WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) | October 31, 2021 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| CORPORATE BONDS & NOTES - 93.0% | ||||||||||||||||
| COMMUNICATION SERVICES - 7.7% | ||||||||||||||||
| Diversified Telecommunication Services - 2.6% |
||||||||||||||||
| AT&T Inc., Senior Notes |
0.900 | % | 3/25/24 | $ | 30,000 | $ | 30,003 | |||||||||
| AT&T Inc., Senior Notes |
3.400 | % | 5/15/25 | 90,000 | 96,160 | |||||||||||
| AT&T Inc., Senior Notes |
4.250 | % | 3/1/27 | 20,000 | 22,325 | |||||||||||
| NTT Finance Corp., Senior Notes |
1.162 | % | 4/3/26 | 200,000 | 197,002 | (a) | ||||||||||
| Verizon Communications Inc., Senior Notes |
2.550 | % | 3/21/31 | 190,000 | 191,482 | |||||||||||
|
|
|
|||||||||||||||
| Total Diversified Telecommunication Services |
536,972 | |||||||||||||||
|
|
|
|||||||||||||||
| Interactive Media & Services - 0.4% |
||||||||||||||||
| Alphabet Inc., Senior Notes |
1.100 | % | 8/15/30 | 90,000 | 84,405 | |||||||||||
|
|
|
|||||||||||||||
| Media - 4.2% |
||||||||||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
4.464 | % | 7/23/22 | 30,000 | 30,611 | |||||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
4.908 | % | 7/23/25 | 240,000 | 266,890 | |||||||||||
| Comcast Corp., Senior Notes |
3.400 | % | 4/1/30 | 90,000 | 98,152 | |||||||||||
| Fox Corp., Senior Notes |
4.030 | % | 1/25/24 | 20,000 | 21,295 | |||||||||||
| Time Warner Entertainment Co. LP, Senior Secured Notes |
8.375 | % | 3/15/23 | 410,000 | 452,250 | |||||||||||
|
|
|
|||||||||||||||
| Total Media |
869,198 | |||||||||||||||
|
|
|
|||||||||||||||
| Wireless Telecommunication Services - 0.5% |
||||||||||||||||
| T-Mobile USA Inc., Senior Secured Notes |
2.050 | % | 2/15/28 | 90,000 | 89,251 | |||||||||||
| T-Mobile USA Inc., Senior Secured Notes |
2.250 | % | 11/15/31 | 30,000 | 28,948 | |||||||||||
|
|
|
|||||||||||||||
| Total Wireless Telecommunication Services |
118,199 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL COMMUNICATION SERVICES |
1,608,774 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER DISCRETIONARY - 11.1% | ||||||||||||||||
| Automobiles - 4.8% |
||||||||||||||||
| Ford Motor Credit Co. LLC, Senior Notes |
3.350 | % | 11/1/22 | 200,000 | 203,040 | |||||||||||
| Ford Motor Credit Co. LLC, Senior Notes |
2.700 | % | 8/10/26 | 200,000 | 199,768 | |||||||||||
| General Motors Co., Senior Notes |
6.125 | % | 10/1/25 | 140,000 | 162,485 | |||||||||||
| General Motors Financial Co. Inc., Senior Notes |
3.450 | % | 4/10/22 | 40,000 | 40,337 | |||||||||||
| General Motors Financial Co. Inc., Senior Notes |
3.700 | % | 5/9/23 | 80,000 | 83,051 | |||||||||||
| General Motors Financial Co. Inc., Senior Notes (3 mo. USD LIBOR + 1.310%) |
1.442 | % | 6/30/22 | 50,000 | 50,329 | (b) | ||||||||||
| Hyundai Capital America, Senior Notes |
0.800 | % | 1/8/24 | 60,000 | 59,454 | (a) | ||||||||||
| Nissan Motor Co. Ltd., Senior Notes |
3.043 | % | 9/15/23 | 200,000 | 206,828 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Automobiles |
1,005,292 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| Western Asset Short Duration Income ETF 2021 Quarterly Report |
1 |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2021 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Hotels, Restaurants & Leisure - 4.3% |
||||||||||||||||
| Genting New York LLC/GENNY Capital Inc., Senior Notes |
3.300 | % | 2/15/26 | $ | 200,000 | $ | 197,008 | (a) | ||||||||
| Las Vegas Sands Corp., Senior Notes |
2.900 | % | 6/25/25 | 210,000 | 213,089 | |||||||||||
| Marriott International Inc., Senior Notes |
3.600 | % | 4/15/24 | 90,000 | 94,996 | |||||||||||
| Sands China Ltd., Senior Notes |
2.300 | % | 3/8/27 | 200,000 | 189,260 | (a) | ||||||||||
| Wynn Macau Ltd., Senior Notes |
4.875 | % | 10/1/24 | 200,000 | 189,000 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Hotels, Restaurants & Leisure |
883,353 | |||||||||||||||
|
|
|
|||||||||||||||
| Household Durables - 0.4% |
||||||||||||||||
| DR Horton Inc., Senior Notes |
2.500 | % | 10/15/24 | 70,000 | 72,841 | |||||||||||
| MDC Holdings Inc., Senior Notes |
2.500 | % | 1/15/31 | 10,000 | 9,674 | |||||||||||
|
|
|
|||||||||||||||
| Total Household Durables |
82,515 | |||||||||||||||
|
|
|
|||||||||||||||
| Internet & Direct Marketing Retail - 0.5% |
||||||||||||||||
| Amazon.com Inc., Senior Notes |
1.000 | % | 5/12/26 | 10,000 | 9,914 | |||||||||||
| Amazon.com Inc., Senior Notes |
1.200 | % | 6/3/27 | 90,000 | 88,523 | |||||||||||
| eBay Inc., Senior Notes |
2.600 | % | 5/10/31 | 10,000 | 10,115 | |||||||||||
|
|
|
|||||||||||||||
| Total Internet & Direct Marketing Retail |
108,552 | |||||||||||||||
|
|
|
|||||||||||||||
| Multiline Retail - 0.6% |
||||||||||||||||
| Dollar Tree Inc., Senior Notes |
3.700 | % | 5/15/23 | 40,000 | 41,695 | |||||||||||
| Dollar Tree Inc., Senior Notes |
4.000 | % | 5/15/25 | 60,000 | 65,001 | |||||||||||
| Nordstrom Inc., Senior Notes |
2.300 | % | 4/8/24 | 20,000 | 20,098 | |||||||||||
|
|
|
|||||||||||||||
| Total Multiline Retail |
126,794 | |||||||||||||||
|
|
|
|||||||||||||||
