WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
CORPORATE BONDS & NOTES - 36.3%
COMMUNICATION SERVICES - 4.1%
Diversified Telecommunication Services - 1.2%
Altice France SA, Senior Secured Notes		7.375	%		5/1/26		200,000	$	209,580	(a)
AT&T Inc., Senior Notes		2.300	%		6/1/27		90,000		94,256
AT&T Inc., Senior Notes		1.650	%		2/1/28		190,000		190,359
AT&T Inc., Senior Notes		2.250	%		2/1/32		20,000		20,004
AT&T Inc., Senior Notes		3.100	%		2/1/43		130,000		126,795
AT&T Inc., Senior Notes		4.350	%		6/15/45		19,000		21,288
AT&T Inc., Senior Notes		3.550	%		9/15/55		57,000		55,243	(a)
Verizon Communications Inc., Senior Notes		3.376	%		2/15/25		150,000		167,184
Verizon Communications Inc., Senior Notes		3.000	%		3/22/27		10,000		11,134
Verizon Communications Inc., Senior Notes		4.329	%		9/21/28		140,000		169,750
Verizon Communications Inc., Senior Notes		3.875	%		2/8/29		30,000		35,490
Verizon Communications Inc., Senior Notes		3.150	%		3/22/30		40,000		45,201
Verizon Communications Inc., Senior Notes		4.500	%		8/10/33		340,000		431,234
Verizon Communications Inc., Senior Notes		5.250	%		3/16/37		30,000		41,546
Verizon Communications Inc., Senior Notes		3.850	%		11/1/42		10,000		11,923
Verizon Communications Inc., Senior Notes		4.125	%		8/15/46		30,000		37,014
Verizon Communications Inc., Senior Notes		4.862	%		8/21/46		20,000		27,310
Verizon Communications Inc., Senior Notes		4.000	%		3/22/50		30,000		36,934
Total Diversified Telecommunication Services									1,732,245
Entertainment - 0.0%††
Netflix Inc., Senior Notes		5.875	%		11/15/28		40,000		47,728
Interactive Media & Services - 0.1%
Alphabet Inc., Senior Notes		0.450	%		8/15/25		20,000		19,938
Alphabet Inc., Senior Notes		0.800	%		8/15/27		30,000		29,871
Alphabet Inc., Senior Notes		1.100	%		8/15/30		30,000		29,867
Alphabet Inc., Senior Notes		2.050	%		8/15/50		40,000		37,440
Total Interactive Media & Services									117,116
Media - 1.9%
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		5.125	%		5/1/27		250,000		263,055	(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.500	%		8/15/30		10,000		10,500	(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.500	%		5/1/32		450,000		469,687	(a)
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		4.908	%		7/23/25		370,000		427,802

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         1

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Media - (continued)
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		5.050	%		3/30/29		100,000	$	119,858
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		2.800	%		4/1/31		125,000		130,002
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		5.375	%		4/1/38		100,000		122,402
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		5.750	%		4/1/48		120,000		149,710
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		4.800	%		3/1/50		20,000		22,743
Comcast Corp., Senior Notes		3.950	%		10/15/25		60,000		68,868
Comcast Corp., Senior Notes		3.150	%		3/1/26		20,000		22,335
Comcast Corp., Senior Notes		3.300	%		4/1/27		50,000		56,537
Comcast Corp., Senior Notes		4.150	%		10/15/28		150,000		180,753
Comcast Corp., Senior Notes		3.400	%		4/1/30		30,000		34,616
Comcast Corp., Senior Notes		4.250	%		10/15/30		90,000		110,524
Comcast Corp., Senior Notes		3.750	%		4/1/40		60,000		70,169
Comcast Corp., Senior Notes		4.000	%		3/1/48		20,000		24,299
Comcast Corp., Senior Notes		4.700	%		10/15/48		80,000		106,688
Comcast Corp., Senior Notes		3.450	%		2/1/50		40,000		45,186
DISH DBS Corp., Senior Notes		5.875	%		11/15/24		70,000		71,785
Fox Corp., Senior Notes		5.476	%		1/25/39		70,000		93,637
Virgin Media Secured Finance PLC, Senior Secured Notes		5.500	%		5/15/29		200,000		214,690	(a)
Total Media									2,815,846
Wireless Telecommunication Services - 0.9%
CSC Holdings LLC, Senior Notes		5.375	%		2/1/28		200,000		211,250	(a)
Sprint Capital Corp., Senior Notes		8.750	%		3/15/32		320,000		468,419
Sprint Corp., Senior Notes		7.875	%		9/15/23		20,000		22,975
T-Mobile USA Inc., Senior Secured Notes		3.500	%		4/15/25		210,000		230,433	(a)
T-Mobile USA Inc., Senior Secured Notes		3.750	%		4/15/27		10,000		11,222	(a)
T-Mobile USA Inc., Senior Secured Notes		3.875	%		4/15/30		210,000		238,270	(a)
Vodafone Group PLC, Senior Notes		4.375	%		5/30/28		130,000		153,881
Total Wireless Telecommunication Services									1,336,450
TOTAL COMMUNICATION SERVICES									6,049,385

See Notes to Schedule of Investments.

    2     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
CONSUMER DISCRETIONARY - 2.3%
Automobiles - 0.6%
Ford Motor Co., Senior Notes		9.000	%		4/22/25		20,000	$	22,930
Ford Motor Credit Co. LLC, Senior Notes		5.875	%		8/2/21		200,000		203,750
General Motors Co., Senior Notes		5.400	%		10/2/23		20,000		22,047
General Motors Co., Senior Notes		6.125	%		10/1/25		30,000		34,850
General Motors Co., Senior Notes		5.950	%		4/1/49		10,000		11,718
General Motors Financial Co. Inc., Senior Notes		3.450	%		4/10/22		130,000		133,656
Nissan Motor Co. Ltd., Senior Notes		3.522	%		9/17/25		200,000		201,788	(a)
Nissan Motor Co. Ltd., Senior Notes		4.345	%		9/17/27		240,000		240,419	(a)
Total Automobiles									871,158
Diversified Consumer Services - 0.1%
Prime Security Services Borrower LLC/Prime Finance Inc., Senior Secured Notes		5.250	%		4/15/24		50,000		52,375	(a)
Prime Security Services Borrower LLC/Prime Finance Inc., Senior Secured Notes		5.750	%		4/15/26		40,000		42,775	(a)
Total Diversified Consumer Services									95,150
Hotels, Restaurants & Leisure - 0.6%
Hilton Domestic Operating Co. Inc., Senior Notes		5.375	%		5/1/25		50,000		52,215	(a)
Hilton Domestic Operating Co. Inc., Senior Notes		5.750	%		5/1/28		20,000		21,075	(a)
Las Vegas Sands Corp., Senior Notes		3.200	%		8/8/24		30,000		30,326
Las Vegas Sands Corp., Senior Notes		2.900	%		6/25/25		120,000		119,848
McDonald’s Corp., Senior Notes		3.300	%		7/1/25		30,000		33,358
McDonald’s Corp., Senior Notes		1.450	%		9/1/25		110,000		113,483
McDonald’s Corp., Senior Notes		3.700	%		1/30/26		20,000		22,780
McDonald’s Corp., Senior Notes		3.500	%		3/1/27		10,000		11,322
McDonald’s Corp., Senior Notes		3.500	%		7/1/27		10,000		11,387
McDonald’s Corp., Senior Notes		3.800	%		4/1/28		50,000		58,349
McDonald’s Corp., Senior Notes		3.600	%		7/1/30		90,000		104,948
McDonald’s Corp., Senior Notes		4.450	%		9/1/48		70,000		87,166
Sands China Ltd., Senior Notes		5.125	%		8/8/25		200,000		218,194
VOC Escrow Ltd., Senior Secured Notes		5.000	%		2/15/28		40,000		35,415	(a)
Total Hotels, Restaurants & Leisure									919,866
Household Durables - 0.1%
Lennar Corp., Senior Notes		4.500	%		4/30/24		40,000		42,800
MDC Holdings Inc., Senior Notes		6.000	%		1/15/43		20,000		24,200
Total Household Durables									67,000

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         3

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Internet & Direct Marketing Retail - 0.3%
Amazon.com Inc., Senior Notes		0.800	%		6/3/25		50,000	$	50,601
Amazon.com Inc., Senior Notes		1.200	%		6/3/27		70,000		70,928
Amazon.com Inc., Senior Notes		1.500	%		6/3/30		70,000		71,439
Amazon.com Inc., Senior Notes		3.875	%		8/22/37		50,000		62,251
Amazon.com Inc., Senior Notes		4.050	%		8/22/47		90,000		116,929
Amazon.com Inc., Senior Notes		2.500	%		6/3/50		60,000		61,201
Amazon.com Inc., Senior Notes		4.250	%		8/22/57		10,000		13,652
Total Internet & Direct Marketing Retail									447,001
Specialty Retail - 0.3%
Home Depot Inc., Senior Notes		2.500	%		4/15/27		40,000		43,477
Home Depot Inc., Senior Notes		2.700	%		4/15/30		30,000		33,386
Home Depot Inc., Senior Notes		3.300	%		4/15/40		50,000		56,801
Home Depot Inc., Senior Notes		3.900	%		6/15/47		10,000		12,347
Home Depot Inc., Senior Notes		3.350	%		4/15/50		90,000		104,185
Lowe’s Cos. Inc., Senior Notes		4.500	%		4/15/30		20,000		24,811
Lowe’s Cos. Inc., Senior Notes		5.000	%		4/15/40		90,000		117,974
Lowe’s Cos. Inc., Senior Notes		5.125	%		4/15/50		20,000		27,602
Target Corp., Senior Notes		2.250	%		4/15/25		50,000		53,576
TJX Cos. Inc., Senior Notes		3.500	%		4/15/25		20,000		22,276
TJX Cos. Inc., Senior Notes		3.750	%		4/15/27		10,000		11,464
Total Specialty Retail									507,899
Textiles, Apparel & Luxury Goods - 0.3%
Hanesbrands Inc., Senior Notes		5.375	%		5/15/25		40,000		42,200	(a)
Levi Strauss & Co., Senior Notes		5.000	%		5/1/25		30,000		30,694
NIKE Inc., Senior Notes		2.400	%		3/27/25		130,000		139,660
NIKE Inc., Senior Notes		2.750	%		3/27/27		50,000		55,610
NIKE Inc., Senior Notes		2.850	%		3/27/30		40,000		44,925
NIKE Inc., Senior Notes		3.250	%		3/27/40		30,000		34,323
NIKE Inc., Senior Notes		3.375	%		3/27/50		100,000		116,813
Total Textiles, Apparel & Luxury Goods									464,225
TOTAL CONSUMER DISCRETIONARY									3,372,299
CONSUMER STAPLES - 2.7%
Beverages - 1.0%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes		3.650	%		2/1/26		290,000		325,091
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.000	%		4/13/28		50,000		57,936
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.750	%		1/23/29		100,000		122,042

See Notes to Schedule of Investments.

    4     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Beverages - (continued)
Anheuser-Busch InBev Worldwide Inc., Senior Notes		3.500	%		6/1/30		30,000	$	34,132
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.350	%		6/1/40		70,000		81,817
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.439	%		10/6/48		30,000		35,028
Anheuser-Busch InBev Worldwide Inc., Senior Notes		5.550	%		1/23/49		80,000		107,551
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.500	%		6/1/50		110,000		131,841
Coca-Cola Co., Senior Notes		3.375	%		3/25/27		30,000		34,412
Coca-Cola Co., Senior Notes		1.450	%		6/1/27		50,000		51,469
Coca-Cola Co., Senior Notes		2.600	%		6/1/50		110,000		110,451
Coca-Cola Co., Senior Notes		2.500	%		3/15/51		30,000		29,970
Diageo Investment Corp., Senior Notes		2.875	%		5/11/22		50,000		51,972
PepsiCo Inc., Senior Notes		0.750	%		5/1/23		60,000		60,610
PepsiCo Inc., Senior Notes		2.250	%		3/19/25		10,000		10,712
PepsiCo Inc., Senior Notes		2.625	%		3/19/27		130,000		142,827
PepsiCo Inc., Senior Notes		1.625	%		5/1/30		40,000		41,094
PepsiCo Inc., Senior Notes		2.875	%		10/15/49		20,000		21,500
PepsiCo Inc., Senior Notes		3.625	%		3/19/50		10,000		12,123
PepsiCo Inc., Senior Notes		3.875	%		3/19/60		10,000		12,626
Total Beverages									1,475,204
Food & Staples Retailing - 0.2%
Costco Wholesale Corp., Senior Notes		1.375	%		6/20/27		110,000		112,674
Costco Wholesale Corp., Senior Notes		1.600	%		4/20/30		50,000		50,837
Walmart Inc., Senior Notes		3.400	%		6/26/23		20,000		21,607
Walmart Inc., Senior Notes		3.550	%		6/26/25		10,000		11,325
Walmart Inc., Senior Notes		3.050	%		7/8/26		10,000		11,225
Walmart Inc., Senior Notes		3.700	%		6/26/28		70,000		82,773
Total Food & Staples Retailing									290,441
Food Products - 0.5%
Hershey Co., Senior Notes		0.900	%		6/1/25		10,000		10,052
Kraft Heinz Foods Co., Senior Notes		3.950	%		7/15/25		13,000		14,106
Kraft Heinz Foods Co., Senior Notes		4.250	%		3/1/31		10,000		10,972	(a)
Kraft Heinz Foods Co., Senior Notes		5.000	%		6/4/42		20,000		21,902
Kraft Heinz Foods Co., Senior Notes		5.200	%		7/15/45		250,000		273,308
Kraft Heinz Foods Co., Senior Notes		4.375	%		6/1/46		50,000		51,371
Kraft Heinz Foods Co., Senior Notes		4.875	%		10/1/49		30,000		31,660	(a)
Kraft Heinz Foods Co., Senior Notes		5.500	%		6/1/50		200,000		229,211	(a)

