WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
CORPORATE BONDS & NOTES - 62.7% | ||||||||||||||||
COMMUNICATION SERVICES - 7.0% | ||||||||||||||||
Diversified Telecommunication Services - 0.7% |
||||||||||||||||
Altice France Holding SA, Senior Secured Notes |
10.500 | % | 5/15/27 | 7,000,000 | $ | 5,498,818 | (a) | |||||||||
|
|
|||||||||||||||
Entertainment - 1.3% |
||||||||||||||||
Allen Media LLC/Allen Media Co-Issuer Inc., Senior Notes |
10.500 | % | 2/15/28 | 9,160,000 | 4,550,963 | (a) | ||||||||||
AMC Entertainment Holdings Inc., Secured Notes (5.000% Cash and 6.000% PIK or 10.000% Cash or 12.000% PIK) |
10.000 | % | 6/15/26 | 5,000,000 | 3,420,725 | (a)(b) | ||||||||||
Cinemark USA Inc., Senior Notes |
5.250 | % | 7/15/28 | 2,500,000 | 1,926,987 | (a) | ||||||||||
|
|
|||||||||||||||
Total Entertainment |
9,898,675 | |||||||||||||||
|
|
|||||||||||||||
Media - 3.6% |
||||||||||||||||
Clear Channel Outdoor Holdings Inc., Senior Notes |
7.500 | % | 6/1/29 | 3,610,000 | 2,622,972 | (a) | ||||||||||
DirecTV Financing LLC/DirecTV Financing Co-Obligor Inc., Senior Secured Notes |
5.875 | % | 8/15/27 | 14,000,000 | 12,101,250 | (a) | ||||||||||
DISH DBS Corp., Senior Notes |
5.875 | % | 11/15/24 | 3,500,000 | 3,128,703 | |||||||||||
DISH DBS Corp., Senior Secured Notes |
5.750 | % | 12/1/28 | 4,500,000 | 3,409,267 | (a) | ||||||||||
Liberty Interactive LLC, Senior Notes |
8.500 | % | 7/15/29 | 10,011,000 | 6,641,598 | |||||||||||
|
|
|||||||||||||||
Total Media |
27,903,790 | |||||||||||||||
|
|
|||||||||||||||
Wireless Telecommunication Services - 1.4% |
||||||||||||||||
CSC Holdings LLC, Senior Notes |
5.375 | % | 2/1/28 | 2,000,000 | 1,749,420 | (a) | ||||||||||
CSC Holdings LLC, Senior Notes |
6.500 | % | 2/1/29 | 5,000,000 | 4,423,825 | (a) | ||||||||||
CSC Holdings LLC, Senior Notes |
5.750 | % | 1/15/30 | 6,000,000 | 4,275,600 | (a) | ||||||||||
|
|
|||||||||||||||
Total Wireless Telecommunication Services |
10,448,845 | |||||||||||||||
|
|
|||||||||||||||
TOTAL COMMUNICATION SERVICES |
53,750,128 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER DISCRETIONARY - 14.3% | ||||||||||||||||
Automobiles - 2.4% |
||||||||||||||||
Ford Motor Co., Senior Notes |
8.900 | % | 1/15/32 | 4,800,000 | 5,280,672 | |||||||||||
Mclaren Finance PLC, Senior Secured Notes |
7.500 | % | 8/1/26 | 9,000,000 | 7,356,375 | (a) | ||||||||||
PM General Purchaser LLC, Senior Secured Notes |
9.500 | % | 10/1/28 | 7,000,000 | 5,868,830 | (a) | ||||||||||
|
|
|||||||||||||||
Total Automobiles |
18,505,877 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Diversified Income Fund 2022 Quarterly Report |
1 |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Distributors - 0.9% |
||||||||||||||||
Accelerate360 Holdings LLC, Secured Notes |
8.000 | % | 3/1/28 | 4,259,550 | $ | 4,548,390 | (a) | |||||||||
American News Co. LLC, Secured Notes (8.500% Cash or 10.000% PIK) |
8.500 | % | 9/1/26 | 1,871,941 | 2,070,835 | (a)(b) | ||||||||||
|
|
|||||||||||||||
Total Distributors |
6,619,225 | |||||||||||||||
|
|
|||||||||||||||
Diversified Consumer Services - 1.2% |
||||||||||||||||
StoneMor Inc., Senior Secured Notes |
8.500 | % | 5/15/29 | 11,000,000 | 9,301,765 | (a) | ||||||||||
|
|
|||||||||||||||
Hotels, Restaurants & Leisure - 6.0% |
||||||||||||||||
888 Acquisitions Ltd., Senior Secured Notes |
7.558 | % | 7/15/27 | 2,000,000 | EUR | 1,645,504 | (a) | |||||||||
Carnival Corp., Senior Notes |
10.500 | % | 6/1/30 | 10,000,000 | 8,017,400 | (a) | ||||||||||
Carnival PLC, Senior Secured Notes |
7.875 | % | 6/1/27 | 2,556,000 | 2,467,414 | |||||||||||
Full House Resorts Inc., Senior Secured Notes |
8.250 | % | 2/15/28 | 8,000,000 | 7,211,520 | (a) | ||||||||||
Melco Resorts Finance Ltd., Senior Notes |
4.875 | % | 6/6/25 | 800,000 | 593,866 | (a) | ||||||||||
Royal Caribbean Cruises Ltd., Senior Notes |
11.625 | % | 8/15/27 | 3,500,000 | 3,191,563 | (a) | ||||||||||
Saga PLC, Senior Notes |
5.500 | % | 7/15/26 | 3,000,000 | GBP | 2,443,637 | (c) | |||||||||
Sands China Ltd., Senior Notes |
3.350 | % | 3/8/29 | 3,000,000 | 2,232,791 | (d) | ||||||||||
Sizzling Platter LLC/Sizzling Platter Finance Corp., Senior Secured Notes |
8.500 | % | 11/28/25 | 7,000,000 | 6,211,275 | (a) | ||||||||||
Viking Ocean Cruises Ship VII Ltd., Senior Secured Notes |
5.625 | % | 2/15/29 | 2,000,000 | 1,558,870 | (a) | ||||||||||
Wheel Bidco Ltd., Senior Secured Notes |
6.750 | % | 7/15/26 | 5,180,000 | GBP | 4,521,661 | (a) | |||||||||
Wynn Macau Ltd., Senior Notes |
5.500 | % | 1/15/26 | 5,000,000 | 3,799,600 | (a) | ||||||||||
Wynn Macau Ltd., Senior Notes |
5.500 | % | 10/1/27 | 3,000,000 | 2,075,700 | (a) | ||||||||||
|
|
|||||||||||||||
Total Hotels, Restaurants & Leisure |
45,970,801 | |||||||||||||||
|
|
|||||||||||||||
Household Durables - 0.3% |
||||||||||||||||
Victoria PLC, Senior Secured Notes |
3.625 | % | 8/24/26 | 2,970,000 | EUR | 2,140,291 | (c) | |||||||||
|
|
|||||||||||||||
Multiline Retail - 0.1% |
||||||||||||||||
Macys Retail Holdings LLC, Senior Notes |
6.125 | % | 3/15/32 | 1,350,000 | 1,036,577 | (a) | ||||||||||
|
|
|||||||||||||||
Specialty Retail - 3.4% |
||||||||||||||||
Abercrombie & Fitch Management Co., Senior Secured Notes |
8.750 | % | 7/15/25 | 4,835,000 | 4,720,580 | (a) | ||||||||||
Bath & Body Works Inc., Senior Notes |
7.600 | % | 7/15/37 | 3,000,000 | 2,350,670 | |||||||||||
Bed Bath & Beyond Inc., Senior Notes |
4.915 | % | 8/1/34 | 1,000,000 | 152,842 | |||||||||||
Bed Bath & Beyond Inc., Senior Notes |
5.165 | % | 8/1/44 | 7,000,000 | 1,062,197 |
See Notes to Schedule of Investments.
2 |
Western Asset Diversified Income Fund 2022 Quarterly Report |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Specialty Retail - (continued) |
||||||||||||||||
Guitar Center Inc., Senior Secured Notes |
8.500 | % | 1/15/26 | 7,500,000 | $ | 6,651,937 | (a) | |||||||||
Michaels Cos. Inc., Senior Notes |
7.875 | % | 5/1/29 | 10,000,000 | 5,788,550 | (a) | ||||||||||
Rent-A-Center Inc., Senior Notes |
6.375 | % | 2/15/29 | 7,500,000 | 5,865,525 | (a) | ||||||||||
|
|
|||||||||||||||
Total Specialty Retail |
26,592,301 | |||||||||||||||
|
|
|||||||||||||||
TOTAL CONSUMER DISCRETIONARY |
110,166,837 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER STAPLES - 0.9% | ||||||||||||||||
Food Products - 0.9% |
||||||||||||||||
FAGE International SA/FAGE USA Dairy Industry Inc., Senior Notes |
5.625 | % | 8/15/26 | 8,000,000 | 7,125,080 | (a) | ||||||||||
|
|
|||||||||||||||
ENERGY - 12.0% | ||||||||||||||||
Energy Equipment & Services - 0.0% |
||||||||||||||||
Weatherford International Ltd., Senior Notes |
11.000 | % | 12/1/24 | 461,000 | 469,745 | (a) | ||||||||||
|
|
|||||||||||||||
Oil, Gas & Consumable Fuels - 12.0% |
||||||||||||||||
Berry Petroleum Co. LLC, Senior Notes |
7.000 | % | 2/15/26 | 6,022,000 | 5,318,239 | (a) | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes |
7.625 | % | 12/15/25 | 2,000,000 | 1,923,040 | (a) | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes |
6.625 | % | 7/15/26 | 362,000 | 338,789 | (a) | ||||||||||
Crescent Energy Finance LLC, Senior Notes |
7.250 | % | 5/1/26 | 5,670,000 | 5,107,139 | (a) | ||||||||||
Crestwood Midstream Partners LP/ Crestwood Midstream Finance Corp., Senior Notes |
8.000 | % | 4/1/29 | 600,000 | 578,748 | (a) | ||||||||||
DCP Midstream LP, Junior Subordinated Notes (7.375% to 12/15/22 then 3 mo. USD LIBOR + 5.148%) |
7.375 | % | 12/15/22 | 8,115,000 | 8,025,897 | (e)(f) | ||||||||||
Earthstone Energy Holdings LLC, Senior Notes |
8.000 | % | 4/15/27 | 2,500,000 | 2,361,250 | (a) | ||||||||||
Energy Transfer LP, Junior Subordinated Notes (6.250% to 2/15/23 then 3 mo. USD LIBOR + 4.028%) |
6.250 | % | 2/15/23 | 7,298,000 | 5,993,483 | (e)(f) | ||||||||||
Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year Treasury Constant Maturity Rate + 5.306%) |
7.125 | % | 5/15/30 | 9,842,000 | 8,110,242 | (e)(f) |
See Notes to Schedule of Investments.