| Specialty Retail - 0.5% |
||||||||||||||||
| Lowe’s Cos. Inc., Senior Notes |
1.300 | % | 4/15/28 | 100,000 | 96,236 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
2,302,742 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER STAPLES - 3.2% | ||||||||||||||||
| Beverages - 0.4% |
||||||||||||||||
| Anheuser-Busch InBev Worldwide Inc., Senior Notes |
4.750 | % | 1/23/29 | 10,000 | 11,741 | |||||||||||
| Anheuser-Busch InBev Worldwide Inc., Senior Notes (3 mo. USD LIBOR + 0.740%) |
0.861 | % | 1/12/24 | 70,000 | 70,622 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total Beverages |
82,363 | |||||||||||||||
|
|
|
|||||||||||||||
| Food & Staples Retailing - 1.1% |
||||||||||||||||
| Costco Wholesale Corp., Senior Notes |
1.375 | % | 6/20/27 | 10,000 | 9,928 | |||||||||||
| Costco Wholesale Corp., Senior Notes |
1.600 | % | 4/20/30 | 10,000 | 9,738 | |||||||||||
| Walmart Inc., Senior Notes |
1.050 | % | 9/17/26 | 210,000 | 208,108 | |||||||||||
|
|
|
|||||||||||||||
| Total Food & Staples Retailing |
227,774 | |||||||||||||||
|
|
|
|||||||||||||||
| Food Products - 0.1% |
||||||||||||||||
| Hershey Co., Senior Notes |
1.700 | % | 6/1/30 | 10,000 | 9,829 | |||||||||||
| Mondelez International Inc., Senior Notes |
1.500 | % | 2/4/31 | 10,000 | 9,373 | |||||||||||
|
|
|
|||||||||||||||
| Total Food Products |
19,202 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
2 |
Western Asset Short Duration Income ETF 2021 Quarterly Report |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2021 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Household Products - 0.1% |
||||||||||||||||
| Clorox Co., Senior Notes |
1.800 | % | 5/15/30 | $ | 10,000 | $ | 9,725 | |||||||||
| Kimberly-Clark Corp., Senior Notes |
1.050 | % | 9/15/27 | 10,000 | 9,698 | |||||||||||
|
|
|
|||||||||||||||
| Total Household Products |
19,423 | |||||||||||||||
|
|
|
|||||||||||||||
| Tobacco - 1.5% |
||||||||||||||||
| Altria Group Inc., Senior Notes |
2.625 | % | 9/16/26 | 80,000 | 83,156 | |||||||||||
| BAT International Finance PLC, Senior Notes |
1.668 | % | 3/25/26 | 90,000 | 89,003 | |||||||||||
| Cargill Inc., Senior Notes |
0.750 | % | 2/2/26 | 140,000 | 136,473 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Tobacco |
308,632 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER STAPLES |
657,394 | |||||||||||||||
|
|
|
|||||||||||||||
| ENERGY - 15.7% | ||||||||||||||||
| Oil, Gas & Consumable Fuels - 15.7% |
||||||||||||||||
| Comstock Resources Inc., Senior Notes |
7.500 | % | 5/15/25 | 10,000 | 10,375 | (a) | ||||||||||
| Continental Resources Inc., Senior Notes |
4.500 | % | 4/15/23 | 90,000 | 93,593 | |||||||||||
| Coterra Energy Inc., Senior Notes |
4.375 | % | 6/1/24 | 60,000 | 64,220 | (a) | ||||||||||
| Coterra Energy Inc., Senior Notes |
3.900 | % | 5/15/27 | 100,000 | 109,093 | (a) | ||||||||||
| Coterra Energy Inc., Senior Notes |
4.375 | % | 3/15/29 | 30,000 | 34,082 | (a) | ||||||||||
| Devon Energy Corp., Senior Notes |
5.850 | % | 12/15/25 | 40,000 | 46,090 | |||||||||||
| Devon Energy Corp., Senior Notes |
5.250 | % | 10/15/27 | 46,000 | 48,823 | (a) | ||||||||||
| Devon Energy Corp., Senior Notes |
5.875 | % | 6/15/28 | 12,000 | 13,154 | (a) | ||||||||||
| Devon Energy Corp., Senior Notes |
4.500 | % | 1/15/30 | 150,000 | 163,038 | (a) | ||||||||||
| Devon OEI Operating LLC, Senior Notes |
7.500 | % | 9/15/27 | 20,000 | 24,719 | |||||||||||
| Diamondback Energy Inc., Senior Notes |
3.250 | % | 12/1/26 | 120,000 | 126,885 | |||||||||||
| Ecopetrol SA, Senior Notes |
5.875 | % | 9/18/23 | 130,000 | 139,633 | |||||||||||
| Ecopetrol SA, Senior Notes |
4.625 | % | 11/2/31 | 20,000 | 19,850 | (c) | ||||||||||
| El Paso Natural Gas Co. LLC, Senior Notes |
7.500 | % | 11/15/26 | 60,000 | 74,439 | |||||||||||
| Energy Transfer LP, Senior Notes |
4.200 | % | 9/15/23 | 10,000 | 10,543 | |||||||||||
| Energy Transfer LP, Senior Notes |
4.050 | % | 3/15/25 | 320,000 | 343,016 | |||||||||||
| Energy Transfer LP, Senior Notes |
2.900 | % | 5/15/25 | 70,000 | 73,059 | |||||||||||
| Enterprise Products Operating LLC, Senior Notes |
2.800 | % | 1/31/30 | 80,000 | 83,127 | |||||||||||
| EOG Resources Inc., Senior Notes |
4.375 | % | 4/15/30 | 20,000 | 23,265 | |||||||||||
| EQT Corp., Senior Notes |
3.000 | % | 10/1/22 | 30,000 | 30,307 | |||||||||||
| EQT Corp., Senior Notes |
3.125 | % | 5/15/26 | 20,000 | 20,150 | (a) | ||||||||||
| EQT Corp., Senior Notes |
3.900 | % | 10/1/27 | 10,000 | 10,675 | |||||||||||
| Exxon Mobil Corp., Senior Notes |
3.482 | % | 3/19/30 | 60,000 | 66,433 | |||||||||||
| Florida Gas Transmission Co. LLC, Senior Notes |
2.300 | % | 10/1/31 | 60,000 | 58,626 | (a) | ||||||||||
| Kinder Morgan Energy Partners LP, Senior Notes |
7.300 | % | 8/15/33 | 10,000 | 13,911 | |||||||||||
| Lukoil Capital DAC, Senior Notes |
2.800 | % | 4/26/27 | 200,000 | 199,847 | (a) | ||||||||||
| MEG Energy Corp., Senior Notes |
7.125 | % | 2/1/27 | 30,000 | 31,500 | (a) | ||||||||||
| MPLX LP, Senior Notes |
3.375 | % | 3/15/23 | 10,000 | 10,339 | |||||||||||
See Notes to Schedule of Investments.
