % | 8/15/24 | 510,000 | 514,643 | |||||||||||
| Range Resources Corp., Senior Notes |
5.000 | % | 8/15/22 | 130,000 | 120,250 | |||||||||||
| Western Midstream Operating LP, Senior Notes |
5.375 | % | 6/1/21 | 2,000 | 2,065 | |||||||||||
| Western Midstream Operating LP, Senior Notes |
4.000 | % | 7/1/22 | 581,000 | 590,101 | |||||||||||
| Western Midstream Operating LP, Senior Notes |
3.950 | % | 6/1/25 | 50,000 | 48,723 | |||||||||||
| Western Midstream Operating LP, Senior Notes |
4.750 | % | 8/15/28 | 370,000 | 358,847 | |||||||||||
| Whiting Petroleum Corp., Senior Notes |
5.750 | % | 3/15/21 | 35,000 | 32,900 | |||||||||||
| Williams Cos. Inc., Senior Notes |
7.875 | % | 9/1/21 | 16,000 | 17,574 | |||||||||||
| Williams Cos. Inc., Senior Notes |
3.700 | % | 1/15/23 | 500,000 | 517,444 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
4,002,663 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 24.1% | ||||||||||||||||
| Banks - 17.8% |
||||||||||||||||
| Banco Santander SA, Senior Notes |
3.848 | % | 4/12/23 | 200,000 | 209,030 | |||||||||||
| Barclays Bank PLC, Subordinated Notes |
7.625 | % | 11/21/22 | 350,000 | 391,475 | |||||||||||
| Barclays PLC, Subordinated Notes (5.088% to 6/20/29 then 3 mo. USD LIBOR + 3.054%) |
5.088 | % | 6/20/30 | 200,000 | 217,369 | (b) | ||||||||||
| BPCE SA, Senior Notes |
3.000 | % | 5/22/22 | 250,000 | 254,233 | (a) | ||||||||||
| Citigroup Inc., Senior Notes |
2.900 | % | 12/8/21 | 200,000 | 203,383 | |||||||||||
| Credit Suisse Group Funding Guernsey Ltd., Senior Notes |
3.125 | % | 12/10/20 | 250,000 | 252,739 | |||||||||||
| Danske Bank A/S, Senior Notes |
5.000 | % | 1/12/22 | 200,000 | 210,718 | (a) | ||||||||||
See Notes to Schedule of Investments.
2
Western Asset Short Duration Income ETF 2019 Quarterly Report
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2019 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Banks - (continued) |
||||||||||||||||
| Danske Bank A/S, Senior Notes |
5.375 | % | 1/12/24 | $ | 500,000 | $ | 551,045 | (a) | ||||||||
| Danske Bank A/S, Senior Notes (3.244% to 12/20/24 then 3 mo. USD LIBOR + 1.591%) |
3.244 | % | 12/20/25 | 200,000 | 202,996 | (a)(b) | ||||||||||
| HSBC Holdings PLC, Senior Notes |
3.400 | % | 3/8/21 | 200,000 | 203,458 | |||||||||||
| Intesa Sanpaolo SpA, Senior Notes |
3.125 | % | 7/14/22 | 200,000 | 201,454 | (a) | ||||||||||
| Intesa Sanpaolo SpA, Subordinated Notes |
5.017 | % | 6/26/24 | 200,000 | 208,765 | (a) | ||||||||||
| Lloyds Banking Group PLC, Senior Notes (2.907% to 11/7/22 then 3 mo. USD LIBOR + 0.810%) |
2.907 | % | 11/7/23 | 200,000 | 202,794 | (b) | ||||||||||
| Royal Bank of Scotland Group PLC, Senior Notes (3 mo. USD LIBOR + 1.470%) |
3.628 | % | 5/15/23 | 260,000 | 262,093 | (b) | ||||||||||
| Royal Bank of Scotland Group PLC, Subordinated Notes (3.754% to 11/1/24 then 5 year Treasury Constant Maturity Rate + 2.100%) |
3.754 | % | 11/1/29 | 200,000 | 201,750 | (b)(c) | ||||||||||
| Sumitomo Mitsui Financial Group Inc., Senior Notes |
2.442 | % | 10/19/21 | 150,000 | 151,354 | |||||||||||
| UniCredit SpA, Senior Notes |
6.572 | % | 1/14/22 | 350,000 | 376,808 | (a) | ||||||||||
| UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate + 4.914%) |
7.296 | % | 4/2/34 | 250,000 | 291,417 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Total Banks |
4,592,881 | |||||||||||||||
|
|
|
|||||||||||||||
| Capital Markets - 0.9% |
||||||||||||||||
| Goldman Sachs Group Inc., Senior Notes |
5.750 | % | 1/24/22 | 140,000 | 150,865 | |||||||||||
| Owl Rock Capital Corp., Senior Notes |
4.000 | % | 3/30/25 | 70,000 | 70,049 | |||||||||||
|
|
|
|||||||||||||||
| Total Capital Markets |
220,914 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Finance - 0.5% |