Western Asset Diversified Income Fund 2022 Quarterly Report |
3 |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
EQM Midstream Partners LP, Senior Notes |
6.500 | % | 7/15/48 | 3,000,000 | $ | 2,294,460 | ||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., Senior Notes |
6.250 | % | 4/15/32 | 7,000,000 | 6,210,890 | (a) | ||||||||||
Northern Oil and Gas Inc., Senior Notes |
8.125 | % | 3/1/28 | 1,000,000 | 939,560 | (a) | ||||||||||
Occidental Petroleum Corp., Senior Notes |
7.500 | % | 11/1/96 | 4,610,000 | 4,746,802 | |||||||||||
Penn Virginia Holdings LLC, Senior Notes |
9.250 | % | 8/15/26 | 8,000,000 | 7,530,000 | (a) | ||||||||||
Plains All American Pipeline LP, Junior Subordinated Notes (6.125% to 11/15/22 then 3 mo. USD LIBOR + 4.110%) |
6.125 | % | 11/15/22 | 10,000,000 | 8,251,118 | (e)(f) | ||||||||||
Rockies Express Pipeline LLC, Senior Notes |
7.500 | % | 7/15/38 | 13,000,000 | 11,113,570 | (a) | ||||||||||
Strathcona Resources Ltd., Senior Notes |
6.875 | % | 8/1/26 | 5,000,000 | 4,248,741 | (a) | ||||||||||
Transportadora de Gas del Sur SA, Senior Notes |
6.750 | % | 5/2/25 | 5,250,000 | 4,513,133 | (a) | ||||||||||
YPF SA, Senior Notes |
8.500 | % | 7/28/25 | 6,300,000 | 4,459,392 | (c) | ||||||||||
|
|
|||||||||||||||
Total Oil, Gas & Consumable Fuels |
92,064,493 | |||||||||||||||
|
|
|||||||||||||||
TOTAL ENERGY |
92,534,238 | |||||||||||||||
|
|
|||||||||||||||
FINANCIALS - 7.2% | ||||||||||||||||
Capital Markets - 0.2% |
||||||||||||||||
B3 SA - Brasil Bolsa Balcao, Senior Notes |
4.125 | % | 9/20/31 | 2,200,000 | 1,724,871 | (a)(d) | ||||||||||
|
|
|||||||||||||||
Consumer Finance - 0.9% |
||||||||||||||||
Navient Corp., Senior Notes |
5.625 | % | 8/1/33 | 10,000,000 | 6,742,000 | |||||||||||
|
|
|||||||||||||||
Diversified Financial Services - 3.5% |
||||||||||||||||
Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) |
6.500 | % | 9/15/24 | 13,479,094 | 10,165,663 | (a)(b) | ||||||||||
Huarong Finance 2017 Co. Ltd., Senior Notes (3 mo. USD LIBOR + 1.325%) |
5.068 | % | 7/3/23 | 1,240,000 | 1,199,700 | (c)(d)(f) | ||||||||||
Huarong Finance 2019 Co. Ltd., Senior Notes |
2.500 | % | 2/24/23 | 2,520,000 | 2,475,900 | (c)(d) | ||||||||||
Huarong Finance 2019 Co. Ltd., Senior Notes |
2.125 | % | 9/30/23 | 1,210,000 | 1,140,425 | (c)(d) |
See Notes to Schedule of Investments.
4 |
Western Asset Diversified Income Fund 2022 Quarterly Report |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Diversified Financial Services - (continued) |
||||||||||||||||
Hunt Cos. Inc., Senior Secured Notes |
5.250 | % | 4/15/29 | 6,500,000 | $ | 4,985,240 | (a) | |||||||||
LD Holdings Group LLC, Senior Notes |
6.125 | % | 4/1/28 | 5,400,000 | 2,816,239 | (a) | ||||||||||
TKC Holdings Inc., Senior Notes |
10.500 | % | 5/15/29 | 2,050,000 | 1,571,978 | (a) | ||||||||||
TKC Holdings Inc., Senior Secured Notes |
6.875 | % | 5/15/28 | 2,000,000 | 1,619,319 | (a) | ||||||||||
VistaJet Malta Finance PLC/XO Management Holding Inc., Senior Notes |
6.375 | % | 2/1/30 | 650,000 | 532,984 | (a) | ||||||||||
|
|
|||||||||||||||
Total Diversified Financial Services |
26,507,448 | |||||||||||||||
|
|
|||||||||||||||
Insurance - 1.2% |
||||||||||||||||
Highlands Holdings Bond Issuer Ltd./ Highlands Holdings Bond Co-Issuer Inc., Senior Secured Notes (7.625% Cash or 8.375% PIK) |
7.625 | % | 10/15/25 | 10,094,427 | 9,539,133 | (a)(b) | ||||||||||
|
|
|||||||||||||||
Mortgage Real Estate Investment Trusts (REITs) - 1.4% |
||||||||||||||||
Burford Capital Global Finance LLC, Senior Notes |
6.875 | % | 4/15/30 | 5,500,000 | 4,807,715 | (a) | ||||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Senior Notes |
4.250 | % | 2/1/27 | 1,090,000 | 879,355 | (a) | ||||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Senior Notes |
4.750 | % | 6/15/29 | 7,000,000 | 5,252,100 | (a) | ||||||||||
|
|
|||||||||||||||
Total Mortgage Real Estate Investment Trusts (REITs) |
10,939,170 | |||||||||||||||
|
|
|||||||||||||||
TOTAL FINANCIALS |
55,452,622 | |||||||||||||||
|
|
|||||||||||||||
HEALTH CARE - 3.8% | ||||||||||||||||
Health Care Providers & Services - 2.9% |
||||||||||||||||
Akumin Escrow Inc., Senior Secured Notes |
7.500 | % | 8/1/28 | 7,395,000 | 5,659,036 | (a) | ||||||||||
Akumin Inc., Senior Secured Notes |
7.000 | % | 11/1/25 | 1,000,000 | 822,923 | (a) | ||||||||||
CHS/Community Health Systems Inc., Secured Notes |
6.125 | % | 4/1/30 | 20,000,000 | 9,475,000 | (a) | ||||||||||
Radiology Partners Inc., Senior Notes |
9.250 | % | 2/1/28 | 6,100,000 | 3,988,945 | (a) | ||||||||||
U.S. Renal Care Inc., Senior Notes |
10.625 | % | 7/15/27 | 5,380,000 | 2,507,386 | (a) | ||||||||||
|
|
|||||||||||||||
Total Health Care Providers & Services |
22,453,290 | |||||||||||||||
|
|
|||||||||||||||
Health Care Technology - 0.3% |
||||||||||||||||
AthenaHealth Group Inc., Senior Notes |
6.500 | % | 2/15/30 | 2,340,000 | 1,854,333 | (a) | ||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Diversified Income Fund 2022 Quarterly Report |
5 |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Pharmaceuticals - 0.6% |
||||||||||||||||
Bausch Health Cos. Inc., Senior Notes |
7.000 | % | 1/15/28 | 5,000,000 | $ | 1,914,900 | (a) | |||||||||
Bausch Health Cos. Inc., Senior Notes |
6.250 | % | 2/15/29 | 7,616,000 | 2,857,523 | (a) | ||||||||||
|
|
|||||||||||||||
Total Pharmaceuticals |
4,772,423 | |||||||||||||||
|
|
|||||||||||||||
TOTAL HEALTH CARE |
29,080,046 | |||||||||||||||
|
|
|||||||||||||||
INDUSTRIALS - 8.0% | ||||||||||||||||
Aerospace & Defense - 0.9% |
||||||||||||||||
TransDigm Inc., Senior Notes |
7.500 | % | 3/15/27 | 1,680,000 | 1,601,376 | |||||||||||
TransDigm Inc., Senior Secured Notes |
8.000 | % | 12/15/25 | 2,000,000 | 2,031,480 | (a) | ||||||||||
Triumph Group Inc., Senior Notes |
7.750 | % | 8/15/25 | 4,000,000 | 3,061,332 | |||||||||||
|
|
|||||||||||||||
Total Aerospace & Defense |
6,694,188 | |||||||||||||||
|
|
|||||||||||||||
Air Freight & Logistics - 0.4% |
||||||||||||||||
XPO CNW Inc., Senior Notes |
6.700 | % | 5/1/34 | 3,280,000 | 3,052,548 | |||||||||||
|
|
|||||||||||||||
Airlines - 1.1% |
||||||||||||||||
American Airlines Inc., Senior Secured Notes |
11.750 | % | 7/15/25 | 7,640,000 | 7,990,829 | (a) | ||||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes |
5.750 | % | 1/20/26 | 1,000,000 | 883,495 | (a) | ||||||||||
|
|
|||||||||||||||
Total Airlines |
8,874,324 | |||||||||||||||
|
|
|||||||||||||||
Building Products - 0.2% |
||||||||||||||||
Ideal Standard International SA, Senior Secured Notes |
6.375 | % | 7/30/26 | 3,380,000 | EUR | 1,853,714 | (a) | |||||||||
|
|
|||||||||||||||
Commercial Services & Supplies - 3.0% |
||||||||||||||||
CoreCivic Inc., Senior Notes |
8.250 | % | 4/15/26 | 11,596,000 | 11,561,212 | |||||||||||
GEO Group Inc., Secured Notes |
10.500 | % | 6/30/28 | 3,750,000 | 3,712,760 | |||||||||||
GEO Group Inc., Secured Notes |
9.500 | % | 12/31/28 | 6,048,000 | 5,654,812 | (a) | ||||||||||
PECF USS Intermediate Holding III Corp., Senior Notes |
8.000 | % | 11/15/29 | 3,000,000 | 2,199,805 | (a) | ||||||||||
|
|
|||||||||||||||
Total Commercial Services & Supplies |
23,128,589 | |||||||||||||||
|
|
|||||||||||||||
Construction & Engineering - 0.8% |
||||||||||||||||
Tutor Perini Corp., Senior Notes |
6.875 | % | 5/1/25 | 7,745,000 | 5,800,822 | (a) | ||||||||||
|
|
|||||||||||||||
Electrical Equipment - 0.3% |
||||||||||||||||
Vertiv Group Corp., Senior Secured Notes |
4.125 | % | 11/15/28 | 3,000,000 | 2,419,545 | (a) | ||||||||||
|
|
|||||||||||||||
Machinery - 0.5% |
||||||||||||||||
Park-Ohio Industries Inc., Senior Notes |
6.625 | % | 4/15/27 | 1,865,000 | 1,402,275 | |||||||||||
Titan International Inc., Senior Secured Notes |
7.000 | % | 4/30/28 | 3,000,000 | 2,728,140 | |||||||||||
|
|
|||||||||||||||
Total Machinery |
4,130,415 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
6 |
Western Asset Diversified Income Fund 2022 Quarterly Report |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Trading Companies & Distributors - 0.2% |
||||||||||||||||
Doman Building Materials Group Ltd., Senior Notes |
5.250 | % | 5/15/26 | 1,950,000 | CAD | $ |
1,210,501 |
(a) | ||||||||
|
|
|||||||||||||||
Transportation Infrastructure - 0.6% |
||||||||||||||||
Carriage Purchaser Inc., Senior Notes |
7.875 | % | 10/15/29 | 6,000,000 | 4,489,710 | (a) | ||||||||||
|
|
|||||||||||||||
TOTAL INDUSTRIALS |
61,654,356 | |||||||||||||||
|
|
|||||||||||||||
INFORMATION TECHNOLOGY - 3.6% | ||||||||||||||||
Communications Equipment - 1.3% |
||||||||||||||||
Central Parent Inc./CDK Global Inc., Senior Secured Notes |
7.250 | % | 6/15/29 | 2,000,000 | 1,905,600 | (a) | ||||||||||