| Western Asset Short Duration Income ETF 2021 Quarterly Report |
3 |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2021 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
| MPLX LP, Senior Notes |
1.750 | % | 3/1/26 | $ | 110,000 | $ | 109,571 | |||||||||
| Northwest Pipeline LLC, Senior Notes |
7.125 | % | 12/1/25 | 20,000 | 23,931 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
6.950 | % | 7/1/24 | 10,000 | 11,250 | |||||||||||
| Parsley Energy LLC/Parsley Finance Corp., Senior Notes |
5.625 | % | 10/15/27 | 10,000 | 10,650 | (a) | ||||||||||
| Parsley Energy LLC/Parsley Finance Corp., Senior Notes |
4.125 | % | 2/15/28 | 10,000 | 10,350 | (a) | ||||||||||
| Petrobras Global Finance BV, Senior Notes |
5.999 | % | 1/27/28 | 60,000 | 65,250 | |||||||||||
| Pioneer Natural Resources Co., Senior Notes |
0.550 | % | 5/15/23 | 60,000 | 59,810 | |||||||||||
| Pioneer Natural Resources Co., Senior Notes |
1.125 | % | 1/15/26 | 40,000 | 39,149 | |||||||||||
| Qatar Energy, Senior Notes |
1.375 | % | 9/12/26 | 200,000 | 197,414 | (a) | ||||||||||
| Range Resources Corp., Senior Notes |
5.000 | % | 8/15/22 | 180,000 | 182,759 | |||||||||||
| Range Resources Corp., Senior Notes |
9.250 | % | 2/1/26 | 60,000 | 64,800 | |||||||||||
| Southern Natural Gas Co. LLC, Senior Notes |
0.625 | % | 4/28/23 | 20,000 | 19,936 | (a) | ||||||||||
| Tennessee Gas Pipeline Co. LLC, Senior Notes |
7.000 | % | 10/15/28 | 30,000 | 38,621 | |||||||||||
| Tennessee Gas Pipeline Co. LLC, Senior Notes |
2.900 | % | 3/1/30 | 50,000 | 50,909 | (a) | ||||||||||
| Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
3.250 | % | 5/15/30 | 10,000 | 10,604 | |||||||||||
| Western Midstream Operating LP, Senior Notes |
3.950 | % | 6/1/25 | 30,000 | 31,599 | |||||||||||
| Williams Cos. Inc., Senior Notes |
3.700 | % | 1/15/23 | 390,000 | 401,033 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
3,270,428 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 30.5% | ||||||||||||||||
| Banks - 17.9% |
||||||||||||||||
| Bank of America Corp., Senior Notes (0.810% to 10/24/23 then SOFR + 0.740%) |
0.810 | % | 10/24/24 | 20,000 | 19,975 | (b) | ||||||||||
| Bank of America Corp., Senior Notes (1.319% to 6/19/25 then SOFR + 1.150%) |
1.319 | % | 6/19/26 | 10,000 | 9,923 | (b) | ||||||||||
| Bank of America Corp., Senior Notes (1.734% to 7/22/26 then SOFR + 0.960%) |
1.734 | % | 7/22/27 | 400,000 | 397,425 | (b) | ||||||||||
| Bank of America Corp., Senior Notes (2.299% to 7/21/31 then SOFR + 1.220%) |
2.299 | % | 7/21/32 | 40,000 | 39,132 | (b) | ||||||||||
| Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%) |
2.572 | % | 10/20/32 | 40,000 | 40,081 | (b) | ||||||||||
| Bank of America Corp., Senior Notes (2.592% to 4/29/30 then SOFR + 2.150%) |
2.592 | % | 4/29/31 | 110,000 | 111,269 | (b) | ||||||||||
| BNP Paribas SA, Senior Notes (1.675% to 6/30/26 then SOFR + 0.912%) |
1.675 | % | 6/30/27 | 200,000 | 197,209 | (a)(b) | ||||||||||
| Citigroup Inc., Senior Notes (0.981% to 5/1/24 then SOFR + 0.669%) |
0.981 | % | 5/1/25 | 20,000 | 19,912 | (b) | ||||||||||
| Citigroup Inc., Senior Notes (1.281% to 11/3/24 then SOFR + 0.528%) |
1.281 | % | 11/3/25 | 40,000 | 40,044 | (b)(c) | ||||||||||
See Notes to Schedule of Investments.