||||||||||||||||
| Synchrony Financial, Senior Notes |
2.850 | % | 7/25/22 | 130,000 | 131,501 | |||||||||||
|
|
|
|||||||||||||||
| Diversified Financial Services - 3.9% |
||||||||||||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
3.950 | % | 2/1/22 | 500,000 | 517,309 | |||||||||||
| GE Capital International Funding Co. Unlimited Co., Senior Notes |
3.373 | % | 11/15/25 | 260,000 | 267,525 | |||||||||||
| Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) |
6.500 | % | 9/15/24 | 100,000 | 102,345 | (a)(d) | ||||||||||
| Park Aerospace Holdings Ltd., Senior Notes |
5.250 | % | 8/15/22 | 125,000 | 133,119 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Financial Services |
1,020,298 | |||||||||||||||
|
|
|
|||||||||||||||
| Insurance - 0.2% |
||||||||||||||||
| Reliance Standard Life Global Funding II, Secured Notes |
2.500 | % | 10/30/24 | 60,000 | 60,125 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Investment Companies - 0.8% |
||||||||||||||||
| MDGH - GMTN BV, Senior Notes |
2.500 | % | 11/7/24 | 200,000 | 200,705 | (a)(c) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
6,226,424 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
3
Western Asset Short Duration Income ETF 2019 Quarterly Report
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2019 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| HEALTH CARE - 6.7% | ||||||||||||||||
| Health Care Equipment & Supplies - 1.6% |
||||||||||||||||
| Alcon Finance Corp., Senior Notes |
2.750 | % | 9/23/26 | $ | 200,000 | $ | 204,187 | (a) | ||||||||
| Becton Dickinson and Co., Senior Notes |
2.894 | % | 6/6/22 | 190,000 | 193,719 | |||||||||||
|
|
|
|||||||||||||||
| Total Health Care Equipment & Supplies |
397,906 | |||||||||||||||
|
|
|
|||||||||||||||
| Health Care Providers & Services - 3.5% |
||||||||||||||||
| CVS Health Corp., Senior Notes |
3.350 | % | 3/9/21 | 160,000 | 162,829 | |||||||||||
| CVS Health Corp., Senior Notes |
3.700 | % | 3/9/23 | 560,000 | 583,859 | |||||||||||
| CVS Health Corp., Senior Notes |
2.625 | % | 8/15/24 | 80,000 | 80,867 | |||||||||||
| Magellan Health Inc., Senior Notes |
4.900 | % | 9/22/24 | 80,000 | 79,400 | |||||||||||
|
|
|
|||||||||||||||
| Total Health Care Providers & Services |
906,955 | |||||||||||||||
|
|
|
|||||||||||||||
| Pharmaceuticals - 1.6% |
||||||||||||||||
| Bausch Health Americas Inc., Senior Notes |
9.250 | % | 4/1/26 | 250,000 | 282,817 | (a) | ||||||||||
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
2.200 | % | 7/21/21 | 140,000 | 132,723 | |||||||||||
|
|
|
|||||||||||||||
| Total Pharmaceuticals |
415,540 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
1,720,401 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 8.4% | ||||||||||||||||
| Aerospace & Defense - 2.6% |
||||||||||||||||
| Avolon Holdings Funding Ltd., Senior Notes |
3.625 | % | 5/1/22 | 50,000 | 51,040 | (a) | ||||||||||
| Boeing Co., Senior Notes |
3.750 | % | 2/1/50 | 50,000 | 53,258 | |||||||||||
| Boeing Co., Senior Notes |
3.950 | % | 8/1/59 | 260,000 | 283,962 | |||||||||||
| L3Harris Technologies Inc., Senior Notes |
3.832 | % | 4/27/25 | 250,000 | 268,315 | |||||||||||
|
|
|
|||||||||||||||
| Total Aerospace & Defense |
656,575 | |||||||||||||||
|
|
|
|||||||||||||||
| Airlines - 1.6% |
||||||||||||||||
| America West Airlines Pass-Through Trust |
7.100 | % | 4/2/21 | 59,552 | 61,599 | |||||||||||
| American Airlines Group Inc. Pass-Through Trust |
4.375 | % | 10/1/22 | 27,326 | 28,117 | |||||||||||
| Continental Airlines 2007-1 Class B Pass-Through Trust |
6.903 | % | 4/19/22 | 174,199 | 181,697 | |||||||||||
| Continental Airlines Pass-Through Trust |
6.250 | % | 4/11/20 | 92,467 | 93,637 | |||||||||||