CommScope Inc., Senior Notes |
8.250 | % | 3/1/27 | 7,419,000 | 6,140,929 | (a) | ||||||||||
CommScope Inc., Senior Secured Notes |
6.000 | % | 3/1/26 | 2,000,000 | 1,844,600 | (a) | ||||||||||
|
|
|||||||||||||||
Total Communications Equipment |
9,891,129 | |||||||||||||||
|
|
|||||||||||||||
Software - 0.9% |
||||||||||||||||
NortonLifeLock Inc., Senior Notes |
7.125 | % | 9/30/30 | 2,500,000 | 2,423,488 | (a) | ||||||||||
Uniquify Inc., Senior Secured Notes |
6.000 | % | 6/15/24 | 4,611,250 | 4,483,671 | (a) | ||||||||||
|
|
|||||||||||||||
Total Software |
6,907,159 | |||||||||||||||
|
|
|||||||||||||||
Technology Hardware, Storage & Peripherals - 1.4% |
||||||||||||||||
CA Magnum Holdings, Senior Secured Notes |
5.375 | % | 10/31/26 | 1,500,000 | 1,263,880 | (a) | ||||||||||
NCR Corp., Senior Notes |
5.125 | % | 4/15/29 | 3,000,000 | 2,256,120 | (a) | ||||||||||
Vericast Corp., Senior Secured Notes |
11.000 | % | 9/15/26 | 7,020,000 | 6,923,475 | (a) | ||||||||||
Vericast Corp./Harland Clarke/Checks in the Mail/Valassis Comm/Valassis Direct, Secured Notes |
13.000 | % | 10/15/27 | 590,000 | 669,650 | (a) | ||||||||||
|
|
|||||||||||||||
Total Technology Hardware, Storage & Peripherals |
11,113,125 | |||||||||||||||
|
|
|||||||||||||||
TOTAL INFORMATION TECHNOLOGY |
27,911,413 | |||||||||||||||
|
|
|||||||||||||||
MATERIALS - 1.3% | ||||||||||||||||
Containers & Packaging - 0.9% |
||||||||||||||||
Pactiv LLC, Senior Notes |
8.375 | % | 4/15/27 | 7,650,000 | 6,880,563 | |||||||||||
|
|
|||||||||||||||
Metals & Mining - 0.4% |
||||||||||||||||
First Quantum Minerals Ltd., Senior Notes |
6.875 | % | 3/1/26 | 3,000,000 | 2,771,850 | (a) | ||||||||||
|
|
|||||||||||||||
TOTAL MATERIALS |
9,652,413 | |||||||||||||||
|
|
|||||||||||||||
REAL ESTATE - 2.9% | ||||||||||||||||
Equity Real Estate Investment Trusts (REITs) - 0.7% |
||||||||||||||||
Service Properties Trust, Senior Notes |
4.350 | % | 10/1/24 | 4,000,000 | 3,546,460 | |||||||||||
Service Properties Trust, Senior Notes |
4.500 | % | 3/15/25 | 2,000,000 | 1,674,467 | |||||||||||
|
|
|||||||||||||||
Total Equity Real Estate Investment Trusts (REITs) |
5,220,927 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Diversified Income Fund 2022 Quarterly Report |
7 |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Real Estate Management & Development - 2.2% |
||||||||||||||||
China Aoyuan Group Ltd., Senior Secured Notes |
6.350 | % | 2/8/24 | 3,200,000 | $ | 217,773 | *(c)(g) | |||||||||
China SCE Group Holdings Ltd., Senior Secured Notes |
7.375 | % | 4/9/24 | 3,100,000 | 725,415 | (c) | ||||||||||
Country Garden Holdings Co. Ltd., Senior Secured Notes |
8.000 | % | 1/27/24 | 3,500,000 | 1,373,597 | (c) | ||||||||||
Five Point Operating Co. LP/Five Point Capital Corp., Senior Notes |
7.875 | % | 11/15/25 | 8,000,000 | 6,372,587 | (a) | ||||||||||
Samhallsbyggnadsbolaget i Norden AB, Junior Subordinated Notes (2.624% to 4/30/25 then EUR 5 year Swap Rate + 2.814%) |
2.624 | % | 1/30/25 | 5,000,000 | EUR | 2,186,737 | (c)(e)(f) | |||||||||
WeWork Cos. Inc., Senior Notes |
7.875 | % | 5/1/25 | 8,750,000 | 6,070,906 | (a) | ||||||||||
Yuzhou Group Holdings Co. Ltd., Senior Secured Notes |
8.375 | % | 10/30/24 | 5,550,000 | 381,396 | *(c)(g) | ||||||||||
|
|
|||||||||||||||
Total Real Estate Management & Development |
17,328,411 | |||||||||||||||
|
|
|||||||||||||||
TOTAL REAL ESTATE |
22,549,338 | |||||||||||||||
|
|
|||||||||||||||
UTILITIES - 1.7% | ||||||||||||||||
Electric Utilities - 1.7% |
||||||||||||||||
InterGen NV, Senior Secured Notes |
7.000 | % | 6/30/23 | 5,915,000 | 5,758,252 | (a) | ||||||||||
NSG Holdings LLC/NSG Holdings Inc., Senior Secured Notes |
7.750 | % | 12/15/25 | 3,386,981 | 3,281,358 | (a) | ||||||||||
TransAlta Corp., Senior Notes |
6.500 | % | 3/15/40 | 4,000,000 | 3,673,833 | |||||||||||
|
|
|||||||||||||||
TOTAL UTILITIES |
12,713,443 | |||||||||||||||
|
|
|||||||||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $585,342,390) |
482,589,914 | |||||||||||||||
|
|
|||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(h) - 25.5% | ||||||||||||||||
Benchmark Mortgage Trust, 2021-B27 F |
2.250 | % | 7/15/54 | 5,000,000 | 2,580,483 | (a)(f) | ||||||||||
Benchmark Mortgage Trust, 2021-B27 G |
2.250 | % | 7/15/54 | 5,000,000 | 2,365,952 | (a)(f) | ||||||||||
BSREP Commercial Mortgage Trust, 2021-DC HRR (1 mo. USD LIBOR + 5.500%) |
8.318 | % | 8/15/38 | 18,664,000 | 16,007,415 | (a)(f) | ||||||||||
CSMC Trust, 2021-ADV G (1 mo. USD LIBOR + 6.250%) |
9.068 | % | 7/15/38 | 8,350,000 | 7,838,267 | (a)(f) | ||||||||||
CSMC Trust, 2021-RPL2 B1 |
3.478 | % | 1/25/60 | 6,233,900 | 3,989,367 | (a)(f) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, 2021-MN2 B1 (30 Day Average SOFR + 5.500%) |
7.781 | % | 7/25/41 | 2,500,000 | 2,070,646 | (a)(f) |
See Notes to Schedule of Investments.
8 |
Western Asset Diversified Income Fund 2022 Quarterly Report |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(h) - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA1 B2 (1 mo. USD LIBOR + 5.250%) |
8.334 | % | 1/25/50 | 2,225,000 | $ | 1,930,196 | (a)(f) | |||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA2 B2 (1 mo. USD LIBOR + 4.800%) |
7.884 | % | 2/25/50 | 7,250,000 | 5,980,408 | (a)(f) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA6 B2 (30 Day Average SOFR + 5.650%) |
7.931 | % | 12/25/50 | 5,000,000 | 4,159,469 | (a)(f) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA1 B2 (30 Day Average SOFR + 4.750%) |
7.031 | % | 1/25/51 | 9,482,500 | 7,215,236 | (a)(f) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA3 B2 (30 Day Average SOFR + 6.250%) |
8.531 | % | 10/25/33 | 5,000,000 | 4,092,974 | (a)(f) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA5 B1 (30 Day Average SOFR + 3.050%) |
5.331 | % | 1/25/34 | 2,000,000 | 1,781,746 | (a)(f) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA5 B2 (30 Day Average SOFR + 5.500%) |
7.781 | % | 1/25/34 | 6,700,000 | 4,981,098 | (a)(f) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA6 B2 (30 Day Average SOFR + 7.500%) |
9.781 | % | 10/25/41 | 6,590,000 | 5,848,270 | (a)(f) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2018-3 BX |
0.501 | % | 8/25/57 | 9,561,443 | 3,763,441 | (a)(f) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP1 B2 (1 mo. USD LIBOR + 11.750%) |
14.834 | % | 5/25/43 | 4,782,602 | 5,114,479 | (a)(f) |
See Notes to Schedule of Investments.
Western Asset Diversified Income Fund 2022 Quarterly Report |
9 |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(h) - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2021-DNA2 B2 (30 Day Average SOFR + 6.000%) |
8.281 | % | 8/25/33 | 6,000,000 | $ | 4,807,334 | (a)(f) | |||||||||
Federal National Mortgage Association (FNMA) - CAS, 2016- C04 1B (1 mo. USD LIBOR + 10.250%) |
13.334 | % | 1/25/29 | 2,225,324 | 2,340,514 | (a)(f) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2019- R07 1B1 (1 mo. USD LIBOR + 3.400%) |
6.484 | % | 10/25/39 | 4,940,000 | 4,752,049 | (a)(f) | ||||||||||
FREMF Mortgage Trust, 21K-F117 CS (30 Day Average SOFR + 6.400%) |
8.684 | % | 7/25/31 | 8,830,236 | 8,821,169 | (a)(f) | ||||||||||
Great Wolf Trust, 2019-WOLF E (1 mo. USD LIBOR + 2.732%) |
5.550 | % | 12/15/36 | 3,943,000 | 3,754,318 | (a)(f) | ||||||||||
GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. USD LIBOR + 4.450%) |
7.268 | % | 11/15/32 | 5,000,000 | 4,637,927 | (a)(f) | ||||||||||
GS Mortgage Securities Trust, 2021- ARDN H (1 mo. USD LIBOR + 5.933%) |
8.751 | % | 11/15/26 | 5,000,000 | 4,432,070 | (a)(f) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2018-WPT GFX |
5.542 | % | 7/5/33 | 4,000,000 | 3,774,771 | (a)(f) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX |
4.844 | % | 1/16/37 | 1,580,000 | 1,279,102 | (a)(f) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYMZ M (1 mo. USD LIBOR + 7.250%) |
10.068 | % | 6/15/26 | 10,000,000 | 9,854,163 | (a)(f) | ||||||||||
KIND Trust, 2021-KIND F (1 mo. USD LIBOR + 3.950%) |
6.768 | % | 8/15/38 | 7,446,184 | 6,910,518 | (a)(f) | ||||||||||
MBRT, 2019-MBR H1 (1 mo. USD LIBOR + 4.250%) |
7.068 | % | 11/15/36 | 3,000,000 | 2,823,851 | (a)(f) | ||||||||||
Med Trust, 2021-MDLN F (1 mo. USD LIBOR + 4.000%) |
6.818 | % | 11/15/38 | 6,590,000 | 6,095,196 | (a)(f) | ||||||||||
Morgan Stanley Capital I Trust, 2021-L6 F |
2.250 | % | 6/15/54 | 7,195,000 | 3,680,027 | (a)(f) | ||||||||||
Multifamily CAS Trust, 2019-1 CE (1 mo. USD LIBOR + 8.750%) |
11.834 | % | 10/25/49 | 2,000,000 | 1,995,554 | (a)(f) | ||||||||||
Multifamily CAS Trust, 2020-1 CE (1 mo. USD LIBOR + 7.500%) |
10.584 | % | 3/25/50 | 2,500,000 | 2,468,089 | (a)(f) |
See Notes to Schedule of Investments.