|
4 |
Western Asset Short Duration Income ETF 2021 Quarterly Report |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2021 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Banks - (continued) |
||||||||||||||||
| Citigroup Inc., Senior Notes (1.462% to 6/9/26 then SOFR + 0.770%) |
1.462 | % | 6/9/27 | $ | 230,000 | $ | 226,581 | (b) | ||||||||
| Citigroup Inc., Subordinated Notes |
5.500 | % | 9/13/25 | 120,000 | 136,873 | |||||||||||
| Danske Bank A/S, Senior Notes (0.976% to 9/10/24 then 1 year Treasury Constant Maturity Rate + 0.550%) |
0.976 | % | 9/10/25 | 200,000 | 198,479 | (a)(b) | ||||||||||
| Danske Bank A/S, Senior Notes (3.244% to 12/20/24 then 3 mo. USD LIBOR + 1.591%) |
3.244 | % | 12/20/25 | 200,000 | 209,837 | (a)(b) | ||||||||||
| HSBC Holdings PLC, Senior Notes (0.976% to 5/24/24 then SOFR + 0.708%) |
0.976 | % | 5/24/25 | 200,000 | 198,346 | (b) | ||||||||||
| HSBC Holdings PLC, Subordinated Notes |
7.625 | % | 5/17/32 | 10,000 | 13,863 | |||||||||||
| Intesa Sanpaolo SpA, Senior Notes |
3.375 | % | 1/12/23 | 210,000 | 216,237 | (a) | ||||||||||
| Intesa Sanpaolo SpA, Subordinated Notes |
4.198 | % | 6/1/32 | 200,000 | 201,621 | (a) | ||||||||||
| JPMorgan Chase & Co., Senior Notes (0.563% to 2/16/24 then SOFR + 0.420%) |
0.563 | % | 2/16/25 | 10,000 | 9,898 | (b) | ||||||||||
| JPMorgan Chase & Co., Senior Notes (1.578% to 4/22/26 then SOFR + 0.885%) |
1.578 | % | 4/22/27 | 310,000 | 306,992 | (b) | ||||||||||
| JPMorgan Chase & Co., Senior Notes (2.522% to 4/22/30 then SOFR + 2.040%) |
2.522 | % | 4/22/31 | 10,000 | 10,120 | (b) | ||||||||||
| JPMorgan Chase & Co., Subordinated Notes (2.956% to 5/13/30 then SOFR + 2.515%) |
2.956 | % | 5/13/31 | 100,000 | 103,234 | (b) | ||||||||||
| NatWest Group PLC, Senior Notes (3 mo. USD LIBOR + 1.470%) |
1.595 | % | 5/15/23 | 260,000 | 261,755 | (b) | ||||||||||
| Royal Bank of Canada, Senior Notes |
1.150 | % | 7/14/26 | 90,000 | 88,445 | |||||||||||
| Santander UK Group Holdings PLC, Senior Notes (1.673% to 6/14/26 then SOFR + 0.989%) |
1.673 | % | 6/14/27 | 200,000 | 196,657 | (b) | ||||||||||
| Truist Financial Corp., Senior Notes (1.267% to 3/2/26 then SOFR + 0.609%) |
1.267 | % | 3/2/27 | 90,000 | 88,699 | (b) | ||||||||||
| Wells Fargo & Co., Senior Notes |
3.000 | % | 10/23/26 | 240,000 | 253,497 | |||||||||||
| Wells Fargo & Co., Senior Notes (0.805% to 5/19/24 then SOFR + 0.510%) |
0.805 | % | 5/19/25 | 110,000 | 109,490 | (b) | ||||||||||
| Wells Fargo & Co., Senior Notes (4.478% to 4/4/30 then SOFR + 4.032%) |
4.478 | % | 4/4/31 | 10,000 | 11,560 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total Banks |
3,717,154 | |||||||||||||||
|
|
|
|||||||||||||||
| Capital Markets - 8.4% |
||||||||||||||||
| Charles Schwab Corp., Senior Notes |
1.150 | % | 5/13/26 | 190,000 | 188,407 | |||||||||||
| CI Financial Corp., Senior Notes |
3.200 | % | 12/17/30 | 110,000 | 112,701 | |||||||||||
| Credit Suisse Group AG, Senior Notes (3.091% to 5/14/31 then SOFR + 1.730%) |
3.091 | % | 5/14/32 | 280,000 | 285,085 | (a)(b) | ||||||||||
| Daimler Finance North America LLC, Senior Notes |
1.450 | % | 3/2/26 | 150,000 | 149,290 | (a) | ||||||||||
See Notes to Schedule of Investments.
| Western Asset Short Duration Income ETF 2021 Quarterly Report |
5 |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2021 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Capital Markets - (continued) |
||||||||||||||||
| Goldman Sachs Group Inc., Senior Notes |
3.800 | % | 3/15/30 | $ | 30,000 | $ | 33,218 | |||||||||
| Goldman Sachs Group Inc., Senior Notes (0.855% to 2/12/25 then SOFR + 0.609%) |
0.855 | % | 2/12/26 | 40,000 | 39,267 | (b) | ||||||||||
| Goldman Sachs Group Inc., Senior Notes (1.093% to 12/9/25 then SOFR + 0.789%) |
1.093 | % | 12/9/26 | 220,000 | 214,564 | (b) | ||||||||||
| Goldman Sachs Group Inc., Senior Notes (1.948% to 10/21/26 then SOFR + 0.913%) |
1.948 | % | 10/21/27 | 30,000 | 30,029 | (b) | ||||||||||
| Goldman Sachs Group Inc., Subordinated Notes |
4.250 | % | 10/21/25 | 30,000 | 32,889 | |||||||||||
| LPL Holdings Inc., Senior Notes |
4.375 | % | 5/15/31 | 10,000 | 10,238 | (a) | ||||||||||
| Morgan Stanley, Senior Notes (0.790% to 5/30/24 then SOFR + 0.525%) |
0.790 | % | 5/30/25 | 60,000 | 59,355 | (b) | ||||||||||
| Morgan Stanley, Senior Notes (1.164% to 10/21/24 then SOFR + 0.560%) |
1.164 | % | 10/21/25 | 40,000 | 39,812 | (b) | ||||||||||
| Morgan Stanley, Senior Notes (1.512% to 7/20/26 then SOFR + 0.858%) |
1.512 | % | 7/20/27 | 20,000 | 19,673 | (b) | ||||||||||
| Morgan Stanley, Senior Notes (1.593% to 5/4/26 then SOFR + 0.879%) |
1.593 | % | 5/4/27 | 240,000 | 237,763 | (b) | ||||||||||
| Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%) |
2.188 | % | 4/28/26 | 30,000 | 30,705 | (b) | ||||||||||
| Morgan Stanley, Senior Notes (2.511% to 10/20/31 then SOFR + 1.200%) |
2.511 | % | 10/20/32 | 30,000 | 29,927 | (b) | ||||||||||
| Morgan Stanley, Senior Notes (2.699% to 1/22/30 then SOFR + 1.143%) |
2.699 | % | 1/22/31 | 40,000 | 40,886 | (b) | ||||||||||
| UBS AG, Senior Notes |
1.250 | % | 6/1/26 | 200,000 | 197,144 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Capital Markets |
1,750,953 | |||||||||||||||
|
|
|
|||||||||||||||
| Diversified Financial Services - 2.2% |
||||||||||||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
2.450 | % | 10/29/26 | 150,000 | 151,408 | |||||||||||
| Element Fleet Management Corp., Senior Notes |
1.600 | % | 4/6/24 | 10,000 | 10,068 | (a) | ||||||||||
| GE Capital International Funding Co. Unlimited Co., Senior Notes |
3.373 | % | 11/15/25 | 260,000 | 280,502 | |||||||||||
| Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) |
6.500 | % | 9/15/24 | 12,227 | 11,871 | (a)(d) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Financial Services |
453,849 | |||||||||||||||
|
|
|
|||||||||||||||
| Insurance - 1.9% |
||||||||||||||||
| American International Group Inc., Senior Notes |
2.500 | % | 6/30/25 | 90,000 | 93,485 | |||||||||||
| American International Group Inc., Senior Notes |
3.400 | % | 6/30/30 | 10,000 | 10,830 | |||||||||||
| AmFam Holdings Inc., Senior Notes |
2.805 | % | 3/11/31 | 100,000 | 102,161 | (a) | ||||||||||
| GA Global Funding Trust, Secured Notes |
1.000 | % | 4/8/24 | 10,000 | 9,975 | (a) | ||||||||||
| New York Life Global Funding, Senior Secured Notes |
0.950 | % | 6/24/25 | 50,000 | 49,475 | (a) | ||||||||||
See Notes to Schedule of Investments.
