WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
CORPORATE BONDS & NOTES - 53.5% | ||||||||||||||||
COMMUNICATION SERVICES - 5.9% | ||||||||||||||||
Diversified Telecommunication Services - 2.3% |
||||||||||||||||
AT&T Inc., Senior Notes |
0.900 | % | 3/25/24 | $ | 3,440,000 | $ | 3,359,974 | |||||||||
AT&T Inc., Senior Notes |
1.700 | % | 3/25/26 | 1,200,000 | 1,089,101 | |||||||||||
NTT Finance Corp., Senior Notes |
0.583 | % | 3/1/24 | 2,760,000 | 2,700,550 | (a) | ||||||||||
Verizon Communications Inc., Senior Notes |
0.750 | % | 3/22/24 | 1,560,000 | 1,522,503 | |||||||||||
Verizon Communications Inc., Senior Notes |
3.376 | % | 2/15/25 | 2,070,000 | 2,003,695 | |||||||||||
Verizon Communications Inc., Senior Notes |
1.450 | % | 3/20/26 | 1,250,000 | 1,128,983 | |||||||||||
Verizon Communications Inc., Senior Notes |
4.125 | % | 3/16/27 | 3,430,000 | 3,263,765 | |||||||||||
Verizon Communications Inc., Senior Notes |
4.329 | % | 9/21/28 | 62,000 | 58,283 | |||||||||||
|
|
|||||||||||||||
Total Diversified Telecommunication Services |
15,126,854 | |||||||||||||||
|
|
|||||||||||||||
Entertainment - 0.5% |
||||||||||||||||
Warnermedia Holdings Inc., Senior Notes |
3.638 | % | 3/15/25 | 2,300,000 | 2,218,999 | |||||||||||
Warnermedia Holdings Inc., Senior Notes |
6.412 | % | 3/15/26 | 350,000 | 350,087 | |||||||||||
Warnermedia Holdings Inc., Senior Notes |
3.755 | % | 3/15/27 | 940,000 | 868,233 | |||||||||||
|
|
|||||||||||||||
Total Entertainment |
3,437,319 | |||||||||||||||
|
|
|||||||||||||||
Interactive Media & Services - 0.0% |
||||||||||||||||
Alphabet Inc., Senior Notes |
0.450 | % | 8/15/25 | 40,000 | 36,654 | |||||||||||
|
|
|||||||||||||||
Media - 1.7% |
||||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
4.500 | % | 2/1/24 | 1,330,000 | 1,322,929 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
4.908 | % | 7/23/25 | 4,730,000 | 4,623,476 | |||||||||||
Comcast Corp., Senior Notes |
3.950 | % | 10/15/25 | 2,590,000 | 2,513,557 | |||||||||||
Comcast Corp., Senior Notes |
3.150 | % | 3/1/26 | 70,000 | 66,491 | |||||||||||
DISH DBS Corp., Senior Notes |
5.875 | % | 11/15/24 | 250,000 | 233,096 | |||||||||||
DISH DBS Corp., Senior Secured Notes |
5.250 | % | 12/1/26 | 100,000 | 85,173 | (a) | ||||||||||
Fox Corp., Senior Notes |
4.030 | % | 1/25/24 | 2,000,000 | 1,985,964 | |||||||||||
|
|
|||||||||||||||
Total Media |
10,830,686 | |||||||||||||||
|
|
|||||||||||||||
Wireless Telecommunication Services - 1.4% |
||||||||||||||||
CSC Holdings LLC, Senior Notes |
6.500 | % | 2/1/29 | 1,200,000 | 995,509 | (a) | ||||||||||
Sprint LLC, Senior Notes |
7.125 | % | 6/15/24 | 1,940,000 | 1,953,479 | |||||||||||
T-Mobile USA Inc., Senior Notes |
3.500 | % | 4/15/25 | 1,060,000 | 1,023,066 | |||||||||||
T-Mobile USA Inc., Senior Notes |
2.250 | % | 2/15/26 | 4,320,000 | 3,980,684 |
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
1 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Wireless Telecommunication Services - (continued) |
||||||||||||||||
T-Mobile USA Inc., Senior Notes |
4.750 | % | 2/1/28 | $ | 900,000 | $ | 863,557 | |||||||||
T-Mobile USA Inc., Senior Notes |
3.375 | % | 4/15/29 | 70,000 | 61,632 | |||||||||||
|
|
|||||||||||||||
Total Wireless Telecommunication Services |
8,877,927 | |||||||||||||||
|
|
|||||||||||||||
TOTAL COMMUNICATION SERVICES |
38,309,440 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER DISCRETIONARY - 4.6% | ||||||||||||||||
Automobiles - 2.2% |
||||||||||||||||
American Honda Finance Corp., Senior Notes |
2.400 | % | 6/27/24 | 2,530,000 | 2,468,183 | |||||||||||
BMW US Capital LLC, Senior Notes |
0.800 | % | 4/1/24 | 1,460,000 | 1,424,548 | (a) | ||||||||||
Daimler Finance North America LLC, Senior Notes |
0.750 | % | 3/1/24 | 1,590,000 | 1,556,899 | (a) | ||||||||||
Ford Motor Credit Co. LLC, Senior Notes |
3.375 | % | 11/13/25 | 970,000 | 900,806 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes |
4.950 | % | 5/28/27 | 1,150,000 | 1,080,739 | |||||||||||
General Motors Financial Co. Inc., Senior Notes |
3.950 | % | 4/13/24 | 1,070,000 | 1,055,848 | |||||||||||
General Motors Financial Co. Inc., Senior Notes |
2.750 | % | 6/20/25 | 2,820,000 | 2,656,010 | |||||||||||
Toyota Motor Corp., Senior Notes |
0.681 | % | 3/25/24 | 3,460,000 | 3,377,280 | |||||||||||
|
|
|||||||||||||||
Total Automobiles |
14,520,313 | |||||||||||||||
|
|
|||||||||||||||
Broadline Retail - 0.8% |
||||||||||||||||
Amazon.com Inc., Senior Notes |
0.450 | % | 5/12/24 | 1,980,000 | 1,919,054 | |||||||||||
Amazon.com Inc., Senior Notes |
3.000 | % | 4/13/25 | 770,000 | 744,198 | |||||||||||
Amazon.com Inc., Senior Notes |
0.800 | % | 6/3/25 | 650,000 | 602,764 | |||||||||||
Amazon.com Inc., Senior Notes |
3.300 | % | 4/13/27 | 590,000 | 555,395 | |||||||||||
Prosus NV, Senior Notes |
3.257 | % | 1/19/27 | 1,770,000 | 1,568,773 | (a) | ||||||||||
|
|
|||||||||||||||
Total Broadline Retail |
5,390,184 | |||||||||||||||
|
|
|||||||||||||||
Hotels, Restaurants & Leisure - 0.9% |
||||||||||||||||
Las Vegas Sands Corp., Senior Notes |
3.200 | % | 8/8/24 | 210,000 | 203,298 | |||||||||||
Las Vegas Sands Corp., Senior Notes |
2.900 | % | 6/25/25 | 1,730,000 | 1,613,857 | |||||||||||
Marriott International Inc., Senior Notes |
3.600 | % | 4/15/24 | 1,230,000 | 1,215,038 | |||||||||||
McDonalds Corp., Senior Notes |
3.300 | % | 7/1/25 | 170,000 | 163,799 | |||||||||||
McDonalds Corp., Senior Notes |
1.450 | % | 9/1/25 | 1,240,000 | 1,148,574 | |||||||||||
McDonalds Corp., Senior Notes |
3.700 | % | 1/30/26 | 660,000 | 634,987 | |||||||||||
McDonalds Corp., Senior Notes |
3.500 | % | 3/1/27 | 230,000 | 216,617 | |||||||||||
Sands China Ltd., Senior Notes |
2.550 | % | 3/8/27 | 420,000 | 364,644 | |||||||||||
Sands China Ltd., Senior Notes |
3.100 | % | 3/8/29 | 200,000 | 165,627 | |||||||||||
|
|
|||||||||||||||
Total Hotels, Restaurants & Leisure |
5,726,441 | |||||||||||||||
|
|
|||||||||||||||
Household Durables - 0.1% |
||||||||||||||||
DR Horton Inc., Senior Notes |
2.500 | % | 10/15/24 | 880,000 | 849,451 | |||||||||||
|
|
|||||||||||||||
Specialty Retail - 0.5% |
||||||||||||||||
AutoZone Inc., Senior Notes |
5.050 | % | 7/15/26 | 620,000 | 611,181 | |||||||||||
Home Depot Inc., Senior Notes |
2.700 | % | 4/15/25 | 350,000 | 336,305 |
See Notes to Schedule of Investments.
2 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Specialty Retail - (continued) |
||||||||||||||||
Home Depot Inc., Senior Notes |
2.500 | % | 4/15/27 | $ | 770,000 | $ | 702,929 | |||||||||
Home Depot Inc., Senior Notes |
2.875 | % | 4/15/27 | 290,000 | 268,641 | |||||||||||
Lowes Cos. Inc., Senior Notes |
4.000 | % | 4/15/25 | 1,460,000 | 1,423,337 | |||||||||||
|
|
|||||||||||||||
Total Specialty Retail |
3,342,393 | |||||||||||||||
|
|
|||||||||||||||
Textiles, Apparel & Luxury Goods - 0.1% |
||||||||||||||||
NIKE Inc., Senior Notes |
2.400 | % | 3/27/25 | 320,000 | 306,219 | |||||||||||
|
|
|||||||||||||||
TOTAL CONSUMER DISCRETIONARY |
30,135,001 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER STAPLES - 1.7% | ||||||||||||||||
Beverages - 0.6% |
||||||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes |
3.650 | % | 2/1/26 | 3,810,000 | 3,660,254 | |||||||||||
|
|
|||||||||||||||
Consumer Staples Distribution & Retail - 0.2% |
||||||||||||||||
Target Corp., Senior Notes |
2.250 | % | 4/15/25 | 800,000 | 762,610 | |||||||||||
Walmart Inc., Senior Notes |
1.050 | % | 9/17/26 | 660,000 | 588,802 | |||||||||||
|
|
|||||||||||||||
Total Consumer Staples Distribution & Retail |
1,351,412 | |||||||||||||||
|
|
|||||||||||||||
Food Products - 0.0% |
||||||||||||||||
Mondelez International Inc., Senior Notes |
1.500 | % | 5/4/25 | 230,000 | 215,273 | |||||||||||
|
|
|||||||||||||||
Household Products - 0.0% |
||||||||||||||||
Procter & Gamble Co., Senior Notes |
2.800 | % | 3/25/27 | 30,000 | 27,848 | |||||||||||
|
|
|||||||||||||||
Personal Care Products - 0.4% |
||||||||||||||||
Haleon UK Capital PLC, Senior Notes |
3.125 | % | 3/24/25 | 1,040,000 | 999,204 | |||||||||||
Kenvue Inc., Senior Notes |
5.350 | % | 3/22/26 | 640,000 | 638,728 | (a) | ||||||||||
Kenvue Inc., Senior Notes |
5.050 | % | 3/22/28 | 890,000 | 878,770 | (a) | ||||||||||
|
|
|||||||||||||||
Total Personal Care Products |
2,516,702 | |||||||||||||||
|
|
|||||||||||||||
Tobacco - 0.5% |
||||||||||||||||
Altria Group Inc., Senior Notes |
2.350 | % | 5/6/25 | 2,670,000 | 2,526,611 | |||||||||||
Altria Group Inc., Senior Notes |
4.400 | % | 2/14/26 | 800,000 | 776,902 | |||||||||||
Philip Morris International Inc., Senior Notes |
2.875 | % | 5/1/24 | 20,000 | 19,667 | |||||||||||
|
|
|||||||||||||||
Total Tobacco |
3,323,180 | |||||||||||||||
|
|
|||||||||||||||
TOTAL CONSUMER STAPLES |
11,094,669 | |||||||||||||||
|
|
|||||||||||||||
ENERGY - 8.5% | ||||||||||||||||
Oil, Gas & Consumable Fuels - 8.5% |
||||||||||||||||
Chevron Corp., Senior Notes |
1.554 | % | 5/11/25 | 2,290,000 | 2,155,189 | |||||||||||
Columbia Pipelines Holding Co. LLC, Senior Notes |
6.055 | % | 8/15/26 | 860,000 | 863,034 | (a) | ||||||||||
Columbia Pipelines Holding Co. LLC, Senior Notes |
6.042 | % | 8/15/28 | 1,000,000 | 995,550 | (a) | ||||||||||
Continental Resources Inc., Senior Notes |
3.800 | % | 6/1/24 | 860,000 | 846,367 | |||||||||||
Continental Resources Inc., Senior Notes |
2.268 | % | 11/15/26 | 1,380,000 | 1,223,307 | (a) |