10 |
Western Asset Diversified Income Fund 2022 Quarterly Report |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(h) - (continued) | ||||||||||||||||
Natixis Commercial Mortgage Securities Trust, 2022-JERI G (1 mo. Term SOFR + 7.458%) |
10.303 | % | 1/15/39 | 2,500,000 | $ | 2,406,962 | (a)(f) | |||||||||
Natixis Commercial Mortgage Securities Trust, 2022-RRI E (1 mo. Term SOFR + 5.193%) |
8.038 | % | 3/15/35 | 3,500,000 | 3,351,740 | (a)(f) | ||||||||||
New Residential Mortgage Loan Trust, 2017-2A B5 |
5.312 | % | 3/25/57 | 2,819,937 | 2,521,515 | (a)(f) | ||||||||||
New Residential Mortgage Loan Trust, 2020-2A B5D |
3.459 | % | 10/25/46 | 4,927,097 | 4,509,833 | (a)(f) | ||||||||||
River Haus, 2021 A-2 |
6.950 | % | 8/15/24 | 8,500,000 | 8,499,983 | (i)(j) | ||||||||||
Seasoned Credit Risk Transfer Trust, 2022-1 M |
4.500 | % | 11/25/61 | 5,000,000 | 3,998,298 | (a)(f) | ||||||||||
SMR Mortgage Trust, 2022-IND F (1 mo. Term SOFR + 6.000%) |
8.845 | % | 2/15/39 | 2,401,830 | 2,274,653 | (a)(f) | ||||||||||
Soho Trust, 2021-SOHO D |
2.786 | % | 8/10/38 | 7,000,000 | 4,831,763 | (a)(f) | ||||||||||
Tharaldson Hotel Portfolio Trust, 2018-THL F (1mo. USD LIBOR + 4.252%) |
6.895 | % | 11/11/34 | 4,455,441 | 4,190,997 | (a)(f) | ||||||||||
UBS Commercial Mortgage Trust, 2018-NYCH F (1 mo. USD LIBOR + 3.821%) |
6.639 | % | 2/15/32 | 6,000,000 | 5,517,310 | (a)(f) | ||||||||||
UBS Commercial Mortgage Trust, 2018-NYCH G (1 mo. USD LIBOR + 4.838%) |
7.656 | % | 2/15/32 | 2,000,000 | 1,811,130 | (a)(f) | ||||||||||
|
|
|||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $223,534,850) |
196,060,283 | |||||||||||||||
|
|
|||||||||||||||
FACE AMOUNT/ UNITS |
||||||||||||||||
ASSET-BACKED SECURITIES - 23.4% | ||||||||||||||||
AGL CLO Ltd., 2020-6A ER (3 mo. USD LIBOR + 6.500%) |
9.210 | % | 7/20/34 | 6,990,000 | 6,003,090 | (a)(f) | ||||||||||
Anchorage Capital CLO 3-R Ltd., 2014-3RA E (3 mo. USD LIBOR + 5.500%) |
8.293 | % | 1/28/31 | 3,625,000 | 3,012,811 | (a)(f) | ||||||||||
Ballyrock CLO Ltd., 2016-1A ER (3 mo. USD LIBOR + 6.950%) |
9.462 | % | 10/15/28 | 6,300,000 | 5,781,197 | (a)(f) | ||||||||||
Barings CLO Ltd., 2020-4A E (3 mo. USD LIBOR + 5.680%) |
8.390 | % | 1/20/32 | 1,090,000 | 936,146 | (a)(f) |
See Notes to Schedule of Investments.
Western Asset Diversified Income Fund 2022 Quarterly Report |
11 |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT/ UNITS |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
BlueMountain CLO Ltd., 2020-29A ER (3 mo. USD LIBOR + 6.860%) |
9.643 | % | 7/25/34 | 7,000,000 | $ | 5,977,375 | (a)(f) | |||||||||
BlueMountain Fuji US CLO Ltd., 2017-2A D (3 mo. USD LIBOR + 6.150%) |
8.860 | % | 10/20/30 | 5,350,000 | 4,379,027 | (a)(f) | ||||||||||
CARLYLE US CLO Ltd., 2020-1A ER (3 mo. USD LIBOR + 7.880%) |
10.590 | % | 7/20/34 | 5,000,000 | 4,015,991 | (a)(f) | ||||||||||
College Avenue Student Loans LLC, 2021-B R |
0.000 | % | 6/25/52 | 17,241 | 6,109,955 | (a) | ||||||||||
Credit Suisse European Mortgage Capital Ltd., 2019-1OTF A (3 mo. USD LIBOR + 2.900%) |
5.682 | % | 8/9/24 | 2,022,300 | 1,978,600 | (a)(f) | ||||||||||
Credit Suisse European Mortgage Capital Ltd., 2020-1OTF A (3 mo. USD LIBOR + 2.900%) |
3.114 | % | 8/9/24 | 1,111,206 | 1,086,371 | (a) | ||||||||||
Dryden CLO Ltd., 2021-95A SUB |
0.000 | % | 8/20/34 | 6,870,000 | 5,030,431 | (a)(f) | ||||||||||
Elmwood CLO Ltd., 2019-2A SUB |
0.000 | % | 4/20/34 | 4,600,000 | 3,322,392 | (a)(f) | ||||||||||
Fortress Credit BSL Ltd., 2021-4A E (3 mo. USD LIBOR + 7.130%) |
9.642 | % | 10/15/34 | 5,000,000 | 4,337,885 | (a)(f) | ||||||||||
Goldentree Loan Management US CLO Ltd., 2020-8A FR (3 mo. USD LIBOR + 8.050%) |
10.760 | % | 10/20/34 | 7,000,000 | 5,658,051 | (a)(f) | ||||||||||
Greywolf CLO Ltd., 2015-1A DR (3 mo. USD LIBOR + 5.850%) |
8.633 | % | 1/27/31 | 6,250,000 | 5,273,562 | (a)(f) | ||||||||||
Greywolf CLO Ltd., 2018-1A D (3 mo. USD LIBOR + 5.750%) |
8.516 | % | 4/26/31 | 3,800,000 | 3,040,598 | (a)(f) | ||||||||||
Hayfin US Ltd., 2021-14A E (3 mo. USD LIBOR + 7.180%) |
9.890 | % | 7/20/34 | 7,000,000 | 6,095,160 | (a)(f) | ||||||||||
LCM Ltd., 29A ER (3 mo. USD LIBOR + 6.830%) |
9.342 | % | 4/15/31 | 2,000,000 | 1,639,407 | (a)(f) | ||||||||||
LCM Ltd., 33A E (3 mo. USD LIBOR + 6.350%) |
9.060 | % | 7/20/34 | 3,000,000 | 2,480,828 | (a)(f) | ||||||||||
Lunar Structured Aircraft Portfolio Notes, 2021-1 C |
5.682 | % | 10/15/46 | 6,276,812 | 4,974,443 | (a) | ||||||||||
MACH Cayman Ltd., 2019-1 B |
4.335 | % | 10/15/39 | 868,376 | 683,005 | (a) | ||||||||||
Magnetite Ltd., 2020-26A ER (3 mo. USD LIBOR + 5.950%) |
8.733 | % | 7/25/34 | 6,750,000 | 5,777,621 | (a)(f) | ||||||||||
MAPS Trust, 2021-1A C |
5.437 | % | 6/15/46 | 3,178,818 | 2,009,776 | (a) | ||||||||||
Marathon CLO Ltd., 2019-1A C (3 mo. USD LIBOR + 4.070%) |
6.582 | % | 4/15/32 | 4,625,000 | 4,258,519 | (a)(f) |
See Notes to Schedule of Investments.
12 |
Western Asset Diversified Income Fund 2022 Quarterly Report |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT/ UNITS |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
National Collegiate Class A-3L Commutation Trust, 2007-4VI O (1 mo. USD LIBOR + 0.850%) |
3.934 | % | 3/29/38 | 27,752,182 | $ | 5,757,523 | (a)(f) | |||||||||
Ocean Trails CLO, 2020-10A ER (3 mo. USD LIBOR + 7.570%) |
10.082 | % | 10/15/34 | 3,750,000 | 3,236,493 | (a)(f) | ||||||||||
Palmer Square Loan Funding Ltd., 2022-3A C (3 mo. Term SOFR + 5.400%) |
8.400 | % | 4/15/31 | 2,950,000 | 2,822,412 | (a)(f)(k) | ||||||||||
Park Avenue Institutional Advisers CLO Ltd., 2019-1A D (3 mo. USD LIBOR + 6.850%) |
9.755 | % | 5/15/32 | 6,950,000 | 5,768,890 | (a)(f) | ||||||||||
Rad CLO Ltd., 2018-1A E (3 mo. USD LIBOR + 5.620%) |
8.132 | % | 7/15/31 | 3,000,000 | 2,471,049 | (a)(f) | ||||||||||
Riserva CLO Ltd., 2016-3A ERR (3 mo. USD LIBOR + 6.500%) |
9.240 | % | 1/18/34 | 2,450,000 | 2,067,734 | (a)(f) | ||||||||||
Riserva CLO Ltd., 2016-3A FRR (3 mo. USD LIBOR + 8.510%) |
11.250 | % | 1/18/34 | 2,500,000 | 2,027,819 | (a)(f) | ||||||||||
RR Ltd., 2021-18A D (3 mo. USD LIBOR + 6.250%) |
8.762 | % | 10/15/34 | 7,190,000 | 6,025,152 | (a)(f) | ||||||||||
Saratoga Investment Corp. CLO Ltd., 2013-1A (3 mo. USD LIBOR + 10.000%) |
12.710 | % | 4/20/33 | 4,000,000 | 3,498,344 | (a) | ||||||||||
SMB Private Education Loan Trust, 2015-C R |
0.000 | % | 9/18/46 | 7,570 | 3,507,077 | (a) | ||||||||||
Sound Point CLO Ltd., 2020-1A ER (3 mo. USD LIBOR + 6.860%) |
9.570 | % | 7/20/34 | 3,700,000 | 3,025,888 | (a)(f) | ||||||||||
Stratus CLO Ltd., 2022-2A E (3 mo. Term SOFR + 7.650%) |
9.978 | % | 7/20/30 | 8,200,000 | 7,930,751 | (a)(f) | ||||||||||
Sunnova Hellios II Issuer LLC, 2018-1A B |
7.710 | % | 7/20/48 | 4,295,576 | 4,010,750 | (a) | ||||||||||
Symphony CLO Ltd., 2016-18A ER (3 mo. USD LIBOR + 7.070%) |
9.853 | % | 7/23/33 | 3,000,000 | 2,561,250 | (a)(f) | ||||||||||
Symphony CLO Ltd., 2019-21A ER (3 mo. USD LIBOR + 6.600%) |
9.112 | % | 7/15/32 | 2,800,000 | 2,486,756 | (a)(f) | ||||||||||
Symphony CLO Ltd., 2021-28A SUB |
0.000 | % | 10/23/50 | 6,045,000 | 4,245,196 | (a)(f) | ||||||||||
TCI-Symphony CLO Ltd., 2016-1A ER2 (3 mo. USD LIBOR + 6.750%) |
9.205 | % | 10/13/32 | 3,500,000 | 3,055,247 | (a)(f) | ||||||||||
Voya CLO Ltd., 2018-2A E (3 mo. USD LIBOR + 5.250%) |
7.762 | % | 7/15/31 | 6,750,000 | 5,475,964 | (a)(f) |
See Notes to Schedule of Investments.
Western Asset Diversified Income Fund 2022 Quarterly Report |
13 |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT/ UNITS |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
Voya CLO Ltd., 2021-1A E (3 mo. USD LIBOR + 6.350%) |
8.862 | % | 7/15/34 | 2,250,000 | $ | 1,909,151 | (a)(f) | |||||||||
Wellfleet CLO Ltd., 2017-2A D (3 mo. USD LIBOR + 6.750%) |
9.460 | % | 10/20/29 | 3,287,000 | 2,886,528 | (a)(f) | ||||||||||
Whitebox CLO Ltd., 2020-2A ER (3 mo. USD LIBOR + 7.100%) |
9.883 | % | 10/24/34 | 2,175,000 | 1,918,585 | (a)(f) | ||||||||||
Wind River CLO Ltd., 2021-4A E3 (3 mo. USD LIBOR + 8.250%) |
10.960 | % | 1/20/35 | 3,000,000 | 2,744,739 | (a)(f) | ||||||||||
Wind River CLO Ltd., 2021-4A F (3 mo. USD LIBOR + 6.260%) |
8.970 | % | 1/20/35 | 2,450,000 | 1,805,991 | (a)(f) | ||||||||||
Zais CLO Ltd., 2021-17A E (3 mo. USD LIBOR + 8.250%) |
10.960 | % | 10/20/33 | 6,000,000 | 5,175,558 | (a)(f) | ||||||||||
|
|
|||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
180,277,088 | |||||||||||||||
|
|
|||||||||||||||
FACE AMOUNT |
||||||||||||||||
SENIOR LOANS - 21.5% | ||||||||||||||||
COMMUNICATION SERVICES - 1.5% | ||||||||||||||||
Entertainment - 0.9% |
||||||||||||||||
Allen Media LLC, Term Loan B (3 mo. Term SOFR + 5.650%) |
9.203 | % | 2/10/27 | 7,405,162 | 6,433,234 | (f)(l)(m) | ||||||||||
|
|
|||||||||||||||
Media - 0.6% |
||||||||||||||||
CB Poly US Holdings Inc., Initial Term Loan (1 mo. Term SOFR + 5.500%) |
8.534 | % | 5/18/29 | 5,000,000 | 4,765,625 | (f)(l)(m) | ||||||||||
|
|
|||||||||||||||
TOTAL COMMUNICATION SERVICES |
11,198,859 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER DISCRETIONARY - 6.8% | ||||||||||||||||
Auto Components - 1.9% |
||||||||||||||||
Autokiniton US Holdings Inc., Closing Date Term Loan B (1 mo. USD LIBOR + 4.500%) |
7.185 | % | 4/6/28 | 3,950,000 | 3,648,813 | (f)(l)(m) | ||||||||||
First Brands Group LLC, 2021 First Lien Term Loan (3 mo. Term SOFR + 5.000%) |
8.368 | % | 3/30/27 | 5,919,875 | 5,711,199 | (f)(l)(m) | ||||||||||
First Brands Group LLC, 2021 Second Lien Term Loan (3 mo. USD LIBOR + 8.500%) |
11.871 | % | 3/30/28 | 5,390,000 | 5,187,875 | (f)(l)(m) | ||||||||||
|
|
|||||||||||||||
Total Auto Components |
14,547,887 | |||||||||||||||
|
|
|||||||||||||||
Diversified Consumer Services - 0.3% |
||||||||||||||||
Adtalem Global Education Inc., Term Loan B (1 mo. USD LIBOR + 4.000%) |
7.052 | % | 8/12/28 | 2,014,718 | 1,998,358 | (f)(l)(m) | ||||||||||
|
|
See Notes to Schedule of Investments.