|
6 |
Western Asset Short Duration Income ETF 2021 Quarterly Report |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2021 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Insurance - (continued) |
||||||||||||||||
| Prudential Financial Inc., Senior Notes |
1.500 | % | 3/10/26 | $ | 10,000 | $ | 10,071 | |||||||||
| Reliance Standard Life Global Funding II, Secured Notes |
2.500 | % | 10/30/24 | 80,000 | 82,801 | (a) | ||||||||||
| Reliance Standard Life Global Funding II, Secured Notes |
2.750 | % | 1/21/27 | 30,000 | 31,263 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Insurance |
390,061 | |||||||||||||||
|
|
|
|||||||||||||||
| Thrifts & Mortgage Finance - 0.1% |
||||||||||||||||
| Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes |
2.875 | % | 10/15/26 | 10,000 | 9,931 | (a) | ||||||||||
| Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes |
4.000 | % | 10/15/33 | 10,000 | 9,849 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Thrifts & Mortgage Finance |
19,780 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
6,331,797 | |||||||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 4.2% | ||||||||||||||||
| Biotechnology - 1.2% |
||||||||||||||||
| AbbVie Inc., Senior Notes |
2.600 | % | 11/21/24 | 30,000 | 31,237 | |||||||||||
| AbbVie Inc., Senior Notes |
2.950 | % | 11/21/26 | 210,000 | 221,998 | |||||||||||
|
|
|
|||||||||||||||
| Total Biotechnology |
253,235 | |||||||||||||||
|
|
|
|||||||||||||||
| Health Care Equipment & Supplies - 0.2% |
||||||||||||||||
| Becton Dickinson and Co., Senior Notes |
3.363 | % | 6/6/24 | 32,000 | 33,747 | |||||||||||
|
|
|
|||||||||||||||
| Health Care Providers & Services - 2.2% |
||||||||||||||||
| Bon Secours Mercy Health Inc., Secured Notes |
3.464 | % | 6/1/30 | 10,000 | 10,809 | |||||||||||
| Centene Corp., Senior Notes |
4.625 | % | 12/15/29 | 50,000 | 53,938 | |||||||||||
| Centene Corp., Senior Notes |
3.375 | % | 2/15/30 | 80,000 | 82,100 | |||||||||||
| Cigna Corp., Senior Notes |
4.125 | % | 11/15/25 | 10,000 | 10,999 | |||||||||||
| Cigna Corp., Senior Notes |
2.400 | % | 3/15/30 | 120,000 | 121,216 | |||||||||||
| CommonSpirit Health, Senior Secured Notes |
2.782 | % | 10/1/30 | 10,000 | 10,216 | |||||||||||
| CVS Health Corp., Senior Notes |
3.700 | % | 3/9/23 | 2,000 | 2,077 | |||||||||||
| CVS Health Corp., Senior Notes |
2.625 | % | 8/15/24 | 40,000 | 41,689 | |||||||||||
| CVS Health Corp., Senior Notes |
2.875 | % | 6/1/26 | 10,000 | 10,525 | |||||||||||
| CVS Health Corp., Senior Notes |
1.300 | % | 8/21/27 | 40,000 | 38,774 | |||||||||||
| UnitedHealth Group Inc., Senior Notes |
1.150 | % | 5/15/26 | 70,000 | 69,319 | |||||||||||
|
|
|
|||||||||||||||
| Total Health Care Providers & Services |
451,662 | |||||||||||||||
|
|
|
|||||||||||||||
| Pharmaceuticals - 0.6% |
||||||||||||||||
| Astrazeneca Finance LLC, Senior Notes |
1.200 | % | 5/28/26 | 70,000 | 69,363 | |||||||||||
| Merck & Co. Inc., Senior Notes |
1.450 | % | 6/24/30 | 60,000 | 57,662 | |||||||||||
|
|
|
|||||||||||||||
| Total Pharmaceuticals |
127,025 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
865,669 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| Western Asset Short Duration Income ETF 2021 Quarterly Report |
7 |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2021 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| INDUSTRIALS - 7.6% | ||||||||||||||||
| Aerospace & Defense - 1.8% |
||||||||||||||||
| Avolon Holdings Funding Ltd., Senior Notes |
3.625 | % | 5/1/22 | $ | 2,000 | $ | 2,022 | (a) | ||||||||
| Avolon Holdings Funding Ltd., Senior Notes |
4.250 | % | 4/15/26 | 30,000 | 32,239 | (a) | ||||||||||
| Boeing Co., Senior Notes |
4.875 | % | 5/1/25 | 20,000 | 22,095 | |||||||||||
| Boeing Co., Senior Notes |
2.196 | % | 2/4/26 | 240,000 | 240,400 | |||||||||||
| Boeing Co., Senior Notes |
3.250 | % | 2/1/28 | 20,000 | 20,942 | |||||||||||
| Lockheed Martin Corp., Senior Notes |
1.850 | % | 6/15/30 | 50,000 | 49,445 | |||||||||||
|
|
|
|||||||||||||||
| Total Aerospace & Defense |
367,143 | |||||||||||||||
|
|
|
|||||||||||||||
| Airlines - 1.8% |
||||||||||||||||
| American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes |
5.500 | % | 4/20/26 | 30,000 | 31,470 | (a) | ||||||||||
| Continental Airlines 2007-1 Class B Pass-Through Trust |
6.903 | % | 4/19/22 | 26,540 | 26,699 | |||||||||||
| Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes |
4.500 | % | 10/20/25 | 120,000 | 128,048 | (a) | ||||||||||
| Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes |
4.750 | % | 10/20/28 | 10,000 | 11,104 | (a) | ||||||||||
| United Airlines Holdings Inc., Senior Notes |
4.250 | % | 10/1/22 | 140,000 | 142,730 | |||||||||||
| United Airlines Pass-Through Trust |
4.875 | % | 1/15/26 | 35,920 | 37,958 | |||||||||||
|
|
|
|||||||||||||||
| Total Airlines |
378,009 | |||||||||||||||
|
|
|
|||||||||||||||
| Commercial Services & Supplies - 0.6% |
||||||||||||||||
| Republic Services Inc., Senior Notes |