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
3 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
Devon Energy Corp., Senior Notes |
5.250 | % | 9/15/24 | $ | 1,520,000 | $ | 1,508,907 | |||||||||
Devon Energy Corp., Senior Notes |
5.850 | % | 12/15/25 | 3,370,000 | 3,354,023 | |||||||||||
Diamondback Energy Inc., Senior Notes |
3.250 | % | 12/1/26 | 2,040,000 | 1,908,409 | |||||||||||
Energy Transfer LP, Senior Notes |
4.500 | % | 4/15/24 | 980,000 | 971,776 | |||||||||||
Energy Transfer LP, Senior Notes |
4.050 | % | 3/15/25 | 610,000 | 593,384 | |||||||||||
Energy Transfer LP, Senior Notes |
2.900 | % | 5/15/25 | 1,070,000 | 1,016,981 | |||||||||||
Energy Transfer LP, Senior Notes |
5.550 | % | 2/15/28 | 470,000 | 462,124 | |||||||||||
Energy Transfer LP/Regency Energy Finance Corp., Senior Notes |
4.500 | % | 11/1/23 | 2,170,000 | 2,166,772 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
3.750 | % | 2/15/25 | 720,000 | 699,637 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
3.700 | % | 2/15/26 | 5,510,000 | 5,281,710 | |||||||||||
EQT Corp., Senior Notes |
3.125 | % | 5/15/26 | 1,300,000 | 1,204,021 | (a) | ||||||||||
EQT Corp., Senior Notes |
3.900 | % | 10/1/27 | 420,000 | 388,814 | |||||||||||
EQT Corp., Senior Notes |
5.000 | % | 1/15/29 | 710,000 | 668,075 | |||||||||||
Exxon Mobil Corp., Senior Notes |
2.992 | % | 3/19/25 | 1,870,000 | 1,806,252 | |||||||||||
Kinder Morgan Energy Partners LP, Senior Notes |
4.250 | % | 9/1/24 | 1,930,000 | 1,899,165 | |||||||||||
Kinder Morgan Inc., Senior Notes |
4.300 | % | 6/1/25 | 1,790,000 | 1,744,649 | |||||||||||
MPLX LP, Senior Notes |
4.000 | % | 2/15/25 | 3,160,000 | 3,075,414 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
3.200 | % | 8/15/26 | 2,150,000 | 1,976,668 | |||||||||||
ONEOK Inc., Senior Notes |
5.550 | % | 11/1/26 | 480,000 | 476,987 | |||||||||||
ONEOK Inc., Senior Notes |
5.650 | % | 11/1/28 | 750,000 | 740,562 | |||||||||||
ONEOK Inc., Senior Notes |
5.800 | % | 11/1/30 | 30,000 | 29,387 | |||||||||||
Petrobras Global Finance BV, Senior Notes |
5.750 | % | 2/1/29 | 1,050,000 | 1,022,241 | |||||||||||
Petroleos del Peru SA, Senior Notes |
4.750 | % | 6/19/32 | 1,210,000 | 856,385 | (a) | ||||||||||
Pioneer Natural Resources Co., Senior Notes |
1.125 | % | 1/15/26 | 2,480,000 | 2,242,308 | |||||||||||
QazaqGaz NC JSC, Senior Notes |
4.375 | % | 9/26/27 | 1,790,000 | 1,653,190 | (a) | ||||||||||
Schlumberger Holdings Corp., Senior Notes |
3.900 | % | 5/17/28 | 500,000 | 464,800 | (a) | ||||||||||
Shell International Finance BV, Senior Notes |
2.875 | % | 5/10/26 | 2,220,000 | 2,095,139 | |||||||||||
Targa Resources Corp., Senior Notes |
5.200 | % | 7/1/27 | 2,100,000 | 2,059,027 | |||||||||||
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
7.850 | % | 2/1/26 | 1,530,000 | 1,591,258 | |||||||||||
Western Midstream Operating LP, Senior Notes |
3.100 | % | 2/1/25 | 2,130,000 | 2,039,976 | |||||||||||
Western Midstream Operating LP, Senior Notes |
3.950 | % | 6/1/25 | 170,000 | 163,334 | |||||||||||
Western Midstream Operating LP, Senior Notes |
4.750 | % | 8/15/28 | 60,000 | 56,170 | |||||||||||
Western Midstream Operating LP, Senior Notes |
6.350 | % | 1/15/29 | 140,000 | 140,419 | |||||||||||
Williams Cos. Inc., Senior Notes |
4.500 | % | 11/15/23 | 1,150,000 | 1,147,175 | |||||||||||
Williams Cos. Inc., Senior Notes |
4.300 | % | 3/4/24 | 1,300,000 | 1,290,347 | |||||||||||
|
|
|||||||||||||||
TOTAL ENERGY |
54,878,933 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
4 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
FINANCIALS - 21.4% | ||||||||||||||||
Banks - 14.2% |
||||||||||||||||
Banco Santander SA, Senior Notes |
2.746 | % | 5/28/25 | $ | 2,800,000 | $ | 2,637,725 | |||||||||
Banco Santander SA, Senior Notes (4.175% to 3/24/27 then 1 year Treasury Constant Maturity Rate + 2.000%) |
4.175 | % | 3/24/28 | 1,200,000 | 1,108,574 | (b) | ||||||||||
Bank of America Corp., Senior Notes (1.319% to 6/19/25 then SOFR + 1.150%) |
1.319 | % | 6/19/26 | 8,080,000 | 7,412,417 | (b) | ||||||||||
Bank of America Corp., Senior Notes (3.458% to 3/15/24 then 3 mo. Term SOFR + 1.232%) |
3.458 | % | 3/15/25 | 70,000 | 69,075 | (b) | ||||||||||
Bank of America Corp., Senior Notes (3.841% to 4/25/24 then SOFR + 1.110%) |
3.841 | % | 4/25/25 | 1,490,000 | 1,469,126 | (b) | ||||||||||
Bank of America NA, Senior Notes |
5.650 | % | 8/18/25 | 2,100,000 | 2,095,232 | |||||||||||
Bank of Montreal, Senior Notes |
3.300 | % | 2/5/24 | 130,000 | 128,786 | |||||||||||
Bank of Montreal, Senior Notes |
2.500 | % | 6/28/24 | 1,490,000 | 1,452,762 | |||||||||||
Bank of Nova Scotia, Senior Notes |
3.450 | % | 4/11/25 | 1,220,000 | 1,174,918 | |||||||||||
Bank of Nova Scotia, Senior Notes |
1.300 | % | 6/11/25 | 1,080,000 | 999,517 | |||||||||||
Bank of Nova Scotia, Senior Notes |
1.050 | % | 3/2/26 | 650,000 | 580,471 | |||||||||||
BNP Paribas SA, Senior Notes |
3.375 | % | 1/9/25 | 2,110,000 | 2,037,033 | (a) | ||||||||||
BNP Paribas SA, Senior Notes (2.219% to 6/9/25 then SOFR + 2.074%) |
2.219 | % | 6/9/26 | 970,000 | 905,453 | (a)(b) | ||||||||||
BNP Paribas SA, Senior Notes (4.705% to 1/10/24 then 3 mo. Term SOFR + 2.497%) |
4.705 | % | 1/10/25 | 210,000 | 208,974 | (a)(b) | ||||||||||
BNP Paribas SA, Senior Notes (5.125% to 1/13/28 then 1 year Treasury Constant Maturity Rate + 1.450%) |
5.125 | % | 1/13/29 | 1,130,000 | 1,091,504 | (a)(b) | ||||||||||
Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. Term SOFR + 4.167%) |
5.950 | % | 5/15/25 | 540,000 | 515,911 | (b)(c) | ||||||||||
Citigroup Inc., Senior Notes (3.106% to 4/8/25 then SOFR + 2.842%) |
3.106 | % | 4/8/26 | 2,280,000 | 2,176,395 | (b) | ||||||||||
Citigroup Inc., Senior Notes (3.290% to 3/17/25 then SOFR + 1.528%) |
3.290 | % | 3/17/26 | 1,510,000 | 1,445,465 | (b) | ||||||||||
Citigroup Inc., Subordinated Notes |
4.400 | % | 6/10/25 | 3,000,000 | 2,911,716 | |||||||||||
Cooperatieve Rabobank UA, Senior Notes (1.339% to 6/24/25 then 1 year Treasury Constant Maturity Rate + 1.000%) |
1.339 | % | 6/24/26 | 2,830,000 | 2,605,139 | (a)(b) | ||||||||||
Credit Agricole SA, Senior Notes (1.247% to 1/26/26 then SOFR + 0.892%) |
1.247 | % | 1/26/27 | 2,030,000 | 1,813,953 | (a)(b) | ||||||||||
Danske Bank A/S, Senior Notes |
5.375 | % | 1/12/24 | 970,000 | 966,197 | (a) |
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
5 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Banks - (continued) |
||||||||||||||||
Danske Bank A/S, Senior Notes (3.773% to 3/28/24 then 1 year Treasury Constant Maturity Rate + 1.450%) |
3.773 | % | 3/28/25 | $ | 3,680,000 | $ | 3,625,810 | (a)(b) | ||||||||
HSBC Holdings PLC, Senior Notes (0.976% to 5/24/24 then SOFR + 0.708%) |
0.976 | % | 5/24/25 | 3,460,000 | 3,334,064 | (b) | ||||||||||
HSBC Holdings PLC, Senior Notes (3.803% to 3/11/24 then 3 mo. Term SOFR + 1.473%) |
3.803 | % | 3/11/25 | 950,000 | 938,424 | (b) | ||||||||||
ING Groep NV, Senior Notes (4.017% to 3/28/27 then SOFR + 1.830%) |
4.017 | % | 3/28/28 | 1,680,000 | 1,560,683 | (b) | ||||||||||
Intesa Sanpaolo SpA, Senior Notes |
3.250 | % | 9/23/24 | 430,000 | 416,790 | (a) | ||||||||||
JPMorgan Chase & Co., Senior Notes (2.083% to 4/22/25 then SOFR + 1.850%) |
2.083 | % | 4/22/26 | 7,460,000 | 7,004,044 | (b) | ||||||||||
JPMorgan Chase & Co., Senior Notes (3.220% to 3/1/24 then 3 mo. Term SOFR + 1.417%) |
3.220 | % | 3/1/25 | 920,000 | 908,071 | (b) | ||||||||||
JPMorgan Chase & Co., Senior Notes (3.845% to 6/14/24 then SOFR + 0.980%) |
3.845 | % | 6/14/25 | 1,450,000 | 1,424,686 | (b) | ||||||||||
JPMorgan Chase & Co., Senior Notes (4.023% to 12/5/23 then 3 mo. Term SOFR + 1.262%) |
4.023 | % | 12/5/24 | 2,530,000 | 2,518,898 | (b) | ||||||||||
KeyBank NA, Senior Notes (SOFR + 0.340%) |
5.685 | % | 1/3/24 | 1,410,000 | 1,404,854 | (b) | ||||||||||
Lloyds Banking Group PLC, Senior Notes (3.870% to 7/9/24 then 1 year Treasury Constant Maturity Rate + 3.500%) |
3.870 | % | 7/9/25 | 3,160,000 | 3,099,134 | (b) | ||||||||||
Mitsubishi UFJ Financial Group Inc., Senior Notes |
1.412 | % | 7/17/25 | 640,000 | 590,664 | |||||||||||
Mitsubishi UFJ Financial Group Inc., Senior Notes (3.837% to 4/17/25 then 1 year Treasury Constant Maturity Rate + 1.125%) |
3.837 | % | 4/17/26 | 270,000 | 260,816 | (b) | ||||||||||
NatWest Group PLC, Senior Notes (4.269% to 3/22/24 then 3 mo. USD LIBOR + 1.762%) |
4.269 | % | 3/22/25 | 1,770,000 | 1,751,289 | (b) | ||||||||||
Nordea Bank Abp, Senior Notes |
0.625 | % | 5/24/24 | 1,050,000 | 1,015,406 | (a) | ||||||||||
PNC Financial Services Group Inc., Senior Notes |
3.500 | % | 1/23/24 | 370,000 | 367,207 | |||||||||||
PNC Financial Services Group Inc., Senior Notes (5.812% to 6/12/25 then SOFR + 1.322%) |
5.812 | % | 6/12/26 | 1,050,000 | 1,041,914 | (b) | ||||||||||
Royal Bank of Canada, Senior Notes |
3.375 | % | 4/14/25 | 3,340,000 | 3,223,297 | |||||||||||
Royal Bank of Canada, Senior Notes |
1.150 | % | 6/10/25 | 1,060,000 | 980,583 | |||||||||||
Royal Bank of Canada, Senior Notes (SOFR + 0.360%) |
5.700 | % | 7/29/24 | 1,450,000 | 1,448,528 | (b) | ||||||||||
Sumitomo Mitsui Financial Group Inc., Senior Notes |
0.508 | % | 1/12/24 | 510,000 | 502,481 | |||||||||||
Sumitomo Mitsui Financial Group Inc., Senior Notes (3 mo. Term SOFR + 1.062%) |
6.372 | % | 10/16/23 | 1,290,000 | 1,290,222 | (b) |
See Notes to Schedule of Investments.