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         5

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Food Products - (continued)
Lamb Weston Holdings Inc., Senior Notes		4.875	%		5/15/28		10,000	$	10,800	(a)
Mars Inc., Senior Notes		2.700	%		4/1/25		20,000		21,569	(a)
Mars Inc., Senior Notes		3.200	%		4/1/30		10,000		11,440	(b)
Mondelez International Inc., Senior Notes		2.125	%		4/13/23		20,000		20,756
Mondelez International Inc., Senior Notes		1.500	%		5/4/25		90,000		92,488
Total Food Products									799,635
Household Products - 0.1%
Procter & Gamble Co., Senior Notes		2.450	%		3/25/25		30,000		32,490
Procter & Gamble Co., Senior Notes		2.800	%		3/25/27		10,000		11,224
Procter & Gamble Co., Senior Notes		3.000	%		3/25/30		30,000		34,798
Procter & Gamble Co., Senior Notes		3.550	%		3/25/40		30,000		36,535
Procter & Gamble Co., Senior Notes		3.600	%		3/25/50		20,000		25,360
Total Household Products									140,407
Tobacco - 0.9%
Altria Group Inc., Senior Notes		3.490	%		2/14/22		10,000		10,400
Altria Group Inc., Senior Notes		3.800	%		2/14/24		10,000		10,930
Altria Group Inc., Senior Notes		2.350	%		5/6/25		10,000		10,566
Altria Group Inc., Senior Notes		4.400	%		2/14/26		200,000		231,033
Altria Group Inc., Senior Notes		4.800	%		2/14/29		210,000		249,185
Altria Group Inc., Senior Notes		5.800	%		2/14/39		10,000		12,797
Altria Group Inc., Senior Notes		5.375	%		1/31/44		10,000		12,440
Altria Group Inc., Senior Notes		3.875	%		9/16/46		30,000		30,838
Altria Group Inc., Senior Notes		5.950	%		2/14/49		160,000		214,326
Altria Group Inc., Senior Notes		6.200	%		2/14/59		10,000		13,673
BAT Capital Corp., Senior Notes		3.557	%		8/15/27		180,000		194,402
BAT Capital Corp., Senior Notes		4.540	%		8/15/47		100,000		107,087
Cargill Inc., Senior Notes		1.375	%		7/23/23		40,000		40,916	(a)
Philip Morris International Inc., Senior Notes		2.500	%		11/2/22		140,000		145,750
Philip Morris International Inc., Senior Notes		1.125	%		5/1/23		30,000		30,460
Philip Morris International Inc., Senior Notes		2.100	%		5/1/30		30,000		30,858
Total Tobacco									1,345,661
TOTAL CONSUMER STAPLES									4,051,348
ENERGY - 5.6%
Energy Equipment & Services - 0.0%††
Halliburton Co., Senior Notes		3.800	%		11/15/25		2,000		2,173
Oil, Gas & Consumable Fuels - 5.6%
Apache Corp., Senior Notes		4.375	%		10/15/28		70,000		64,050
Apache Corp., Senior Notes		4.250	%		1/15/30		140,000		126,130
Apache Corp., Senior Notes		4.750	%		4/15/43		10,000		8,894

See Notes to Schedule of Investments.

    6     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Apache Corp., Senior Notes		4.250	%		1/15/44		60,000	$	51,000
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes		6.125	%		11/15/22		10,000		9,756	(a)
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes		6.625	%		7/15/26		60,000		52,800	(a)
BP Capital Markets America Inc., Senior Notes		2.937	%		4/6/23		10,000		10,577
BP Capital Markets America Inc., Senior Notes		3.790	%		2/6/24		10,000		10,966
BP Capital Markets America Inc., Senior Notes		3.410	%		2/11/26		20,000		22,322
BP Capital Markets America Inc., Senior Notes		3.937	%		9/21/28		180,000		209,589
BP Capital Markets America Inc., Senior Notes		3.633	%		4/6/30		80,000		91,773
BP Capital Markets America Inc., Senior Notes		3.000	%		2/24/50		110,000		105,885
BP Capital Markets PLC, Senior Notes		3.506	%		3/17/25		50,000		55,666
Cameron LNG LLC, Senior Secured Notes		2.902	%		7/15/31		110,000		121,006	(a)
Cameron LNG LLC, Senior Secured Notes		3.302	%		1/15/35		90,000		101,543	(a)
Cheniere Energy Inc., Senior Secured Notes		4.625	%		10/15/28		30,000		30,788	(a)
Chevron Corp., Senior Notes		1.554	%		5/11/25		70,000		72,538
Chevron Corp., Senior Notes		1.995	%		5/11/27		10,000		10,577
Chevron Corp., Senior Notes		2.236	%		5/11/30		150,000		159,173
Cimarex Energy Co., Senior Notes		3.900	%		5/15/27		110,000		110,861
Cimarex Energy Co., Senior Notes		4.375	%		3/15/29		90,000		93,120
Concho Resources Inc., Senior Notes		3.750	%		10/1/27		20,000		21,604
Concho Resources Inc., Senior Notes		4.300	%		8/15/28		120,000		132,726
Continental Resources Inc., Senior Notes		4.500	%		4/15/23		50,000		47,650
Continental Resources Inc., Senior Notes		3.800	%		6/1/24		120,000		110,700
DCP Midstream Operating LP, Senior Notes		6.450	%		11/3/36		10,000		9,583	(a)
Devon Energy Corp., Senior Notes		5.850	%		12/15/25		200,000		224,139
Devon Energy Corp., Senior Notes		5.000	%		6/15/45		180,000		170,852
Diamondback Energy Inc., Senior Notes		2.875	%		12/1/24		10,000		10,125
Diamondback Energy Inc., Senior Notes		5.375	%		5/31/25		10,000		10,383
Diamondback Energy Inc., Senior Notes		3.250	%		12/1/26		30,000		30,099
Diamondback Energy Inc., Senior Notes		3.500	%		12/1/29		10,000		9,694
Ecopetrol SA, Senior Notes		5.875	%		5/28/45		640,000		697,600

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         7

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Energy Transfer Operating LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%)		6.750	%		5/15/25		40,000	$	30,800	(c)(d)
Energy Transfer Operating LP, Senior Notes		2.900	%		5/15/25		70,000		70,378
Energy Transfer Operating LP, Senior Notes		4.950	%		6/15/28		10,000		10,596
Energy Transfer Operating LP, Senior Notes		5.250	%		4/15/29		10,000		10,736
Energy Transfer Operating LP, Senior Notes		3.750	%		5/15/30		100,000		96,851
Energy Transfer Operating LP, Senior Notes		6.250	%		4/15/49		50,000		51,676
Enterprise Products Operating LLC, Senior Notes		4.150	%		10/16/28		130,000		152,064
Enterprise Products Operating LLC, Senior Notes		3.125	%		7/31/29		10,000		10,900
Enterprise Products Operating LLC, Senior Notes		2.800	%		1/31/30		300,000		319,337
Enterprise Products Operating LLC, Senior Notes		3.700	%		1/31/51		90,000		88,751
EOG Resources Inc., Senior Notes		4.375	%		4/15/30		150,000		176,743
EOG Resources Inc., Senior Notes		3.900	%		4/1/35		70,000		78,431
EOG Resources Inc., Senior Notes		4.950	%		4/15/50		30,000		36,862
EQM Midstream Partners LP, Senior Notes		6.000	%		7/1/25		130,000		134,062	(a)
EQT Corp., Senior Notes		3.000	%		10/1/22		60,000		58,575
EQT Corp., Senior Notes		3.900	%		10/1/27		60,000		55,238
Exxon Mobil Corp., Senior Notes		1.571	%		4/15/23		10,000		10,286
Exxon Mobil Corp., Senior Notes		2.992	%		3/19/25		120,000		131,503
Exxon Mobil Corp., Senior Notes		3.043	%		3/1/26		50,000		55,180
Exxon Mobil Corp., Senior Notes		3.482	%		3/19/30		150,000		172,964
Exxon Mobil Corp., Senior Notes		4.327	%		3/19/50		10,000		12,518
Exxon Mobil Corp., Senior Notes		3.452	%		4/15/51		100,000		109,875
Kinder Morgan Inc., Senior Notes		4.300	%		3/1/28		100,000		113,796
Kinder Morgan Inc., Senior Notes		5.550	%		6/1/45		20,000		23,742
Kinder Morgan Inc., Senior Notes		5.050	%		2/15/46		20,000		22,726
Kinder Morgan Inc., Senior Notes		5.200	%		3/1/48		50,000		58,589
MPLX LP, Senior Notes		4.875	%		6/1/25		110,000		124,503
MPLX LP, Senior Notes		4.800	%		2/15/29		60,000		68,690
MPLX LP, Senior Notes		4.500	%		4/15/38		100,000		102,375
MPLX LP, Senior Notes		5.500	%		2/15/49		10,000		11,231
Noble Energy Inc., Senior Notes		3.850	%		1/15/28		80,000		90,847
Noble Energy Inc., Senior Notes		6.000	%		3/1/41		30,000		41,618
Occidental Petroleum Corp., Senior Notes		3.125	%		2/15/22		70,000		66,161

See Notes to Schedule of Investments.

    8     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Occidental Petroleum Corp., Senior Notes		2.700	%		8/15/22		20,000	$	18,687
Occidental Petroleum Corp., Senior Notes		2.900	%		8/15/24		150,000		127,264
Occidental Petroleum Corp., Senior Notes		3.500	%		8/15/29		80,000		61,296
Occidental Petroleum Corp., Senior Notes		6.600	%		3/15/46		110,000		94,738
Occidental Petroleum Corp., Senior Notes		4.200	%		3/15/48		60,000		41,250
Occidental Petroleum Corp., Senior Notes		4.400	%		8/15/49		100,000		70,011
Parsley Energy LLC/Parsley Finance Corp., Senior Notes		4.125	%		2/15/28		10,000		9,400	(a)
Petrobras Global Finance BV, Senior Notes		5.750	%		2/1/29		930,000		1,026,255
Range Resources Corp., Senior Notes		4.875	%		5/15/25		70,000		63,182
Shell International Finance BV, Senior Notes		2.750	%		4/6/30		40,000		43,740
Shell International Finance BV, Senior Notes		4.375	%		5/11/45		100,000		122,638
Shell International Finance BV, Senior Notes		4.000	%		5/10/46		30,000		35,006
Shell International Finance BV, Senior Notes		3.250	%		4/6/50		90,000		95,750
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		6.875	%		1/15/29		20,000		21,394
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		4.875	%		2/1/31		30,000		29,053	(a)
Tennessee Gas Pipeline Co. LLC, Senior Notes		2.900	%		3/1/30		30,000		31,105	(a)
Transcontinental Gas Pipe Line Co. LLC, Senior Notes		7.850	%		2/1/26		160,000		207,153
Transcontinental Gas Pipe Line Co. LLC, Senior Notes		3.250	%		5/15/30		100,000		108,087	(a)
Western Midstream Operating LP, Senior Notes		4.100	%		2/1/25		40,000		38,100
Western Midstream Operating LP, Senior Notes		4.500	%		3/1/28		10,000		9,400
Western Midstream Operating LP, Senior Notes		5.050	%		2/1/30		120,000		116,792
Western Midstream Operating LP, Senior Notes		6.250	%		2/1/50		120,000		111,150
Western Midstream Operating LP, Senior Notes (3 mo. USD LIBOR + 1.850%)		2.116	%		1/13/23		10,000		9,300	(d)
Williams Cos. Inc., Senior Notes		7.750	%		6/15/31		80,000		105,231

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         9

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Williams Cos. Inc., Senior Notes		8.750	%		3/15/32		40,000	$	57,016
WPX Energy Inc., Senior Notes		5.250	%		10/15/27		40,000		40,600
Total Oil, Gas & Consumable Fuels									8,286,371
TOTAL ENERGY									8,288,544
FINANCIALS - 11.8%
Banks - 8.9%
Banco Actinver SA/Grupo GICSA SAB de CV, Senior Secured Notes		4.800	%		12/18/32		270,000		196,425	(a)
Banco Santander SA, Senior Notes		3.848	%		4/12/23		200,000		213,523
Banco Santander SA, Senior Notes		2.746	%		5/28/25		200,000		209,791
Bank of America Corp., Senior Notes		5.000	%		1/21/44		100,000		138,085
Bank of America Corp., Senior Notes (2.592% to 4/29/30 then SOFR + 2.150%)		2.592	%		4/29/31		60,000		63,835	(d)
Bank of America Corp., Senior Notes (3.004% to 12/20/22 then 3 mo. USD LIBOR + 0.790%)		3.004	%		12/20/23		50,000		52,490	(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		380,000		436,000	(d)
Bank of America Corp., Senior Notes (3.974% to 2/7/29 then 3 mo. USD LIBOR + 1.210%)		3.974	%		2/7/30		360,000		417,166	(d)
Bank of America Corp., Senior Notes (4.083% to 3/20/50 then 3 mo. USD LIBOR + 3.150%)		4.083	%		3/20/51		280,000		346,735	(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		88,995	(d)
Bank of America Corp., Subordinated Notes		4.200	%		8/26/24		200,000		222,728
Bank of America Corp., Subordinated Notes		4.250	%		10/22/26		10,000		11,579
Bank of Montreal, Senior Notes		1.850	%		5/1/25		90,000		94,002
Bank of Nova Scotia, Senior Notes		1.300	%		6/11/25		50,000		50,962
Barclays Bank PLC, Senior Notes		1.700	%		5/12/22		200,000		203,452
Barclays PLC, Subordinated Notes (5.088% to 6/20/29 then 3 mo. USD LIBOR + 3.054%)		5.088	%		6/20/30		200,000		224,033	(d)
BNP Paribas SA, Senior Notes (2.219% to 6/9/25 then SOFR + 2.074%)		2.219	%		6/9/26		200,000		206,238	(a)(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		221,422	(a)(d)

See Notes to Schedule of Investments.

