WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) | April 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| CORPORATE BONDS & NOTES - 82.1% | ||||||||||||||||
| COMMUNICATION SERVICES - 6.4% | ||||||||||||||||
| Diversified Telecommunication Services - 2.2% |
||||||||||||||||
| AT&T Inc., Senior Notes |
3.600 | % | 7/15/25 | $ | 200,000 | $ | 214,640 | |||||||||
|
|
|
|||||||||||||||
| Media - 3.9% |
||||||||||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
4.464 | % | 7/23/22 | 40,000 | 42,138 | |||||||||||
| Comcast Corp., Senior Notes |
3.400 | % | 4/1/30 | 10,000 | 11,228 | |||||||||||
| Comcast Corp., Senior Notes |
3.750 | % | 4/1/40 | 20,000 | 22,955 | |||||||||||
| Fox Corp., Senior Notes |
5.476 | % | 1/25/39 | 20,000 | 25,246 | |||||||||||
| Time Warner Entertainment Co. LP, Senior Secured Notes |
8.375 | % | 3/15/23 | 240,000 | 277,351 | |||||||||||
|
|
|
|||||||||||||||
| Total Media |
378,918 | |||||||||||||||
|
|
|
|||||||||||||||
| Wireless Telecommunication Services - 0.3% |
||||||||||||||||
| T-Mobile USA Inc., Senior Secured Notes |
4.375 | % | 4/15/40 | 20,000 | 22,702 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL COMMUNICATION SERVICES |
616,260 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER DISCRETIONARY - 4.1% | ||||||||||||||||
| Automobiles - 2.9% |
||||||||||||||||
| Ford Motor Credit Co. LLC, Senior Notes |
3.350 | % | 11/1/22 | 260,000 | 234,000 | |||||||||||
| General Motors Financial Co. Inc., Senior Notes |
3.450 | % | 4/10/22 | 50,000 | 48,151 | |||||||||||
|
|
|
|||||||||||||||
| Total Automobiles |
282,151 | |||||||||||||||
|
|
|
|||||||||||||||
| Hotels, Restaurants & Leisure - 0.4% |
||||||||||||||||
| Las Vegas Sands Corp., Senior Notes |
3.200 | % | 8/8/24 | 20,000 | 19,438 | |||||||||||
| NCL Corp. Ltd., Senior Notes |
3.625 | % | 12/15/24 | 20,000 | 12,850 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Hotels, Restaurants & Leisure |
32,288 | |||||||||||||||
|
|
|
|||||||||||||||
| Household Durables - 0.4% |
||||||||||||||||
| DR Horton Inc., Senior Notes |
2.500 | % | 10/15/24 | 20,000 | 19,960 | |||||||||||
| Lennar Corp., Senior Notes |
8.375 | % | 1/15/21 | 20,000 | 20,500 | |||||||||||
|
|
|
|||||||||||||||
| Total Household Durables |
40,460 | |||||||||||||||
|
|
|
|||||||||||||||
| Multiline Retail - 0.3% |
||||||||||||||||
| Dollar Tree Inc., Senior Notes |
3.700 | % | 5/15/23 | 30,000 | 31,460 | |||||||||||
|
|
|
|||||||||||||||
| Specialty Retail - 0.1% |
||||||||||||||||
| Lowe’s Cos. Inc., Senior Notes |
5.000 | % | 4/15/40 | 10,000 | 12,386 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
398,745 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER STAPLES - 4.1% | ||||||||||||||||
| Beverages - 0.5% |
||||||||||||||||
| Coca-Cola Co., Senior Notes |
4.125 | % | 3/25/40 | 10,000 | 12,464 | |||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Short Duration Income ETF 2020 Quarterly Report |
1 |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | April 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Beverages - (continued) |
||||||||||||||||
| Coca-Cola Co., Senior Notes |
2.500 | % | 6/1/40 | $ | 10,000 | $ | 9,966 | |||||||||
| Coca-Cola Co., Senior Notes |