14 |
Western Asset Diversified Income Fund 2022 Quarterly Report |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Hotels, Restaurants & Leisure - 1.7% |
||||||||||||||||
ClubCorp. Holdings Inc., First Lien Term Loan B (3 mo. USD LIBOR + 2.750%) |
6.424 | % | 9/18/24 | 7,402,597 | $ | 6,839,704 | (f)(l)(m) | |||||||||
Equinox Holdings Inc., Term Loan B2 (3 mo. USD LIBOR + 9.000%) |
12.674 | % | 3/8/24 | 1,173,000 | 967,725 | (f)(j)(l)(m) | ||||||||||
Hornblower Sub LLC, PIK Term Loan (3 mo. USD LIBOR + 4.750% Cash and 0.500% PIK) |
8.920 | % | 4/27/25 | 7,439,723 | 5,274,764 | (f)(l)(m) | ||||||||||
|
|
|||||||||||||||
Total Hotels, Restaurants & Leisure |
13,082,193 | |||||||||||||||
|
|
|||||||||||||||
Multiline Retail - 0.7% |
||||||||||||||||
Franchise Group Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 4.750%) |
7.563 | % | 3/10/26 | 5,955,440 | 5,585,726 | (f)(l)(m) | ||||||||||
|
|
|||||||||||||||
Specialty Retail - 2.2% |
||||||||||||||||
Empire Today LLC, Closing Date Term Loan (1 mo. USD LIBOR + 5.000%) |
7.685 | % | 4/3/28 | 2,475,000 | 1,987,623 | (f)(l)(m) | ||||||||||
Rising Tide Holdings Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 4.750%) |
7.865 | % | 6/1/28 | 6,435,000 | 5,524,448 | (f)(l)(m) | ||||||||||
RVR Dealership Holdings LLC, 2022 Term Loan (1 mo. Term SOFR + 3.850%) |
6.868 | % | 2/8/28 | 920,294 | 815,611 | (f)(l)(m) | ||||||||||
Spencer Spirit IH LLC, Initial Term Loan (3 mo. USD LIBOR + 6.000%) |
8.806 | % | 6/19/26 | 8,835,979 | 8,668,934 | (f)(l)(m) | ||||||||||
|
|
|||||||||||||||
Total Specialty Retail |
16,996,616 | |||||||||||||||
|
|
|||||||||||||||
TOTAL CONSUMER DISCRETIONARY |
52,210,780 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER STAPLES - 0.5% | ||||||||||||||||
Household Products - 0.5% |
||||||||||||||||
Knight Health Holdings LLC, Term Loan B (1 mo. USD LIBOR + 5.250%) |
8.365 | % | 12/23/28 | 4,962,500 | 3,641,235 | (f)(l)(m) | ||||||||||
|
|
|||||||||||||||
FINANCIALS - 1.8% | ||||||||||||||||
Diversified Financial Services - 0.8% |
||||||||||||||||
Greystone Select Holdings LLC, Term Loan B (3 mo. USD LIBOR + 5.000%) |
7.738 | % | 6/16/28 | 3,445,988 | 3,239,228 | (f)(l)(m) | ||||||||||
Resolute Investment Managers Inc., First Lien Term Loan C (3 mo. USD LIBOR + 4.250%) |
7.924 | % | 4/30/24 | 3,516,218 | 3,138,225 | (f)(j)(l)(m) | ||||||||||
|
|
|||||||||||||||
Total Diversified Financial Services |
6,377,453 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Diversified Income Fund 2022 Quarterly Report |
15 |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Insurance - 1.0% |
||||||||||||||||
Asurion LLC, New Term Loan B4 (1 mo. USD LIBOR + 5.250%) |
8.365 | % | 1/20/29 | 5,000,000 | $ | 3,850,000 | (f)(l)(m) | |||||||||
Asurion LLC, Second Lien Term Loan B3 (1 mo. USD LIBOR + 5.250%) |
8.365 | % | 1/31/28 | 5,000,000 | 3,793,750 | (f)(l)(m) | ||||||||||
|
|
|||||||||||||||
Total Insurance |
7,643,750 | |||||||||||||||
|
|
|||||||||||||||
TOTAL FINANCIALS |
14,021,203 | |||||||||||||||
|
|
|||||||||||||||
HEALTH CARE - 2.8% | ||||||||||||||||
Health Care Providers & Services - 2.1% |
||||||||||||||||
EyeCare Partners LLC, Second Lien Initial Term Loan (3 mo. USD LIBOR + 6.750%) |
10.424 | % | 11/15/29 | 2,590,000 | 2,382,800 | (f)(l)(m) | ||||||||||
Global Medical Response Inc., 2020 Term Loan (1 mo. USD LIBOR + 4.250%) |
7.378 | % | 10/2/25 | 4,937,186 | 4,305,226 | (f)(l)(m) | ||||||||||
One Call Corp., First Lien Term Loan B (3 mo. USD LIBOR + 5.500%) |
8.313 | % | 4/22/27 | 6,912,500 | 5,149,812 | (f)(j)(l)(m) | ||||||||||
U.S. Renal Care Inc., First Lien Term Loan B (1 mo. USD LIBOR + 5.000%) |
7.524 | % | 6/26/26 | 5,916,147 | 4,299,353 | (f)(l)(m) | ||||||||||
|
|
|||||||||||||||
Total Health Care Providers & Services |
|
16,137,191 | ||||||||||||||
|
|
|||||||||||||||
Health Care Technology - 0.7% |
||||||||||||||||
Virgin Pulse Inc., Second Lien Initial Term Loan (1 mo. USD LIBOR + 7.250%) |
9.774 | % | 4/6/29 | 6,500,000 | 5,460,000 | (f)(j)(l)(m) | ||||||||||
|
|
|||||||||||||||
TOTAL HEALTH CARE |
21,597,191 | |||||||||||||||
|
|
|||||||||||||||
INDUSTRIALS - 3.3% | ||||||||||||||||
Aerospace & Defense - 1.1% |
||||||||||||||||
WP CPP Holdings LLC, First Lien Initial Term Loan (3 mo. USD LIBOR + 3.750%) |
6.566 | % | 4/30/25 | 3,714,560 | 3,336,900 | (f)(l)(m) | ||||||||||
WP CPP Holdings LLC, Second Lien Second Amendment Term Loan (3 mo. USD LIBOR + 7.750%) |
10.560 | % | 4/30/26 | 6,000,000 | 5,055,000 | (f)(l)(m) | ||||||||||
|
|
|||||||||||||||
Total Aerospace & Defense |
8,391,900 | |||||||||||||||
|
|
|||||||||||||||
Commercial Services & Supplies - 1.3% |
||||||||||||||||
LTR Intermediate Holdings Inc., Initial Term Loan (3 mo. USD LIBOR + 4.500%) |
8.174 | % | 5/5/28 | 4,937,500 | 4,517,813 | (f)(l)(m) | ||||||||||
Monitronics International Inc., Term Loan (3 mo. USD LIBOR + 7.500%) |
10.306 | % | 3/29/24 | 7,505,513 | 5,036,199 | (f)(l)(m) | ||||||||||
|
|
|||||||||||||||
Total Commercial Services & Supplies |
|
9,554,012 | ||||||||||||||
|
|
See Notes to Schedule of Investments.