    10     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
BNP Paribas SA, Senior Notes (5.198% to 1/10/29 then 3 mo. USD LIBOR + 2.567%)		5.198	%		1/10/30		400,000	$	493,285	(a)(d)
Canadian Imperial Bank of Commerce, Senior Notes		0.950	%		6/23/23		50,000		50,450
Citigroup Inc., Senior Notes		8.125	%		7/15/39		120,000		208,871
Citigroup Inc., Senior Notes		4.650	%		7/23/48		170,000		224,195
Citigroup Inc., Senior Notes (1.678% to 5/15/23 then SOFR + 1.667%)		1.678	%		5/15/24		50,000		51,221	(d)
Citigroup Inc., Senior Notes (2.572% to 6/3/30 then SOFR + 2.107%)		2.572	%		6/3/31		50,000		52,404	(d)
Citigroup Inc., Senior Notes (3.106% to 4/8/25 then SOFR + 2.750%)		3.106	%		4/8/26		180,000		194,821	(d)
Citigroup Inc., Senior Notes (3.980% to 3/20/29 then 3 mo. USD LIBOR + 1.338%)		3.980	%		3/20/30		200,000		230,231	(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		57,831	(d)
Citigroup Inc., Senior Notes (4.412% to 3/31/30 then SOFR + 3.914%)		4.412	%		3/31/31		60,000		71,924	(d)
Citigroup Inc., Subordinated Notes		4.400	%		6/10/25		150,000		169,246
Citigroup Inc., Subordinated Notes		5.500	%		9/13/25		170,000		201,510
Citigroup Inc., Subordinated Notes		4.450	%		9/29/27		30,000		34,788
Cooperatieve Rabobank UA, Senior Notes		4.375	%		8/4/25		250,000		283,347
Cooperatieve Rabobank UA, Senior Notes (1.339% to 6/24/25 then 1 year Treasury Constant Maturity Rate + 1.000%)		1.339	%		6/24/26		250,000		253,098	(a)(d)
Credit Agricole SA, Senior Notes (1.907% to 6/16/25 then SOFR + 1.676%)		1.907	%		6/16/26		250,000		255,385	(a)(d)
Danske Bank A/S, Senior Notes (3.001% to 9/20/21 then 3 mo. USD LIBOR + 1.249%)		3.001	%		9/20/22		400,000		407,592	(a)(d)
Fifth Third Bancorp, Senior Notes		3.650	%		1/25/24		10,000		10,909
HSBC Holdings PLC, Senior Notes (2.099% to 6/4/25 then SOFR + 1.929%)		2.099	%		6/4/26		200,000		202,392	(d)
HSBC Holdings PLC, Senior Notes (3.973% to 5/22/29 then 3 mo. USD LIBOR + 1.610%)		3.973	%		5/22/30		410,000		457,752	(d)
HSBC Holdings PLC, Subordinated Notes		4.250	%		8/18/25		200,000		217,354
Intesa Sanpaolo SpA, Senior Notes		3.125	%		7/14/22		200,000		205,697	(a)
Intesa Sanpaolo SpA, Senior Notes		3.375	%		1/12/23		200,000		207,684	(a)
JPMorgan Chase & Co., Senior Notes (1.514% to 6/1/23 then SOFR + 1.455%)		1.514	%		6/1/24		130,000		132,679	(d)
JPMorgan Chase & Co., Senior Notes (2.083% to 4/22/25 then SOFR + 1.850%)		2.083	%		4/22/26		90,000		94,120	(d)

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         11

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
JPMorgan Chase & Co., Senior Notes (2.522% to 4/22/30 then SOFR + 2.040%)		2.522	%		4/22/31		160,000	$	170,252	(d)
JPMorgan Chase & Co., Senior Notes (2.739% to 10/15/29 then SOFR + 1.510%)		2.739	%		10/15/30		350,000		374,966	(d)
JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/50 then SOFR + 2.440%)		3.109	%		4/22/51		20,000		21,462	(d)
JPMorgan Chase & Co., Senior Notes (4.023% to 12/5/23 then 3 mo. USD LIBOR + 1.000%)		4.023	%		12/5/24		120,000		131,679	(d)
JPMorgan Chase & Co., Senior Notes (4.452% to 12/5/28 then 3 mo. USD LIBOR + 1.330%)		4.452	%		12/5/29		100,000		120,229	(d)
JPMorgan Chase & Co., Subordinated Notes		4.950	%		6/1/45		110,000		149,070
Lloyds Banking Group PLC, Senior Notes		3.900	%		3/12/24		200,000		217,304
Lloyds Banking Group PLC, Senior Notes		4.375	%		3/22/28		200,000		232,031
Natwest Group PLC, Subordinated Notes		5.125	%		5/28/24		350,000		383,827
Royal Bank of Canada, Senior Notes		3.200	%		4/30/21		50,000		50,850
Royal Bank of Canada, Senior Notes		1.600	%		4/17/23		80,000		82,099
Royal Bank of Canada, Senior Notes		1.150	%		6/10/25		50,000		50,698
Swedbank AB, Senior Notes		1.300	%		6/2/23		200,000		203,822	(a)
Toronto-Dominion Bank, Senior Notes		3.250	%		6/11/21		50,000		51,032
Toronto-Dominion Bank, Senior Notes		0.750	%		6/12/23		100,000		100,650
Toronto-Dominion Bank, Senior Notes		1.150	%		6/12/25		40,000		40,649
UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate + 4.914%)		7.296	%		4/2/34		200,000		230,138	(a)(d)
US Bancorp, Senior Notes		1.450	%		5/12/25		100,000		103,547
Wells Fargo & Co., Senior Notes		3.750	%		1/24/24		20,000		21,730
Wells Fargo & Co., Senior Notes		3.000	%		10/23/26		100,000		109,309
Wells Fargo & Co., Senior Notes		4.150	%		1/24/29		100,000		117,608
Wells Fargo & Co., Senior Notes (1.654% to 6/2/23 then SOFR + 1.600%)		1.654	%		6/2/24		100,000		101,865	(d)
Wells Fargo & Co., Senior Notes (2.188% to 4/30/25 then SOFR + 2.000%)		2.188	%		4/30/26		90,000		93,873	(d)
Wells Fargo & Co., Senior Notes (2.393% to 6/2/27 then SOFR + 2.100%)		2.393	%		6/2/28		50,000		52,164	(d)
Wells Fargo & Co., Senior Notes (2.879% to 10/30/29 then 3 mo. USD LIBOR + 1.170%)		2.879	%		10/30/30		220,000		236,257	(d)
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		111,944	(d)

See Notes to Schedule of Investments.

    12     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
Wells Fargo & Co., Senior Notes (4.478% to 4/4/30 then 3 mo. USD LIBOR + 3.770%)		4.478	%		4/4/31		30,000	$	36,410	(d)
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. USD LIBOR + 4.240%)		5.013	%		4/4/51		720,000		985,426	(d)
Wells Fargo & Co., Subordinated Notes		4.300	%		7/22/27		40,000		45,831
Wells Fargo & Co., Subordinated Notes		4.750	%		12/7/46		270,000		336,233
Total Banks									13,129,202
Capital Markets - 2.3%
Bank of New York Mellon Corp., Senior Notes		1.600	%		4/24/25		30,000		31,183
Credit Suisse AG, Senior Notes		2.950	%		4/9/25		250,000		272,940
Credit Suisse Group AG, Senior Notes (2.193% to 6/5/25 then SOFR + 2.044%)		2.193	%		6/5/26		250,000		257,510	(a)(d)
Credit Suisse Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%)		4.194	%		4/1/31		250,000		288,622	(a)(d)
Goldman Sachs Group Inc., Senior Notes		3.200	%		2/23/23		10,000		10,603
Goldman Sachs Group Inc., Senior Notes		3.850	%		7/8/24		200,000		219,952
Goldman Sachs Group Inc., Senior Notes		3.500	%		4/1/25		190,000		209,697
Goldman Sachs Group Inc., Senior Notes		3.500	%		11/16/26		50,000		55,311
Goldman Sachs Group Inc., Senior Notes (3.814% to 4/23/28 then 3 mo. USD LIBOR + 1.158%)		3.814	%		4/23/29		200,000		227,623	(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		230,000		268,229	(d)
Goldman Sachs Group Inc., Subordinated Notes		5.150	%		5/22/45		320,000		421,735
Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%)		2.188	%		4/28/26		130,000		136,147	(d)
Morgan Stanley, Senior Notes (2.699% to 1/22/30 then SOFR + 1.143%)		2.699	%		1/22/31		100,000		106,520	(d)
Morgan Stanley, Senior Notes (3.622% to 4/1/30 then SOFR + 3.120%)		3.622	%		4/1/31		160,000		183,837	(d)
Morgan Stanley, Senior Notes (3.772% to 1/24/28 then 3 mo. USD LIBOR + 1.140%)		3.772	%		1/24/29		80,000		91,313	(d)
Morgan Stanley, Senior Notes (4.431% to 1/23/29 then 3 mo. USD LIBOR + 1.628%)		4.431	%		1/23/30		50,000		59,741	(d)
Morgan Stanley, Senior Notes (5.597% to 3/24/50 then SOFR + 4.840%)		5.597	%		3/24/51		40,000		60,142	(d)

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         13

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Capital Markets - (continued)
UBS AG, Senior Notes		1.750	%		4/21/22		200,000	$	203,630	(a)
UBS Group AG, Junior Subordinated Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%)		7.000	%		1/31/24		200,000		213,500	(a)(c)(d)
Total Capital Markets									3,318,235
Consumer Finance - 0.1%
American Express Co., Senior Notes		3.700	%		11/5/21		90,000		92,994
Diversified Financial Services - 0.3%
International Lease Finance Corp., Senior Notes		5.875	%		8/15/22		150,000		160,522
National Securities Clearing Corp., Senior Notes		1.500	%		4/23/25		250,000		257,768	(a)
Park Aerospace Holdings Ltd., Senior Notes		5.250	%		8/15/22		10,000		10,041	(a)
Park Aerospace Holdings Ltd., Senior Notes		5.500	%		2/15/24		90,000		90,686	(a)
Total Diversified Financial Services									519,017
Insurance - 0.2%
American International Group Inc., Senior Notes		2.500	%		6/30/25		30,000		32,038
American International Group Inc., Senior Notes		3.750	%		7/10/25		50,000		55,968
Berkshire Hathaway Finance Corp., Senior Notes		4.250	%		1/15/49		70,000		91,087
Guardian Life Global Funding, Secured Notes		1.100	%		6/23/25		20,000		20,166	(a)
New York Life Global Funding, Senior Secured Notes		0.950	%		6/24/25		40,000		40,396	(a)
Principal Life Global Funding II, Secured Notes		1.250	%		6/23/25		10,000		10,186	(a)
Total Insurance									249,841
TOTAL FINANCIALS									17,309,289
HEALTH CARE - 3.7%
Biotechnology - 0.7%
AbbVie Inc., Senior Notes		2.300	%		11/21/22		130,000		134,514	(a)
AbbVie Inc., Senior Notes		3.750	%		11/14/23		10,000		10,912
AbbVie Inc., Senior Notes		2.600	%		11/21/24		400,000		423,802	(a)
AbbVie Inc., Senior Notes		2.950	%		11/21/26		40,000		43,569	(a)
AbbVie Inc., Senior Notes		3.200	%		11/21/29		260,000		286,446	(a)
AbbVie Inc., Senior Notes		4.750	%		3/15/45		10,000		12,085	(a)
Gilead Sciences Inc., Senior Notes		3.650	%		3/1/26		80,000		90,180
Total Biotechnology									1,001,508

See Notes to Schedule of Investments.

    14     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Health Care Equipment & Supplies - 0.2%
Abbott Laboratories, Senior Notes		3.750	%		11/30/26		130,000	$	150,916
Becton Dickinson and Co., Senior Notes		3.363	%		6/6/24		80,000		86,578
Becton Dickinson and Co., Senior Notes		3.700	%		6/6/27		70,000		79,369
Total Health Care Equipment & Supplies									316,863
Health Care Providers & Services - 1.5%
Anthem Inc., Senior Notes		3.650	%		12/1/27		40,000		45,578
Centene Corp., Senior Notes		5.375	%		6/1/26		10,000		10,537	(a)
Centene Corp., Senior Notes		4.625	%		12/15/29		60,000		64,720
Centene Corp., Senior Notes		3.375	%		2/15/30		20,000		20,750
Cigna Corp., Senior Notes		3.750	%		7/15/23		10,000		10,837
Cigna Corp., Senior Notes		4.125	%		11/15/25		100,000		114,716
Cigna Corp., Senior Notes		4.375	%		10/15/28		240,000		285,494
Cigna Corp., Senior Notes		4.800	%		8/15/38		60,000		74,482
CVS Health Corp., Senior Notes		3.350	%		3/9/21		27,000		27,353
CVS Health Corp., Senior Notes		4.100	%		3/25/25		44,000		49,704
CVS Health Corp., Senior Notes		3.625	%		4/1/27		10,000		11,194
CVS Health Corp., Senior Notes		4.300	%		3/25/28		240,000		280,913
CVS Health Corp., Senior Notes		3.750	%		4/1/30		30,000		34,234
CVS Health Corp., Senior Notes		4.125	%		4/1/40		10,000		11,390
CVS Health Corp., Senior Notes		5.050	%		3/25/48		150,000		191,461
CVS Health Corp., Senior Notes		4.250	%		4/1/50		130,000		152,800
HCA Inc., Senior Notes		5.375	%		2/1/25		10,000		10,950
HCA Inc., Senior Notes		5.625	%		9/1/28		40,000		45,758
HCA Inc., Senior Notes		3.500	%		9/1/30		60,000		61,133
HCA Inc., Senior Secured Notes		5.250	%		6/15/26		40,000		46,667
HCA Inc., Senior Secured Notes		4.125	%		6/15/29		60,000		67,863
Humana Inc., Senior Notes		4.500	%		4/1/25		10,000		11,486
Humana Inc., Senior Notes		3.950	%		3/15/27		70,000		79,957
Humana Inc., Senior Notes		3.125	%		8/15/29		90,000		99,577
UnitedHealth Group Inc., Senior Notes		3.750	%		7/15/25		20,000		22,827
UnitedHealth Group Inc., Senior Notes		1.250	%		1/15/26		10,000		10,266
UnitedHealth Group Inc., Senior Notes		3.875	%		12/15/28		20,000		23,768
UnitedHealth Group Inc., Senior Notes		2.875	%		8/15/29		140,000		156,128
UnitedHealth Group Inc., Senior Notes		2.000	%		5/15/30		20,000		20,956
UnitedHealth Group Inc., Senior Notes		5.700	%		10/15/40		30,000		43,762
UnitedHealth Group Inc., Senior Notes		4.250	%		6/15/48		20,000		25,500
UnitedHealth Group Inc., Senior Notes		2.900	%		5/15/50		100,000		105,461
Total Health Care Providers & Services									2,218,222