4.200 | % | 3/25/50 | 20,000 | 25,890 | |||||||||||
|
|
|
|||||||||||||||
| Total Beverages |
48,320 | |||||||||||||||
|
|
|
|||||||||||||||
| Food & Staples Retailing - 0.2% |
||||||||||||||||
| Costco Wholesale Corp., Senior Notes |
1.375 | % | 6/20/27 | 10,000 | 10,057 | |||||||||||
| Costco Wholesale Corp., Senior Notes |
1.600 | % | 4/20/30 | 10,000 | 9,925 | |||||||||||
|
|
|
|||||||||||||||
| Total Food & Staples Retailing |
19,982 | |||||||||||||||
|
|
|
|||||||||||||||
| Food Products - 1.0% |
||||||||||||||||
| Smithfield Foods Inc., Senior Notes |
3.350 | % | 2/1/22 | 100,000 | 97,607 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Tobacco - 2.4% |
||||||||||||||||
| Altria Group Inc., Senior Notes |
3.800 | % | 2/14/24 | 200,000 | 214,153 | |||||||||||
| Cargill Inc., Senior Notes |
1.375 | % | 7/23/23 | 20,000 | 20,102 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Tobacco |
234,255 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER STAPLES |
400,164 | |||||||||||||||
|
|
|
|||||||||||||||
| ENERGY - 17.8% | ||||||||||||||||
| Energy Equipment & Services - 0.1% |
||||||||||||||||
| Halliburton Co., Senior Notes |
2.920 | % | 3/1/30 | 10,000 | 8,052 | |||||||||||
|
|
|
|||||||||||||||
| Oil, Gas & Consumable Fuels - 17.7% |
||||||||||||||||
| BP Capital Markets America Inc., Senior Notes |
3.000 | % | 2/24/50 | 20,000 | 18,861 | |||||||||||
| Cameron LNG LLC, Senior Secured Notes |
2.902 | % | 7/15/31 | 10,000 | 9,699 | (a) | ||||||||||
| Cimarex Energy Co., Senior Notes |
4.375 | % | 6/1/24 | 50,000 | 45,883 | |||||||||||
| Cimarex Energy Co., Senior Notes |
4.375 | % | 3/15/29 | 20,000 | 17,396 | |||||||||||
| Concho Resources Inc., Senior Notes |
4.375 | % | 1/15/25 | 50,000 | 49,590 | |||||||||||
| Continental Resources Inc., Senior Notes |
4.500 | % | 4/15/23 | 100,000 | 88,437 | |||||||||||
| Diamondback Energy Inc., Senior Notes |
5.375 | % | 5/31/25 | 40,000 | 38,165 | |||||||||||
| Dominion Energy Inc., Senior Notes |
3.375 | % | 4/1/30 | 10,000 | 10,873 | |||||||||||
| Ecopetrol SA, Senior Notes |
5.875 | % | 9/18/23 | 50,000 | 51,350 | |||||||||||
| Energy Transfer Operating LP, Senior Notes |
4.200 | % | 9/15/23 | 20,000 | 19,668 | |||||||||||
| Energy Transfer Operating LP, Senior Notes |
4.050 | % | 3/15/25 | 100,000 | 98,173 | |||||||||||
| Energy Transfer Operating LP, Senior Notes |
2.900 | % | 5/15/25 | 50,000 | 46,541 | |||||||||||
| Enterprise Products Operating LLC, Senior Notes |
3.950 | % | 1/31/60 | 10,000 | 9,203 | |||||||||||
| EOG Resources Inc., Senior Notes |
4.375 | % | 4/15/30 | 20,000 | 22,205 | |||||||||||
| Exxon Mobil Corp., Senior Notes |
3.482 | % | 3/19/30 | 20,000 | 22,294 | |||||||||||
| Exxon Mobil Corp., Senior Notes |
4.327 | % | 3/19/50 | 20,000 | 24,479 | |||||||||||
| Exxon Mobil Corp., Senior Notes |
3.452 | % | 4/15/51 | 10,000 | 10,938 | |||||||||||
| MEG Energy Corp., Senior Notes |
7.125 | % | 2/1/27 | 20,000 | 13,800 | (a) | ||||||||||
| MPLX LP, Senior Notes |
3.375 | % | 3/15/23 | 30,000 | 29,469 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
4.850 | % | 3/15/21 | 20,000 | 19,200 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