| Continental Airlines Pass-Through Trust |
9.798 | % | 4/1/21 | 48,422 | 49,957 | |||||||||||
| U.S. Airways Pass-Through Trust |
6.750 | % | 6/3/21 | 6,984 | 7,359 | |||||||||||
|
|
|
|||||||||||||||
| Total Airlines |
422,366 | |||||||||||||||
|
|
|
|||||||||||||||
| Commercial Services & Supplies - 0.6% |
||||||||||||||||
| Republic Services Inc., Senior Notes |
2.500 | % | 8/15/24 | 100,000 | 101,667 | |||||||||||
| United Rentals North America Inc., Secured Notes |
3.875 | % | 11/15/27 | 50,000 | 50,512 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Total Commercial Services & Supplies |
152,179 | |||||||||||||||
|
|
|
|||||||||||||||
| Industrial Conglomerates - 1.3% |
||||||||||||||||
| General Electric Co., Senior Notes |
2.700 | % | 10/9/22 | 330,000 | 332,135 | |||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
4
Western Asset Short Duration Income ETF 2019 Quarterly Report
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2019 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Trading Companies & Distributors - 2.3% |
||||||||||||||||
| Air Lease Corp., Senior Notes |
3.000 | % | 9/15/23 | $ | 250,000 | $ | 254,319 | |||||||||
| Aviation Capital Group LLC, Senior Notes |
4.125 | % | 8/1/25 | 320,000 | 334,902 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Trading Companies & Distributors |
589,221 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
2,152,476 | |||||||||||||||
|
|
|
|||||||||||||||
| INFORMATION TECHNOLOGY - 4.8% | ||||||||||||||||
| IT Services - 0.3% |
||||||||||||||||
| PayPal Holdings Inc., Senior Notes |
2.400 | % | 10/1/24 | 80,000 | 80,540 | |||||||||||
|
|
|
|||||||||||||||
| Semiconductors & Semiconductor Equipment - 1.3% |
||||||||||||||||
| Broadcom Corp./Broadcom Cayman Finance Ltd., Senior Notes |
2.650 | % | 1/15/23 | 70,000 | 70,254 | |||||||||||
| Micron Technology Inc., Senior Notes |
4.640 | % | 2/6/24 | 250,000 | 268,817 | |||||||||||
|
|
|
|||||||||||||||
| Total Semiconductors & Semiconductor Equipment |
339,071 | |||||||||||||||
|
|
|
|||||||||||||||
| Software - 0.2% |
||||||||||||||||
| Microsoft Corp., Senior Notes |
1.850 | % | 2/6/20 | 60,000 | 60,015 | |||||||||||
|
|
|
|||||||||||||||
| Technology Hardware, Storage & Peripherals - 3.0% |
||||||||||||||||
| Dell International LLC/EMC Corp., Senior Secured Notes |
4.420 | % | 6/15/21 | 740,000 | 764,226 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL INFORMATION TECHNOLOGY |
1,243,852 | |||||||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 7.3% | ||||||||||||||||
| Metals & Mining - 6.5% |
||||||||||||||||
| Anglo American Capital PLC, Senior Notes |
3.750 | % | 4/10/22 | 200,000 | 205,225 | (a) | ||||||||||
| Anglo American Capital PLC, Senior Notes |
3.625 | % | 9/11/24 | 250,000 | 259,377 | (a) | ||||||||||
| ArcelorMittal, Senior Notes |
6.250 | % | 2/25/22 | 151,000 | 163,290 | |||||||||||
| ArcelorMittal, Senior Notes |
6.125 | % | 6/1/25 | 460,000 | 523,417 | |||||||||||
| First Quantum Minerals Ltd., Senior Notes |
7.500 | % | 4/1/25 | 200,000 | 200,250 | (a) | ||||||||||
| Glencore Finance Canada Ltd., Senior Notes |
4.250 | % | 10/25/22 | 240,000 | 251,028 | (a) | ||||||||||
| Yamana Gold Inc., Senior Notes |
4.625 | % | 12/15/27 | 60,000 | 63,450 | |||||||||||
|
|
|
|||||||||||||||
| Total Metals & Mining |
1,666,037 | |||||||||||||||
|
|
|
|||||||||||||||
| Paper & Forest Products - 0.8% |
||||||||||||||||
| Suzano Austria GmbH, Senior Notes |
5.000 | % | 1/15/30 | 200,000 | 205,900 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
1,871,937 | |||||||||||||||
|
|
|
|||||||||||||||
| REAL ESTATE - 1.0% | ||||||||||||||||
| Equity Real Estate Investment Trusts (REITs) - 1.0% |