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         15

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Pharmaceuticals - 1.3%
Bausch Health Cos. Inc., Senior Notes		6.250	%		2/15/29		40,000	$	41,142	(a)
Bausch Health Cos. Inc., Senior Notes		7.250	%		5/30/29		30,000		32,325	(a)
Bristol-Myers Squibb Co., Senior Notes		2.600	%		5/16/22		20,000		20,749
Bristol-Myers Squibb Co., Senior Notes		2.900	%		7/26/24		50,000		54,124
Bristol-Myers Squibb Co., Senior Notes		3.875	%		8/15/25		50,000		57,008
Bristol-Myers Squibb Co., Senior Notes		3.200	%		6/15/26		20,000		22,559
Bristol-Myers Squibb Co., Senior Notes		3.400	%		7/26/29		240,000		279,530
Bristol-Myers Squibb Co., Senior Notes		5.000	%		8/15/45		20,000		28,125
Bristol-Myers Squibb Co., Senior Notes		4.250	%		10/26/49		40,000		52,530
Johnson & Johnson, Senior Notes		0.550	%		9/1/25		40,000		40,012
Johnson & Johnson, Senior Notes		0.950	%		9/1/27		80,000		80,367
Johnson & Johnson, Senior Notes		3.625	%		3/3/37		30,000		36,639
Merck & Co. Inc., Senior Notes		0.750	%		2/24/26		150,000		150,412
Merck & Co. Inc., Senior Notes		1.450	%		6/24/30		30,000		30,420
Pfizer Inc., Senior Notes		0.800	%		5/28/25		60,000		60,426
Pfizer Inc., Senior Notes		2.625	%		4/1/30		60,000		67,084
Pfizer Inc., Senior Notes		1.700	%		5/28/30		30,000		30,918
Teva Pharmaceutical Finance Co. BV, Senior Notes		3.650	%		11/10/21		80,000		79,800
Teva Pharmaceutical Finance Co. BV, Senior Notes		2.950	%		12/18/22		280,000		272,196
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		2.200	%		7/21/21		160,000		158,480
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		2.800	%		7/21/23		90,000		86,063
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		3.150	%		10/1/26		250,000		220,552
Total Pharmaceuticals									1,901,461
TOTAL HEALTH CARE									5,438,054
INDUSTRIALS - 2.9%
Aerospace & Defense - 1.0%
Boeing Co., Senior Notes		4.875	%		5/1/25		170,000		184,981
Boeing Co., Senior Notes		3.200	%		3/1/29		110,000		108,333
Boeing Co., Senior Notes		5.150	%		5/1/30		230,000		258,522
Boeing Co., Senior Notes		3.250	%		2/1/35		100,000		93,997
Boeing Co., Senior Notes		3.550	%		3/1/38		10,000		9,109
Boeing Co., Senior Notes		5.705	%		5/1/40		70,000		82,525
Boeing Co., Senior Notes		3.750	%		2/1/50		70,000		64,061
Boeing Co., Senior Notes		5.805	%		5/1/50		120,000		145,174

See Notes to Schedule of Investments.

    16     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Aerospace & Defense - (continued)
Boeing Co., Senior Notes		5.930	%		5/1/60		40,000	$	49,506
General Dynamics Corp., Senior Notes		4.250	%		4/1/40		10,000		12,581
General Dynamics Corp., Senior Notes		4.250	%		4/1/50		30,000		39,182
Lockheed Martin Corp., Senior Notes		3.550	%		1/15/26		100,000		113,632
Northrop Grumman Corp., Senior Notes		3.250	%		1/15/28		150,000		168,536
Northrop Grumman Corp., Senior Notes		5.250	%		5/1/50		40,000		57,380
Raytheon Technologies Corp., Senior Notes		3.150	%		12/15/24		20,000		21,605	(a)
Raytheon Technologies Corp., Senior Notes		2.250	%		7/1/30		50,000		52,882
TransDigm Inc., Senior Secured Notes		8.000	%		12/15/25		20,000		21,750	(a)
TransDigm Inc., Senior Secured Notes		6.250	%		3/15/26		30,000		31,329	(a)
Total Aerospace & Defense									1,515,085
Airlines - 0.6%
Delta Air Lines Inc., Senior Notes		3.400	%		4/19/21		70,000		69,720
Delta Air Lines Inc., Senior Notes		3.625	%		3/15/22		20,000		19,651
Delta Air Lines Inc., Senior Notes		3.800	%		4/19/23		30,000		29,047
Delta Air Lines Inc., Senior Notes		2.900	%		10/28/24		50,000		44,587
Delta Air Lines Inc., Senior Notes		7.375	%		1/15/26		50,000		52,417
Delta Air Lines Inc., Senior Secured Notes		7.000	%		5/1/25		330,000		362,348	(a)
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes		4.500	%		10/20/25		90,000		92,417	(a)
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes		4.750	%		10/20/28		70,000		72,680	(a)
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes		6.500	%		6/20/27		60,000		62,475	(a)
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes		8.000	%		9/20/25		70,000		74,166	(a)
Total Airlines									879,508
Building Products - 0.3%
Carrier Global Corp., Senior Notes		1.923	%		2/15/23		20,000		20,578	(a)
Carrier Global Corp., Senior Notes		2.242	%		2/15/25		50,000		52,159	(a)
Carrier Global Corp., Senior Notes		2.493	%		2/15/27		10,000		10,456	(a)
Carrier Global Corp., Senior Notes		2.722	%		2/15/30		120,000		125,524	(a)
Carrier Global Corp., Senior Notes		2.700	%		2/15/31		145,000		151,065	(a)
Total Building Products									359,782
Commercial Services & Supplies - 0.1%
Cintas Corp. No 2, Senior Notes		2.900	%		4/1/22		50,000		51,722
GFL Environmental Inc., Senior Secured Notes		4.250	%		6/1/25		30,000		30,300	(a)

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         17

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Commercial Services & Supplies - (continued)
Republic Services Inc., Senior Notes		2.500	%		8/15/24		10,000	$	10,644
Waste Management Inc., Senior Notes		4.150	%		7/15/49		50,000		63,615
Total Commercial Services & Supplies									156,281
Electrical Equipment - 0.0%††
Eaton Corp., Senior Notes		2.750	%		11/2/22		50,000		52,401
Industrial Conglomerates - 0.5%
3M Co., Senior Notes		2.375	%		8/26/29		10,000		10,816
3M Co., Senior Notes		3.050	%		4/15/30		110,000		125,753
3M Co., Senior Notes		3.700	%		4/15/50		50,000		60,528
General Electric Co., Senior Notes		3.450	%		5/1/27		10,000		10,588
General Electric Co., Senior Notes		3.625	%		5/1/30		20,000		20,712
General Electric Co., Senior Notes		6.750	%		3/15/32		10,000		12,581
General Electric Co., Senior Notes		6.875	%		1/10/39		300,000		385,378
Honeywell International Inc., Senior Notes		1.350	%		6/1/25		30,000		30,931
Total Industrial Conglomerates									657,287
Machinery - 0.1%
Deere & Co., Senior Notes		3.100	%		4/15/30		10,000		11,422
Deere & Co., Senior Notes		3.750	%		4/15/50		50,000		62,661
Otis Worldwide Corp., Senior Notes		2.056	%		4/5/25		20,000		21,045
Otis Worldwide Corp., Senior Notes		2.293	%		4/5/27		30,000		31,910
Otis Worldwide Corp., Senior Notes		2.565	%		2/15/30		60,000		64,484
Total Machinery									191,522
Road & Rail - 0.1%
Union Pacific Corp., Senior Notes		2.150	%		2/5/27		40,000		42,522
Union Pacific Corp., Senior Notes		3.950	%		9/10/28		30,000		35,385
Union Pacific Corp., Senior Notes		2.400	%		2/5/30		70,000		75,347
Union Pacific Corp., Senior Notes		3.750	%		2/5/70		50,000		56,449
Total Road & Rail									209,703
Trading Companies & Distributors - 0.2%
Air Lease Corp., Senior Notes		3.375	%		7/1/25		30,000		30,656
United Rentals North America Inc., Senior Notes		4.875	%		1/15/28		50,000		52,500
United Rentals North America Inc., Senior Notes		3.875	%		2/15/31		130,000		131,950
Total Trading Companies & Distributors									215,106
TOTAL INDUSTRIALS									4,236,675
INFORMATION TECHNOLOGY - 1.9%
Communications Equipment - 0.1%
L3Harris Technologies Inc., Senior Notes		4.854	%		4/27/35		50,000		65,857

See Notes to Schedule of Investments.

    18     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
IT Services - 0.3%
International Business Machines Corp.,
Senior Notes		3.000	%		5/15/24		100,000	$	108,319
Mastercard Inc., Senior Notes		3.850	%		3/26/50		50,000		63,836
PayPal Holdings Inc., Senior Notes		1.350	%		6/1/23		40,000		40,858
PayPal Holdings Inc., Senior Notes		1.650	%		6/1/25		30,000		31,072
Visa Inc., Senior Notes		3.150	%		12/14/25		60,000		67,131
Visa Inc., Senior Notes		2.700	%		4/15/40		65,000		70,309
Visa Inc., Senior Notes		4.300	%		12/14/45		80,000		106,258
Total IT Services									487,783
Semiconductors & Semiconductor Equipment - 1.0%
Broadcom Inc., Senior Notes		2.250	%		11/15/23		80,000		83,172
Broadcom Inc., Senior Notes		4.700	%		4/15/25		260,000		295,441
Broadcom Inc., Senior Notes		3.150	%		11/15/25		70,000		75,819
Intel Corp., Senior Notes		4.600	%		3/25/40		20,000		26,644
Intel Corp., Senior Notes		4.750	%		3/25/50		150,000		206,568
Intel Corp., Senior Notes		4.950	%		3/25/60		50,000		72,953
Micron Technology Inc., Senior Notes		2.497	%		4/24/23		50,000		51,923
NVIDIA Corp., Senior Notes		2.850	%		4/1/30		20,000		22,470
NVIDIA Corp., Senior Notes		3.500	%		4/1/40		50,000		58,597
NVIDIA Corp., Senior Notes		3.500	%		4/1/50		170,000		198,947
NVIDIA Corp., Senior Notes		3.700	%		4/1/60		100,000		119,219
NXP BV/NXP Funding LLC/NXP USA Inc., Senior Notes		2.700	%		5/1/25		40,000		42,375	(a)
Texas Instruments Inc., Senior Notes		1.750	%		5/4/30		40,000		41,259
TSMC Global Ltd., Senior Notes		0.750	%		9/28/25		200,000		198,221	(a)
Total Semiconductors & Semiconductor Equipment									1,493,608
Software - 0.3%
Microsoft Corp., Senior Notes		2.400	%		2/6/22		20,000		20,555
Microsoft Corp., Senior Notes		3.300	%		2/6/27		290,000		331,352
salesforce.com Inc., Senior Notes		3.250	%		4/11/23		50,000		53,562
Total Software									405,469
Technology Hardware, Storage & Peripherals - 0.2%
Apple Inc., Senior Notes		1.125	%		5/11/25		100,000		102,335
Apple Inc., Senior Notes		2.450	%		8/4/26		140,000		152,562
Dell International LLC/EMC Corp., Senior Secured Notes		4.420	%		6/15/21		40,000		40,946	(a)
Total Technology Hardware, Storage & Peripherals									295,843
TOTAL INFORMATION TECHNOLOGY									2,748,560

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         19

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
MATERIALS - 0.7%
Metals & Mining - 0.7%
Anglo American Capital PLC, Senior Notes		4.000	%		9/11/27		200,000	$	220,802	(a)
ArcelorMittal SA, Senior Notes		3.600	%		7/16/24		40,000		41,903
ArcelorMittal SA, Senior Notes		6.125	%		6/1/25		100,000		115,260
ArcelorMittal SA, Senior Notes		4.550	%		3/11/26		100,000		108,356
Barrick North America Finance LLC, Senior Notes		5.750	%		5/1/43		50,000		72,807
BHP Billiton Finance USA Ltd., Senior Notes		5.000	%		9/30/43		30,000		42,173
Freeport-McMoRan Inc., Senior Notes		4.625	%		8/1/30		20,000		21,029
Freeport-McMoRan Inc., Senior Notes		5.400	%		11/14/34		10,000		11,062
Freeport-McMoRan Inc., Senior Notes		5.450	%		3/15/43		95,000		105,334
Glencore Funding LLC, Senior Notes		4.125	%		3/12/24		150,000		162,539	(a)
Glencore Funding LLC, Senior Notes		4.000	%		3/27/27		50,000		54,599	(a)
Glencore Funding LLC, Senior Notes		3.875	%		10/27/27		30,000		32,711	(a)
Total Metals & Mining									988,575
Paper & Forest Products - 0.0%††
Suzano Austria GmbH, Senior Notes		3.750	%		1/15/31		20,000		20,049
TOTAL MATERIALS									1,008,624
UTILITIES - 0.6%
Electric Utilities - 0.6%
Duke Energy Ohio Inc., Secured Bonds		3.650	%		2/1/29		100,000		116,108
FirstEnergy Corp., Senior Notes		1.600	%		1/15/26		20,000		19,876
FirstEnergy Corp., Senior Notes		7.375	%		11/15/31		410,000		574,846
Pacific Gas and Electric Co., Secured Bonds		1.750	%		6/16/22		70,000		70,084
Pacific Gas and Electric Co., Secured Bonds		2.100	%		8/1/27		20,000		19,351
Pacific Gas and Electric Co., Secured Bonds		2.500	%		2/1/31		30,000		28,544
Pacific Gas and Electric Co., Secured Bonds		3.300	%		8/1/40		10,000		9,183
Pacific Gas and Electric Co., Secured Bonds		3.500	%		8/1/50		20,000		18,033
Sensata Technologies Inc., Senior Notes		4.375	%		2/15/30		40,000		42,000	(a)
Total Electric Utilities									898,025
Multi-Utilities - 0.0%††
Consolidated Edison Co. of New York Inc., Senior Notes		3.350	%		4/1/30		10,000		11,514
Consolidated Edison Co. of New York Inc., Senior Notes		3.950	%		4/1/50		20,000		24,385
Total Multi-Utilities									35,899
TOTAL UTILITIES									933,924
TOTAL CORPORATE BONDS & NOTES (Cost - $50,954,010)									53,436,702

See Notes to Schedule of Investments.