2.900 | % | 8/15/24 | 210,000 | 157,500 | |||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
2 |
Western Asset Short Duration Income ETF 2020 Quarterly Report |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | April 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
| Parsley Energy LLC/Parsley Finance Corp., Senior Notes |
5.625 | % | 10/15/27 | $ | 10,000 | $ | 8,550 | (a) | ||||||||
| Parsley Energy LLC/Parsley Finance Corp., Senior Notes |
4.125 | % | 2/15/28 | 10,000 | 8,200 | (a) | ||||||||||
| Range Resources Corp., Senior Notes |
5.000 | % | 8/15/22 | 130,000 | 119,600 | |||||||||||
| Range Resources Corp., Senior Notes |
9.250 | % | 2/1/26 | 30,000 | 24,150 | (a) | ||||||||||
| Shell International Finance BV, Senior Notes |
3.250 | % | 4/6/50 | 20,000 | 20,531 | |||||||||||
| Tennessee Gas Pipeline Co. LLC, Senior Notes |
7.000 | % | 10/15/28 | 30,000 | 35,404 | |||||||||||
| Tennessee Gas Pipeline Co. LLC, Senior Notes |
2.900 | % | 3/1/30 | 10,000 | 9,539 | (a) | ||||||||||
| Western Midstream Operating LP, Senior Notes |
4.750 | % | 8/15/28 | 370,000 | 325,951 | |||||||||||
| Western Midstream Operating LP, Senior Notes |
4.050 | % | 2/1/30 | 150,000 | 136,875 | |||||||||||
| Williams Cos. Inc., Senior Notes |
7.875 | % | 9/1/21 | 16,000 | 17,008 | |||||||||||
| Williams Cos. Inc., Senior Notes |
3.700 | % | 1/15/23 | 200,000 | 202,392 | |||||||||||
| WPX Energy Inc., Senior Notes |
4.500 | % | 1/15/30 | 10,000 | 8,150 | |||||||||||
|
|
|
|||||||||||||||
| Total Oil, Gas & Consumable Fuels |
1,720,074 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
1,728,126 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 22.9% | ||||||||||||||||
| Banks - 14.7% |
||||||||||||||||
| Bank of America Corp., Senior Notes (2.592% to 4/29/30 then SOFR + 2.150%) |
2.592 | % | 4/29/31 | 90,000 | 92,354 | (b) | ||||||||||
| Barclays PLC, Subordinated Notes (5.088% to 6/20/29 then 3 mo. USD LIBOR + 3.054%) |
5.088 | % | 6/20/30 | 200,000 | 216,903 | (b) | ||||||||||
| Citigroup Inc., Senior Notes (5.316% to 3/26/40 then SOFR + 4.548%) |
5.316 | % | 3/26/41 | 40,000 | 51,257 | (b) | ||||||||||
| 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 | 200,077 | (a)(b) | ||||||||||
| HSBC Holdings PLC, Subordinated Notes |
7.625 | % | 5/17/32 | 10,000 | 13,581 | |||||||||||
| JPMorgan Chase & Co., Senior Notes |
2.550 | % | 3/1/21 | 100,000 | 101,213 | |||||||||||
| JPMorgan Chase & Co., Senior Notes (2.522% to 4/22/30 then SOFR + 2.040%) |
2.522 | % | 4/22/31 | 20,000 | 20,449 | (b) | ||||||||||
| Royal Bank of Scotland Group PLC, Senior Notes (3 mo. USD LIBOR + 1.470%) |
3.162 | % | 5/15/23 | 260,000 | 251,575 | (b) | ||||||||||
| UniCredit SpA, Senior Notes |
6.572 | % | 1/14/22 | 350,000 | 360,997 | (a) | ||||||||||
| Wells Fargo & Co., Senior Notes (3.068% to 4/30/40 then SOFR + 2.530%) |
3.068 | % | 4/30/41 | 10,000 | 9,919 | (b) | ||||||||||
| Wells Fargo & Co., Senior Notes (4.478% to 4/4/30 then 3 mo. USD LIBOR + 3.770%) |
4.478 | % | 4/4/31 | 20,000 | 23,212 | (b) | ||||||||||
| Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. USD LIBOR + 4.240%) |
5.013 | % | 4/4/51 | 60,000 | 78,770 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total Banks |
1,420,307 | |||||||||||||||
|