2.500 | % | 8/15/24 | 110,000 | 114,293 | |||||||||||
|
|
|
|||||||||||||||
| Industrial Conglomerates - 0.3% |
||||||||||||||||
| Honeywell International Inc., Senior Notes |
1.950 | % | 6/1/30 | 60,000 | 59,969 | |||||||||||
|
|
|
|||||||||||||||
| Professional Services - 0.4% |
||||||||||||||||
| Equifax Inc., Senior Notes |
2.350 | % | 9/15/31 | 80,000 | 78,470 | |||||||||||
|
|
|
|||||||||||||||
| Trading Companies & Distributors - 2.7% |
||||||||||||||||
| Air Lease Corp., Senior Notes |
3.000 | % | 9/15/23 | 80,000 | 82,754 | |||||||||||
| Air Lease Corp., Senior Notes |
0.700 | % | 2/15/24 | 180,000 | 177,951 | |||||||||||
| Aviation Capital Group LLC, Senior Notes |
4.125 | % | 8/1/25 | 290,000 | 309,849 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Trading Companies & Distributors |
570,554 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
1,568,438 | |||||||||||||||
|
|
|
|||||||||||||||
| INFORMATION TECHNOLOGY - 8.9% | ||||||||||||||||
| Electronic Equipment, Instruments & Components - 0.5% |
|
|||||||||||||||
| TD SYNNEX Corp., Senior Notes |
1.250 | % | 8/9/24 | 70,000 | 69,796 | (a) | ||||||||||
| Vontier Corp., Senior Notes |
1.800 | % | 4/1/26 | 40,000 | 39,368 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Electronic Equipment, Instruments & Components |
|
109,164 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
8 |
Western Asset Short Duration Income ETF 2021 Quarterly Report |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2021 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| IT Services - 1.3% |
||||||||||||||||
| Mastercard Inc., Senior Notes |
3.300 | % | 3/26/27 | $ | 70,000 | $ | 76,050 | |||||||||
| PayPal Holdings Inc., Senior Notes |
2.400 | % | 10/1/24 | 140,000 | 145,683 | |||||||||||
| PayPal Holdings Inc., Senior Notes |
2.300 | % | 6/1/30 | 30,000 | 30,531 | |||||||||||
| S&P Global Inc., Senior Notes |
1.250 | % | 8/15/30 | 10,000 | 9,357 | |||||||||||
| Visa Inc., Senior Notes |
1.100 | % | 2/15/31 | 10,000 | 9,346 | |||||||||||
|
|
|
|||||||||||||||
| Total IT Services |
270,967 | |||||||||||||||
|
|
|
|||||||||||||||
| Semiconductors & Semiconductor Equipment - 4.2% |
||||||||||||||||
| Broadcom Inc., Senior Notes |
4.150 | % | 11/15/30 | 105,000 | 115,437 | |||||||||||
| Broadcom Inc., Senior Notes |
3.187 | % | 11/15/36 | 85,000 | 83,559 | (a) | ||||||||||
| Kyndryl Holdings Inc., Senior Notes |
2.050 | % | 10/15/26 | 70,000 | 69,240 | (a) | ||||||||||
| Lam Research corp., Senior Notes |
1.900 | % | 6/15/30 | 50,000 | 49,492 | |||||||||||
| Microchip Technology Inc., Senior Secured Notes |
2.670 | % | 9/1/23 | 20,000 | 20,613 | |||||||||||
| Microchip Technology Inc., Senior Secured Notes |
0.972 | % | 2/15/24 | 50,000 | 49,701 | (a) | ||||||||||
| Microchip Technology Inc., Senior Secured Notes |
0.983 | % | 9/1/24 | 70,000 | 69,280 | (a) | ||||||||||
| Micron Technology Inc., Senior Notes |
4.640 | % | 2/6/24 | 160,000 | 172,400 | |||||||||||
| NXP BV/NXP Funding LLC/NXP USA Inc., Senior Notes |
3.400 | % | 5/1/30 | 40,000 | 42,988 | (a) | ||||||||||
| Skyworks Solutions Inc., Senior Notes |
1.800 | % | 6/1/26 | 10,000 | 10,011 | |||||||||||
| TSMC Arizona Corp., Senior Notes |
1.750 | % | 10/25/26 | 200,000 | 201,067 | |||||||||||
|
|
|
|||||||||||||||
| Total Semiconductors & Semiconductor Equipment |
883,788 | |||||||||||||||
|
|
|
|||||||||||||||
| Software - 2.2% |
||||||||||||||||
| Adobe Inc., Senior Notes |
2.150 | % | 2/1/27 | 130,000 | 134,535 | |||||||||||
| Adobe Inc., Senior Notes |
2.300 | % | 2/1/30 | 80,000 | 82,011 | |||||||||||
| Fortinet Inc., Senior Notes |
1.000 | % | 3/15/26 | 130,000 | 126,653 | |||||||||||
| salesforce.com Inc., Senior Notes |
1.500 | % | 7/15/28 | 110,000 | 108,284 | |||||||||||
|
|
|
|||||||||||||||
| Total Software |
451,483 | |||||||||||||||
|
|
|
|||||||||||||||
| Technology Hardware, Storage & Peripherals - 0.7% |
||||||||||||||||
| Apple Inc., Senior Notes |
0.700 | % | 2/8/26 | 40,000 | 39,209 | |||||||||||
| Apple Inc., Senior Notes |
1.400 | % | 8/5/28 | 100,000 | 97,482 | |||||||||||
|
|
|
|||||||||||||||
| Total Technology Hardware, Storage & Peripherals |
136,691 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INFORMATION TECHNOLOGY |
1,852,093 | |||||||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 1.8% | ||||||||||||||||
| Chemicals - 0.1% |
||||||||||||||||
| PPG Industries Inc., Senior Notes |
1.200 | % | 3/15/26 | 30,000 | 29,479 | |||||||||||
|
|
|
|||||||||||||||
| Containers & Packaging - 0.1% |
||||||||||||||||
| Graphic Packaging International LLC, Senior Secured Notes |
1.512 | % | 4/15/26 | 10,000 | 9,864 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Metals & Mining - 1.5% |
||||||||||||||||
| Freeport-McMoRan Inc., Senior Notes |
4.375 | % | 8/1/28 | 30,000 | 31,237 | |||||||||||
| Glencore Finance Canada Ltd., Senior Notes |
4.250 | % | 10/25/22 | 100,000 | 103,331 | (a) | ||||||||||
See Notes to Schedule of Investments.