    20     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
MORTGAGE-BACKED SECURITIES - 19.5%
FHLMC - 5.6%
Federal Home Loan Mortgage Corp. (FHLMC)		3.000	%		9/1/32-9/1/50		3,183,698	$	3,385,652
Federal Home Loan Mortgage Corp. (FHLMC)		4.000	%		12/1/47-4/1/49		262,571		284,302
Federal Home Loan Mortgage Corp. (FHLMC)		4.500	%		7/1/48-7/1/49		599,785		654,816
Federal Home Loan Mortgage Corp. (FHLMC)		5.000	%		11/1/48-3/1/50		285,232		312,374
Federal Home Loan Mortgage Corp. (FHLMC)		3.500	%		3/1/50-5/1/50		287,789		309,145
Federal Home Loan Mortgage Corp. (FHLMC) Gold		3.000	%		10/1/46-5/1/47		192,971		208,147
Federal Home Loan Mortgage Corp. (FHLMC) Gold		3.500	%		10/1/46		1,375,811		1,469,508
Federal Home Loan Mortgage Corp. (FHLMC) Gold		4.000	%		6/1/47		1,351,711		1,450,419
Federal Home Loan Mortgage Corp. (FHLMC) Gold		4.500	%		4/1/48-4/1/49		117,949		130,003
Total FHLMC									8,204,366
FNMA - 9.7%
Federal National Mortgage Association (FNMA)		2.500	%		6/1/28		69,193		72,730
Federal National Mortgage Association (FNMA)		3.160	%		5/1/29		9,832		11,305
Federal National Mortgage Association (FNMA)		3.500	%		10/1/34-8/1/50		2,812,985		3,002,190
Federal National Mortgage Association (FNMA)		2.790	%		1/1/35		49,850		56,490	(d)
Federal National Mortgage Association (FNMA)		1.500	%		10/1/35		400,000		409,281	(e)
Federal National Mortgage Association (FNMA)		2.000	%		10/1/35-10/1/50		4,100,000		4,248,844	(e)
Federal National Mortgage Association (FNMA)		3.000	%		12/1/36-7/1/50		1,415,382		1,497,928
Federal National Mortgage Association (FNMA)		6.000	%		7/1/41		54,964		66,598
Federal National Mortgage Association (FNMA)		4.000	%		4/1/47-5/1/49		1,599,308		1,721,518

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         21

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
FNMA - (continued)
Federal National Mortgage Association (FNMA)		4.500	%		4/1/48-3/1/50		2,199,147	$	2,416,336
Federal National Mortgage Association (FNMA)		5.000	%		11/1/48-3/1/50		664,772		734,790
Total FNMA									14,238,010
GNMA - 4.2%
Government National Mortgage Association (GNMA)		3.000	%		10/15/42		82,800		86,489
Government National Mortgage Association (GNMA) II		3.000	%		11/20/46-2/20/50		1,136,358		1,212,007
Government National Mortgage Association (GNMA) II		4.500	%		5/20/48-2/20/50		860,245		926,159
Government National Mortgage Association (GNMA) II		5.000	%		10/20/48-1/20/49		293,772		320,677
Government National Mortgage Association (GNMA) II		3.500	%		7/20/49-1/20/50		723,967		761,493
Government National Mortgage Association (GNMA) II		4.000	%		4/20/50		99,298		107,852
Government National Mortgage Association (GNMA) II		2.000	%		10/1/50		400,000		415,562	(e)
Government National Mortgage Association (GNMA) II		2.500	%		10/1/50		900,000		945,176	(e)
Government National Mortgage Association (GNMA) II		4.000	%		10/1/50		1,000,000		1,062,480	(e)
Government National Mortgage Association (GNMA) II		4.500	%		10/1/50		400,000		428,625	(e)
Total GNMA									6,266,520
TOTAL MORTGAGE-BACKED SECURITIES (Cost - $28,499,421)									28,708,896
COLLATERALIZED MORTGAGE OBLIGATIONS(f) - 10.1%
Alternative Loan Trust, 2005-81 A1 (1 mo. USD LIBOR + 0.280%)		0.428	%		2/25/37		197,537		173,797	(d)
BWAY Mortgage Trust, 2015-1740 E		4.806	%		1/10/35		500,000		465,121	(a)(d)
BX Commercial Mortgage Trust, 2018-IND G (1 mo. USD LIBOR + 2.050%)		2.202	%		11/15/35		133,000		130,836	(a)(d)
BX Commercial Mortgage Trust, 2019-IMC F (1 mo. USD LIBOR + 2.900%)		3.052	%		4/15/34		300,000		253,737	(a)(d)
CSAIL Commercial Mortgage Trust, 2017-C8 C		4.320	%		6/15/50		500,000		469,283	(d)
CSMC Trust, 2019-RPL9 A1		3.050	%		10/27/59		240,939		242,267	(a)(d)
CSMC Trust, 2019-UVIL A		3.160	%		12/15/41		260,000		253,140	(a)

See Notes to Schedule of Investments.

    22     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(f) - (continued)
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K091 A2		3.505	%		3/25/29		10,000	$	11,817
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K101 A1		2.190	%		7/25/29		493,368		530,133
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K101 X1, IO		0.949	%		10/25/29		2,797,748		184,479	(d)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5010 IK, IO		2.500	%		9/25/50		99,818		12,571
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5010 JI, IO		2.500	%		9/25/50		99,698		13,209
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2018-1 M		4.750	%		5/25/57		550,000		537,823	(a)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2020-1 M		4.250	%		8/25/59		640,000		619,184	(a)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA1 M2 (1 mo. USD LIBOR + 3.250%)		3.398	%		7/25/29		242,691		248,535	(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA3 M2 (1 mo. USD LIBOR + 2.500%)		2.648	%		3/25/30		980,000		988,665	(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2020-DNA3 M2 (1 mo. USD LIBOR + 3.000%)		3.148	%		6/25/50		370,000		370,926	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2014-C01 M2 (1 mo. USD LIBOR + 4.400%)		4.548	%		1/25/24		100,687		94,109	(d)
Federal National Mortgage Association (FNMA) - CAS, 2014-C02 1M2 (1 mo. USD LIBOR + 2.600%)		2.748	%		5/25/24		190,511		166,752	(d)
Federal National Mortgage Association (FNMA) - CAS, 2015-C03 1M2 (1 mo. USD LIBOR + 5.000%)		5.148	%		7/25/25		53,234		54,431	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2016-C03 1M2 (1 mo. USD LIBOR + 5.300%)		5.448	%		10/25/28		175,875		185,319	(a)(d)

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         23

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		Value
COLLATERALIZED MORTGAGE OBLIGATIONS(f) - (continued)
Federal National Mortgage Association (FNMA) - CAS, 2017-C05 1M2 (1 mo. USD LIBOR + 2.200%)		2.348	%		1/25/30		92,054	$	90,782	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2017-C07 1M2 (1 mo. USD LIBOR + 2.400%)		2.548	%		5/25/30		354,955		348,160	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2018-C01 1M2 (1 mo. USD LIBOR + 2.250%)		2.398	%		7/25/30		294,075		290,204	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2018-C03 1B1 (1 mo. USD LIBOR + 3.750%)		3.898	%		10/25/30		320,000		295,194	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2018-C03 1M2 (1 mo. USD LIBOR + 2.150%)		2.298	%		10/25/30		223,700		219,399	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2019-R07 1M2 (1 mo. USD LIBOR + 2.100%)		2.248	%		10/25/39		375,198		373,138	(a)(d)
Federal National Mortgage Association (FNMA) ACES, 2018-M9 APT2		3.228	%		4/25/28		99,977		112,086	(d)
Federal National Mortgage Association (FNMA) ACES, 2019-M4 A2		3.610	%		2/25/31		10,000		11,955
Federal National Mortgage Association (FNMA) ACES, 2019-M23 3A3		2.720	%		10/25/31		99,980		107,729	(d)
Government National Mortgage Association (GNMA), 2013-50 IO, IO		0.189	%		10/16/48		16,996,207		207,321	(d)
Government National Mortgage Association (GNMA), 2014-17 AM		2.598	%		6/16/48		406,262		424,696	(d)
Government National Mortgage Association (GNMA), 2016-14 H		2.850	%		3/16/57		530,876		563,856
Government National Mortgage Association (GNMA), 2020-123 NI, IO		2.500	%		8/20/50		99,811		13,737
Government National Mortgage Association (GNMA), 2020-H13 FA (1 mo. USD LIBOR + 0.450%)		0.606	%		7/20/70		500,183		500,183	(d)
Government National Mortgage Association (GNMA), 2020-H13 FC (1 mo. USD LIBOR + 0.450%)		0.606	%		7/20/70		592,959		592,959	(d)
Government National Mortgage Association (GNMA), 2020-H13 FM (1 mo. USD LIBOR + 0.400%)		0.556	%		8/20/70		294,679		294,506	(d)

See Notes to Schedule of Investments.

    24     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(f) - (continued)
GS Mortgage Securities Corp. II, 2018-SRP5 C (1 mo. USD LIBOR + 3.750%)		3.902	%		9/15/31		400,000	$	385,685	(a)(d)
GS Mortgage Securities Trust, 2017-GS8 C		4.481	%		11/10/50		401,000		402,273	(d)
GS Mortgage Securities Trust, 2020-DUNE A (1 mo. USD LIBOR + 1.100%)		1.252	%		12/15/36		280,000		270,141	(a)(d)
Impac CMB Trust, 2005-7 A1 (1 mo. USD LIBOR + 0.520%)		0.668	%		11/25/35		239,901		215,120	(d)
IndyMac INDX Mortgage Loan Trust, 2005- AR10 A1 (1 mo. USD LIBOR + 0.260%)		0.408	%		6/25/35		257,932		229,241	(d)
JPMorgan Chase Commercial Mortgage Securities Trust, 2019-BKWD D (1 mo. USD LIBOR + 1.850%)		2.002	%		9/15/29		400,000		376,673	(a)(d)
Legacy Mortgage Asset Trust, 2019-GS7 A1, Step Bond		3.250	%		11/25/59		237,668		237,670	(a)
Motel 6 Trust, 2017-MTL6 B (1 mo. USD LIBOR + 1.190%)		1.342	%		8/15/34		304,930		297,660	(a)(d)
Motel 6 Trust, 2017-MTL6 C (1 mo. USD LIBOR + 1.400%)		1.552	%		8/15/34		561,714		547,617	(a)(d)
MTRO Commercial Mortgage Trust, 2019-TECH D (1 mo. USD LIBOR + 1.800%)		1.952	%		12/15/33		100,000		97,324	(a)(d)
New Residential Mortgage Loan Trust, 2016-3A A1B		3.250	%		9/25/56		412,832		438,930	(a)(d)
Tharaldson Hotel Portfolio Trust, 2018-THL D (1 mo. USD LIBOR + 2.000%)		2.159	%		11/11/34		243,024		214,984	(a)(d)
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR8, 2A1A (1 mo. USD LIBOR + 0.580%)		0.728	%		7/25/45		67,448		64,211	(d)
Wells Fargo Commercial Mortgage Trust, 2017-C41 B		4.188	%		11/15/50		70,000		74,363	(d)
Wells Fargo Commercial Mortgage Trust, 2018-C44 A5		4.212	%		5/15/51		500,000		587,642
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $15,133,830)									14,891,573
SOVEREIGN BONDS - 8.5%
Argentina - 0.0%††
Argentine Republic Government International Bond, Senior Notes		1.000	%		7/9/29		4,443		2,026
Argentine Republic Government International Bond, Senior Notes		0.125	%		7/9/30		145,500		61,110
Total Argentina									63,136

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         25

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Brazil - 1.3%
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/21		310,000	BRL	$	56,042
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/27		3,033,000	BRL		613,293
Brazilian Government International Bond, Senior Notes		5.000	%		1/27/45		1,150,000			1,158,625
Total Brazil										1,827,960
Indonesia - 1.1%
Indonesia Government International Bond, Senior Notes		4.350	%		1/11/48		900,000			1,036,829
Indonesia Treasury Bond, Senior Notes		7.000	%		5/15/27		6,941,000,000	IDR		480,459
Indonesia Treasury Bond, Senior Notes		7.500	%		6/15/35		330,000,000	IDR		22,322
Total Indonesia										1,539,610
Italy - 1.1%
Italy Buoni Poliennali Del Tesoro, Senior Notes		2.300	%		10/15/21		1,380,000	EUR		1,661,740	(b)
Kuwait - 0.3%
Kuwait International Government Bond, Senior Notes		3.500	%		3/20/27		400,000			450,000	(a)
Mexico - 1.9%
Mexican Bonos, Bonds		8.000	%		11/7/47		11,410,000	MXN		571,137
Mexican Bonos, Senior Notes		8.500	%		5/31/29		5,540,000	MXN		296,726
Mexican Bonos, Senior Notes		7.750	%		11/13/42		17,190,000	MXN		843,056
Mexico Government International Bond, Senior Notes		4.750	%		3/8/44		1,010,000			1,101,405
Total Mexico										2,812,324
Peru - 0.3%
Peruvian Government International Bond, Senior Notes		2.783	%		1/23/31		400,000			432,200
Qatar - 0.5%
Qatar Government International Bond, Senior Notes		4.400	%		4/16/50		540,000			694,818	(a)
Russia - 2.0%
Russian Federal Bond - OFZ		6.000	%		10/6/27		27,920,000	RUB		362,623
Russian Federal Bond - OFZ		7.050	%		1/19/28		34,230,000	RUB		469,429
Russian Federal Bond - OFZ		6.900	%		5/23/29		93,660,000	RUB		1,270,304
Russian Federal Bond - OFZ		7.650	%		4/10/30		6,220,000	RUB		88,653

See Notes to Schedule of Investments.