|
|
|||||||||||||||
| Capital Markets - 1.6% |
||||||||||||||||
| Goldman Sachs Group Inc., Senior Notes |
3.800 | % | 3/15/30 | 20,000 | 21,946 | |||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Short Duration Income ETF 2020 Quarterly Report |
3 |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | April 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Capital Markets - (continued) |
||||||||||||||||
| Goldman Sachs Group Inc., Subordinated Notes |
5.150 | % | 5/22/45 | $ | 20,000 | $ | 24,301 | |||||||||
| Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%) |
2.188 | % | 4/28/26 | 20,000 | 20,245 | (b) | ||||||||||
| Morgan Stanley, Senior Notes (2.699% to 1/22/30 then SOFR + 1.143%) |
2.699 | % | 1/22/31 | 50,000 | 51,093 | (b) | ||||||||||
| Morgan Stanley, Senior Notes (5.597% to 3/24/50 then SOFR + 4.840%) |
5.597 | % | 3/24/51 | 20,000 | 28,738 | (b) | ||||||||||
| Raymond James Financial Inc., Senior Notes |
4.650 | % | 4/1/30 | 10,000 | 11,257 | |||||||||||
|
|
|
|||||||||||||||
| Total Capital Markets |
157,580 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Finance - 0.5% |
||||||||||||||||
| Synchrony Financial, Senior Notes |
2.850 | % | 7/25/22 | 50,000 | 48,631 | |||||||||||
|
|
|
|||||||||||||||
| Diversified Financial Services - 4.9% |
||||||||||||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
3.950 | % | 2/1/22 | 200,000 | 187,235 | |||||||||||
| GE Capital International Funding Co. Unlimited Co., Senior Notes |
3.373 | % | 11/15/25 | 260,000 | 267,766 | |||||||||||
| Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) |
6.500 | % | 9/15/24 | 40,000 | 24,200 | (a)(c) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Financial Services |
479,201 | |||||||||||||||
|
|
|
|||||||||||||||
| Insurance - 1.2% |
||||||||||||||||
| MetLife Inc., Senior Notes |
4.550 | % | 3/23/30 | 20,000 | 23,970 | |||||||||||
| New York Life Insurance Co., Subordinated Notes |
3.750 | % | 5/15/50 | 10,000 | 11,344 | (a) | ||||||||||
| Prudential Financial Inc., Senior Notes |
1.500 | % | 3/10/26 | 20,000 | 19,942 | |||||||||||
| Reliance Standard Life Global Funding II, Secured Notes |
2.500 | % | 10/30/24 | 60,000 | 59,516 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Insurance |
114,772 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
2,220,491 | |||||||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 4.9% | ||||||||||||||||
| Biotechnology - 0.9% |
||||||||||||||||
| AbbVie Inc., Senior Notes |
2.950 | % | 11/21/26 | 80,000 | 84,436 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Health Care Equipment & Supplies - 0.8% |
||||||||||||||||
| Becton Dickinson and Co., Senior Notes |
2.894 | % | 6/6/22 | 80,000 | 82,028 | |||||||||||
|
|
|
|||||||||||||||
| Health Care Providers & Services - 3.2% |
||||||||||||||||
| Bon Secours Mercy Health Inc., Secured Notes |
3.464 | % | 6/1/30 | 10,000 | 10,580 | |||||||||||
| Centene Corp., Senior Notes |
4.750 | % | 1/15/25 | 20,000 | 20,619 | (a) | ||||||||||
| Centene Corp., Senior Notes |
4.625 | % | 12/15/29 | 20,000 | 21,900 | (a) | ||||||||||
| Centene Corp., Senior Notes |
3.375 | % | 2/15/30 | 40,000 | 40,300 | (a) | ||||||||||
| Cigna Corp., Senior Notes |