6 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Banks - (continued) |
||||||||||||||||
Swedbank AB, Senior Notes |
3.356 | % | 4/4/25 | $ | 3,960,000 | $ | 3,811,574 | (a) | ||||||||
Toronto-Dominion Bank, Senior Notes |
5.523 | % | 7/17/28 | 1,820,000 | 1,797,418 | |||||||||||
Truist Financial Corp., Senior Notes (6.047% to 6/8/26 then SOFR + 2.050%) |
6.047 | % | 6/8/27 | 420,000 | 415,577 | (b) | ||||||||||
US Bancorp, Senior Notes |
3.375 | % | 2/5/24 | 315,000 | 312,031 | |||||||||||
US Bancorp, Senior Notes (2.215% to 1/27/27 then SOFR + 0.730%) |
2.215 | % | 1/27/28 | 250,000 | 220,666 | (b) | ||||||||||
US Bancorp, Senior Notes (5.775% to 6/12/28 then SOFR + 2.020%) |
5.775 | % | 6/12/29 | 450,000 | 438,271 | (b) | ||||||||||
Wells Fargo & Co., Senior Notes |
3.750 | % | 1/24/24 | 2,060,000 | 2,045,310 | |||||||||||
Wells Fargo & Co., Senior Notes (2.188% to 4/30/25 then SOFR + 2.000%) |
2.188 | % | 4/30/26 | 5,830,000 | 5,475,461 | (b) | ||||||||||
Wells Fargo & Co., Senior Notes (3.908% to 4/25/25 then SOFR + 1.320%) |
3.908 | % | 4/25/26 | 3,070,000 | 2,958,958 | (b) | ||||||||||
|
|
|||||||||||||||
Total Banks |
91,989,474 | |||||||||||||||
|
|
|||||||||||||||
Capital Markets - 5.3% |
||||||||||||||||
Bank of New York Mellon Corp., Senior Notes |
1.600 | % | 4/24/25 | 440,000 | 412,530 | |||||||||||
Bank of New York Mellon Corp., Senior Notes (3.992% to 6/13/27 then SOFR + 1.151%) |
3.992 | % | 6/13/28 | 900,000 | 849,015 | (b) | ||||||||||
Charles Schwab Corp., Senior Notes |
0.750 | % | 3/18/24 | 1,970,000 | 1,923,094 | |||||||||||
Charles Schwab Corp., Senior Notes |
5.875 | % | 8/24/26 | 210,000 | 209,390 | |||||||||||
Credit Suisse AG, Senior Notes |
4.750 | % | 8/9/24 | 370,000 | 364,827 | |||||||||||
Credit Suisse AG, Senior Notes |
3.625 | % | 9/9/24 | 1,140,000 | 1,109,937 | |||||||||||
Credit Suisse AG, Senior Notes |
2.950 | % | 4/9/25 | 880,000 | 836,483 | |||||||||||
Goldman Sachs Group Inc., Senior Notes |
3.625 | % | 2/20/24 | 4,260,000 | 4,220,272 | |||||||||||
Goldman Sachs Group Inc., Senior Notes |
3.500 | % | 4/1/25 | 1,010,000 | 972,772 | |||||||||||
Goldman Sachs Group Inc., Senior Notes (3.272% to 9/29/24 then 3 mo. Term SOFR + 1.463%) |
3.272 | % | 9/29/25 | 6,550,000 | 6,348,782 | (b) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (4.387% to 6/15/26 then SOFR + 1.510%) |
4.387 | % | 6/15/27 | 720,000 | 693,085 | (b) | ||||||||||
Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%) |
2.188 | % | 4/28/26 | 4,380,000 | 4,116,201 | (b) | ||||||||||
Morgan Stanley, Senior Notes (3.620% to 4/17/24 then SOFR + 1.160%) |
3.620 | % | 4/17/25 | 3,400,000 | 3,346,921 | (b) | ||||||||||
Morgan Stanley, Senior Notes (SOFR + 0.455%) |
5.790 | % | 1/25/24 | 4,370,000 | 4,369,560 | (b) | ||||||||||
Morgan Stanley Bank NA, Senior Notes |
4.754 | % | 4/21/26 | 670,000 | 655,081 | |||||||||||
UBS AG, Senior Notes |
0.700 | % | 8/9/24 | 1,000,000 | 956,003 | (a) | ||||||||||
UBS Group AG, Senior Notes |
4.125 | % | 9/24/25 | 940,000 | 901,422 | (a) |
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
7 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Capital Markets - (continued) |
||||||||||||||||
UBS Group AG, Senior Notes (2.193% to 6/5/25 then SOFR + 2.044%) |
2.193 | % | 6/5/26 | $ | 880,000 | $ | 818,787 | (a)(b) | ||||||||
UBS Group AG, Senior Notes (2.593% to 9/11/24 then SOFR + 1.560%) |
2.593 | % | 9/11/25 | 1,490,000 | 1,434,621 | (a)(b) | ||||||||||
|
|
|||||||||||||||
Total Capital Markets |
34,538,783 | |||||||||||||||
|
|
|||||||||||||||
Financial Services - 1.5% |
||||||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
1.650 | % | 10/29/24 | 2,910,000 | 2,769,160 | |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
6.100 | % | 1/15/27 | 1,160,000 | 1,154,908 | |||||||||||
Caterpillar Financial Services Corp., Senior Notes |
0.450 | % | 5/17/24 | 2,310,000 | 2,238,265 | |||||||||||
National Securities Clearing Corp., Senior Notes |
0.750 | % | 12/7/25 | 1,020,000 | 920,683 | (a) | ||||||||||
PayPal Holdings Inc., Senior Notes |
1.650 | % | 6/1/25 | 2,260,000 | 2,115,715 | |||||||||||
USAA Capital Corp., Senior Notes |
0.500 | % | 5/1/24 | 340,000 | 329,385 | (a) | ||||||||||
Visa Inc., Senior Notes |
3.150 | % | 12/14/25 | 520,000 | 496,499 | |||||||||||
|
|
|||||||||||||||
Total Financial Services |
10,024,615 | |||||||||||||||
|
|
|||||||||||||||
Insurance - 0.4% |
||||||||||||||||
American International Group Inc., Senior Notes |
2.500 | % | 6/30/25 | 60,000 | 56,629 | |||||||||||
Great-West Lifeco US Finance 2020 LP, Senior Notes |
0.904 | % | 8/12/25 | 1,630,000 | 1,475,876 | (a) | ||||||||||
New York Life Global Funding, Senior Secured Notes |
0.950 | % | 6/24/25 | 940,000 | 865,589 | (a) | ||||||||||
Principal Life Global Funding II, Secured Notes |
1.250 | % | 6/23/25 | 60,000 | 55,378 | (a) | ||||||||||
|
|
|||||||||||||||
Total Insurance |
2,453,472 | |||||||||||||||
|
|
|||||||||||||||
TOTAL FINANCIALS |
139,006,344 | |||||||||||||||
|
|
|||||||||||||||
HEALTH CARE - 4.0% | ||||||||||||||||
Biotechnology - 0.9% |
||||||||||||||||
AbbVie Inc., Senior Notes |
3.750 | % | 11/14/23 | 2,930,000 | 2,922,895 | |||||||||||
AbbVie Inc., Senior Notes |
2.600 | % | 11/21/24 | 2,440,000 | 2,353,156 | |||||||||||
AbbVie Inc., Senior Notes |
2.950 | % | 11/21/26 | 390,000 | 362,080 | |||||||||||
Gilead Sciences Inc., Senior Notes |
3.700 | % | 4/1/24 | 310,000 | 306,672 | |||||||||||
|
|
|||||||||||||||
Total Biotechnology |
5,944,803 | |||||||||||||||
|
|
|||||||||||||||
Health Care Equipment & Supplies - 0.1% |
||||||||||||||||
Becton Dickinson & Co., Senior Notes |
3.363 | % | 6/6/24 | 580,000 | 569,878 | |||||||||||
|
|
|||||||||||||||
Health Care Providers & Services - 1.9% |
||||||||||||||||
Centene Corp., Senior Notes |
4.250 | % | 12/15/27 | 30,000 | 27,683 | |||||||||||
Cigna Group, Senior Notes |
4.125 | % | 11/15/25 | 2,090,000 | 2,024,195 | |||||||||||
CVS Health Corp., Senior Notes |
2.625 | % | 8/15/24 | 3,630,000 | 3,530,106 |
See Notes to Schedule of Investments.