| Western Asset Short Duration Income ETF 2021 Quarterly Report |
9 |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2021 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Metals & Mining - (continued) |
||||||||||||||||
| Glencore Funding LLC, Senior Notes |
1.625 | % | 9/1/25 | $ | 160,000 | $ | 158,995 | (a) | ||||||||
| Yamana Gold Inc., Senior Notes |
4.625 | % | 12/15/27 | 10,000 | 11,013 | |||||||||||
| Yamana Gold Inc., Senior Notes |
2.630 | % | 8/15/31 | 10,000 | 9,759 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Metals & Mining |
314,335 | |||||||||||||||
|
|
|
|||||||||||||||
| Paper & Forest Products - 0.1% |
||||||||||||||||
| Suzano Austria GmbH, Senior Notes |
3.125 | % | 1/15/32 | 30,000 | 28,343 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
382,021 | |||||||||||||||
|
|
|
|||||||||||||||
| REAL ESTATE - 0.3% | ||||||||||||||||
| Equity Real Estate Investment Trusts (REITs) - 0.3% |
||||||||||||||||
| Alexandria Real Estate Equities Inc., Senior Notes |
2.000 | % | 5/18/32 | 10,000 | 9,632 | |||||||||||
| Diversified Healthcare Trust, Senior Notes |
4.750 | % | 5/1/24 | 10,000 | 10,312 | |||||||||||
| Kimco Realty Corp., Senior Notes |
2.250 | % | 12/1/31 | 40,000 | 38,975 | |||||||||||
| Simon Property Group LP, Senior Notes |
3.500 | % | 9/1/25 | 10,000 | 10,774 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL REAL ESTATE |
69,693 | |||||||||||||||
|
|
|
|||||||||||||||
| UTILITIES - 2.0% | ||||||||||||||||
| Electric Utilities - 2.0% |
||||||||||||||||
| DTE Electric Co., First Mortgage |
2.625 | % | 3/1/31 | 30,000 | 31,038 | |||||||||||
| Duke Energy Ohio Inc., First Mortgage |
2.125 | % | 6/1/30 | 10,000 | 9,908 | |||||||||||
| Edison International, Senior Notes |
4.950 | % | 4/15/25 | 110,000 | 120,665 | |||||||||||
| FirstEnergy Corp., Senior Notes |
3.350 | % | 7/15/22 | 60,000 | 60,450 | |||||||||||
| NRG Energy Inc., Senior Secured Notes |
2.450 | % | 12/2/27 | 100,000 | 100,029 | (a) | ||||||||||
| Pacific Gas and Electric Co., First Mortgage Bonds |
1.750 | % | 6/16/22 | 50,000 | 49,880 | |||||||||||
| Pacific Gas and Electric Co., First Mortgage Bonds |
2.100 | % | 8/1/27 | 40,000 | 38,813 | |||||||||||
| Toledo Edison Co. |
2.650 | % | 5/1/28 | 10,000 | 10,152 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL UTILITIES |
420,935 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES |
|
19,329,984 | ||||||||||||||
|
|
|
|||||||||||||||
| ASSET-BACKED SECURITIES - 3.4% | ||||||||||||||||
| AGL CLO 6 Ltd., 2020-6A AR (3 mo. USD LIBOR + 1.200%) |
1.332 | % | 7/20/34 | 100,000 | 100,000 | (a)(b) | ||||||||||
| CIFC Funding Ltd., 2021-4A A (3 mo. USD LIBOR + 1.050%) |
1.174 | % | 7/15/33 | 110,000 | 109,851 | (a)(b) | ||||||||||
| Halcyon Loan Advisors Funding Ltd., 2017-2A A2 (3 mo. USD LIBOR + 1.700%) |
1.822 | % | 1/17/30 | 250,000 | 249,999 | (a)(b) | ||||||||||
| Navient Private Education Refi Loan Trust, 2020-DA A |
1.690 | % | 5/15/69 | 49,310 | 49,688 | (a) | ||||||||||
| Neuberger Berman Loan Advisers CLO 42 Ltd., 2021-42A A (3 mo. USD LIBOR + 1.100%) |
1.222 | % | 7/16/35 | 210,000 | 210,000 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
719,538 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
10 |
Western Asset Short Duration Income ETF 2021 Quarterly Report |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2021 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| SOVEREIGN BONDS - 1.2% | ||||||||||||||||
| Argentina - 0.2% |
||||||||||||||||
| Argentine Republic Government International Bond, Senior Notes |
1.000 | % | 7/9/29 | $ | 4,719 | $ | 1,711 | |||||||||
| Argentine Republic Government International Bond, Senior Notes, Step bond (0.500% to 7/9/23 then 0.750%) |
0.500 | % | 7/9/30 | 135,800 | 46,321 | |||||||||||
|
|
|
|||||||||||||||
| Total Argentina |
48,032 | |||||||||||||||
|
|
|
|||||||||||||||
| Chile - 0.9% |
||||||||||||||||
| Chile Government International Bond, Senior Notes |
2.550 | % | 7/27/33 | 200,000 | 193,062 | |||||||||||
|
|
|
|||||||||||||||
| Peru - 0.1% |
||||||||||||||||
| Peruvian Government International Bond, Senior Notes |
2.783 | % | 1/23/31 | 20,000 | 19,890 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL SOVEREIGN BONDS |
260,984 | |||||||||||||||
|
|
|
|||||||||||||||
| U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.2% | ||||||||||||||||
| U.S. Government Obligations - 0.2% |
||||||||||||||||
| U.S. Treasury Bonds |
1.625 | % | 11/15/50 | 10,000 | 9,275 | |||||||||||
| U.S. Treasury Notes |
1.000 | % | 7/31/28 | 10,000 | 9,710 | |||||||||||
| U.S. Treasury Notes |
1.625 | % | 5/15/31 | 5,000 | 5,035 | |||||||||||
| U.S. Treasury Notes |
1.250 | % | 8/15/31 | 10,000 | 9,717 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS |
|
33,737 | ||||||||||||||
|
|
|
|||||||||||||||
| SENIOR LOANS - 0.1% | ||||||||||||||||
| INDUSTRIALS - 0.1% | ||||||||||||||||
| Airlines - 0.1% |
||||||||||||||||
| Delta Air Lines Inc., Initial Term Loan (the greater of 3 mo. USD LIBOR or 1.000% + 3.750%) |
4.750 | % | 10/20/27 | 10,000 | 10,645 | (b)(e)(f) | ||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 0.0%†† | ||||||||||||||||
| Paper & Forest Products - 0.0%†† |
||||||||||||||||
| Asplundh Tree Expert LLC, 2021 Refinancing Term Loan (1 mo. USD LIBOR + 1.750%) |
1.837 | % | 9/7/27 | 9,900 | 9,849 | (b)(e)(f) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL SENIOR LOANS |
20,494 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
|
20,364,737 | ||||||||||||||
|
|
|
|||||||||||||||
| SHARES | ||||||||||||||||
| SHORT-TERM INVESTMENTS - 1.3% | ||||||||||||||||
| BNY Mellon Cash Reserve Fund (Cost - $266,516) |