2.400 | % | 3/15/30 | 50,000 | 50,538 | |||||||||||
| Cigna Corp., Senior Notes |
3.200 | % | 3/15/40 | 20,000 | 20,308 | |||||||||||
| CVS Health Corp., Senior Notes |
3.700 | % | 3/9/23 | 20,000 | 21,192 | |||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
4 |
Western Asset Short Duration Income ETF 2020 Quarterly Report |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | April 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Health Care Providers & Services - (continued) |
||||||||||||||||
| CVS Health Corp., Senior Notes |
2.625 | % | 8/15/24 | $ | 30,000 | $ | 31,233 | |||||||||
| CVS Health Corp., Senior Notes |
4.250 | % | 4/1/50 | 20,000 | 23,417 | |||||||||||
| Magellan Health Inc., Senior Notes |
4.900 | % | 9/22/24 | 70,000 | 68,163 | |||||||||||
|
|
|
|||||||||||||||
| Total Health Care Providers & Services |
308,250 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
474,714 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 10.0% | ||||||||||||||||
| Aerospace & Defense - 2.2% |
||||||||||||||||
| Avolon Holdings Funding Ltd., Senior Notes |
3.625 | % | 5/1/22 | 20,000 | 18,309 | (a) | ||||||||||
| Avolon Holdings Funding Ltd., Senior Notes |
2.875 | % | 2/15/25 | 10,000 | 8,044 | (a) | ||||||||||
| Boeing Co., Senior Notes |
1.650 | % | 10/30/20 | 60,000 | 59,519 | |||||||||||
| Boeing Co., Senior Notes |
4.875 | % | 5/1/25 | 30,000 | 30,000 | |||||||||||
| General Dynamics Corp., Senior Notes |
4.250 | % | 4/1/40 | 20,000 | 24,605 | |||||||||||
| General Dynamics Corp., Senior Notes |
4.250 | % | 4/1/50 | 17,000 | 21,965 | |||||||||||
| Northrop Grumman Corp., Senior Notes |
5.150 | % | 5/1/40 | 10,000 | 13,324 | |||||||||||
| Northrop Grumman Corp., Senior Notes |
5.250 | % | 5/1/50 | 30,000 | 42,578 | |||||||||||
|
|
|
|||||||||||||||
| Total Aerospace & Defense |
218,344 | |||||||||||||||
|
|
|
|||||||||||||||
| Airlines - 3.8% |
||||||||||||||||
| America West Airlines Pass-Through Trust |
7.100 | % | 4/2/21 | 53,737 | 53,499 | |||||||||||
| American Airlines Group Inc. Pass-Through Trust |
4.375 | % | 10/1/22 | 24,969 | 19,658 | |||||||||||
| Continental Airlines 2007-1 Class B Pass-Through Trust |
6.903 | % | 4/19/22 | 129,556 | 120,851 | |||||||||||
| Continental Airlines Pass-Through Trust |
9.798 | % | 4/1/21 | 21,143 | 20,866 | |||||||||||
| Delta Air Lines Inc., Senior Notes |
2.600 | % | 12/4/20 | 20,000 | 19,151 | |||||||||||
| Delta Air Lines Inc., Senior Notes |
3.400 | % | 4/19/21 | 20,000 | 19,183 | |||||||||||
| U.S. Airways Pass-Through Trust |
6.750 | % | 6/3/21 | 33,709 | 30,231 | |||||||||||
| United Continental Holdings Inc., Senior Notes |
4.250 | % | 10/1/22 | 100,000 | 82,870 | |||||||||||
|
|
|
|||||||||||||||
| Total Airlines |
366,309 | |||||||||||||||
|
|
|
|||||||||||||||
| Building Products - 0.5% |
||||||||||||||||
| Carrier Global Corp., Senior Notes |
2.493 | % | 2/15/27 | 40,000 | 38,322 | (a) | ||||||||||
| Carrier Global Corp., Senior Notes |
3.377 | % | 4/5/40 | 10,000 | 8,965 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Building Products |
47,287 | |||||||||||||||
|
|
|
|||||||||||||||
| Commercial Services & Supplies - 0.4% |
||||||||||||||||
| Republic Services Inc., Senior Notes |