8 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Health Care Providers & Services - (continued) |
||||||||||||||||
CVS Health Corp., Senior Notes |
3.875 | % | 7/20/25 | $ | 2,070,000 | $ | 2,000,852 | |||||||||
CVS Health Corp., Senior Notes |
3.000 | % | 8/15/26 | 1,040,000 | 967,363 | |||||||||||
Humana Inc., Senior Notes |
4.500 | % | 4/1/25 | 590,000 | 579,525 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
0.550 | % | 5/15/24 | 710,000 | 687,779 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
2.375 | % | 8/15/24 | 460,000 | 447,195 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
3.750 | % | 7/15/25 | 420,000 | 408,774 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
1.250 | % | 1/15/26 | 350,000 | 319,015 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
3.700 | % | 5/15/27 | 1,150,000 | 1,090,592 | |||||||||||
|
|
|||||||||||||||
Total Health Care Providers & Services |
12,083,079 | |||||||||||||||
|
|
|||||||||||||||
Pharmaceuticals - 1.1% |
||||||||||||||||
Astrazeneca Finance LLC, Senior Notes |
0.700 | % | 5/28/24 | 3,420,000 | 3,309,896 | |||||||||||
Bristol-Myers Squibb Co., Senior Notes |
2.900 | % | 7/26/24 | 31,000 | 30,308 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
3.150 | % | 10/1/26 | 3,240,000 | 2,890,438 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
4.750 | % | 5/9/27 | 1,000,000 | 918,783 | |||||||||||
|
|
|||||||||||||||
Total Pharmaceuticals |
7,149,425 | |||||||||||||||
|
|
|||||||||||||||
TOTAL HEALTH CARE |
25,747,185 | |||||||||||||||
|
|
|||||||||||||||
INDUSTRIALS - 3.2% | ||||||||||||||||
Aerospace & Defense - 1.4% |
||||||||||||||||
Avolon Holdings Funding Ltd., Senior Notes |
4.250 | % | 4/15/26 | 1,510,000 | 1,419,878 | (a) | ||||||||||
Boeing Co., Senior Notes |
1.433 | % | 2/4/24 | 1,820,000 | 1,791,239 | |||||||||||
Boeing Co., Senior Notes |
4.875 | % | 5/1/25 | 2,880,000 | 2,830,981 | |||||||||||
Boeing Co., Senior Notes |
2.196 | % | 2/4/26 | 1,640,000 | 1,506,196 | |||||||||||
General Dynamics Corp., Senior Notes |
3.250 | % | 4/1/25 | 1,340,000 | 1,296,368 | |||||||||||
|
|
|||||||||||||||
Total Aerospace & Defense |
8,844,662 | |||||||||||||||
|
|
|||||||||||||||
Building Products - 0.0% |
||||||||||||||||
Carrier Global Corp., Senior Notes |
2.242 | % | 2/15/25 | 62,000 | 58,940 | |||||||||||
|
|
|||||||||||||||
Commercial Services & Supplies - 0.1% |
||||||||||||||||
Republic Services Inc., Senior Notes |
2.500 | % | 8/15/24 | 460,000 | 446,940 | |||||||||||
|
|
|||||||||||||||
Ground Transportation - 0.2% |
||||||||||||||||
Canadian Pacific Railway Co., Senior Notes |
1.750 | % | 12/2/26 | 1,340,000 | 1,196,335 | |||||||||||
|
|
|||||||||||||||
Industrial Conglomerates - 0.3% |
||||||||||||||||
3M Co., Senior Notes |
3.250 | % | 2/14/24 | 1,590,000 | 1,574,261 | |||||||||||
|
|
|||||||||||||||
Machinery - 0.2% |
||||||||||||||||
John Deere Capital Corp., Senior Notes |
0.450 | % | 6/7/24 | 1,530,000 | 1,479,785 | |||||||||||
Vertiv Group Corp., Senior Secured Notes |
4.125 | % | 11/15/28 | 100,000 | 87,991 | (a) | ||||||||||
|
|
|||||||||||||||
Total Machinery |
1,567,776 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
9 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Passenger Airlines - 0.3% |
||||||||||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes |
8.000 | % | 9/20/25 | $ | 538,000 | $ | 538,208 | (a) | ||||||||
United Airlines Inc., Senior Secured Notes |
4.375 | % | 4/15/26 | 400,000 | 370,314 | (a) | ||||||||||
United Airlines Inc., Senior Secured Notes |
4.625 | % | 4/15/29 | 1,410,000 | 1,213,412 | (a) | ||||||||||
|
|
|||||||||||||||
Total Passenger Airlines |
2,121,934 | |||||||||||||||
|
|
|||||||||||||||
Trading Companies & Distributors - 0.7% |
||||||||||||||||
Air Lease Corp., Senior Notes |
0.700 | % | 2/15/24 | 1,900,000 | 1,862,067 | |||||||||||
Air Lease Corp., Senior Notes |
1.875 | % | 8/15/26 | 3,030,000 | 2,693,713 | |||||||||||
Air Lease Corp., Senior Notes |
5.300 | % | 2/1/28 | 40,000 | 38,672 | |||||||||||
|
|
|||||||||||||||
Total Trading Companies & Distributors |
4,594,452 | |||||||||||||||
|
|
|||||||||||||||
TOTAL INDUSTRIALS |
20,405,300 | |||||||||||||||
|
|
|||||||||||||||
INFORMATION TECHNOLOGY - 1.2% | ||||||||||||||||
Communications Equipment - 0.0% |
||||||||||||||||
CommScope Inc., Senior Secured Notes |
4.750 | % | 9/1/29 | 40,000 | 29,474 | (a) | ||||||||||
|
|
|||||||||||||||
IT Services - 0.1% |
||||||||||||||||
International Business Machines Corp., Senior Notes |
3.000 | % | 5/15/24 | 910,000 | 894,716 | |||||||||||
|
|
|||||||||||||||
Semiconductors & Semiconductor Equipment - 0.6% |
||||||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., Senior Notes |
3.625 | % | 1/15/24 | 590,000 | 585,723 | |||||||||||
Broadcom Inc., Senior Notes |
3.150 | % | 11/15/25 | 230,000 | 217,475 | |||||||||||
Intel Corp., Senior Notes |
3.700 | % | 7/29/25 | 1,180,000 | 1,142,683 | |||||||||||
Microchip Technology Inc., Senior Notes |
0.983 | % | 9/1/24 | 360,000 | 343,740 | |||||||||||
NXP BV/NXP Funding LLC/NXP USA Inc., Senior Notes |
2.700 | % | 5/1/25 | 46,000 | 43,705 | |||||||||||
Texas Instruments Inc., Senior Notes |
1.375 | % | 3/12/25 | 540,000 | 510,063 | |||||||||||
TSMC Arizona Corp., Senior Notes |
1.750 | % | 10/25/26 | 1,150,000 | 1,032,100 | |||||||||||
|
|
|||||||||||||||
Total Semiconductors & Semiconductor Equipment |
3,875,489 | |||||||||||||||
|
|
|||||||||||||||
Software - 0.2% |
||||||||||||||||
Oracle Corp., Senior Notes |
4.500 | % | 5/6/28 | 1,300,000 | 1,239,726 | |||||||||||
|
|
|||||||||||||||
Technology Hardware, Storage & Peripherals - 0.3% |
||||||||||||||||
Apple Inc., Senior Notes |
1.125 | % | 5/11/25 | 2,070,000 | 1,936,696 | |||||||||||
|
|
|||||||||||||||
TOTAL INFORMATION TECHNOLOGY |
7,976,101 | |||||||||||||||
|
|
|||||||||||||||
MATERIALS - 1.5% | ||||||||||||||||
Chemicals - 0.3% |
||||||||||||||||
MEGlobal BV, Senior Notes |
4.250 | % | 11/3/26 | 1,920,000 | 1,826,592 | (a) | ||||||||||
Orbia Advance Corp. SAB de CV, Senior Notes |
1.875 | % | 5/11/26 | 320,000 | 285,603 | (a) | ||||||||||
|
|
|||||||||||||||
Total Chemicals |
2,112,195 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
10 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Metals & Mining - 0.7% |
||||||||||||||||
Glencore Funding LLC, Senior Notes |
4.125 | % | 3/12/24 | $ | 1,220,000 | $ | 1,209,713 | (a) | ||||||||
Glencore Funding LLC, Senior Notes |
4.625 | % | 4/29/24 | 840,000 | 831,722 | (a) | ||||||||||
Vale Overseas Ltd., Senior Notes |
6.250 | % | 8/10/26 | 860,000 | 875,149 | |||||||||||
Vale Overseas Ltd., Senior Notes |
6.875 | % | 11/21/36 | 751,000 | 756,303 | |||||||||||
Yamana Gold Inc., Senior Notes |
4.625 | % | 12/15/27 | 710,000 | 667,070 | |||||||||||
|
|
|||||||||||||||
Total Metals & Mining |
4,339,957 | |||||||||||||||
|
|
|||||||||||||||
Paper & Forest Products - 0.5% |
||||||||||||||||
Inversiones CMPC SA, Senior Notes |
4.375 | % | 4/4/27 | 1,740,000 | 1,629,652 | (a) | ||||||||||
Suzano Austria GmbH, Senior Notes |
5.750 | % | 7/14/26 | 790,000 | 781,324 | (a) | ||||||||||
Suzano International Finance BV, Senior Notes |
5.500 | % | 1/17/27 | 870,000 | 853,091 | |||||||||||
|
|
|||||||||||||||
Total Paper & Forest Products |
3,264,067 | |||||||||||||||
|
|
|||||||||||||||
TOTAL MATERIALS |
9,716,219 | |||||||||||||||
|
|
|||||||||||||||
REAL ESTATE - 0.1% | ||||||||||||||||
Health Care REITs - 0.1% |
||||||||||||||||
CTR Partnership LP/CareTrust Capital Corp., Senior Notes |
3.875 | % | 6/30/28 | 390,000 | 333,906 | (a) | ||||||||||
|
|
|||||||||||||||
UTILITIES - 1.4% | ||||||||||||||||
Electric Utilities - 1.4% |
||||||||||||||||
CenterPoint Energy Houston Electric LLC, Senior Secured Bonds |
5.200 | % | 10/1/28 | 1,570,000 | 1,558,743 | |||||||||||
NextEra Energy Capital Holdings Inc., Senior Notes |
5.749 | % | 9/1/25 | 420,000 | 418,957 | |||||||||||
Pacific Gas and Electric Co., First Mortgage Bonds |
4.950 | % | 6/8/25 | 1,190,000 | 1,162,509 | |||||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Senior Notes |
5.450 | % | 5/21/28 | 2,212,000 | 2,160,935 | (a) | ||||||||||
Southern California Edison Co., First Mortgage Bonds |
0.975 | % | 8/1/24 | 1,170,000 | 1,123,213 | |||||||||||
Southern California Edison Co., First Mortgage Bonds |
5.650 | % | 10/1/28 | 2,720,000 | 2,716,405 | |||||||||||
|
|
|||||||||||||||
TOTAL UTILITIES |
9,140,762 | |||||||||||||||
|
|
|||||||||||||||
TOTAL CORPORATE BONDS & NOTES |
346,743,860 | |||||||||||||||
|
|
|||||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 14.5% | ||||||||||||||||
U.S. Government Agencies - 0.2% |
||||||||||||||||
Federal National Mortgage Association (FNMA), Notes |
0.375 | % | 8/25/25 | 1,010,000 | 924,003 | |||||||||||
|
|
|||||||||||||||
U.S. Government Obligations - 14.3% |
||||||||||||||||
Federal Farm Credit Banks Funding Corp., Bonds |
3.375 | % | 8/26/24 | 830,000 | 814,181 | |||||||||||
U.S. Treasury Notes |
0.250 | % | 6/15/24 | 1,230,000 | 1,185,885 |
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
11 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
U.S. Government Obligations - (continued) |
||||||||||||||||
U.S. Treasury Notes |
3.000 | % | 6/30/24 | $ | 11,450,000 | $ | 11,241,981 | |||||||||
U.S. Treasury Notes |
0.250 | % | 5/31/25 | 20,000 | 18,445 | |||||||||||
U.S. Treasury Notes |
0.250 | % | 7/31/25 | 4,545,000 | 4,162,048 | |||||||||||
U.S. Treasury Notes |
2.750 | % | 7/31/27 | 9,400,000 | 8,757,789 | |||||||||||
U.S. Treasury Notes |
4.125 | % | 10/31/27 | 9,210,000 | 9,015,367 | |||||||||||
U.S. Treasury Notes |
3.500 | % | 1/31/28 | 12,820,000 | 12,236,590 | |||||||||||
U.S. Treasury Notes |
4.000 | % | 2/29/28 | 2,670,000 | 2,601,268 | |||||||||||
U.S. Treasury Notes |
3.500 | % | 4/30/28 | 39,930,000 | 38,062,961 | |||||||||||
U.S. Treasury Notes |
3.625 | % | 5/31/28 | 4,850,000 | 4,648,990 | |||||||||||
|
|
|||||||||||||||
Total U.S. Government Obligations |
92,745,505 | |||||||||||||||
|
|
|||||||||||||||
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS |
93,669,508 | |||||||||||||||
|
|
|||||||||||||||
ASSET-BACKED SECURITIES - 13.6% | ||||||||||||||||
ABFC Trust, 2002-WF2 A2 (1 mo. Term SOFR + 1.239%) |
6.559 | % | 5/25/32 | 10,097 | 10,021 | (b) | ||||||||||
ABFC Trust, 2003-OPT1 A3 (1 mo. Term SOFR + 0.794%) |
6.114 | % | 4/25/33 | 477,488 | 452,212 | (b) | ||||||||||
ABFC Trust, 2004-OPT2 M1 (1 mo. Term SOFR + 0.939%) |
6.259 | % | 8/25/33 | 132 | 132 | (b) | ||||||||||
Allegro CLO Ltd., 2014-1RA A1 (3 mo. Term SOFR + 1.342%) |
6.675 | % | 10/21/28 | 712,539 | 712,193 | (a)(b) | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, 2020-2A A |
2.020 | % | 2/20/27 | 940,000 | 858,814 | (a) | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, 2021-1A A |
1.380 | % | 8/20/27 | 1,230,000 | 1,086,866 | (a) | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, 2021-1A C |
2.130 | % | 8/20/27 | 980,000 | 854,711 | (a) | ||||||||||
Ballyrock CLO Ltd., 2019-2A A1BR (3 mo. Term SOFR + 1.462%) |
6.841 | % | 11/20/30 | 490,000 | 488,818 | (a)(b) | ||||||||||
Barings Private Credit Corp. CLO Ltd., 2023-1A A1 (3 mo. Term SOFR + 2.400%) |
7.807 | % | 7/15/31 | 1,130,000 | 1,130,538 | (a)(b) | ||||||||||
Battery Park CLO Ltd., 2022-1A A1 (3 mo. Term SOFR + 2.210%) |
7.536 | % | 10/20/35 | 1,150,000 | 1,155,133 | (a)(b) | ||||||||||
BCRED MML CLO LLC, 2021-1A A (3 mo. Term SOFR + 1.742%) |
7.050 | % | 1/15/35 | 1,050,000 | 1,039,500 | (a)(b) | ||||||||||
BDS Ltd., 2021-FL10 D (1 mo. Term SOFR + 2.964%) |
8.295 | % | 12/16/36 | 1,320,000 | 1,257,385 | (a)(b) | ||||||||||
BlueMountain CLO Ltd., 2018-22A A1 (3 mo. Term SOFR + 1.342%) |
6.650 | % | 7/15/31 | 770,000 | 768,053 | (a)(b) | ||||||||||
Bravo Mortgage Asset Trust, 2006-1A M1 (1 mo. Term SOFR + 0.714%) |
6.034 | % | 7/25/36 | 690,672 | 595,967 | (a)(b) |
See Notes to Schedule of Investments.