0.010 | % | 266,516 | 266,516 | ||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS - 99.2% |
20,631,253 | |||||||||||||||
| Other Assets in Excess of Liabilities - 0.8% |
161,526 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 20,792,779 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| Western Asset Short Duration Income ETF 2021 Quarterly Report |
11 |
WESTERN ASSET SHORT DURATION INCOME ETF
| Schedule of investments (unaudited) (cont’d) | October 31, 2021 |
| †† | 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) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (c) | Securities traded on a when-issued or delayed delivery basis. |
| (d) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities. |
| (e) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
| (f) | 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. |
Abbreviation(s) used in this schedule:
| CLO | — Collateralized Loan Obligation | |
| LIBOR | — London Interbank Offered Rate | |
| PIK | — Payment-In-Kind | |
| SOFR | — Secured Overnight Financing Rate | |
| USD | — United States Dollar |
At October 31, 2021, the Fund had the following open futures contracts:
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| U.S. Treasury 2-Year Notes |
8 | 12/21 | $ | 1,761,506 | $ | 1,754,000 | $ | (7,506 | ) | |||||||||||
| U.S. Treasury 5-Year Notes |
46 | 12/21 | 5,676,818 | 5,600,500 | (76,318 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (83,824 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| U.S. Treasury 10-Year Notes |
30 | 12/21 | 4,003,683 | 3,921,094 | 82,589 | |||||||||||||||
| U.S. Treasury Long-Term Bonds |
7 | 12/21 | 1,137,425 | 1,125,906 | 11,519 | |||||||||||||||
| U.S. Treasury Ultra 10-Year Notes |
9 | 12/21 | 1,334,938 | 1,305,281 | 29,657 | |||||||||||||||
| U.S. Treasury Ultra Long-Term Bonds |
1 | 12/21 | 196,248 | 196,406 | (158 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| 123,607 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation on open futures contracts |
|
$ | 39,783 | |||||||||||||||||
|
|
|
|||||||||||||||||||
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule.
See Notes to Schedule of Investments.
|
12 |
Western Asset Short Duration Income ETF 2021 Quarterly Report |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Short Duration Income ETF (the “Fund”) is a separate diversified investment series of Legg Mason ETF Investment Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The Fund is an actively managed exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly-traded securities. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of the Fund may be directly purchased from and redeemed by the Fund at NAV solely by certain large institutional investors who have entered into agreements with the Fund’s distributor (“Authorized Participants”). Also unlike shares of a mutual fund, shares of the Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day.
Shares of the Fund are listed and traded at market prices on NASDAQ. The market price for the Fund’s shares may be different from the Fund’s NAV. The Fund issues and redeems shares at NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only Authorized Participants may purchase or redeem Creation Units directly with the Fund at NAV. Creation Units generally are issued and redeemed in cash. However, Creation Units may also be issued and redeemed partially in-kind for a basket of securities and partially in cash. Except when aggregated in Creation Units, shares of the Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from the Fund at NAV.
The Fund seeks current income.
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 typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will use the currency exchange rates, generally determined as of 4:00 p.m. (London Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction
|
13 |
Notes to Schedule of Investments (unaudited) (continued)
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 Global Fund Valuation Committee (known as Legg Mason North Atlantic Fund Valuation Committee prior to March 1, 2021) (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
|
14 |
Notes to Schedule of Investments (unaudited) (continued)
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| • | Level 1 – quoted prices in active markets for identical investments |
| • | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:
| ASSETS |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Long-Term Investments†: |
||||||||||||||||
| Corporate Bonds & Notes |
— | $ | 19,329,984 | — | $ | 19,329,984 | ||||||||||
| Asset-Backed Securities |
— | 719,538 | — | 719,538 | ||||||||||||
| Sovereign Bonds |
— | 260,984 | — | 260,984 | ||||||||||||
| U.S. Government & Agency Obligations |
— | 33,737 | — | 33,737 | ||||||||||||
| Senior Loans |
— | 20,494 | — | 20,494 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long-Term Investments |
— | 20,364,737 | — | 20,364,737 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments† |
— | 266,516 | — | 266,516 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
— | $ | 20,631,253 | — | $ | 20,631,253 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts†† |
$ | 123,765 | — | — | $ | 123,765 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 123,765 | $ | 20,631,253 | — | $ | 20,755,018 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts†† |
$ | 83,982 | — | — | $ | 83,982 | ||||||||||
| † | See Schedule of Investments for additional detailed categorizations. |
| †† | Reflects the unrealized appreciation (depreciation) of the instruments. |
|
15 |