    26     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Russia - continued
Russian Federal Bond - OFZ		7.250	%		5/10/34		240,000	RUB	$	3,340
Russian Federal Bond - OFZ		7.700	%		3/16/39		53,520,000	RUB		785,545
Total Russia										2,979,894
TOTAL SOVEREIGN BONDS (Cost - $12,848,467)										12,461,682
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 8.1%
U.S. Government Obligations - 8.1%
U.S. Treasury Bonds		3.625	%		2/15/44		84,000			122,981
U.S. Treasury Bonds		2.000	%		2/15/50		2,430,000			2,756,911
U.S. Treasury Bonds		1.250	%		5/15/50		1,970,000			1,872,731
U.S. Treasury Bonds		1.375	%		8/15/50		5,940,000			5,829,553
U.S. Treasury Notes		0.375	%		4/30/25		90,000			90,531
U.S. Treasury Notes		0.250	%		5/31/25		850,000			850,100
U.S. Treasury Notes		0.250	%		6/30/25		100,000			99,965
U.S. Treasury Notes		0.625	%		5/15/30		260,000			259,228
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $11,868,294)										11,882,000
SENIOR LOANS - 4.3%
COMMUNICATION SERVICES - 0.8%
Diversified Telecommunication Services - 0.3%
Avaya Inc., Term Loan B		—			12/15/24		89,040			88,057	(g)
Consolidated Communications Inc., 2016 Initial Term Loan		—			10/5/23		210,000			207,979	(g)
Virgin Media Bristol LLC, Term Loan Facility N (1 mo. USD LIBOR + 2.500%)		2.652	%		1/31/28		150,000			145,500	(d)(h)(i)
Total Diversified Telecommunication Services										441,536
Media - 0.4%
Charter Communications Operating LLC, Term Loan B1 (1 mo. USD LIBOR + 1.750%)		1.900	%		4/30/25		118,779			116,568	(d)(h)(i)
Charter Communications Operating LLC, Term Loan B2 (1 mo. USD LIBOR + 1.750%)		1.900	%		2/1/27		39,699			38,784	(d)(h)(i)
Nexstar Broadcasting Inc., Term Loan B4 (1 mo. USD LIBOR + 2.750%)		2.905	%		9/18/26		163,403			159,726	(d)(h)(i)
Virgin Media Bristol LLC, Term Loan B		—			1/31/29		20,000			19,643	(g)
Ziggo Financing Partnership, Term Loan I (1 mo. USD LIBOR + 2.500%)		2.652	%		4/30/28		250,000			240,555	(d)(h)(i)
Total Media										575,276
Wireless Telecommunication Services - 0.1%
T-Mobile USA Inc., Term Loan (1 mo. USD
LIBOR + 3.000%)		3.147	%		4/1/27		89,775			89,663	(d)(h)(i)
TOTAL COMMUNICATION SERVICES										1,106,475

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         27

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
CONSUMER DISCRETIONARY - 1.0%
Diversified Consumer Services - 0.1%
Prime Security Services Borrower LLC, 2019 Refinancing Term Loan B1		4.250	%		9/23/26		98,750	$	97,710	(d)(h)(i)
Hotels, Restaurants & Leisure - 0.6%
1011778 BC Unlimited Liability Co., Term Loan B4 (1 mo. USD LIBOR + 1.750%)		1.897	%		11/19/26		348,950		334,805	(d)(g)(h)(i)
Aramark Services Inc., Term Loan B4 (1 mo. USD LIBOR + 1.750%)		1.897	%		1/15/27		79,600		76,068	(d)(h)(i)
Caesars Resort Collection LLC, Term Loan B1		4.647-4.772	%		7/21/25		250,000		241,518	(d)(h)(i)
Four Seasons Hotels Ltd., Restated Term Loan (1 mo. USD LIBOR + 2.000%)		2.147	%		11/30/23		49,537		48,038	(d)(h)(i)
Golden Nugget Inc., First Initial Term Loan (2 mo. USD LIBOR + 2.500%)		3.250	%		10/4/23		18,777		16,740	(d)(h)(i)
Hilton Worldwide Finance LLC, Refinance Term Loan B2 (1 mo. USD LIBOR + 1.750%)		1.898	%		6/22/26		140,000		135,158	(d)(h)(i)
Scientific Games International Inc., Initial Term Loan B5		2.897-3.612	%		8/14/24		79,036		74,383	(d)(h)(i)
Total Hotels, Restaurants & Leisure									926,710
Specialty Retail - 0.3%
CWGS Group LLC, Term Loan (1 mo. USD LIBOR + 2.750%)		3.500	%		11/8/23		99,739		96,809	(d)(h)(i)
Petco Animal Supplies Inc., Term Loan (3 mo. USD LIBOR + 3.250%)		4.250	%		1/26/23		210,000		192,967	(d)(h)(i)
Whatabrands LLC, 2020 Refinancing Term Loan (1 mo. USD LIBOR + 2.750%)		2.906	%		8/3/26		210,000		204,837	(d)(g)(h)(i)
Total Specialty Retail									494,613
TOTAL CONSUMER DISCRETIONARY									1,519,033
CONSUMER STAPLES - 0.1%
Food & Staples Retailing - 0.1%
Froneri U.S. Inc., Term Loan Facility B2 (1 mo. USD LIBOR + 2.250%)		2.397	%		1/29/27		49,875		47,896	(d)(h)(i)
US Foods Inc., 2019 Incremental Term Loan B (1 mo. USD LIBOR + 2.000%)		2.147	%		9/13/26		39,799		37,958	(d)(h)(i)
US Foods Inc., Retired Initial Term Loan (1 mo. USD LIBOR + 1.750%)		1.897	%		6/27/23		39,896		38,300	(d)(h)(i)
TOTAL CONSUMER STAPLES									124,154

See Notes to Schedule of Investments.

    28     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
FINANCIALS - 0.6%
Capital Markets - 0.0%††
Focus Financial Partners LLC, Term Loan B3 (1 mo. USD LIBOR + 2.000%)		2.147	%		7/3/24		59,543	$	57,775	(d)(h)(i)
Diversified Financial Services - 0.3%
Citadel Securities LP, Term Loan Facility B (1 mo. USD LIBOR + 2.750%)		2.897	%		2/27/26		138,950		137,995	(d)(h)(i)
Deerfield Dakota Holding LLC, First Lien Initial Dollar Term Loan (1 mo. USD LIBOR + 3.750%)		4.750	%		4/9/27		109,725		108,948	(d)(h)(i)
Trans Union LLC, Term Loan B5 (1 mo. USD LIBOR + 1.750%)		1.897	%		11/16/26		38,546		37,541	(d)(h)(i)
UFC Holdings LLC, Term Loan B (3 mo. USD LIBOR + 3.250%)		4.250	%		4/29/26		79,176		78,047	(d)(h)(i)
Wynn Resorts Finance LLC, Term A Facility (1 mo. USD LIBOR + 1.750%)		1.900	%		9/20/24		123,500		116,090	(d)(h)(i)(j)
Total Diversified Financial Services									478,621
Insurance - 0.3%
Asurion LLC, Fourteenth Amendment Replacement Term Loan B4 (1 mo. USD LIBOR + 3.000%)		3.147	%		8/4/22		29,714		29,291	(d)(h)(i)
Asurion LLC, New Term Loan B7 (1 mo. USD LIBOR + 3.000%)		3.147	%		11/3/24		108,886		106,922	(d)(h)(i)
Asurion LLC, Replacement Term Loan B6 (1 mo. USD LIBOR + 3.000%)		3.147	%		11/3/23		249,288		245,237	(d)(g)(h)(i)
Total Insurance									381,450
TOTAL FINANCIALS									917,846
HEALTH CARE - 0.9%
Health Care Providers & Services - 0.5%
Elanco Animal Health Inc., Term Loan B (1 mo. USD LIBOR + 1.750%)		1.905	%		8/1/27		117,193		113,803	(d)(h)(i)
EyeCare Partners LLC, First Lien Initial Delayed Draw Term Loan		—			2/18/27		17,027		15,971	(g)
EyeCare Partners LLC, First Lien Initial Term Loan (1 mo. USD LIBOR + 3.750%)		3.897	%		2/18/27		72,608		68,106	(d)(h)(i)
Grifols Worldwide Operations USA Inc., Term Loan B (1 week USD LIBOR + 2.000%)		2.100	%		11/15/27		148,875		145,642	(d)(h)(i)
Jaguar Holding Co. II, 2018 Term Loan (1 mo. USD LIBOR + 2.500%)		3.500	%		8/18/22		59,373		59,130	(d)(h)(i)

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         29

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Health Care Providers & Services - (continued)
LifePoint Health Inc., First Lien Term Loan B (1 mo. USD LIBOR + 3.750%)		3.897	%		11/17/25		164,914	$	159,967	(d)(h)(i)
Sotera Health Holdings LLC, First Lien Initial Term Loan (3 mo. USD LIBOR + 4.500%)		5.500	%		12/11/26		129,350		128,736	(d)(h)(i)
Total Health Care Providers & Services									691,355
Health Care Technology - 0.2%
AthenaHealth Inc., First Lien Term Loan B (3 mo. USD LIBOR + 4.500%)		4.750	%		2/11/26		168,491		165,823	(d)(h)(i)
Change Healthcare Holdings LLC, Closing Date Term Loan		3.500	%		3/1/24		152,494		149,230	(d)(h)(i)
Total Health Care Technology									315,053
Pharmaceuticals - 0.2%
Bausch Health Cos. Inc., First Incremental Term Loan (1 mo. USD LIBOR + 2.750%)		2.901	%		11/27/25		300,000		292,687	(d)(h)(i)
TOTAL HEALTH CARE									1,299,095
INDUSTRIALS - 0.6%
Airlines - 0.2%
Delta Air Lines Inc., Initial Term Loan (3 mo. USD LIBOR + 4.750%)		5.750	%		4/29/23		99,750		99,478	(d)(h)(i)
Delta Air Lines Inc./SkyMiles IP Ltd., Initial Term Loan		—			10/20/27		20,000		20,150	(g)
JetBlue Airways Corp., Term Loan (3 mo. USD LIBOR + 5.250%)		6.250	%		6/17/24		227,125		225,195	(d)(h)(i)
Total Airlines									344,823
Building Products - 0.1%
Forterra Finance LLC, Replacement Term Loan (1 mo. USD LIBOR + 3.000%)		4.000	%		10/25/23		114,174		112,889	(d)(h)(i)
Commercial Services & Supplies - 0.2%
Allied Universal Holdco LLC, Initial Term Loan (1 mo. USD LIBOR + 4.250%)		4.397	%		7/10/26		118,626		117,143	(d)(h)(i)
API Group Inc., Initial Term Loan (1 mo. USD LIBOR + 2.500%)		2.647	%		10/1/26		49,625		48,467	(d)(h)(i)
Garda World Security Corp., First Lien Term Loan B (1 mo. USD LIBOR + 4.750%)		4.900	%		10/30/26		20,612		20,432	(d)(h)(i)
GFL Environmental Inc., 2018 Incremental Term Loan (3 mo. USD LIBOR + 3.000%)		4.000	%		5/30/25		95,656		95,113	(d)(h)(i)
Total Commercial Services & Supplies									281,155
Electrical Equipment - 0.0%††
Brookfield WEC Holdings Inc., Refinancing Term Loan (1 mo. USD LIBOR + 3.000%)		3.750	%		8/1/25		37,618		36,624	(d)(h)(i)

See Notes to Schedule of Investments.

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WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Road & Rail - 0.1%
Genesee & Wyoming Inc., Initial Term Loan (3 mo. USD LIBOR + 2.000%)		2.220	%		12/30/26		89,550	$	87,949	(d)(h)(i)
TOTAL INDUSTRIALS									863,440
INFORMATION TECHNOLOGY - 0.2%
IT Services - 0.1%
McAfee LLC, USD Term Loan B (1 mo. USD LIBOR + 3.750%)		3.896	%		9/30/24		128,687		127,541	(d)(h)(i)
Software - 0.1%
DCert Buyer Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 4.000%)		4.147	%		10/16/26		79,600		78,446	(d)(h)(i)
Dell International LLC, Refinancing Term Loan B1 (1 mo. USD LIBOR + 2.000%)		2.750	%		9/19/25		78,975		78,565	(d)(h)(i)
Total Software									157,011
TOTAL INFORMATION TECHNOLOGY									284,552
MATERIALS - 0.1%
Containers & Packaging - 0.1%
Reynolds Consumer Products LLC, Initial Term Loan (1 mo. USD LIBOR + 1.750%)		1.897	%		2/4/27		95,460		94,043	(d)(h)(i)
REAL ESTATE - 0.0%††
Equity Real Estate Investment Trusts (REITs) - 0.0%††
VICI Properties 1 LLC, Term Loan B (1 mo. USD LIBOR + 1.750%)		1.906	%		12/20/24		60,000		57,885	(d)(h)(i)
Real Estate Management & Development - 0.0%††
CityCenter Holdings LLC, Refinancing Term Loan (1 mo. USD LIBOR + 2.250%)		3.000	%		4/18/24		9,846		9,435	(d)(h)(i)
TOTAL REAL ESTATE									67,320
TOTAL SENIOR LOANS (Cost - $6,364,482)									6,275,958
ASSET-BACKED SECURITIES - 3.6%
522 Funding CLO I Ltd., 2019-1A E (3 mo. USD LIBOR + 7.340%)		7.615	%		1/15/33		250,000		229,375	(a)(d)
AGL CLO 6 Ltd., 2020-6A A1 (3 mo. USD LIBOR + 1.950%)		2.201	%		7/20/31		250,000		250,938	(a)(d)
Allegany Park CLO Ltd., 2019-1A C (3 mo. USD LIBOR + 2.550%)		2.822	%		1/20/33		250,000		250,117	(a)(d)
Applebee’s Funding LLC, 2019-1A A2I		4.194	%		6/7/49		300,000		277,971	(a)
ARES XLV CLO Ltd., 2017-45A E (3 mo. USD LIBOR + 6.100%)		6.375	%		10/15/30		250,000		218,135	(a)(d)
Argent Securities Inc. Pass-Through Certificates, 2004-W7 M1 (1 mo. USD LIBOR + 0.825%)		0.973	%		5/25/34		65,292		64,277	(d)