2.500 | % | 8/15/24 | 40,000 | 41,647 | |||||||||||
|
|
|
|||||||||||||||
| Industrial Conglomerates - 0.6% |
||||||||||||||||
| 3M Co., Senior Notes |
3.700 | % | 4/15/50 | 20,000 | 23,881 | |||||||||||
| General Electric Co., Senior Notes |
3.450 | % | 5/1/27 | 10,000 | 10,179 | |||||||||||
| General Electric Co., Senior Notes |
3.625 | % | 5/1/30 | 10,000 | 10,037 | |||||||||||
| General Electric Co., Senior Notes |
4.250 | % | 5/1/40 | 10,000 | 10,034 | |||||||||||
|
|
|
|||||||||||||||
| Total Industrial Conglomerates |
54,131 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Short Duration Income ETF 2020 Quarterly Report |
5 |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | April 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Machinery - 0.4% |
||||||||||||||||
| Otis Worldwide Corp., Senior Notes |
2.565 | % | 2/15/30 | $ | 40,000 | $ | 40,310 | (a) | ||||||||
|
|
|
|||||||||||||||
| Trading Companies & Distributors - 2.1% |
||||||||||||||||
| Air Lease Corp., Senior Notes |
3.000 | % | 9/15/23 | 100,000 | 91,828 | |||||||||||
| Aviation Capital Group LLC, Senior Notes |
4.125 | % | 8/1/25 | 130,000 | 107,207 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Trading Companies & Distributors |
199,035 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
967,063 | |||||||||||||||
|
|
|
|||||||||||||||
| INFORMATION TECHNOLOGY - 7.5% | ||||||||||||||||
| IT Services - 1.1% |
||||||||||||||||
| Mastercard Inc., Senior Notes |
3.300 | % | 3/26/27 | 20,000 | 22,299 | |||||||||||
| Mastercard Inc., Senior Notes |
3.850 | % | 3/26/50 | 20,000 | 24,943 | |||||||||||
| PayPal Holdings Inc., Senior Notes |
2.400 | % | 10/1/24 | 30,000 | 31,140 | |||||||||||
| Visa Inc., Senior Notes |
2.700 | % | 4/15/40 | 30,000 | 31,185 | |||||||||||
|
|
|
|||||||||||||||
| Total IT Services |
109,567 | |||||||||||||||
|
|
|
|||||||||||||||
| Semiconductors & Semiconductor Equipment - 3.3% |
||||||||||||||||
| Broadcom Corp./Broadcom Cayman Finance Ltd., |
||||||||||||||||
| Senior Notes |
2.650 | % | 1/15/23 | 30,000 | 30,564 | |||||||||||
| Broadcom Inc., Senior Notes |
5.000 | % | 4/15/30 | 50,000 | 56,239 | (a) | ||||||||||
| Intel Corp., Senior Notes |
4.750 | % | 3/25/50 | 20,000 | 28,175 | |||||||||||
| Intel Corp., Senior Notes |
4.950 | % | 3/25/60 | 20,000 | 28,524 | |||||||||||
| Lam Research corp., Senior Notes |
1.900 | % | 6/15/30 | 10,000 | 9,967 | |||||||||||
| Micron Technology Inc., Senior Notes |
4.640 | % | 2/6/24 | 100,000 | 107,470 | |||||||||||
| NVIDIA Corp., Senior Notes |
3.500 | % | 4/1/50 | 30,000 | 34,425 | |||||||||||
| NVIDIA Corp., Senior Notes |
3.700 | % | 4/1/60 | 10,000 | 11,700 | |||||||||||
| NXP BV/NXP FDG/NXP USA Inc., Senior Notes |
3.400 | % | 5/1/30 | 10,000 | 9,997 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Semiconductors & Semiconductor Equipment |
317,061 | |||||||||||||||
|
|
|
|||||||||||||||
| Software - 1.1% |
||||||||||||||||
| Adobe Inc., Senior Notes |
2.150 | % | 2/1/27 | 30,000 | 31,438 | |||||||||||
| Adobe Inc., Senior Notes |
2.300 | % | 2/1/30 | 70,000 | 73,564 | |||||||||||
|
|
|
|||||||||||||||
| Total Software |
105,002 | |||||||||||||||
|
|
|
|||||||||||||||
| Technology Hardware, Storage & Peripherals - 2.0% |