16 |
Western Asset Diversified Income Fund 2022 Quarterly Report |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Construction & Engineering - 0.1% |
||||||||||||||||
KKR Apple Bidco LLC, Second Lien Term Loan (1 mo. USD LIBOR + 5.750%) |
8.865 | % | 9/21/29 | 1,000,000 | $ | 961,665 | (f)(l)(m) | |||||||||
|
|
|||||||||||||||
Transportation Infrastructure - 0.8% |
||||||||||||||||
WWEX Uni Topco Holdings LLC, Second Lien Initial Term Loan (3 mo. USD LIBOR + 7.000%) |
9.250 | % | 7/26/29 | 7,000,000 | 6,352,500 | (f)(l)(m) | ||||||||||
|
|
|||||||||||||||
TOTAL INDUSTRIALS |
25,260,077 | |||||||||||||||
|
|
|||||||||||||||
INFORMATION TECHNOLOGY - 4.2% | ||||||||||||||||
IT Services - 1.3% |
||||||||||||||||
Redstone Holdco 2 LP, First Lien Initial Term Loan (3 mo. USD LIBOR + 4.750%) |
7.533 | % | 4/27/28 | 6,930,000 | 5,176,710 | (f)(l)(m) | ||||||||||
Redstone Holdco 2 LP, Second Lien Initial Term Loan (3 mo. USD LIBOR + 7.750%) |
10.519 | % | 4/27/29 | 3,050,000 | 2,441,922 | (f)(l)(m) | ||||||||||
VT Topco Inc., 2021 Second Lien Term Loan (1 mo. USD LIBOR + 6.750%) |
9.865 | % | 7/31/26 | 2,700,000 | 2,613,937 | (f)(l)(m) | ||||||||||
|
|
|||||||||||||||
Total IT Services |
10,232,569 | |||||||||||||||
|
|
|||||||||||||||
Software - 2.9% |
||||||||||||||||
Cloudera Inc., Second Lien Term Loan (1 mo. USD LIBOR + 6.000%) |
9.115 | % | 10/8/29 | 5,000,000 | 4,250,000 | (f)(j)(l)(m) | ||||||||||
DCert Buyer Inc., Second Lien Initial Term Loan (3 mo. USD LIBOR + 7.000%) |
9.903 | % | 2/19/29 | 500,000 | 468,750 | (f)(l)(m) | ||||||||||
Magenta Buyer LLC, First Lien Initial Term Loan (1 mo. USD LIBOR + 4.750%) |
7.870 | % | 7/27/28 | 5,955,000 | 5,395,230 | (f)(l)(m) | ||||||||||
Magenta Buyer LLC, Second Lien Initial Term Loan (1 mo. USD LIBOR + 8.250%) |
11.370 | % | 7/27/29 | 6,500,000 | 6,001,645 | (f)(l)(m) | ||||||||||
Particle Investments Sarl, First Lien Initial Term Loan (3 mo. USD LIBOR + 5.250%) |
7.500 | % | 2/18/27 | 1,735,095 | 1,691,718 | (f)(j)(l)(m) | ||||||||||
Symplr Software Inc., First Lien Term Loan (1 mo. Term SOFR + 4.500%) |
7.634 | % | 12/22/27 | 4,925,000 | 4,650,037 | (f)(l)(m) | ||||||||||
|
|
|||||||||||||||
Total Software |
22,457,380 | |||||||||||||||
|
|
|||||||||||||||
TOTAL INFORMATION TECHNOLOGY |
32,689,949 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Diversified Income Fund 2022 Quarterly Report |
17 |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
MATERIALS - 0.6% | ||||||||||||||||
Chemicals - 0.6% |
||||||||||||||||
Plastics Management LLC, First Lien Initial Term Loan (1 mo. Term SOFR + 5.000%) |
7.385 | % | 8/3/27 | 4,968,407 | $ | 4,436,738 | (f)(i)(j)(l)(m) | |||||||||
|
|
|||||||||||||||
TOTAL SENIOR LOANS |
|
165,056,032 | ||||||||||||||
|
|
|||||||||||||||
SOVEREIGN BONDS - 5.2% | ||||||||||||||||
Angola - 0.3% |
||||||||||||||||
Angolan Government International Bond, Senior Notes |
8.750 | % | 4/14/32 | 3,500,000 | 2,604,525 | (a)(d) | ||||||||||
|
|
|||||||||||||||
Argentina - 1.5% |
||||||||||||||||
Ciudad Autonoma De Buenos Aires, Senior Notes |
7.500 | % | 6/1/27 | 5,100,000 | 4,452,963 | (a) | ||||||||||
Ciudad Autonoma De Buenos Aires, Senior Notes |
7.500 | % | 6/1/27 | 2,000,000 | 1,746,260 | (c) | ||||||||||
Provincia de Cordoba, Senior Notes |
6.875 | % | 12/10/25 | 6,500,000 | 4,959,500 | (a) | ||||||||||
|
|
|||||||||||||||
Total Argentina |
11,158,723 | |||||||||||||||
|
|
|||||||||||||||
Dominican Republic - 0.3% |
||||||||||||||||
Dominican Republic International Bond, Senior Notes |
6.000 | % | 2/22/33 | 2,600,000 | 2,122,657 | (a)(d) | ||||||||||
|
|
|||||||||||||||
Ecuador - 0.3% |
||||||||||||||||
Ecuador Government International Bond, Senior Notes |
0.000 | % | 7/31/30 | 5,593,000 | 1,632,230 | (a)(d) | ||||||||||
Ecuador Government International Bond, Senior Notes, Step bond (5.500% to 7/31/23 then 6.000%) |
5.500 | % | 7/31/30 | 1,609,000 | 769,611 | (a) | ||||||||||
|
|
|||||||||||||||
Total Ecuador |
2,401,841 | |||||||||||||||
|
|
|||||||||||||||
Gabon - 0.1% |
||||||||||||||||
Gabon Government International Bond, Senior Notes |
7.000 | % | 11/24/31 | 1,540,000 | 1,020,081 | (a) | ||||||||||
|
|
|||||||||||||||
Ghana - 0.4% |
||||||||||||||||
Ghana Government International Bond, Senior Notes |
8.125 | % | 3/26/32 | 3,200,000 | 1,211,552 | (a)(d) | ||||||||||
Ghana Treasury Note, Bonds |
18.500 | % | 10/3/22 | 19,020,000 | GHS | 1,833,253 | ||||||||||
|
|
|||||||||||||||
Total Ghana |
3,044,805 | |||||||||||||||
|
|
|||||||||||||||
Kenya - 0.3% |
||||||||||||||||
Republic of Kenya Government International Bond, Senior Notes |
6.300 | % | 1/23/34 | 3,200,000 | 1,972,432 | (a)(d) | ||||||||||
|
|
|||||||||||||||
Russia - 0.2% |
||||||||||||||||
Russian Federal Bond - OFZ |
7.700 | % | 3/23/33 | 239,730,000 | RUB | 1,314,134 | *(g) | |||||||||
|
|
See Notes to Schedule of Investments.
18 |
Western Asset Diversified Income Fund 2022 Quarterly Report |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Supranational - 1.5% |
||||||||||||||||
International Bank for Reconstruction & Development, Senior Notes |
8.250 | % | 6/14/23 | 1,660,000,000 | KZT | $ | 3,374,586 | |||||||||
International Finance Corp., Senior Notes |
11.000 | % | 11/14/22 | 37,000,000,000 | UZS | 3,374,983 | ||||||||||
International Finance Corp., Senior Notes |
6.140 | % | 6/3/24 | 225,000,000 | UYU | 4,955,749 | ||||||||||
|
|
|||||||||||||||
Total Supranational |
11,705,318 | |||||||||||||||
|
|
|||||||||||||||
Turkey - 0.3% |
||||||||||||||||
Turkiye Ihracat Kredi Bankasi AS, Senior Notes |
5.750 | % | 7/6/26 | 3,200,000 | 2,665,312 | (a)(d) | ||||||||||
|
|
|||||||||||||||
TOTAL SOVEREIGN BONDS |
|
40,009,828 | ||||||||||||||
|
|
|||||||||||||||
SHARES | ||||||||||||||||
CONVERTIBLE PREFERRED STOCKS - 2.3% | ||||||||||||||||
ENERGY - 2.3% | ||||||||||||||||
Oil, Gas & Consumable Fuels - 2.3% |
||||||||||||||||
MPLX LP |
8.462 | % | 501,254 | 18,045,144 | (i)(j) | |||||||||||
|
|
|||||||||||||||
PREFERRED STOCKS - 1.6% | ||||||||||||||||
ENERGY - 0.9% | ||||||||||||||||
Oil, Gas & Consumable Fuels - 0.9% |
||||||||||||||||
Crestwood Equity Partners LP |
9.250 | % | 750,000 | 6,727,500 | ||||||||||||
|
|
|||||||||||||||
FINANCIALS - 0.7% | ||||||||||||||||
Capital Markets - 0.3% |
||||||||||||||||
B Riley Financial Inc. |
6.500 | % | 80,219 | 1,945,311 | ||||||||||||
|
|
|||||||||||||||
Mortgage Real Estate Investment Trusts (REITs) - 0.4% |
|
|||||||||||||||
Granite Point Mortgage Trust Inc., Non Voting Shares (SOFR + 5.830%) |
7.000 | % | 170,333 | 3,450,946 | (e)(f) | |||||||||||
|
|
|||||||||||||||
TOTAL FINANCIALS |
5,396,257 | |||||||||||||||
|
|
|||||||||||||||
TOTAL PREFERRED STOCKS |
|
12,123,757 | ||||||||||||||
|
|
|||||||||||||||
MATURITY DATE |
FACE AMOUNT |
|||||||||||||||
CONVERTIBLE BONDS & NOTES - 0.2% | ||||||||||||||||
COMMUNICATION SERVICES - 0.2% | ||||||||||||||||
Media - 0.2% |
||||||||||||||||
DISH Network Corp., Senior Notes |
3.375 | % | 8/15/26 | 2,500,000 | 1,726,250 | |||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Diversified Income Fund 2022 Quarterly Report |
19 |
WESTERN ASSET DIVERSIFIED INCOME FUND
(Percentages shown based on Fund net assets)
Schedule of investments (unaudited) (contd) | September 30, 2022 |
SECURITY |
EXPIRATION DATE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | ||||||||||||
PURCHASED OPTIONS - 0.0% | ||||||||||||||||
EXCHANGE-TRADED PURCHASED OPTIONS - 0.0% |
|
|||||||||||||||
90-Day Eurodollar Futures, Call @ $99.00 |
12/18/23 | 17 | 42,500 | $ | 2,019 | |||||||||||
|
|
|||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
|
1,095,890,315 | ||||||||||||||
|
|
|||||||||||||||
RATE | SHARES | |||||||||||||||
SHORT-TERM INVESTMENTS - 3.6% | ||||||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares |
2.799 | % | 27,681,384 | 27,681,384 | (n) | |||||||||||
|
|
|||||||||||||||
TOTAL INVESTMENTS - 146.0% |
|
1,123,571,699 | ||||||||||||||
Liabilities in Excess of Other Assets - (46.0)% |
|
(353,886,581 | ) | |||||||||||||
|
|
|||||||||||||||
TOTAL NET ASSETS - 100.0% |
$ | 769,685,118 | ||||||||||||||
|
|
See Notes to Schedule of Investments.
20 |
Western Asset Diversified Income Fund 2022 Quarterly Report |
WESTERN ASSET DIVERSIFIED INCOME FUND
Schedule of investments (unaudited) (contd) | September 30, 2022 |
| Face amount/notional amount denominated in U.S. dollars, unless otherwise noted. |
| Represents less than 0.1%. |
* | Non-income producing security. |
(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) | 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. |
(c) | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
(d) | All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements. |
(e) | Security has no maturity date. The date shown represents the next call date. |
(f) | 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. |
(g) | The coupon payment on this security is currently in default as of September 30, 2022. |
(h) | 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. |
(i) | Security is valued in good faith in accordance with procedures approved by the Board of Trustees (Note 1). |
(j) | Security is valued using significant unobservable inputs (Note 1). |
(k) | Securities traded on a when-issued or delayed delivery basis. |
(l) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
(m) | 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. |
(n) | In this instance, as defined in the Investment Company Act of 1940, an Affiliated Company represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At September 30, 2022, the total market value of investments in Affiliated Companies was $27,681,384 and the cost was $27,681,384 (Note 2). |
See Notes to Schedule of Investments.
Western Asset Diversified Income Fund 2022 Quarterly Report |
21 |
WESTERN ASSET DIVERSIFIED INCOME FUND
Schedule of investments (unaudited) (contd) | September 30, 2022 |
Abbreviation(s) used in this schedule:
CAD | Canadian Dollar | |
CAS | Connecticut Avenue Securities | |
CLO | Collateralized Loan Obligation | |
EUR | Euro | |
GBP | British Pound | |
GHS | Ghanaian Cedi | |
LIBOR | London Interbank Offered Rate | |
OFZ | Obligatsyi Federalnovo Zaima (Russian Federal Loan Obligation) | |
PIK | Payment-In-Kind | |
REMIC | Real Estate Mortgage Investment Conduit | |
RUB | Russian Ruble | |
SOFR | Secured Overnight Financing Rate | |
USD | United States Dollar | |
UYU | Uruguayan Peso | |
UZS | Uzbekistani Som |
At September 30, 2022, the Fund had the following open reverse repurchase agreements:
Counterparty |
Rate | Effective Date |
Maturity Date |
Face Amount of Reverse Repurchase Agreements |
Asset Class of Collateral* |
Collateral Value** |
||||||||||||||||||
Goldman Sachs Group Inc. |
3.320 | % | 9/23/2022 | TBD | *** | $ | 3,919,920 | |
Corporate Bonds & Notes |
|
$ | 4,833,538 | ||||||||||||
Cash | 655,921 | |||||||||||||||||||||||
Goldman Sachs Group Inc. |
3.400 | % | 9/23/2022 | TBD | *** | 3,309,603 | |
Corporate Bonds & Notes |
|
3,966,440 | ||||||||||||||
Cash | 553,796 | |||||||||||||||||||||||
Goldman Sachs Group Inc. |
3.430 | % | 9/23/2022 | TBD | *** | 4,615,480 | |
Sovereign Bonds |
|
5,455,347 | ||||||||||||||
Cash | 772,309 | |||||||||||||||||||||||
Goldman Sachs Group Inc. |
3.500 | % | 9/23/2022 | TBD | *** | 8,414,347 | |
Sovereign Bonds |
|
7,105,795 | ||||||||||||||
Cash | 1,407,974 | |||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||
$ | 20,259,350 | $ | 24,751,120 | |||||||||||||||||||||
|
|
|
|
* | Refer to the Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements. |
** | Including accrued interest. |
*** | TBD To Be Determined; These reverse repurchase agreements have no maturity dates because they are renewed daily and can be terminated by either the Fund or the counterparty in accordance with the terms of the agreements. The rates for these agreements are variable. The rate disclosed is the rate as of September 30, 2022. |
See Notes to Schedule of Investments.