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         31

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
ASSET-BACKED SECURITIES - (continued)
Avis Budget Rental Car Funding AESOP LLC, 2020-2A A		2.020	%		2/20/27		200,000	$	201,774	(a)
Cedar Funding VIII CLO Ltd., 2017-8A A1 (3 mo. USD LIBOR + 1.250%)		1.523	%		10/17/30		250,000		248,841	(a)(d)
ECMC Group Student Loan Trust, 2020-2A A (1 mo. USD LIBOR + 1.150%)		1.510	%		11/25/69		200,000		200,000	(a)(d)
Halsey Point CLO I Ltd., 2019-1A E (3 mo. USD LIBOR + 7.700%)		7.972	%		1/20/33		300,000		273,868	(a)(d)
Marathon CLO 14 Ltd., 2019-2A BA (3 mo. USD LIBOR + 3.300%)		3.572	%		1/20/33		250,000		248,482	(a)(d)
Morgan Stanley ABS Capital I Inc. Trust, 2004-NC7 M1 (1 mo. USD LIBOR + 0.855%)		1.003	%		7/25/34		85,863		82,813	(d)
Morgan Stanley ABS Capital I Inc. Trust, 2004-NC8 M1 (1 mo. USD LIBOR + 0.915%)		1.063	%		9/25/34		223,959		218,115	(d)
NADG NNN Operating LP, 19-1 A		3.368	%		12/28/49		149,437		153,517	(a)
Ocean Trails CLO IX, 2020-9A A1 (3 mo. USD LIBOR + 1.870%)		2.153	%		10/15/29		250,000		250,938	(a)(d)
OHA Loan Funding Ltd., 2015-1A DR2 (3 mo. USD LIBOR + 4.000%)		4.280	%		11/15/32		250,000		249,157	(a)(d)
OZLM XVIII Ltd., 2018-18A D (3 mo. USD LIBOR + 2.850%)		3.125	%		4/15/31		250,000		225,583	(a)(d)
RAMP Trust, 2006-NC3 M1 (1 mo. USD LIBOR + 0.340%)		0.488	%		3/25/36		270,000		258,292	(d)
SLM Student Loan Trust, 2006-10 A6 (3 mo. USD LIBOR + 0.150%)		0.395	%		3/25/44		124,680		118,055	(d)
SMB Private Education Loan Trust, 2018-C A2A		3.630	%		11/15/35		108,514		114,659	(a)
SMB Private Education Loan Trust, 2018-C A2B (1 mo. USD LIBOR + 0.750%)		0.902	%		11/15/35		227,970		225,208	(a)(d)
SMB Private Education Loan Trust, 2019-B A2B (1 mo. USD LIBOR + 1.000%)		1.152	%		6/15/37		100,000		100,092	(a)(d)
Sound Point CLO XXII Ltd., 2019-1A D (3 mo. USD LIBOR + 3.900%)		4.172	%		1/20/32		250,000		241,685	(a)(d)
Sunrun Atlas Issuer LLC, 2019-2 A		3.610	%		2/1/55		98,288		102,989	(a)
Symphony CLO XIX Ltd., 2018-19A E (3 mo. USD LIBOR + 5.200%)		5.471	%		4/16/31		250,000		208,905	(a)(d)
United States Small Business Administration, 2019-20D 1		2.980	%		4/1/39		28,608		30,436
Wellfleet CLO Ltd., 2017-3A C (3 mo. USD LIBOR + 2.750%)		3.023	%		1/17/31		250,000		224,270	(a)(d)
TOTAL ASSET-BACKED SECURITIES (Cost - $5,381,827)									5,268,492

See Notes to Schedule of Investments.

    32     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
U.S. TREASURY INFLATION PROTECTED SECURITIES - 2.9%
U.S. Treasury Bonds, Inflation Indexed		2.125	%		2/15/40		220,000	$	404,479
U.S. Treasury Bonds, Inflation Indexed		2.125	%		2/15/41		110,000		202,355
U.S. Treasury Bonds, Inflation Indexed		0.750	%		2/15/42		110,000		158,856
U.S. Treasury Bonds, Inflation Indexed		1.375	%		2/15/44		470,000		744,223
U.S. Treasury Bonds, Inflation Indexed		0.750	%		2/15/45		140,000		196,347
U.S. Treasury Bonds, Inflation Indexed		1.000	%		2/15/46		60,000		88,636
U.S. Treasury Bonds, Inflation Indexed		1.000	%		2/15/48		590,000		856,213
U.S. Treasury Bonds, Inflation Indexed		1.000	%		2/15/49		650,000		935,181
U.S. Treasury Bonds, Inflation Indexed		0.250	%		2/15/50		540,000		643,139
TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost - $3,522,419)									4,229,429
						SHARES
INVESTMENTS IN UNDERLYING FUNDS - 2.3%
Invesco Senior Loan ETF (Cost - $3,461,819)							154,552		3,359,960
	EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT†
PURCHASED OPTIONS - 0.2%
EXCHANGE-TRADED PURCHASED OPTIONS - 0.1%
3-Month Euribor, Put @ 100.13EUR		3/15/21			106		106,000,000		1,554
Eurodollar Futures, Put @ $99.75		3/15/21			137		342,500		6,850
U.S. Treasury 5-Year Notes Futures, Call @ $126.25		10/23/20			408		408,000		19,125
U.S. Treasury Long-Term Bonds Futures, Call @ $178.50		10/2/20			141		141,000		11,015
U.S. Treasury Long-Term Bonds Futures, Call @ $179.00		10/9/20			90		90,000		15,469
U.S. Treasury Long-Term Bonds Futures, Call @ $180.00		10/23/20			82		82,000		20,500
U.S. Treasury Long-Term Bonds Futures, Call @ $183.00		11/20/20			55		55,000		28,359
U.S. Treasury Long-Term Bonds Futures, Put @ $175.50		10/2/20			141		141,000		48,469
U.S. Treasury Long-Term Bonds Futures, Put @ $173.00		10/23/20			82		82,000		30,750
TOTAL EXCHANGE-TRADED PURCHASED OPTIONS (Cost - $258,752)									182,091

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         33

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	COUNTERPARTY		EXPIRATION DATE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
OTC PURCHASED OPTIONS - 0.1%
Credit default swaption to buy protection on Markit CDX.NA.HY.34 Index, Call @ 104.50bps		Goldman Sachs Group Inc.		12/16/20		1,398,400		1,398,400	$	22,115
Credit default swaption to buy protection on Markit CDX.NA.HY.34 Index, Put @ 101.00bps		Bank of America N.A.		10/21/20		1,457,000		1,457,000		8,794
Credit default swaption to buy protection on Markit CDX.NA.HY.35 Index, Call @ 105.00bps		Bank of America N.A.		12/16/20		1,520,000		1,520,000		18,625
Credit default swaption to buy protection on Markit CDX.NA.IG.34 Index, Call @ 85.00bps		BNP Paribas SA		12/16/20		3,030,000		3,030,000		13,240
Interest rate swaption, Put @ 155.00bps		Goldman Sachs Group Inc.		9/1/21		790,000		790,000		27,965
U.S. Dollar/Brazilian Real, Put @ 5.20BRL		JPMorgan Chase & Co.		10/16/20		1,500,000		1,500,000		749
U.S. Dollar/Euro, Call @ 1.15EUR		Morgan Stanley & Co. Inc.		10/29/20		800,000		800,000		854
U.S. Dollar/Mexican Peso, Put @ 21.97MXN		BNP Paribas SA		10/16/20		1,500,000		1,500,000		18,365
U.S. Dollar/Mexican Peso, Put @ 21.75MXN		BNP Paribas SA		12/24/20		1,050,000		1,050,000		23,645
U.S. Dollar/Russian Ruble, Put @ 69.87RUB		Goldman Sachs Group Inc.		10/16/20		1,500,000		1,500,000		58
U.S. Dollar/Russian Ruble, Put @ 72.06RUB		Goldman Sachs Group Inc.		10/20/20		700,000		700,000		285
TOTAL OTC PURCHASED OPTIONS (Cost - $219,595)										134,695
TOTAL PURCHASED OPTIONS (Cost - $478,347)										316,786

See Notes to Schedule of Investments.

    34     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
MUNICIPAL BONDS - 0.0%††
Missouri - 0.0%††
Missouri State HEFA Revenue, The Washington University, Taxable, Series A, Refunding (Cost - $40,000)		3.229	%		5/15/50		40,000		$	45,216
NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 0.0%††
Argentina - 0.0%††
Argentina Treasury Bond (Cost - $19,506)		1.000	%		8/5/21		1,732,532	ARS		14,192	(k)
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $138,572,422)										140,890,886
SHORT-TERM INVESTMENTS - 8.4%
U.S. TREASURY BILLS - 8.0%
U.S. Cash Management Bill		0.141	%		12/8/20		290,000			289,923	(l)
U.S. Treasury Bills		0.071	%		10/13/20		6,620,000			6,619,832	(l)
U.S. Treasury Bills		0.073	%		10/15/20		2,860,000			2,859,914	(l)
U.S. Treasury Bills		0.080	%		10/22/20		1,990,000			1,989,904	(l)
TOTAL U.S. TREASURY BILLS (Cost - $11,759,244)										11,759,573
						SHARES
OVERNIGHT DEPOSITS - 0.4%
BNY Mellon Cash Reserve Fund (Cost - $551,956)		0.010	%				551,956			551,956
TOTAL SHORT-TERM INVESTMENTS (Cost - $12,311,200)										12,311,529
TOTAL INVESTMENTS - 104.2% (Cost - $150,883,622)										153,202,415
Liabilities in Excess of Other Assets - (4.2)%										(6,233,678	)
TOTAL NET ASSETS - 100.0%									$	146,968,737

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         35

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

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

†† Represents less than 0.1%.

(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) 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.

(c) Security has no maturity date. The date shown represents the next call date.

(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) This security is traded on a to-be-announced (“TBA”) basis. At September 30, 2020, the Fund held TBA securities with a total cost of $7,509,461.

(f) 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.

(g) All or a portion of this loan is unfunded as of September 30, 2020. The interest rate for fully unfunded term loans is to be determined.

(h) Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.

(i) Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan.

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

(k) Security is valued in good faith in accordance with procedures approved by the Board of Trustees (Note 1).

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

See Notes to Schedule of Investments.

    36     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

Abbreviation(s) used in this schedule:

ACES	— Alternative Credit Enhancement Securities
ARS	— Argentine Peso
bps	— basis point spread (100 basis points = 1.00%)
BRL	— Brazilian Real
CAS	— Connecticut Avenue Securities
CLO	— Collateralized Loan Obligation
ETF	— Exchange-Traded Fund
EUR	— Euro
HEFA	— Health & Educational Facilities Authority
ICE	— Intercontinental Exchange
IDR	— Indonesian Rupiah
IO	— Interest Only
LIBOR	— London Interbank Offered Rate
MXN	— Mexican Peso
OFZ	— Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation)
REMIC	— Real Estate Mortgage Investment Conduit
RUB	— Russian Ruble
SOFR	— Secured Overnight Financing Rate
USD	— United States Dollar

SCHEDULE OF WRITTEN OPTIONS
EXCHANGE-TRADED WRITTEN OPTIONS
SECURITY			EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†			VALUE
3-Month Euribor, Put				3/15/21		99.63	EUR		106		106,000,000		$	(777	)
Eurodollar Futures, Put				3/15/21	$	99.63			137		342,500			(2,569	)
U.S. Treasury 5-Year Notes Futures, Call				10/23/20		126.00			136		136,000			(20,188	)
U.S. Treasury 10-Year Notes Futures, Call				10/23/20		139.50			56		56,000			(21,000	)
U.S. Treasury 10-Year Notes Futures, Put				10/23/20		138.00			111		111,000			(5,203	)
U.S. Treasury Long-Term Bonds Futures, Call				10/2/20		177.00			47		47,000			(15,422	)
U.S. Treasury Long-Term Bonds Futures, Call				10/9/20		177.00			30		30,000			(18,750	)
U.S. Treasury Long-Term Bonds Futures, Call				11/20/20		184.00			82		82,000			(33,312	)
U.S. Treasury Long-Term Bonds Futures, Put				10/2/20		177.00			47		47,000			(49,203	)
U.S. Treasury Long-Term Bonds Futures, Put				11/20/20		169.00			82		82,000			(51,250	)
U.S. Treasury Long-Term Bonds Futures, Put				11/20/20		171.00			55		55,000			(52,422	)
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS (Premiums received - $359,006)													$	(270,096	)
OTC WRITTEN OPTIONS
	COUNTERPARTY
Credit default swaption to sell protection on Markit CDX.NA.HY.34 Index, Put		Bank of America N.A.		10/21/20		97.50	bps		2,914,000		2,914,000	‡	$	(6,255	)

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         37

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

SCHEDULE OF WRITTEN OPTIONS (continued)
SECURITY	COUNTERPARTY		EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†			VALUE
Credit default swaption to sell protection on Markit CDX.NA.HY.34 Index, Put		Goldman Sachs Group Inc.		12/16/20		100.00	bps		1,398,400		1,398,400	‡	$	(14,929	)
Credit default swaption to sell protection on Markit CDX.NA.IG.34 Index, Put		BNP Paribas SA		12/16/20		100.00	bps		3,030,000		3,030,000	‡		(12,649	)
Credit default swaption to sell protection on Markit CDX.NA.IG.35 Index, Call		Bank of America N.A.		12/16/20		55.00	bps		7,600,000		7,600,000	‡		(19,960	)
Interest rate swaption, Put		Goldman Sachs Group Inc.		12/1/20		145.00	bps		1,580,000		1,580,000			(11,443	)
U.S. Dollar/Euro, Put		Morgan Stanley & Co. Inc.		10/13/20		1.20	EUR		1,100,000		1,100,000			(309	)
U.S. Dollar/Euro, Put		Morgan Stanley & Co. Inc.		10/29/20		1.21	EUR		800,000		800,000			(525	)
U.S. Dollar/Mexican Peso, Call		BNP Paribas SA		12/24/20		24.42	MXN		1,050,000		1,050,000			(12,186	)
U.S. Dollar/Mexican Peso, Put		BNP Paribas SA		11/16/20		20.68	MXN		1,500,000		1,500,000			(5,426	)
U.S. Dollar/Russian Ruble, Call		Goldman Sachs Group Inc.		10/20/20		75.28	RUB		700,000		700,000			(25,348	)
TOTAL OTC WRITTEN OPTIONS (Premiums received - $164,900)													$	(109,030	)
TOTAL WRITTEN OPTIONS (Premiums received - $523,906)													$	(379,126	)

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

‡ In the event an option is exercised and a credit event occurs as defined under the terms of the swap agreement, the notional amount is the maximum potential amount that could be required to be paid as a seller of credit protection or received as a buyer of credit protection.