12 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
Carlyle Global Market Strategies CLO Ltd., 2014-3RA A1A (3 mo. Term SOFR + 1.312%) |
6.669 | % | 7/27/31 | $ | 376,896 | $ | 376,820 | (a)(b) | ||||||||
CarVal CLO Ltd., 2023-1A A1 (3 mo. Term SOFR + 2.200%) |
7.526 | % | 1/20/35 | 1,210,000 | 1,218,554 | (a)(b) | ||||||||||
CBAM Ltd., 2017-1A A1 (3 mo. Term SOFR + 1.512%) |
6.838 | % | 7/20/30 | 304,826 | 305,067 | (a)(b) | ||||||||||
CCG Receivables Trust, 2021-2 A2 |
0.540 | % | 3/14/29 | 1,000,214 | 964,344 | (a) | ||||||||||
Cedar Funding CLO Ltd., 2016-5A AFRR |
1.937 | % | 7/17/31 | 1,700,000 | 1,580,974 | (a) | ||||||||||
Countrywide Asset-Backed Certificates Trust, 2002-S3 M1 |
4.800 | % | 5/25/32 | 1,285 | 915 | (b) | ||||||||||
Dryden CLO Ltd., 2019-80A BR (3 mo. Term SOFR + 1.750%) |
7.058 | % | 1/17/33 | 1,710,000 | 1,685,354 | (a)(b) | ||||||||||
Ent Auto Receivables Trust, 2023-1A A4 |
6.260 | % | 11/15/29 | 640,000 | 640,651 | (a) | ||||||||||
Enterprise Fleet Financing LLC, 2022-3 A2 |
4.380 | % | 7/20/29 | 982,407 | 962,145 | (a) | ||||||||||
Enterprise Fleet Financing LLC, 2023-1 A2 |
5.510 | % | 1/22/29 | 1,590,000 | 1,577,568 | (a) | ||||||||||
Ford Credit Auto Owner Trust, 2023-1 A |
4.850 | % | 8/15/35 | 2,000,000 | 1,939,887 | (a) | ||||||||||
Fortress Credit BSL Ltd., 2021-1A A (3 mo. Term SOFR + 1.732%) |
7.058 | % | 4/20/33 | 2,990,000 | 2,991,293 | (a)(b) | ||||||||||
Foundation Finance Trust, 2021-1A A |
1.270 | % | 5/15/41 | 307,421 | 271,289 | (a) | ||||||||||
Galaxy CLO Ltd., 2018-26A A (3 mo. Term SOFR + 1.462%) |
6.845 | % | 11/22/31 | 450,000 | 449,859 | (a)(b) | ||||||||||
GECU Auto Receivables Trust, 2023-1A A3 |
5.630 | % | 8/15/28 | 1,530,000 | 1,518,694 | (a) | ||||||||||
GoldenTree Loan Management US CLO Ltd., 2021-10A A (3 mo. Term SOFR + 1.362%) |
6.688 | % | 7/20/34 | 2,590,000 | 2,586,638 | (a)(b) | ||||||||||
GoldenTree Loan Opportunities Ltd., 2014-9A AR2 (3 mo. Term SOFR + 1.372%) |
6.741 | % | 10/29/29 | 284,792 | 284,943 | (a)(b) | ||||||||||
GoldenTree Loan Opportunities Ltd., 2014-9A BR2 (3 mo. Term SOFR + 1.862%) |
7.231 | % | 10/29/29 | 1,080,000 | 1,081,768 | (a)(b) | ||||||||||
Golub Capital Partners CLO LP, 2021-54A A (3 mo. Term SOFR + 1.792%) |
7.161 | % | 8/5/33 | 1,980,000 | 1,959,831 | (a)(b) | ||||||||||
Golub Capital Partners CLO Ltd., 2015-25A AR (3 mo. Term SOFR + 1.642%) |
7.011 | % | 5/5/30 | 956,747 | 955,254 | (a)(b) | ||||||||||
Golub Capital Partners CLO Ltd., 2018-36A B (3 mo. Term SOFR + 1.912%) |
7.281 | % | 2/5/31 | 1,270,000 | 1,242,624 | (a)(b) | ||||||||||
Golub Capital Partners CLO Ltd., 2020-47A A1 (3 mo. Term SOFR + 1.942%) |
7.311 | % | 5/5/32 | 1,080,000 | 1,075,140 | (a)(b) | ||||||||||
GoodLeap Sustainable Home Solutions Trust, 2021-4GS A |
1.930 | % | 7/20/48 | 570,699 | 420,122 | (a) | ||||||||||
Great Lakes Kcap F3c Senior LLC, 2017-1A A (3 mo. Term SOFR + 2.162%) |
7.559 | % | 12/20/29 | 880,716 | 882,528 | (a)(b) |
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
13 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
Greenwood Park CLO Ltd., 2018-1A A2 (3 mo. Term SOFR + 1.272%) |
6.580 | % | 4/15/31 | $ | 500,000 | $ | 499,645 | (a)(b) | ||||||||
Greystone CRE Notes Ltd., 2021-FL3 A (1 mo. Term SOFR + 1.134%) |
6.467 | % | 7/15/39 | 1,030,000 | 1,015,473 | (a)(b) | ||||||||||
Greywolf CLO Ltd., 2018-1A A2 (3 mo. Term SOFR + 1.890%) |
7.241 | % | 4/26/31 | 650,000 | 648,354 | (a)(b) | ||||||||||
Grippen Park CLO Ltd., 2017-1A A (3 mo. Term SOFR + 1.522%) |
6.848 | % | 1/20/30 | 801,568 | 801,303 | (a)(b) | ||||||||||
Grippen Park CLO Ltd., 2017-1A C (3 mo. Term SOFR + 2.562%) |
7.888 | % | 1/20/30 | 750,000 | 750,032 | (a)(b) | ||||||||||
Halsey Point CLO Ltd., 2019-1A A1A1 (3 mo. Term SOFR + 1.612%) |
6.938 | % | 1/20/33 | 1,360,000 | 1,358,009 | (a)(b) | ||||||||||
Hertz Vehicle Financing LLC, 2021-1A A |
1.210 | % | 12/26/25 | 1,250,000 | 1,186,929 | (a) | ||||||||||
Hertz Vehicle Financing LP, 2021-2A A |
1.680 | % | 12/27/27 | 530,000 | 465,723 | (a) | ||||||||||
Hildene Community Funding CDO Ltd., 2015-1A ARR |
2.600 | % | 11/1/35 | 1,321,287 | 1,088,798 | (a) | ||||||||||
Home Equity Asset Trust, 2005-6 M5 (1 mo. Term SOFR + 1.059%) |
6.379 | % | 12/25/35 | 380,000 | 345,236 | (b) | ||||||||||
JPMorgan Mortgage Acquisition Trust, 2007-CH2 MV2 (1 mo. Term SOFR + 0.414%) |
5.734 | % | 1/25/37 | 420,000 | 400,946 | (b) | ||||||||||
KREF Ltd., 2022-FL3 A (1 mo. Term SOFR + 1.450%) |
6.777 | % | 2/17/39 | 1,600,000 | 1,583,147 | (a)(b) | ||||||||||
Magnetite Ltd., 2015-14RA A2 (3 mo. Term SOFR + 1.382%) |
6.692 | % | 10/18/31 | 730,000 | 730,433 | (a)(b) | ||||||||||
MASTR Specialized Loan Trust, 2006-3 A (1 mo. Term SOFR + 0.634%) |
5.954 | % | 6/25/46 | 31,183 | 29,609 | (a)(b) | ||||||||||
MF1 LLC, 2022-FL9 A (1 mo. Term SOFR + 2.150%) |
7.477 | % | 6/19/37 | 2,250,000 | 2,253,352 | (a)(b) | ||||||||||
MF1 Ltd., 2021-FL7 A (1 mo. Term SOFR + 1.194%) |
6.525 | % | 10/16/36 | 1,060,000 | 1,049,284 | (a)(b) | ||||||||||
Midocean Credit CLO, 2018-8A A1R (3 mo. Term SOFR + 1.312%) |
6.691 | % | 2/20/31 | 738,166 | 737,767 | (a)(b) | ||||||||||
Midocean Credit CLO, 2018-9A B (3 mo. Term SOFR + 2.012%) |
7.338 | % | 7/20/31 | 1,750,000 | 1,738,123 | (a)(b) | ||||||||||
Myers Park CLO Ltd., 2018-1A B1 (3 mo. Term SOFR + 1.862%) |
7.188 | % | 10/20/30 | 250,000 | 248,052 | (a)(b) | ||||||||||
Navient Private Education Refi Loan Trust, 2022-BA A |
4.160 | % | 10/15/70 | 935,116 | 874,103 | (a) | ||||||||||
Navient Student Loan Trust, 2016-6A A3 (30 Day Average SOFR + 1.414%) |
6.729 | % | 3/25/66 | 1,812,683 | 1,818,867 | (a)(b) |
See Notes to Schedule of Investments.