22 |
Western Asset Diversified Income Fund 2022 Quarterly Report |
WESTERN ASSET DIVERSIFIED INCOME FUND
Schedule of investments (unaudited) (contd) | September 30, 2022 |
At September 30, 2022, the Fund had the following written options contracts:
EXCHANGE-TRADED WRITTEN OPTIONS
SECURITY |
EXPIRATION DATE |
STRIKE PRICE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | |||||||||||||||
90-Day Eurodollar Futures, Call |
12/19/22 | $ | 96.50 | 165 | $ | 412,500 | $ | (10,313 | ) | |||||||||||
|
|
At September 30, 2022, the Fund had the following open futures contracts:
Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
3-Month SOFR |
12 | 9/23 | $ | 2,895,013 | $ | 2,868,450 | $ | (26,563 | ) | |||||||||||
90-Day Eurodollar |
453 | 12/22 | 110,881,589 | 107,938,575 | (2,943,014 | ) | ||||||||||||||
90-Day Eurodollar |
456 | 12/23 | 111,720,570 | 108,881,400 | (2,839,170 | ) | ||||||||||||||
U.S. Treasury 10-Year Notes |
648 | 12/22 | 74,862,857 | 72,616,500 | (2,246,357 | ) | ||||||||||||||
U.S. Treasury Ultra 10-Year Notes |
170 | 12/22 | 21,151,005 | 20,142,345 | (1,008,660 | ) | ||||||||||||||
U.S. Treasury Ultra Long-Term Bonds |
344 | 12/22 | 50,259,958 | 47,128,000 | (3,131,958 | ) | ||||||||||||||
|
|
|||||||||||||||||||
(12,195,722 | ) | |||||||||||||||||||
|
|
|||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
U.S. Treasury 5-Year Notes |
356 | 12/22 | 39,485,041 | 38,272,780 | 1,212,261 | |||||||||||||||
U.S. Treasury Long-Term Bonds |
43 | 12/22 | 5,900,021 | 5,435,469 | 464,552 | |||||||||||||||
|
|
|||||||||||||||||||
1,676,813 | ||||||||||||||||||||
|
|
|||||||||||||||||||
Net unrealized depreciation on open futures contracts |
|
$ | (10,518,909 | ) | ||||||||||||||||
|
|
Abbreviation(s) used in this table:
SOFR | Secured Overnight Financing Rate |
At September 30, 2022, the Fund had the following open forward foreign currency contracts:
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
JPY | 42,916,000 | USD | 317,220 | BNP Paribas SA | 10/18/22 | $ | (20,203 | ) | ||||||||||||||
USD | 1,723,834 | EUR | 1,700,000 | BNP Paribas SA | 10/18/22 | 55,692 | ||||||||||||||||
USD | 2,113,606 | EUR | 2,080,000 | BNP Paribas SA | 10/18/22 | 72,585 | ||||||||||||||||
USD | 2,637,740 | EUR | 2,595,000 | BNP Paribas SA | 10/18/22 | 91,370 | ||||||||||||||||
USD | 11,799,807 | EUR | 11,640,000 | BNP Paribas SA | 10/18/22 | 377,939 | ||||||||||||||||
USD | 3,333,907 | NOK | 33,191,881 | BNP Paribas SA | 10/18/22 | 285,321 |
See Notes to Schedule of Investments.
Western Asset Diversified Income Fund 2022 Quarterly Report |
23 |
WESTERN ASSET DIVERSIFIED INCOME FUND
Schedule of investments (unaudited) (contd) | September 30, 2022 |
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
AUD | 4,305,000 | USD | 2,949,308 | Citibank N.A. | 10/18/22 | $ | (195,043 | ) | ||||||||||||||
CAD | 3,320,000 | USD | 2,553,885 | Citibank N.A. | 10/18/22 | (150,553 | ) | |||||||||||||||
EUR | 2,065,000 | USD | 2,123,894 | Citibank N.A. | 10/18/22 | (97,592 | ) | |||||||||||||||
EUR | 2,450,000 | USD | 2,442,206 | Citibank N.A. | 10/18/22 | (38,119 | ) | |||||||||||||||
USD | 3,363,917 | AUD | 4,873,900 | Citibank N.A. | 10/18/22 | 245,680 | ||||||||||||||||
USD | 2,033,467 | CAD | 2,640,000 | Citibank N.A. | 10/18/22 | 122,384 | ||||||||||||||||
USD | 3,960,453 | CNH | 26,830,000 | Citibank N.A. | 10/18/22 | 201,422 | ||||||||||||||||
USD | 1,585,882 | EUR | 1,580,000 | Citibank N.A. | 10/18/22 | 35,491 | ||||||||||||||||
MXN | 38,500,000 | USD | 1,820,417 | Goldman Sachs Group Inc. | 10/18/22 | 84,924 | ||||||||||||||||
MXN | 40,700,000 | USD | 1,928,133 | Goldman Sachs Group Inc. | 10/18/22 | 86,084 | ||||||||||||||||
MXN | 44,480,000 | USD | 2,084,818 | Goldman Sachs Group Inc. | 10/18/22 | 116,470 | ||||||||||||||||
USD | 10,668,498 | GBP | 8,850,000 | Goldman Sachs Group Inc. | 10/18/22 | 783,188 | ||||||||||||||||
USD | 571,323 | JPY | 82,162,000 | Goldman Sachs Group Inc. | 10/18/22 | 2,687 | ||||||||||||||||
CNH | 14,450,000 | USD | 2,087,683 | JPMorgan Chase & Co. | 10/18/22 | (63,158 | ) | |||||||||||||||
CNH | 12,380,000 | USD | 1,792,049 | Morgan Stanley & Co. Inc. | 10/18/22 | (57,543 | ) | |||||||||||||||
EUR | 5,260,000 | USD | 5,245,822 | Morgan Stanley & Co. Inc. | 10/18/22 | (84,393 | ) | |||||||||||||||
GBP | 1,570,000 | USD | 1,832,419 | Morgan Stanley & Co. Inc. | 10/18/22 | (78,754 | ) | |||||||||||||||
MXN | 6,680,000 | USD | 318,930 | Morgan Stanley & Co. Inc. | 10/18/22 | 11,658 | ||||||||||||||||
MXN | 14,030,000 | USD | 659,794 | Morgan Stanley & Co. Inc. | 10/18/22 | 34,542 | ||||||||||||||||
MXN | 17,860,000 | USD | 850,519 | Morgan Stanley & Co. Inc. | 10/18/22 | 33,362 | ||||||||||||||||
MXN | 30,110,000 | USD | 1,447,445 | Morgan Stanley & Co. Inc. | 10/18/22 | 42,680 | ||||||||||||||||
MXN | 30,520,000 | USD | 1,469,018 | Morgan Stanley & Co. Inc. | 10/18/22 | 41,398 | ||||||||||||||||
NOK | 150,981,271 | USD | 14,974,438 | Morgan Stanley & Co. Inc. | 10/18/22 | (1,107,208 | ) | |||||||||||||||
USD | 1,465,515 | GBP | 1,250,000 | Morgan Stanley & Co. Inc. | 10/18/22 | 69,285 | ||||||||||||||||
USD | 1,465 | MXN | 30,000 | Morgan Stanley & Co. Inc. | 10/18/22 | (19 | ) | |||||||||||||||
USD | 847,986 | MXN | 17,460,000 | Morgan Stanley & Co. Inc. | 10/18/22 | (16,099 | ) | |||||||||||||||
USD | 988,888 | MXN | 20,850,000 | Morgan Stanley & Co. Inc. | 10/18/22 | (42,966 | ) | |||||||||||||||
USD | 1,219,643 | MXN | 24,960,000 | Morgan Stanley & Co. Inc. | 10/18/22 | (15,611 | ) | |||||||||||||||
USD | 1,269,091 | MXN | 25,760,000 | Morgan Stanley & Co. Inc. | 10/18/22 | (5,756 | ) | |||||||||||||||
USD | 2,402,677 | MXN | 49,630,000 | Morgan Stanley & Co. Inc. | 10/18/22 | (53,480 | ) | |||||||||||||||
USD | 4,009,860 | MXN | 84,187,405 | Morgan Stanley & Co. Inc. | 10/18/22 | (156,522 | ) | |||||||||||||||
|
|
|||||||||||||||||||||
Total | $ | 611,143 | ||||||||||||||||||||
|
|
See Notes to Schedule of Investments.
24 |
Western Asset Diversified Income Fund 2022 Quarterly Report |
WESTERN ASSET DIVERSIFIED INCOME FUND
Schedule of investments (unaudited) (contd) | September 30, 2022 |
Abbreviation(s) used in this table:
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
CNH | Chinese Offshore Yuan | |
EUR | Euro | |
GBP | British Pound | |
JPY | Japanese Yen | |
MXN | Mexican Peso | |
NOK | Norwegian Krone | |
USD | United States Dollar |
At September 30, 2022, the Fund had the following open swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAPS |
||||||||||||||||||||||||
NOTIONAL AMOUNT* |
TERMINATION DATE |
PAYMENTS MADE BY THE FUND |
PAYMENTS RECEIVED BY THE FUND |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||||
$ | 12,890,000 | 11/18/23 | 3.970%** | CPURNSA** | $ | (47,529 | ) | $ | 403,802 | |||||||||||||||
12,890,000 | 11/18/26 | CPURNSA** | 3.370%** | 113,683 | (270,398 | ) | ||||||||||||||||||
14,650,000 | 11/20/26 | 1.520% annually | Daily SOFR Compound annually | (25,135 | ) | 894,188 | ||||||||||||||||||
10,419,000 | 8/15/47 | 2.650% annually | Daily SOFR Compound annually | 122,040 | 861,629 | |||||||||||||||||||
4,076,000 | 2/15/48 | 2.510% annually | Daily SOFR Compound annually | 74,089 | 400,893 | |||||||||||||||||||
3,263,000 | 2/15/48 | 2.620% annually | Daily SOFR Compound annually | (639 | ) | 320,066 | ||||||||||||||||||
4,031,000 | 2/15/48 | 3.050% annually | Daily SOFR Compound annually | 124,261 | (31,562 | ) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 62,219,000 | $ | 360,770 | $ | 2,578,618 | ||||||||||||||||||
|
|
|
|
|
|
See Notes to Schedule of Investments.
Western Asset Diversified Income Fund 2022 Quarterly Report |
25 |
WESTERN ASSET DIVERSIFIED INCOME FUND
Schedule of investments (unaudited) (contd) | September 30, 2022 |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION1 |
||||||||||||||||||||||||
REFERENCE ENTITY |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
IMPLIED CREDIT SPREAD AT SEPTEMBER 30, 20223 |
PERIODIC PAYMENTS RECEIVED BY THE FUND |
MARKET VALUE |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED DEPRECIATION |
|||||||||||||||||
Ford Motor Co., 4.346%, due 12/8/26 | $ | 4,320,000 | 6/20/26 | 3.859% | 5.000% quarterly | $ | 155,736 | $ | 466,607 | $ | (310,871 | ) | ||||||||||||
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION4 |
||||||||||||||||||||||||
REFERENCE ENTITY |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
IMPLIED CREDIT SPREAD AT SEPTEMBER 30, 20223 |
PERIODIC PAYMENTS RECEIVED BY THE FUND |
MARKET VALUE |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION |
|||||||||||||||||
General Motors Co., 4.875%, due 10/2/23 | $ | 4,320,000 | 6/20/26 | 2.141% | 5.000% quarterly | $ | (409,229 | ) | $ | (627,144 | ) | $ | 217,915 |
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 entitys 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. |
| Percentage shown is an annual percentage rate. |
* | Notional amount denominated in U.S. dollars, unless otherwise noted. |
** | One time payment made at termination date. |
See Notes to Schedule of Investments.