||||||||||||||||
| Dell International LLC/EMC Corp., Senior Secured Notes |
4.420 | % | 6/15/21 | 190,000 | 193,085 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL INFORMATION TECHNOLOGY |
724,715 | |||||||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 2.8% | ||||||||||||||||
| Metals & Mining - 2.8% |
||||||||||||||||
| ArcelorMittal SA, Senior Notes |
6.125 | % | 6/1/25 | 140,000 | 144,035 | |||||||||||
| Glencore Finance Canada Ltd., Senior Notes |
4.250 | % | 10/25/22 | 100,000 | 102,490 | (a) | ||||||||||
| Yamana Gold Inc., Senior Notes |
4.625 | % | 12/15/27 | 20,000 | 21,085 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
267,610 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
6 |
Western Asset Short Duration Income ETF 2020 Quarterly Report |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | April 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| REAL ESTATE - 1.1% | ||||||||||||||||
| Equity Real Estate Investment Trusts (REITs) - 1.1% |
||||||||||||||||
| CoreCivic Inc., Senior Notes |
5.000 | % | 10/15/22 | $ | 100,000 | $ | 96,090 | |||||||||
| VICI Properties LP/VICI Note Co. Inc., Senior Notes |
4.125 | % | 8/15/30 | 10,000 | 9,100 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL REAL ESTATE |
105,190 | |||||||||||||||
|
|
|
|||||||||||||||
| UTILITIES - 0.5% | ||||||||||||||||
| Electric Utilities - 0.5% |
||||||||||||||||
| DTE Electric Co., Secured Notes |
2.625 | % | 3/1/31 | 20,000 | 21,599 | |||||||||||
| Edison International, Senior Notes |
4.950 | % | 4/15/25 | 10,000 | 10,916 | |||||||||||
| Exelon Corp., Senior Notes |
4.050 | % | 4/15/30 | 10,000 | 11,417 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL UTILITIES |
43,932 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost - $8,073,521) |
7,947,010 | |||||||||||||||
|
|
|
|||||||||||||||
| ASSET-BACKED SECURITIES - 8.6% | ||||||||||||||||
| Halcyon Loan Advisors Funding Ltd., 2017-2A A2 (3 mo. USD LIBOR + 1.700%) |
2.835 | % | 1/17/30 | 250,000 | 226,954 | (a)(b) | ||||||||||
| Symphony CLO XVIII Ltd., 2016-18A B (3 mo. USD LIBOR + 1.800%) |
2.843 | % | 1/23/28 | 250,000 | 240,013 | (a)(b) | ||||||||||
| Upgrade Receivables Trust, 2018-1A C |
5.170 | % | 11/15/24 | 400,000 | 368,074 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost - $898,926) |
835,041 | |||||||||||||||
|
|
|
|||||||||||||||
| U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.6% | ||||||||||||||||
| U.S. Government Obligations - 0.6% |
||||||||||||||||
| U.S. Treasury Bonds |
2.375 | % | 11/15/49 | 40,000 | 50,817 | |||||||||||
| U.S. Treasury Notes |
1.500 | % | 2/15/30 | 10,000 | 10,831 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $62,126) |
61,648 | |||||||||||||||
|
|
|
|||||||||||||||
| SOVEREIGN BONDS - 0.5% | ||||||||||||||||
| Argentina - 0.4% |
||||||||||||||||
| Argentine Republic Government International Bond, Senior Notes |
5.625 | % | 1/26/22 | 140,000 | 38,850 | |||||||||||
|
|
|
|||||||||||||||
| Peru - 0.1% |
||||||||||||||||
| Peruvian Government International Bond, Senior Notes |
2.783 | % | 1/23/31 | 10,000 | 10,310 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL SOVEREIGN BONDS (Cost - $142,454) |