14 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
Navient Student Loan Trust, 2021-1A A1B (30 Day Average SOFR + 0.714%) |
6.029 | % | 12/26/69 | $ | 639,163 | $ | 632,443 | (a)(b) | ||||||||
Nelnet Student Loan Trust, 2014-6A A (30 Day Average SOFR + 0.764%) |
6.079 | % | 11/25/52 | 235,211 | 232,655 | (a)(b) | ||||||||||
Nelnet Student Loan Trust, 2021-A A2 (1 mo. Term SOFR + 1.144%) |
6.469 | % | 4/20/62 | 1,310,000 | 1,293,519 | (a)(b) | ||||||||||
Nelnet Student Loan Trust, 2021-A APT1 |
1.360 | % | 4/20/62 | 539,066 | 480,851 | (a) | ||||||||||
Neuberger Berman Loan Advisers CLO Ltd., 2017-24A AR (3 mo. Term SOFR + 1.282%) |
6.602 | % | 4/19/30 | 471,871 | 471,705 | (a)(b) | ||||||||||
Neuberger Berman Loan Advisers CLO Ltd., 2018-29A A1 (3 mo. Term SOFR + 1.392%) |
6.712 | % | 10/19/31 | 250,000 | 250,000 | (a)(b) | ||||||||||
Neuberger Berman Loan Advisers CLO Ltd., 2021-40A A (3 mo. Term SOFR + 1.322%) |
6.630 | % | 4/16/33 | 600,000 | 597,526 | (a)(b) | ||||||||||
Ocean Trails CLO, 2019-7A AR (3 mo. Term SOFR + 1.272%) |
6.580 | % | 4/17/30 | 1,369,132 | 1,366,259 | (a)(b) | ||||||||||
Ocean Trails CLO Ltd., 2023-14A A1 (3 mo. Term SOFR + 2.000%) |
7.326 | % | 1/20/35 | 670,000 | 673,488 | (a)(b) | ||||||||||
Octagon Investment Partners Ltd., 2014-1A AAR3 (3 mo. Term SOFR + 1.262%) |
6.631 | % | 2/14/31 | 260,000 | 258,956 | (a)(b) | ||||||||||
Octagon Investment Partners Ltd., 2018-1A A1A (3 mo. Term SOFR + 1.322%) |
6.648 | % | 1/20/31 | 2,952,897 | 2,947,166 | (a)(b) | ||||||||||
OHA Loan Funding Ltd., 2013-2A AR (3 mo. Term SOFR + 1.302%) |
6.679 | % | 5/23/31 | 238,255 | 238,273 | (a)(b) | ||||||||||
Option One Mortgage Loan Trust, 2007-FXD1 1A1 |
5.866 | % | 1/25/37 | 413,922 | 321,433 | |||||||||||
Option One Mortgage Loan Trust, 2007-FXD1 2A1 |
5.866 | % | 1/25/37 | 368,849 | 294,751 | |||||||||||
Owl Rock CLO Ltd., 2019-1A A (3 mo. Term SOFR + 2.062%) |
7.441 | % | 5/20/31 | 710,497 | 711,050 | (a)(b) | ||||||||||
Parliament Funding Ltd., 2020-1A AR (3 mo. Term SOFR + 1.512%) |
6.838 | % | 10/20/31 | 1,915,391 | 1,910,698 | (a)(b) | ||||||||||
Saranac CLO Ltd., 2014-3A BR (3 mo. USD LIBOR + 1.850%) |
7.508 | % | 6/22/30 | 690,000 | 686,092 | (a)(b) | ||||||||||
Saxon Asset Securities Trust, 2003-3 M1 (1 mo. Term SOFR + 1.089%) |
3.759 | % | 12/25/33 | 15,426 | 14,833 | (b) | ||||||||||
SLM Private Credit Student Loan Trust, 2005-A A4 (3 mo. Term SOFR + 0.572%) |
5.981 | % | 12/15/38 | 906,697 | 878,660 | (b) | ||||||||||
SLM Private Credit Student Loan Trust, 2006-A A5 (3 mo. Term SOFR + 0.552%) |
5.961 | % | 6/15/39 | 674,214 | 650,553 | (b) | ||||||||||
SLM Private Credit Student Loan Trust, 2006-B A5 (3 mo. Term SOFR + 0.532%) |
5.941 | % | 12/15/39 | 373,745 | 358,865 | (b) |
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
15 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
SLM Student Loan Trust, 2003-10A A4 (90 Day Average SOFR + 0.931%) |
6.152 | % | 12/17/68 | $ | 678,308 | $ | 672,991 | (a)(b) | ||||||||
SMB Private Education Loan Trust, 2016-C A2A |
2.340 | % | 9/15/34 | 285,020 | 276,659 | (a) | ||||||||||
SMB Private Education Loan Trust, 2021-A A2A1 (1 mo. Term SOFR + 0.844%) |
6.177 | % | 1/15/53 | 409,658 | 403,487 | (a)(b) | ||||||||||
SMB Private Education Loan Trust, 2021-A A2B |
1.590 | % | 1/15/53 | 438,406 | 380,571 | (a) | ||||||||||
SMB Private Education Loan Trust, 2021-A C |
2.990 | % | 1/15/53 | 757,203 | 634,746 | (a) | ||||||||||
SMB Private Education Loan Trust, 2023-B A1B (30 Day Average SOFR + 1.800%) |
7.113 | % | 10/16/56 | 2,280,876 | 2,298,532 | (a)(b) | ||||||||||
Sonic Capital LLC, 2020-1A A2I |
3.845 | % | 1/20/50 | 87,225 | 79,304 | (a) | ||||||||||
Stonepeak ABS, 2021-1A A |
2.675 | % | 2/28/33 | 932,081 | 831,114 | (a) | ||||||||||
Stratus CLO Ltd., 2021-3A A (3 mo. Term SOFR + 1.212%) |
6.538 | % | 12/29/29 | 1,122,092 | 1,117,965 | (a)(b) | ||||||||||
Stratus Static CLO Ltd., 2022-3A A (3 mo. Term SOFR + 2.150%) |
7.476 | % | 10/20/31 | 673,039 | 674,004 | (a)(b) | ||||||||||
Structured Asset Securities Corp., 2004-SC1 A |
8.239 | % | 12/25/29 | 4,806 | 4,047 | (a)(b) | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, 2006-GEL4 M1 (1 mo. Term SOFR + 0.684%) |
6.004 | % | 10/25/36 | 296,630 | 286,359 | (a)(b) | ||||||||||
Structured Asset Securities Corp. Trust, 2005- SC1 1A2 |
6.990 | % | 5/25/31 | 433,822 | 331,499 | (a)(b) | ||||||||||
STWD Ltd., 2022-FL3 A (30 Day Average SOFR + 1.350%) |
6.663 | % | 11/15/38 | 250,000 | 245,126 | (a)(b) | ||||||||||
Sycamore Tree CLO Ltd., 2023-2A A (3 mo. Term SOFR + 2.330%) |
7.656 | % | 4/20/35 | 1,210,000 | 1,218,172 | (a)(b) | ||||||||||
Symphony CLO Ltd., 2016-18A BR (3 mo. Term SOFR + 1.862%) |
7.207 | % | 7/23/33 | 1,040,000 | 1,025,572 | (a)(b) | ||||||||||
Symphony CLO Ltd., 2018-19A A (3 mo. Term SOFR + 1.222%) |
6.530 | % | 4/16/31 | 258,241 | 257,982 | (a)(b) | ||||||||||
TRP LLC, 2021-1 A |
2.070 | % | 6/19/51 | 883,715 | 762,776 | (a) | ||||||||||
Voya CLO Ltd., 2015-1A A1R (3 mo. Term SOFR + 1.162%) |
6.472 | % | 1/18/29 | 329,332 | 329,346 | (a)(b) | ||||||||||
Voya CLO Ltd., 2018-3A A1A (3 mo. Term SOFR + 1.412%) |
6.720 | % | 10/15/31 | 350,000 | 349,584 | (a)(b) | ||||||||||
Voya CLO Ltd., 2018-4A A1AR (3 mo. Term SOFR + 1.302%) |
6.610 | % | 1/15/32 | 820,000 | 817,070 | (a)(b) | ||||||||||
Whitebox CLO Ltd., 2019-1A ANAR (3 mo. Term SOFR + 1.392%) |
6.737 | % | 7/24/32 | 1,940,000 | 1,937,330 | (a)(b) |
See Notes to Schedule of Investments.
16 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
Woodmont Trust, 2023-12A A1A (3 mo. Term SOFR + 2.500%) |
7.620 | % | 7/25/31 | $ | 840,000 | $ | 842,874 | (a)(b) | ||||||||
ZAIS CLO Ltd., 2019-13A A1A (3 mo. Term SOFR + 1.752%) |
7.060 | % | 7/15/32 | 300,000 | 300,063 | (a)(b) | ||||||||||
|
|
|||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
88,352,739 | |||||||||||||||
|
|
|||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - 12.1% | ||||||||||||||||
Alternative Loan Trust, 2005-56 4A1 (1 mo. Term SOFR + 0.734%) |
6.054 | % | 11/25/35 | 62,280 | 55,647 | (b) | ||||||||||
AREIT Trust, 2021-CRE5 A (1 mo. Term SOFR + 1.194%) |
6.525 | % | 11/17/38 | 657,763 | 644,508 | (a)(b) | ||||||||||
Banc of America Mortgage Trust, 2003-C B1 |
4.746 | % | 4/25/33 | 14,181 | 3,058 | (b) | ||||||||||
BANK, 2017-BNK9 ASB |
3.470 | % | 11/15/54 | 1,092,694 | 1,030,677 | |||||||||||
BANK, 2022-BNK39 XA, IO |
0.533 | % | 2/15/55 | 60,658,398 | 1,629,964 | (b) | ||||||||||
BANK, 2022-BNK40 A4 |
3.507 | % | 3/15/64 | 470,000 | 393,041 | (b) | ||||||||||
BANK, 2023-BNK45 A5 |
5.203 | % | 2/15/56 | 1,590,000 | 1,505,097 | |||||||||||
Bear Stearns ALT-A Trust, 2007-1 1A1 (1 mo. Term SOFR + 0.434%) |
5.754 | % | 1/25/47 | 80,585 | 64,754 | (b) | ||||||||||
Benchmark Mortgage Trust, 2021-B31 A5 |
2.669 | % | 12/15/54 | 1,320,000 | 1,043,912 | |||||||||||
BPR Trust, 2021-TY C (1 mo. Term SOFR + 1.814%) |
7.147 | % | 9/15/38 | 990,000 | 926,360 | (a)(b) | ||||||||||
BX Commercial Mortgage Trust, 2021-XL2 J (1 mo. Term SOFR + 4.004%) |
9.336 | % | 10/15/38 | 774,111 | 732,645 | (a)(b) | ||||||||||
BX Commercial Mortgage Trust, 2022-AHP A (1 mo. Term SOFR + 0.990%) |
6.322 | % | 1/17/39 | 1,270,000 | 1,242,139 | (a)(b) | ||||||||||
BX Commercial Mortgage Trust, 2023-VLT2 A (1 mo. Term SOFR + 2.281%) |
7.613 | % | 6/15/40 | 1,970,000 | 1,972,119 | (a)(b) | ||||||||||
BX Mortgage Trust, 2021-PAC A (1 mo. Term SOFR + 0.804%) |
6.136 | % | 10/15/36 | 330,000 | 322,903 | (a)(b) | ||||||||||
BX Trust, 2019-OC11 A |
3.202 | % | 12/9/41 | 680,000 | 574,491 | (a) | ||||||||||
BX Trust, 2021-ARIA G (1 mo. Term SOFR + 3.257%) |
8.589 | % | 10/15/36 | 990,000 | 928,835 | (a)(b) | ||||||||||
BX Trust, 2021-BXMF A (1 mo. Term SOFR + 0.750%) |
6.082 | % | 10/15/26 | 1,640,000 | 1,607,186 | (a)(b) | ||||||||||
BX Trust, 2021-SDMF F (1 mo. Term SOFR + 2.051%) |
7.383 | % | 9/15/34 | 1,170,000 | 1,099,664 | (a)(b) | ||||||||||
BX Trust, 2022-CLS A |
5.760 | % | 10/13/27 | 1,630,000 | 1,575,117 | (a) | ||||||||||
BX Trust, 2022-IND A (1 mo. Term SOFR + 1.491%) |
6.823 | % | 4/15/37 | 629,677 | 625,706 | (a)(b) | ||||||||||
BX Trust, 2022-LBA6 A (1 mo. Term SOFR + 1.000%) |
6.332 | % | 1/15/39 | 1,290,000 | 1,262,499 | (a)(b) |
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
17 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued) | ||||||||||||||||
BX Trust, 2023-LIFE A |
5.045 | % | 2/15/28 | $ | 1,270,000 | $ | 1,196,213 | (a) | ||||||||
CD Mortgage Trust, 2016-CD2 A4 |
3.526 | % | 11/10/49 | 960,000 | 873,797 | (b) | ||||||||||
CFK Trust, 2020-MF2 F |
3.573 | % | 3/15/39 | 1,270,000 | 921,823 | (a)(b) | ||||||||||
Chase Mortgage Finance Trust, 2007-A1 2A3 |
5.269 | % | 2/25/37 | 5,719 | 5,291 | (b) | ||||||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates, 2004-3A A2 (1 mo. Term SOFR + 0.414%) |
5.738 | % | 8/25/35 | 1,109 | 1,033 | (a)(b) | ||||||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates, 2004-4A A2 (1 mo. Term SOFR + 0.694%) |
6.014 | % | 10/25/35 | 9,587 | 8,786 | (a)(b) | ||||||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates, 2005-1A A2 (1 mo. Term SOFR + 0.314%) |
5.634 | % | 1/25/36 | 2,238 | 1,989 | (a)(b) | ||||||||||
Citigroup Commercial Mortgage Trust, 2013- 375P A |
3.251 | % | 5/10/35 | 316,184 | 294,660 | (a) | ||||||||||
Citigroup Commercial Mortgage Trust, 2017-B1 A4 |
3.458 | % | 8/15/50 | 930,000 | 842,310 | |||||||||||
Citigroup Mortgage Loan Trust, 2007-AR4 2A1A |
4.524 | % | 3/25/37 | 18,707 | 18,289 | (b) | ||||||||||
Countrywide Home Loans Reperforming REMIC Trust, 2006-R2 AF1 (1 mo. Term SOFR + 0.534%) |
5.854 | % | 7/25/36 | 74,946 | 68,310 | (a)(b) | ||||||||||
CRSO Trust, 2023-BRND A |
7.121 | % | 7/10/40 | 1,280,000 | 1,283,688 | (a) | ||||||||||
CSMC Trust, 2019-UVIL A |
3.160 | % | 12/15/41 | 1,730,000 | 1,434,939 | (a) | ||||||||||
CSMC Trust, 2020-RPL4 A1 |
2.000 | % | 1/25/60 | 280,348 | 239,338 | (a)(b) | ||||||||||
DSLA Mortgage Loan Trust, 2005-AR1 2A1A (1 mo. Term SOFR + 0.614%) |
5.942 | % | 2/19/45 | 10,469 | 10,268 | (b) | ||||||||||
Ellington Financial Mortgage Trust, 2021-2 A1 |
0.931 | % | 6/25/66 | 440,962 | 345,530 | (a)(b) | ||||||||||
Ellington Financial Mortgage Trust, 2022-1 A1 |
2.206 | % | 1/25/67 | 1,091,618 | 891,413 | (a)(b) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 2525 AM |
4.500 | % | 4/15/32 | 50,713 | 48,915 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5200 KQ, PAC |
3.000 | % | 9/25/49 | 81,091 | 71,437 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA1 B1 (30 Day Average SOFR + 2.414%) |
7.729 | % | 1/25/50 | 230,000 | 231,502 | (a)(b) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA2 M2 (30 Day Average SOFR + 1.964%) |
7.279 | % | 2/25/50 | 135,586 | 135,873 | (a)(b) |
See Notes to Schedule of Investments.