||||||||||||||||
| CoreCivic Inc., Senior Notes |
5.000 | % | 10/15/22 | 260,000 | 257,725 | |||||||||||
|
|
|
|||||||||||||||
| UTILITIES - 1.0% | ||||||||||||||||
| Electric Utilities - 0.7% |
||||||||||||||||
| Southern California Edison Co. |
2.900 | % | 3/1/21 | 100,000 | 100,769 | |||||||||||
| Southern Co., Senior Notes |
2.350 | % | 7/1/21 | 70,000 | 70,412 | |||||||||||
|
|
|
|||||||||||||||
| Total Electric Utilities |
171,181 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
5
Western Asset Short Duration Income ETF 2019 Quarterly Report
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2019 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Independent Power and Renewable Electricity Producers - 0.1% |
||||||||||||||||
| NRG Energy Inc., Senior Secured Notes |
3.750 | % | 6/15/24 | $ | 40,000 | $ | 41,494 | (a) | ||||||||
|
|
|
|||||||||||||||
| Multi-Utilities - 0.2% |
||||||||||||||||
| DTE Energy Co., Senior Notes |
3.300 | % | 6/15/22 | 50,000 | 51,382 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL UTILITIES |
264,057 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES |
|
22,238,718 | ||||||||||||||
|
|
|
|||||||||||||||
| ASSET-BACKED SECURITIES - 7.0% | ||||||||||||||||
| Halcyon Loan Advisors Funding Ltd., 2017-2A A2 (3 mo. USD LIBOR + 1.700%) |
3.702 | % | 1/17/30 | 250,000 | 245,967 | (a)(b) | ||||||||||
| Parallel Ltd., 2018-2A A2 (3 mo. USD LIBOR + 1.850%) |
3.816 | % | 10/20/31 | 250,000 | 248,202 | (a)(b) | ||||||||||
| Regatta Funding Ltd., 2016-1A BR (3 mo. USD LIBOR + 1.450%) |
3.416 | % | 7/20/28 | 250,000 | 246,465 | (a)(b) | ||||||||||
| Shackleton CLO Ltd., 2013-3A BR (3 mo. USD LIBOR + 1.550%) |
3.551 | % | 7/15/30 | 250,000 | 245,718 | (a)(b) | ||||||||||
| Symphony CLO XVIII Ltd., 2016-18A B (3 mo. USD LIBOR + 1.800%) |
3.734 | % | 1/23/28 | 250,000 | 249,503 | (a)(b) | ||||||||||
| Upgrade Receivables Trust, 2018-1A C |
5.170 | % | 11/15/24 | 550,000 | 559,136 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
1,794,991 | |||||||||||||||
|
|
|
|||||||||||||||
| SOVEREIGN BONDS - 3.1% |
|
|||||||||||||||
| Argentina - 0.2% |
||||||||||||||||
| Argentine Republic Government International Bond, Senior Notes |
5.625 | % | 1/26/22 | 140,000 | 58,800 | |||||||||||
|
|
|
|||||||||||||||
| Ghana - 0.8% |
||||||||||||||||
| Ghana Government International Bond, Senior Notes |
7.875 | % | 3/26/27 | 200,000 | 207,574 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Kenya - 0.8% |
||||||||||||||||
| Kenya Government International Bond, Senior Notes |
8.000 | % | 5/22/32 | 200,000 | 213,038 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Oman - 0.8% |
||||||||||||||||
| Oman Government International Bond, Senior Notes |
3.875 | % | 3/8/22 | 200,000 | 200,151 | (a) | ||||||||||
|
|
|
|||||||||||||||
| South Africa - 0.5% |
||||||||||||||||
| Republic of South Africa Government International Bond, Senior Notes |
5.875 | % | 5/30/22 | 120,000 | 129,094 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL SOVEREIGN BONDS |
808,657 | |||||||||||||||
|
|
|
|||||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(e) - 2.4% | ||||||||||||||||
| BX Trust, 2017-APPL D (1 mo. USD LIBOR + 2.050%) |
3.964 | % | 7/15/34 | 340,000 | 340,422 | (a)(b) | ||||||||||
| CSMC Trust, 2017-CHOP D (1 mo. USD LIBOR + 1.900%) |
3.814 | % | 7/15/32 | 270,000 | 270,253 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
610,675 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
|
25,453,041 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
6
Western Asset Short Duration Income ETF 2019 Quarterly Report
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2019 |
| SECURITY |
RATE | SHARES | VALUE | |||||||||