26 |
Western Asset Diversified Income Fund 2022 Quarterly Report |
WESTERN ASSET DIVERSIFIED INCOME FUND
Schedule of investments (unaudited) (contd) | September 30, 2022 |
Abbreviation(s) used in this table:
CPURNSA | U.S. CPI Urban Consumers NSA Index | |
SOFR | Secured Overnight Financing Rate |
This Schedule of Investments is unaudited and is intended to provide information about the Funds investments as of the date of the schedule. Other information regarding the Fund is available in the Funds most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
Western Asset Diversified Income Fund 2022 Quarterly Report |
27 |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Diversified Income Fund (the Fund) was organized in Maryland on July 27, 2020 and is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the 1940 Act). The Board of Trustees has authorized the issuance of an unlimited amount of common shares of beneficial interest, $0.001 par value per share (the Common Shares). The Funds primary investment objective is to seek high current income. As a secondary investment objective, the Fund will seek capital appreciation. The Fund seeks to achieve its investment objectives by investing, under normal market conditions, across fixed income sectors and securities in seeking to deliver a well-diversified portfolio. The Fund expects to dissolve on or about June 24, 2033 (the Dissolution Date); provided that the Board of Trustees may, without shareholder approval, extend the Dissolution Date for up to two years. As of a date within the 6-18 months preceding the Dissolution Date, the Board of Trustees may cause the Fund to conduct a tender offer to all shareholders to purchase 100% of the then outstanding Common Shares of the Fund at a price equal to the NAV per Common Share on the expiration date of the tender offer (the Eligible Tender Offer). The Board of Trustees has established that the Fund must have at least $200 million of aggregate net assets immediately following the completion of an Eligible Tender Offer to ensure the continued viability of the Fund (the Dissolution Threshold). In an Eligible Tender Offer, the Fund will offer to purchase all Common Shares held by each Common Shareholder; provided that if the payment for properly tendered Common Shares would result in the Fund having aggregate net assets below the Dissolution Threshold, the Eligible Tender Offer will be canceled, no Common Shares will be repurchased and the Fund will dissolve as scheduled. If an Eligible Tender Offer is conducted and the payment for properly tendered Common Shares would result in the Fund having aggregate net assets greater than or equal to the Dissolution Threshold, all Common Shares properly tendered and not withdrawn will be purchased by the Fund pursuant to the terms of the Eligible Tender Offer. Following the completion of an Eligible Tender Offer, the Board may eliminate the Dissolution Date without shareholder approval and provide for the Funds perpetual existence. Upon its dissolution, it is anticipated that the Fund will have distributed substantially all of its net assets to shareholders, although securities for which no market exists or securities trading at depressed prices, if any, may be placed in a liquidating trust.
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
28 |
Notes to Schedule of Investments (unaudited) (continued)
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 normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing 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 Funds Board of Trustees.
Pursuant to policies adopted by the Board of Trustees, the Funds manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Funds manager is assisted by the Global Fund Valuation Committee (the Valuation Committee). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Funds pricing policies, and reporting to the Funds manager and 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 issuers 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.
29 |
Notes to Schedule of Investments (unaudited) (continued)
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.
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 unadjusted 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 Funds 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.
30 |
Notes to Schedule of Investments (unaudited) (continued)
The following is a summary of the inputs used in valuing the Funds 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 |
| $ | 482,589,914 | | $ | 482,589,914 | ||||||||||
Collateralized Mortgage Obligations |
| 187,560,300 | $ | 8,499,983 | 196,060,283 | |||||||||||
Asset-Backed Securities |
| 180,277,088 | | 180,277,088 | ||||||||||||
Senior Loans: |
||||||||||||||||
Consumer Discretionary |
| 51,243,055 | 967,725 | 52,210,780 | ||||||||||||
Financials |
| 10,882,978 | 3,138,225 | 14,021,203 | ||||||||||||
Health Care |
| 10,987,379 | 10,609,812 | 21,597,191 | ||||||||||||
Information Technology |
| 26,748,231 | 5,941,718 | 32,689,949 | ||||||||||||
Materials |
| | 4,436,738 | 4,436,738 | ||||||||||||
Other Senior Loans |
| 40,100,171 | | 40,100,171 | ||||||||||||
Sovereign Bonds |
| 40,009,828 | | 40,009,828 | ||||||||||||
Convertible Preferred Stocks |
| | 18,045,144 | 18,045,144 | ||||||||||||
Preferred Stocks |
$ | 12,123,757 | | | 12,123,757 | |||||||||||
Convertible Bonds & Notes |
| 1,726,250 | | 1,726,250 | ||||||||||||
Purchased Options |
2,019 | | | 2,019 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long-Term Investments |
12,125,776 | 1,032,125,194 | 51,639,345 | 1,095,890,315 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
27,681,384 | | | 27,681,384 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 39,807,160 | $ | 1,032,125,194 | $ | 51,639,345 | $ | 1,123,571,699 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments: |
||||||||||||||||
Futures Contracts |
$ | 1,676,813 | | | $ | 1,676,813 | ||||||||||
Forward Foreign Currency Contracts |
| $ | 2,794,162 | | 2,794,162 | |||||||||||
Centrally Cleared Interest Rate Swaps |
| 2,880,578 | | 2,880,578 | ||||||||||||
Centrally Cleared Credit Default Swaps on Corporate Issues - Buy Protection |
| 217,915 | | 217,915 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Other Financial Instruments |
$ | 1,676,813 | $ | 5,892,655 | | $ | 7,569,468 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 41,483,973 | $ | 1,038,017,849 | $ | 51,639,345 | $ | 1,131,141,167 | ||||||||
|
|
|
|
|
|
|
|
31 |
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 |
$ | 10,313 | | | $ | 10,313 | ||||||||||
Futures Contracts |
12,195,722 | | | 12,195,722 | ||||||||||||
Forward Foreign Currency Contracts |
| $ | 2,183,019 | | 2,183,019 | |||||||||||
Centrally Cleared Interest Rate Swaps |
| 301,960 | | 301,960 | ||||||||||||
Centrally Cleared Credit Default Swaps on Corporate Issues - Sell Protection |
| 310,871 | | 310,871 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 12,206,035 | $ | 2,795,850 | | $ | 15,001,885 | |||||||||
|
|
|
|
|
|
|
|
| See Schedule of Investments for additional detailed categorizations. |
| Reflects the unrealized appreciation (depreciation) of the instruments. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
Investments in Securities |
Balance as of December 31, 2021 |
Accrued premiums/ discounts |
Realized gain (loss) |
Change in unrealized appreciation (depreciation)1 |
Purchases | |||||||||||||||
Collateralized Mortgage Obligations |
$ | 8,501,065 | $ | 4,813 | | $ | (5,895 | ) | | |||||||||||
Asset-Backed Securities |
1,072,881 | 9,915 | $ | 415 | 20,798 | | ||||||||||||||
Senior Loans: |
||||||||||||||||||||
Consumer |
||||||||||||||||||||
Discretionary |
3,657,228 | (6,181 | ) | (167 | ) | (674,032 | ) | | ||||||||||||
Consumer Staples |
4,725,000 | 17,847 | 1,686 | (1,066,674 | ) | | ||||||||||||||
Financials |
8,589,053 | 2,250 | 213 | (1,619,694 | ) | | ||||||||||||||
Health Care |
6,443,125 | 2,191 | | (985,317 | ) | | ||||||||||||||
Industrials |
8,905,635 | | 178,647 | 49,252 | | |||||||||||||||
Information |
||||||||||||||||||||
Technology |
7,726,000 | 4,494 | 1,007 | (867,563 | ) | | ||||||||||||||
Materials |
4,910,500 | 6,098 | 2,064 | (447,379 | ) | $ | 6,404,582 | |||||||||||||
Sovereign Bonds: |
||||||||||||||||||||
Supranational |
3,682,580 | (97,096 | ) | (296,990 | ) | 96,322 | |
32 |
Notes to Schedule of Investments (unaudited) (continued)
Investments in Securities |
Balance as of December 31, 2021 |
Accrued premiums/ discounts |
Realized gain (loss) |
Change in unrealized appreciation (depreciation)1 |
Purchases | |||||||||||||||
Convertible Preferred Stocks: |
||||||||||||||||||||
Energy |
$ | 17,794,517 | | | $ | 250,627 | | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 76,007,584 | $ | (55,669 | ) | $ | (113,125 | ) | $ | (5,249,555 | ) | $ | 6,404,582 | |||||||
|
|
|
|
|
|
|
|
|
|
Investments in Securities (contd) |
Sales | Transfers into Level 32 |
Transfers out of Level 33 |
Balance as of September 30, 2022 |
Net change in unrealized appreciation (depreciation) for investments in securities still held at September 30, 20221 |
|||||||||||||||
Collateralized Mortgage Obligations |
| | | $ | 8,499,983 | $ | (5,895 | ) | ||||||||||||
Asset-Backed Securities |
$ | (17,638 | ) | | $ | (1,086,371 | ) | | | |||||||||||
Senior Loans: |
||||||||||||||||||||
Consumer Discretionary |
(21,500 | ) | | (1,987,623 | ) | 967,725 | (227,387 | ) | ||||||||||||
Consumer Staples |
(36,625 | ) | | (3,641,234 | ) | | | |||||||||||||
Financials |
(39,847 | ) | | (3,793,750 | ) | 3,138,225 | (396,631 | ) | ||||||||||||
Health Care |
| $ | 5,149,813 | | 10,609,812 | (985,317 | ) | |||||||||||||
Industrials |
(9,133,534 | ) | | | | | ||||||||||||||
Information |
||||||||||||||||||||
Technology |
| 1,691,718 | (2,613,938 | ) | 5,941,718 | (765,372 | ) | |||||||||||||
Materials |
(6,439,127 | ) | | | 4,436,738 | (479,811 | ) | |||||||||||||
Sovereign Bonds: |
||||||||||||||||||||
Supranational |
| | (3,384,816 | ) | | | ||||||||||||||
Convertible Preferred Stocks: |
||||||||||||||||||||
Energy |
| | | 18,045,144 | 250,627 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | (15,688,271 | ) | $ | 6,841,531 | $ | (16,507,732 | ) | $ | 51,639,345 | $ | (2,609,786 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
1 | Change in unrealized appreciation (depreciation) includes net unrealized appreciation (depreciation) resulting from changes in investment values during the reporting period and the reversal of previously recorded unrealized appreciation (depreciation) when gains or losses are realized. |
2 | Transferred into Level 3 as a result of the unavailability of a quoted price in an active market for an identical investment or the unavailability of other significant observable input in the valuation obtained from independent third party pricing services or broker/dealer quotations. |
3 | Transferred out of Level 3 as a result of the availability of a quoted price in an active market for an identical investment or the availability of other significant observable inputs. |
33 |
Notes to Schedule of Investments (unaudited) (continued)
The following table summarizes the valuation techniques used and unobservable inputs approved by the Valuation Committee to determine the fair value of certain material Level 3 investments. The table does not include Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment (e.g., broker quotes, pricing services, net asset values).
|
Fair Value at 09/30/22 (000s) |
Valuation Technique(s) |
Unobservable Input(s) |
Value, Range/Weighted Average |
Impact to Valuation from an Increase in Input* | |||||
Collateralized Mortgage Obligations | $8,500 | Discounted Cash Flow Method |
Discount Rate | 10.84% | Decrease |
* | This column represents the directional change in the fair value of the Level 3 investments that would result in an increase from the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant increases and decreases in these unobservable inputs in isolation could result in significantly higher or lower fair value measurements. |
2. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended September 30, 2022. The following transactions were effected in such company for the period ended September 30, 2022.
Affiliate Value at December 31, 2021 |
Purchased | Sold | ||||||||||||||||||
|
Cost | Shares | Cost | Shares | ||||||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares | $ | 44,173,390 | $ | 213,238,312 | 213,238,312 | $ | 229,730,318 | 229,730,318 |
(contd) |
Realized Gain (Loss) |
Dividend Income |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) |
Affiliate Value at September 30, 2022 |
||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares | | $ | 163,730 | | $ | 27,681,384 |
34 |