18 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA1 M2 (30 Day Average SOFR + 1.800%) |
7.115 | % | 1/25/51 | $ | 162,126 | $ | 161,661 | (a)(b) | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA3 M1A (30 Day Average SOFR + 2.000%) |
7.315 | % | 4/25/42 | 320,389 | 322,836 | (a)(b) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA3 M1B (30 Day Average SOFR + 2.900%) |
8.215 | % | 4/25/42 | 590,000 | 603,942 | (a)(b) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2018-1 M |
4.750 | % | 5/25/57 | 603,976 | 559,025 | (a)(b) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2019-1 M |
4.750 | % | 7/25/58 | 1,040,000 | 948,383 | (a)(b) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2020-2 M |
4.250 | % | 11/25/59 | 950,000 | 822,019 | (a)(b) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2017-C07 1B1 (30 Day Average SOFR + 4.114%) |
9.429 | % | 5/25/30 | 370,000 | 397,980 | (a)(b) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2018-C01 1B1 (30 Day Average SOFR + 3.664%) |
8.979 | % | 7/25/30 | 410,000 | 435,484 | (a)(b) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2019-R07 1M2 (30 Day Average SOFR + 2.214%) |
7.529 | % | 10/25/39 | 15,101 | 15,126 | (a)(b) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1M2 (30 Day Average SOFR + 2.164%) |
7.479 | % | 1/25/40 | 107,690 | 108,131 | (a)(b) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2022-R04 1M2 (30 Day Average SOFR + 3.100%) |
8.415 | % | 3/25/42 | 540,000 | 548,895 | (a)(b) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M19 A2 |
2.560 | % | 9/25/29 | 193,697 | 170,277 | |||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M28 AV |
2.232 | % | 2/25/27 | 43,054 | 39,931 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2018-74 AB |
3.500 | % | 10/25/48 | 166,702 | 147,525 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2022-57 BC |
4.000 | % | 9/25/52 | 90,433 | 83,130 |
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
19 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued) | ||||||||||||||||
Freddie Mac Structured Pass-Through Certificates, T-51 1A |
6.500 | % | 9/25/43 | $ | 38,755 | $ | 37,948 | (b) | ||||||||
Government National Mortgage Association (GNMA), 2010-H02 FA (1 mo. Term SOFR + 0.794%) |
6.123 | % | 2/20/60 | 18,201 | 18,114 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2010-H03 FA (1 mo. Term SOFR + 0.664%) |
5.993 | % | 3/20/60 | 150,895 | 150,380 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2010-H10 FB (1 mo. Term SOFR + 1.114%) |
6.443 | % | 5/20/60 | 250,012 | 250,529 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2010-H20 AF (1 mo. Term SOFR + 0.444%) |
5.762 | % | 10/20/60 | 443,738 | 440,965 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2010-H26 LF (1 mo. Term SOFR + 0.464%) |
5.782 | % | 8/20/58 | 348,875 | 346,851 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2011-H01 AF (1 mo. Term SOFR + 0.564%) |
5.882 | % | 11/20/60 | 498,790 | 496,818 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2011-H03 FA (1 mo. Term SOFR + 0.614%) |
5.932 | % | 1/20/61 | 42,127 | 41,942 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2011-H05 FB (1 mo. Term SOFR + 0.614%) |
5.932 | % | 12/20/60 | 75,103 | 74,756 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2011-H06 FA (1 mo. Term SOFR + 0.564%) |
5.882 | % | 2/20/61 | 93,443 | 92,962 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2011-H07 FA (1 mo. Term SOFR + 0.614%) |
5.932 | % | 2/20/61 | 46,234 | 46,023 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2011-H19 FA (1 mo. Term SOFR + 0.584%) |
5.902 | % | 8/20/61 | 182,131 | 181,308 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2012-H21 FA (1 mo. Term SOFR + 0.614%) |
5.932 | % | 7/20/62 | 1,838,413 | 1,829,989 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2012-H23 SA (1 mo. Term SOFR + 0.644%) |
5.962 | % | 10/20/62 | 90,564 | 90,227 | (b) |
See Notes to Schedule of Investments.
20 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued) | ||||||||||||||||
Government National Mortgage Association (GNMA), 2012-H23 WA (1 mo. Term SOFR + 0.634%) |
5.952 | % | 10/20/62 | $ | 53,096 | $ | 52,849 | (b) | ||||||||
Government National Mortgage Association (GNMA), 2013-H02 FD (1 mo. Term SOFR + 0.454%) |
5.772 | % | 12/20/62 | 520,801 | 516,948 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2013-H08 BF (1 mo. Term SOFR + 0.514%) |
5.832 | % | 3/20/63 | 222,679 | 220,326 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2013-H14 FC (1 mo. Term SOFR + 0.584%) |
5.902 | % | 6/20/63 | 48,355 | 48,120 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2013-H14 FD (1 mo. Term SOFR + 0.584%) |
5.902 | % | 6/20/63 | 21,240 | 21,119 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2013-H14 FG (1 mo. Term SOFR + 0.584%) |
5.902 | % | 5/20/63 | 22,530 | 22,416 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2018-168 PA, PAC |
4.000 | % | 8/20/48 | 129,998 | 119,999 | |||||||||||
Government National Mortgage Association (GNMA), 2019-18 TP, PAC |
3.500 | % | 2/20/49 | 91,844 | 81,110 | |||||||||||
Government National Mortgage Association (GNMA), 2021-8 AQ |
5.000 | % | 1/20/51 | 74,606 | 72,972 | |||||||||||
Government National Mortgage Association (GNMA), 2021-29 AG |
5.000 | % | 2/20/51 | 74,788 | 71,613 | |||||||||||
Government National Mortgage Association (GNMA), 2021-H03 FA (30 Day Average SOFR + 0.380%) |
4.550 | % | 4/20/70 | 1,965,263 | 1,905,280 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2021-H16 FG (30 Day Average SOFR + 0.300%) |
5.418 | % | 9/20/71 | 2,276,199 | 2,227,403 | (b) | ||||||||||
Government National Mortgage Association (GNMA), 2022-H08 FA (30 Day Average SOFR + 0.750%) |
5.205 | % | 4/20/72 | 2,386,486 | 2,334,385 | (b) | ||||||||||
GS Mortgage Securities Corp. Trust, 2021-IP A (1 mo. Term SOFR + 1.064%) |
6.397 | % | 10/15/36 | 990,000 | 944,541 | (a)(b) | ||||||||||
Hawaii Hotel Trust, 2019-MAUI F (1 mo. Term SOFR + 2.797%) |
8.129 | % | 5/15/38 | 1,000,000 | 972,749 | (a)(b) | ||||||||||
Impac CMB Trust, 2007-A A (1 mo. Term SOFR + 0.614%) |
5.934 | % | 5/25/37 | 37,349 | 34,816 | (a)(b) |
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
21 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued) | ||||||||||||||||
IMPAC Secured Assets Corp., 2006-3 A7 (1 mo. Term SOFR + 0.654%) |
5.974 | % | 11/25/36 | $ | 717,668 | $ | 568,092 | (b) | ||||||||
IndyMac INDX Mortgage Loan Trust, 2004-AR14 2A1A (1 mo. Term SOFR + 0.834%) |
6.154 | % | 1/25/35 | 43,456 | 30,640 | (b) | ||||||||||
IndyMac INDX Mortgage Loan Trust, 2005-AR31 2A1 |
4.251 | % | 1/25/36 | 551,781 | 497,681 | (b) | ||||||||||
JPMDB Commercial Mortgage Securities Trust, 2017-C7 A5 |
3.409 | % | 10/15/50 | 893,000 | 803,942 | |||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX |
4.844 | % | 1/16/37 | 1,350,000 | 963,887 | (a)(b) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYAH F (1 mo. Term SOFR + 2.304%) |
7.637 | % | 6/15/38 | 1,320,000 | 1,132,024 | (a)(b) | ||||||||||
JPMorgan Resecuritization Trust, 2009-10 7A2 |
7.054 | % | 2/26/37 | 1,652,124 | 685,709 | (a)(b) | ||||||||||
Luminent Mortgage Trust, 2006-7 2A2 (1 mo. Term SOFR + 0.554%) |
5.874 | % | 12/25/36 | 17,684 | 17,655 | (b) | ||||||||||
Med Trust, 2021-MDLN E (1 mo. Term SOFR + 3.264%) |
8.596 | % | 11/15/38 | 975,319 | 932,098 | (a)(b) | ||||||||||
Merrill Lynch Mortgage Investors Trust, 2003-A2 2M1 |
4.791 | % | 3/25/33 | 5,046 | 4,096 | (b) | ||||||||||
Merrill Lynch Mortgage Investors Trust, 2004-A1 2A1 |
4.421 | % | 2/25/34 | 6,029 | 5,486 | (b) | ||||||||||
Merrill Lynch Mortgage Investors Trust, 2004-A1 2A2 |
4.421 | % | 2/25/34 | 256,682 | 233,569 | (b) | ||||||||||
MHC Commercial Mortgage Trust, 2021-MHC A (1 mo. Term SOFR + 0.915%) |
6.247 | % | 4/15/38 | 747,218 | 737,692 | (a)(b) | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, 2016-C32 ASB |
3.514 | % | 12/15/49 | 175,576 | 168,021 | |||||||||||
Morgan Stanley Capital I Trust, 2017-ASHF A (1 mo. Term SOFR + 1.022%) |
6.355 | % | 11/15/34 | 285,906 | 283,348 | (a)(b) | ||||||||||
Morgan Stanley Capital I Trust, 2018-H4 XA, IO |
0.997 | % | 12/15/51 | 23,590,969 | 760,596 | (b) | ||||||||||
Morgan Stanley Capital I Trust, 2019-BPR A (1 mo. Term SOFR + 1.992%) |
7.322 | % | 5/15/36 | 526,746 | 507,561 | (a)(b) | ||||||||||
MSC Trust, 2021-ILP A (1 mo. Term SOFR + 0.892%) |
6.225 | % | 11/15/23 | 1,654,529 | 1,619,073 | (a)(b) | ||||||||||
New Residential Mortgage Loan Trust, 2017-2A B2 |
4.750 | % | 3/25/57 | 299,095 | 274,782 | (a)(b) | ||||||||||
New Residential Mortgage Loan Trust, 2017-4A A1 |
4.000 | % | 5/25/57 | 119,404 | 109,182 | (a)(b) | ||||||||||
New Residential Mortgage Loan Trust, 2019-6A A1B |
3.500 | % | 9/25/59 | 481,157 | 432,572 | (a)(b) |
See Notes to Schedule of Investments.