49,160 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $9,177,027) |
8,892,859 | |||||||||||||||
|
|
|
|||||||||||||||
| Shares | ||||||||||||||||
| SHORT-TERM INVESTMENTS - 4.8% | ||||||||||||||||
| BNY Mellon Cash Reserve Fund (Cost - $466,701) |
0.010 | % | 466,701 | 466,701 | ||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS - 96.6% |
9,359,560 | |||||||||||||||
| Other Assets in Excess of Liabilities - 3.4% |
325,574 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 9,685,134 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Short Duration Income ETF 2020 Quarterly Report |
7 |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | April 30, 2020 |
| (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) | 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. |
Abbreviation(s) used in this schedule:
| CLO | — Collateralized Loan Obligation | |
| LIBOR | — London Interbank Offered Rate | |
| PIK | — Payment-In-Kind | |
| SOFR | — Secured Overnight Financing Rate | |
| USD | — United States Dollar | |
At April 30, 2020, 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 |
7 | 6/20 | $ | 1,514,692 | $ | 1,543,008 | $ | 28,316 | ||||||||||||
| U.S. Treasury 5-Year Notes |
33 | 6/20 | 3,999,354 | 4,140,984 | 141,630 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 169,946 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| U.S. Treasury 10-Year Notes |
1 | 6/20 | 139,186 | 139,063 | 123 | |||||||||||||||
| U.S. Treasury Long-Term Bonds |
14 | 6/20 | 2,486,146 | 2,534,437 | (48,291 | ) | ||||||||||||||
| U.S. Treasury Ultra Long-Term Bonds |
1 | 6/20 | 202,811 | 224,781 | (21,970 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (70,138 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation on open futures contracts |
|
$ | 99,808 | |||||||||||||||||
|
|
|
|||||||||||||||||||
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 2020 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 of 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 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
|
| ||||
|
9 |
Notes to Schedule of Investments (unaudited) (continued)
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.
|
|
||||
|
10 |
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.
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 |
— | $ | 7,947,010 | — | $ | 7,947,010 | ||||||||||
| Asset-Backed Securities |
— | 835,041 | — | 835,041 | ||||||||||||
| U.S. Government & Agency Obligations |
— | 61,648 | — | 61,648 | ||||||||||||
| Sovereign Bonds |
— | 49,160 | — | 49,160 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long-Term Investments |
— | 8,892,859 | — | 8,892,859 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments† |
— | 466,701 | — | 466,701 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
— | $ | 9,359,560 | — | $ | 9,359,560 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts |
$ | 170,069 | — | — | $ | 170,069 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 170,069 | $ | 9,359,560 | — | $ | 9,529,629 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts |
$ | 70,261 | — | — | $ | 70,261 | ||||||||||
| † | See Schedule of Investments for additional detailed categorizations. |
|
| ||||
|
11 |