Abbreviation(s) used in this schedule:

bps	— basis point spread (100 basis points = 1.00%)
EUR	— Euro
MXN	— Mexican Peso
RUB	— Russian Ruble

See Notes to Schedule of Investments.

    38     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

At September 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:
90-Day Eurodollar		38		12/20	$	9,361,136	$	9,476,725	$	115,589
Euro-BTP		47		12/20		7,965,572		8,133,809		168,237
Euro-OAT		5		12/20		973,642		988,251		14,609
U.S. Treasury 5-Year Notes		233		12/20		29,327,251		29,365,282		38,031
U.S. Treasury Long-Term Bonds		148		12/20		26,131,808		26,089,625		(42,183	)
U.S. Treasury Ultra Long-Term Bonds		17		12/20		3,756,873		3,770,812		13,939
										308,222
Contracts to Sell:
90-Day Eurodollar		130		3/21		32,355,190		32,436,626		(81,436	)
90-Day Eurodollar		100		12/21		24,784,690		24,947,500		(162,810	)
Euro-Bund		60		12/20		12,169,497		12,279,058		(109,561	)
Japanese 10-Year Bonds		1		12/20		1,438,821		1,441,391		(2,570	)
U.S. Treasury 10-Year Notes		225		12/20		31,351,344		31,394,531		(43,187	)
U.S. Treasury Ultra 10-Year Notes		15		12/20		2,404,797		2,398,828		5,969
United Kingdom 10-Year Long Gilt Bonds		50		12/20		8,808,935		8,798,154		10,781
										(382,814	)
Net unrealized depreciation on open futures contracts									$	(74,592	)

At September 30, 2020, the Fund had the following open forward foreign currency contracts:

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CAD	840,000		USD	613,716	BNP Paribas SA		10/16/20	$	15,178
CAD	2,300,000		USD	1,680,413	BNP Paribas SA		10/16/20		41,559
USD	70,947		EUR	60,000	BNP Paribas SA		10/16/20		564
USD	236,065		EUR	210,000	BNP Paribas SA		10/16/20		(10,277	)
USD	237,016		EUR	210,000	BNP Paribas SA		10/16/20		(9,325	)
USD	247,657		EUR	220,000	BNP Paribas SA		10/16/20		(10,414	)
USD	430,260		EUR	369,024	BNP Paribas SA		10/16/20		(2,624	)
USD	431,092		EUR	381,748	BNP Paribas SA		10/16/20		(16,719	)
USD	126,061		MXN	2,837,450	BNP Paribas SA		10/16/20		(2,218	)
BRL	76,529		USD	14,443	Citibank N.A.		10/16/20		(870	)
EUR	120,000		USD	142,018	Citibank N.A.		10/16/20		(1,252	)
EUR	160,000		USD	189,753	Citibank N.A.		10/16/20		(2,065	)
GBP	30,197		USD	37,988	Citibank N.A.		10/16/20		1,055
GBP	1,281,694		USD	1,599,671	Citibank N.A.		10/16/20		57,452
MXN	778,822		USD	33,971	Citibank N.A.		10/16/20		1,238

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         39

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
MXN	845,573		USD	36,864	Citibank N.A.		10/16/20	$	1,364
MXN	34,360,000		USD	1,522,240	Citibank N.A.		10/16/20		31,147
USD	191,797		GBP	150,000	Citibank N.A.		10/16/20		(2,140	)
USD	574,846		MXN	12,947,310	Citibank N.A.		10/16/20		(10,491	)
USD	726,741		MXN	16,400,000	Citibank N.A.		10/16/20		(14,689	)
USD	1,418,179		MXN	29,998,898	Citibank N.A.		10/16/20		61,954
ZAR	1,298,100		USD	73,962	Citibank N.A.		10/16/20		3,707
BRL	66,753		USD	12,503	Goldman Sachs Group Inc.		10/16/20		(664	)
BRL	2,346,616		USD	436,718	Goldman Sachs Group Inc.		10/16/20		(20,525	)
EUR	516,451		USD	611,703	Goldman Sachs Group Inc.		10/16/20		(5,877	)
JPY	45,288,161		USD	428,969	Goldman Sachs Group Inc.		10/16/20		258
MXN	26,199,263		USD	1,144,622	Goldman Sachs Group Inc.		10/16/20		39,824
RUB	1,000,094		USD	13,868	Goldman Sachs Group Inc.		10/16/20		(1,003	)
RUB	1,423,595		USD	19,883	Goldman Sachs Group Inc.		10/16/20		(1,570	)
RUB	43,999,331		USD	607,558	Goldman Sachs Group Inc.		10/16/20		(41,561	)
USD	312,191		BRL	1,645,872	Goldman Sachs Group Inc.		10/16/20		20,281
USD	2,816,828		EUR	2,384,439	Goldman Sachs Group Inc.		10/16/20		19,754
USD	69,735		JPY	7,489,587	Goldman Sachs Group Inc.		10/16/20		(1,249	)
USD	358,183		JPY	37,798,574	Goldman Sachs Group Inc.		10/16/20		(59	)
USD	586,149		RUB	46,423,020	Goldman Sachs Group Inc.		10/16/20		(11,025	)
USD	75,667		ZAR	1,298,100	Goldman Sachs Group Inc.		10/16/20		(2,003	)
AUD	28,037		USD	19,543	JPMorgan Chase & Co.		10/16/20		553
AUD	49,133		USD	34,251	JPMorgan Chase & Co.		10/16/20		966
AUD	1,251,818		USD	867,733	JPMorgan Chase & Co.		10/16/20		29,539
CAD	102,249		USD	75,306	JPMorgan Chase & Co.		10/16/20		1,246
CAD	102,323		USD	75,551	JPMorgan Chase & Co.		10/16/20		1,057
CAD	1,903,448		USD	1,402,673	JPMorgan Chase & Co.		10/16/20		22,407
IDR	182,459,776		USD	12,431	JPMorgan Chase & Co.		10/16/20		(187	)
IDR	185,077,709		USD	12,577	JPMorgan Chase & Co.		10/16/20		(158	)
IDR	8,539,049,912		USD	576,068	JPMorgan Chase & Co.		10/16/20		(3,072	)
INR	10,059,711		USD	131,775	JPMorgan Chase & Co.		10/16/20		4,346
USD	64,334		AUD	90,000	JPMorgan Chase & Co.		10/16/20		(176	)
COP	508,148,260		USD	135,687	Morgan Stanley & Co. Inc.		10/16/20		(3,963	)
USD	131,149		COP	508,148,260	Morgan Stanley & Co. Inc.		10/16/20		(575	)
USD	530,000		MXN	12,077,110	BNP Paribas SA		12/28/20		(11,402	)
MXN	12,077,110		USD	529,534	Citibank N.A.		12/28/20		11,868
MXN	2,837,450		USD	124,719	BNP Paribas SA		1/19/21		2,147
JPY	37,798,574		USD	358,761	Goldman Sachs Group Inc.		1/19/21		39
RUB	46,423,020		USD	580,251	Goldman Sachs Group Inc.		1/19/21		10,550
ZAR	1,298,100		USD	74,853	Goldman Sachs Group Inc.		1/19/21		1,950
COP	508,148,260		USD	130,455	Morgan Stanley & Co. Inc.		1/19/21		601
Total								$	194,451

See Notes to Schedule of Investments.

    40     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

Abbreviation(s) used in this table:

AUD	— Australian Dollar
BRL	— Brazilian Real
CAD	— Canadian Dollar
COP	— Colombian Peso
EUR	— Euro
GBP	— British Pound
IDR	— Indonesian Rupiah
INR	— Indian Rupee
JPY	— Japanese Yen
MXN	— Mexican Peso
RUB	— Russian Ruble
USD	— United States Dollar
ZAR	— South African Rand

At September 30, 2020, the Fund had the following open swap contracts:

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.

1,277,000

BRL

1/4/27

BRL-CDI**

7.024%**

$

681

$

2,730

JPMorgan Chase

300,000

BRL

1/4/27

BRL-CDI**

7.044%**

—

850

Total

$

681

$

3,580

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 MXN TIIE- Banxico every 28 days	7.351% every 28 days	$	(18,581	)	$	38,726
		4,161,000			6/15/22	3-Month LIBOR quarterly	0.190% semi-annually		(19	)		(1,558	)
		5,185,000			5/15/27	0.450% semi-annually	3-Month LIBOR quarterly		(9,404	)		19,114

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         41

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

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)
		886,000		5/15/27		0.260% annually		U.S. Daily Federal Funds Intraday Effective Rate annually	$	(2,975	)	$	3,884
		570,000		7/20/45		0.560% semi-annually		Daily SOFR annually		—			38,957
		4,295,000		11/15/45		0.800% semi-annually		3-Month LIBOR quarterly		18,658			288,487
		262,000		7/13/50		0.885% semi-annually		3-Month LIBOR quarterly		(33	)		17,110
Total									$	(12,354	)	$	404,720

OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION1
SWAP COUNTERPARTY (REFERENCE ENTITY)	NOTIONAL AMOUNT2			TERMINATION DATE		IMPLIED CREDIT SPREAD AT SEPTEMBER 30, 20203	PERIODIC PAYMENTS RECEIVED BY THE FUND†		MARKET VALUE		UPFRONT PREMIUMS PAID (RECEIVED)		UNREALIZED DEPRECIATION
BNP Paribas SA (Volkswagen AG, 0.500%, due 3/30/21)		530,000	EUR		12/20/24	0.868%		1.000% quarterly	$	3,458	$	6,734	$	(3,276	)

OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION4
SWAP COUNTERPARTY (REFERENCE ENTITY)	NOTIONAL AMOUNT2			TERMINATION DATE		IMPLIED CREDIT SPREAD AT SEPTEMBER 30, 20203	PERIODIC PAYMENTS MADE BY THE FUND†		MARKET VALUE			UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION
BNP Paribas SA (Daimler AG, 1.400%, due 1/12/24)		530,000	EUR		12/20/24	0.619%		1.000% quarterly	$	(10,096	)	$	(11,087	)	$	991

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1
REFERENCE ENTITY	NOTIONAL AMOUNT2			TERMINATION DATE		PERIODIC PAYMENTS RECEIVED BY THE FUND†		MARKET VALUE5		UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)
Markit CDX.NA.HY.34 Index	$	(966,000	)		6/20/25		5.000% quarterly	$	47,478	$	(2,991	)	$	50,469

See Notes to Schedule of Investments.

    42     Western Asset Total Return ETF 2020 Quarterly Report

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1 (cont’d)
REFERENCE ENTITY	NOTIONAL AMOUNT2			TERMINATION DATE		PERIODIC PAYMENTS RECEIVED BY THE FUND†	MARKET VALUE5		UPFRONT PREMIUMS PAID (RECEIVED)		UNREALIZED APPRECIATION (DEPRECIATION)
Markit CDX.NA.HY.35 Index	$	(2,990,000	)		12/20/25	5.000% quarterly	$	122,512	$	124,525	$	(2,013	)
Markit CDX.NA.IG.34 Index		(11,725,000	)		6/20/25	1.000% quarterly		80,844		159,789		(78,945	)
Total	$	(15,681,000	)				$	250,834	$	281,323	$	(30,489	)

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  Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads 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. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.

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.

⁵  The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

† Percentage shown is an annual percentage rate.

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

** One time payment made at termination date.

Abbreviation(s) used in this table:

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

See Notes to Schedule of Investments.

Western Asset Total Return ETF 2020 Quarterly Report         43

WESTERN ASSET TOTAL RETURN ETF

Schedule of investments (unaudited) (cont’d) September 30, 2020

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.

    44     Western Asset Total Return ETF 2020 Quarterly Report

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 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

45

Notes to Schedule of Investments (unaudited) (continued)

deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.

The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the 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

46

Notes to Schedule of Investments (unaudited) (continued)

generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

• Level 1 – quoted prices in active markets for identical investments

• Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

47

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†:
Corporate Bonds & Notes		—	$	53,436,702		—	$	53,436,702
Mortgage-Backed Securities		—		28,708,896		—		28,708,896
Collateralized Mortgage Obligations		—		14,891,573		—		14,891,573
Sovereign Bonds		—		12,461,682		—		12,461,682
U.S. Government & Agency Obligations		—		11,882,000		—		11,882,000
Senior Loans:
Financials		—		801,756	$	116,090		917,846
Other Senior Loans		—		5,358,112		—		5,358,112
Asset-Backed Securities		—		5,268,492		—		5,268,492
U.S. Treasury Inflation Protected Securities		—		4,229,429		—		4,229,429
Investments in Underlying Funds	$	3,359,960		—		—		3,359,960
Purchased Options:
Exchange-Traded Purchased Options		182,091		—		—		182,091
OTC Purchased Options		—		134,695		—		134,695
Municipal Bonds		—		45,216		—		45,216
Non-U.S. Treasury Inflation Protected Securities		—		14,192		—		14,192
Total Long-Term Investments		3,542,051		137,232,745		116,090		140,890,886
Short-Term Investments†:
U.S. Treasury Bills		—		11,759,573		—		11,759,573
Overnight Deposits		—		551,956		—		551,956
Total Short-Term Investments		—		12,311,529		—		12,311,529
Total Investments	$	3,542,051	$	149,544,274	$	116,090	$	153,202,415
Other Financial Instruments:
Futures Contracts	$	367,155		—		—	$	367,155
Forward Foreign Currency Contracts		—	$	382,604		—		382,604
OTC Interest Rate Swaps‡		—		4,261		—		4,261
Centrally Cleared Interest Rate Swaps		—		406,278		—		406,278
OTC Credit Default Swaps on Corporate Issues - Sell Protection		—		3,458		—		3,458
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection		—		50,469		—		50,469
Total Other Financial Instruments	$	367,155	$	847,070		—	$	1,214,225
Total	$	3,909,206	$	150,391,344	$	116,090	$	154,416,640

48

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	$	270,096		—		—	$	270,096
OTC Written Options		—	$	109,030		—		109,030
Futures Contracts		441,747		—		—		441,747
Forward Foreign Currency Contracts		—		188,153		—		188,153
Centrally Cleared Interest Rate Swaps		—		1,558		—		1,558
OTC Credit Default Swaps on Corporate Issues - Buy Protection		—		10,096		—		10,096
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection		—		80,958		—		80,958
Total	$	711,843	$	389,795		—	$	1,101,638

† See Schedule of Investments for additional detailed categorizations.

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

49