| SHORT-TERM INVESTMENTS - 1.9% | ||||||||||||
| BNY Mellon Cash Reserve Fund (Cost - $504,619) |
0.450 | % | 504,619 | $ | 504,619 | |||||||
|
|
|
|||||||||||
| TOTAL INVESTMENTS - 100.6% |
25,957,660 | |||||||||||
| Liabilities in Excess of Other Assets - (0.6)% |
(157,962 | ) | ||||||||||
|
|
|
|||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 25,799,698 | ||||||||||
|
|
|
|||||||||||
| (a) | 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. |
| (b) | 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. |
| (c) | Securities traded on a when-issued or delayed delivery basis. |
| (d) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities. |
| (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. |
Abbreviations used in this schedule:
| CLO | — Collateralized Loan Obligation | |
| ICE | — Intercontinental Exchange | |
| JSC | — Joint Stock Company | |
| LIBOR | — London Interbank Offered Rate | |
| PIK | — Payment-In-Kind | |
| USD | — United States Dollar |
At October 31, 2019, the Fund had the following open futures contracts:
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| U.S. Treasury 2-Year Notes |
16 | 12/19 | $ | 3,454,822 | $ | 3,449,625 | $ | (5,197 | ) | |||||||||||
| U.S. Treasury 5-Year Notes |
118 | 12/19 | 14,131,907 | 14,065,969 | (65,938 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (71,135 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| U.S. Treasury 10-Year Notes |
2 | 12/19 | 262,341 | 260,594 | 1,747 | |||||||||||||||
| U.S. Treasury Long-Term Bonds |
32 | 12/19 | 5,267,499 | 5,164,000 | 103,499 | |||||||||||||||
See Notes to Schedule of Investments.
7
Western Asset Short Duration Income ETF 2019 Quarterly Report
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2019 |
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Sell continued | ||||||||||||||||||||
| U.S. Treasury Ultra Long-Term Bonds |
1 | 12/19 | $ | 197,179 | $ | 189,750 | $ | 7,429 | ||||||||||||
| 112,675 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation on open futures contracts | $ | 41,540 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule.
See Notes to Schedule of Investments.
8
Western Asset Short Duration Income ETF 2019 Quarterly Report
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Short Duration Income 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
9
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
10
Notes to Schedule of Investments (unaudited) (continued)
market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| • | Level 1 – quoted prices in active markets for identical investments |
| • | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:
| ASSETS |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Long-Term Investments†: |
||||||||||||||||
| Corporate Bonds & Notes |
— | $ | 22,238,718 | — | $ | 22,238,718 | ||||||||||
| Asset-Backed Securities |
— | 1,794,991 | — | 1,794,991 | ||||||||||||
| Sovereign Bonds |
— | 808,657 | — | 808,657 | ||||||||||||
| Collateralized Mortgage Obligations |
— | 610,675 | — | 610,675 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long-Term Investments |
— | 25,453,041 | — | 25,453,041 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments† |
— | 504,619 | — | 504,619 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
— | $ | 25,957,660 | — | $ | 25,957,660 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts |
$ | 112,675 | — | — | $ | 112,675 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 112,675 | $ | 25,957,660 | — | $ | 26,070,335 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts |
$ | 71,135 | — | — | $ | 71,135 | ||||||||||
| † | See Schedule of Investments for additional detailed categorizations. |
11