22 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued) | ||||||||||||||||
New Residential Mortgage Loan Trust, 2022-NQM2 A1 |
3.079 | % | 3/27/62 | $ | 1,187,896 | $ | 1,041,854 | (a)(b) | ||||||||
OBX Trust, 2022-NQM1 A1 |
2.305 | % | 11/25/61 | 1,014,075 | 843,927 | (a)(b) | ||||||||||
OPG Trust, 2021-PORT A (1 mo. Term SOFR + 0.598%) |
5.931 | % | 10/15/36 | 878,912 | 857,196 | (a)(b) | ||||||||||
Radnor RE Ltd., 2021-1 M1C (30 Day Average SOFR + 2.700%) |
8.015 | % | 12/27/33 | 1,320,000 | 1,339,837 | (a)(b) | ||||||||||
RAMP Trust, 2004-SL4 A5 |
7.500 | % | 7/25/32 | 3,889 | 1,566 | |||||||||||
Residential Accredit Loans Inc., 2007-QS7 1A7 (1 mo. Term SOFR + 0.664%) |
5.984 | % | 5/25/37 | 467,056 | 332,713 | (b) | ||||||||||
Sequoia Mortgage Trust, 2003-2 A2 (6 mo. USD LIBOR + 0.680%) |
6.105 | % | 6/20/33 | 71,438 | 67,659 | (b) | ||||||||||
SFO Commercial Mortgage Trust, 2021-555 D (1 mo. Term SOFR + 2.514%) |
7.846 | % | 5/15/38 | 920,000 | 712,165 | (a)(b) | ||||||||||
SG Residential Mortgage Trust, 2022-1 A1 |
3.166 | % | 3/27/62 | 1,324,692 | 1,146,941 | (a)(b) | ||||||||||
SMR Mortgage Trust, 2022-IND F (1 mo. Term SOFR + 6.000%) |
11.332 | % | 2/15/39 | 1,484,360 | 1,304,890 | (a)(b) | ||||||||||
SREIT Trust, 2021-MFP A (1 mo. Term SOFR + 0.845%) |
6.177 | % | 11/15/38 | 1,650,000 | 1,620,658 | (a)(b) | ||||||||||
SREIT Trust, 2021-MFP2 A (1 mo. Term SOFR + 0.936%) |
6.268 | % | 11/15/36 | 1,450,000 | 1,426,525 | (a)(b) | ||||||||||
SREIT Trust, 2021-PALM A (1 mo. Term SOFR + 0.704%) |
6.036 | % | 10/15/34 | 1,650,000 | 1,610,361 | (a)(b) | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, 2004-2 4A1 |
5.814 | % | 3/25/34 | 42,813 | 40,246 | (b) | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, 2005-4 1A1 |
4.821 | % | 3/25/35 | 73,008 | 60,911 | (b) | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, 2005-12 3A1 |
5.281 | % | 6/25/35 | 5,168 | 4,651 | (b) | ||||||||||
Structured Asset Securities Corp., 2005-RF3 2A |
3.962 | % | 6/25/35 | 94,088 | 83,014 | (a)(b) | ||||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 2002-3 B2 |
6.500 | % | 3/25/32 | 263,166 | 297,389 | (b) | ||||||||||
STWD Trust, 2021-FLWR E (1 mo. Term SOFR + 2.038%) |
7.370 | % | 7/15/36 | 2,200,000 | 2,089,161 | (a)(b) | ||||||||||
Tharaldson Hotel Portfolio Trust, 2018-THL D (1 mo. Term SOFR + 2.414%) |
7.742 | % | 11/11/34 | 793,879 | 773,576 | (a)(b) | ||||||||||
Towd Point Mortgage Trust, 2015-2 1B3 |
3.627 | % | 11/25/60 | 900,000 | 727,217 | (a)(b) | ||||||||||
Towd Point Mortgage Trust, 2019-4 B1B |
3.500 | % | 10/25/59 | 910,000 | 612,093 | (a)(b) | ||||||||||
UBS Commercial Mortgage Trust, 2017-C4 A4 |
3.563 | % | 10/15/50 | 1,330,000 | 1,200,585 | |||||||||||
Wachovia Mortgage Loan Trust LLC, 2005-A 1A1 |
5.372 | % | 8/20/35 | 2,855 | 2,699 | (b) |
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
23 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued) | ||||||||||||||||
WaMu Mortgage Pass-Through Certificates Trust, 2003-AR5 A7 |
4.825 | % | 6/25/33 | $ | 13,464 | $ | 13,255 | (b) | ||||||||
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR4 A5 |
3.908 | % | 4/25/35 | 9,488 | 8,877 | (b) | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR19 A1B2 (1 mo. Term SOFR + 0.934%) |
5.844 | % | 12/25/45 | 18,603 | 17,547 | (b) | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, 2006-AR13 2A (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 1.500%) |
6.126 | % | 10/25/46 | 347,852 | 309,804 | (b) | ||||||||||
WMRK Commercial Mortgage Trust, 2022- WMRK A (1 mo. Term SOFR + 2.789%) |
8.121 | % | 11/15/27 | 2,070,000 | 2,075,013 | (a)(b) | ||||||||||
|
|
|||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
78,665,565 | |||||||||||||||
|
|
|||||||||||||||
MORTGAGE-BACKED SECURITIES - 7.1% | ||||||||||||||||
FHLMC - 1.1% |
||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
3.500 | % | 4/1/33 | 60,838 | 57,213 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
3.000 | % | 6/1/35-11/1/35 | 3,142,140 | 2,807,122 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
2.500 | % | 2/1/51 | 64,760 | 51,609 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
5.000 | % | 7/1/52 | 459,975 | 435,203 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.495%) |
5.137 | % | 6/1/43 | 87,713 | 86,878 | (b) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) (30 Day Average SOFR + 2.184%) |
1.779 | % | 8/1/51 | 3,924,613 | 3,443,919 | (b) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold |
7.000 | % | 4/1/32 | 21,267 | 22,051 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold |
3.000 | % | 2/1/38-4/1/38 | 53,496 | 47,645 | |||||||||||
|
|
|||||||||||||||
Total FHLMC |
6,951,640 | |||||||||||||||
|
|
|||||||||||||||
FNMA - 5.4% |
||||||||||||||||
Federal National Mortgage Association (FNMA) |
7.000 | % | 2/1/27-8/1/32 | 50,616 | 50,458 | |||||||||||
Federal National Mortgage Association (FNMA) |
2.500 | % | 2/1/35-10/1/51 | 5,062,001 | 4,291,465 | |||||||||||
Federal National Mortgage Association (FNMA) |
3.000 | % | 2/1/36-3/1/40 | 2,806,181 | 2,508,114 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.500 | % | 11/1/38 | 2,627,084 | 2,535,992 | |||||||||||
Federal National Mortgage Association (FNMA) |
2.000 | % | 7/1/51-11/1/51 | 354,941 | 272,975 |
See Notes to Schedule of Investments.
24 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
FNMA - (continued) |
||||||||||||||||
Federal National Mortgage Association (FNMA) |
5.500 | % | 8/1/52 | $ | 5,340,177 | $ | 5,166,037 | |||||||||
Federal National Mortgage Association (FNMA) |
2.000 | % | 10/1/53 | 6,700,000 | 5,097,758 | (e) | ||||||||||
Federal National Mortgage Association (FNMA) |
2.500 | % | 10/1/53 | 6,100,000 | 4,842,579 | (e) | ||||||||||
Federal National Mortgage Association (FNMA) |
3.000 | % | 10/1/53 | 3,900,000 | 3,225,270 | (e) | ||||||||||
Federal National Mortgage Association (FNMA) |
4.000 | % | 10/1/53 | 3,400,000 | 3,027,328 | (e) | ||||||||||
Federal National Mortgage Association (FNMA) |
6.000 | % | 10/1/53 | 600,000 | 592,172 | (e) | ||||||||||
Federal National Mortgage Association (FNMA) |
6.500 | % | 10/1/53 | 700,000 | 703,227 | (e) | ||||||||||
Federal National Mortgage Association (FNMA) |
4.000 | % | 2/1/56-6/1/57 | 344,935 | 313,387 | |||||||||||
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity Rate + 2.375%) |
6.536 | % | 9/1/37 | 351,481 | 352,274 | (b) | ||||||||||
Federal National Mortgage Association (FNMA) (30 Day Average SOFR + 2.120%) |
1.924 | % | 11/1/51 | 2,442,278 | 2,159,115 | (b) | ||||||||||
|
|
|||||||||||||||
Total FNMA |
35,138,151 | |||||||||||||||
|
|
|||||||||||||||
GNMA - 0.6% |
||||||||||||||||
Government National Mortgage Association (GNMA) |
6.000 | % | 11/15/28 | 3,713 | 3,680 | |||||||||||
Government National Mortgage Association (GNMA) |
6.500 | % | 8/15/34 | 43,478 | 44,607 | |||||||||||
Government National Mortgage Association (GNMA) |
7.000 | % | 3/15/36 | 16,387 | 16,939 | |||||||||||
Government National Mortgage Association (GNMA) |
3.000 | % | 9/15/42-11/15/42 | 175,424 | 151,616 | |||||||||||
Government National Mortgage Association (GNMA) |
3.500 | % | 6/15/48-5/15/50 | 155,037 | 139,293 | |||||||||||
Government National Mortgage Association (GNMA) II |
3.500 | % | 6/20/44-10/20/49 | 87,460 | 77,614 | |||||||||||
Government National Mortgage Association (GNMA) II |
4.000 | % | 2/20/48-4/20/48 | 11,699 | 10,694 | |||||||||||
Government National Mortgage Association (GNMA) II |
5.000 | % | 5/20/48-4/20/49 | 85,049 | 81,802 | |||||||||||
Government National Mortgage Association (GNMA) II |
4.500 | % | 8/20/48-9/20/52 | 384,655 | 358,228 | |||||||||||
Government National Mortgage Association (GNMA) II |
2.500 | % | 12/20/50-2/20/53 | 1,603,728 | 1,312,236 | |||||||||||
Government National Mortgage Association (GNMA) II |
4.000 | % | 10/20/53 | 1,000,000 | 901,055 | (e) | ||||||||||
Government National Mortgage Association (GNMA) II |
6.500 | % | 10/20/53 | 400,000 | 402,281 | (e) |
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
25 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
GNMA - (continued) |
||||||||||||||||
Government National Mortgage Association (GNMA) II (1 mo. Refinitiv USD IBOR Consumer Cash Fallbacks + 1.077%) |
6.229 | % | 7/20/60 | $ | 12,938 | $ | 12,936 | (b) | ||||||||
Government National Mortgage Association (GNMA) II (1 mo. Refinitiv USD IBOR Consumer Cash Fallbacks + 2.092%) |
7.219 | % | 8/20/60 | 300,793 | 306,119 | (b) | ||||||||||
Government National Mortgage Association (GNMA) II (1 year Treasury Constant Maturity Rate + 1.104%) |
6.345 | % | 7/20/60 | 22,386 | 22,359 | (b) | ||||||||||
Government National Mortgage Association (GNMA) II (1 year Treasury Constant Maturity Rate + 1.440%) |
6.700 | % | 2/20/60 | 117,143 | 117,390 | (b) | ||||||||||
|
|
|||||||||||||||
Total GNMA |
3,958,849 | |||||||||||||||
|
|
|||||||||||||||
TOTAL MORTGAGE-BACKED SECURITIES |
46,048,640 | |||||||||||||||
|
|
|||||||||||||||
SENIOR LOANS - 1.2% | ||||||||||||||||
COMMUNICATION SERVICES - 0.3% | ||||||||||||||||
Media - 0.3% |
||||||||||||||||
Charter Communications Operating LLC, Term Loan B1 (3 mo. Term SOFR + 1.750%) |
7.116 | % | 4/30/25 | 490,885 | 491,806 | (b)(f)(g) | ||||||||||
Charter Communications Operating LLC, Term Loan B2 (3 mo. Term SOFR + 1.750%) |
7.116 | % | 2/1/27 | 491,049 | 491,080 | (b)(f)(g) | ||||||||||
Nexstar Media Inc., Term Loan B4 (1 mo. Term SOFR + 2.614%) |
7.931 | % | 9/18/26 | 442,828 | 442,827 | (b)(f)(g) | ||||||||||
Virgin Media Bristol LLC, Term Loan Facility N (1 mo. Term SOFR + 2.614%) |
7.947 | % | 1/31/28 | 750,000 | 730,549 | (b)(f)(g) | ||||||||||
|
|
|||||||||||||||
TOTAL COMMUNICATION SERVICES |
2,156,262 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER DISCRETIONARY - 0.2% | ||||||||||||||||
Diversified Consumer Services - 0.1% |
||||||||||||||||
Prime Security Services Borrower LLC, 2021 Refinancing Term Loan B1 (1 mo. Term SOFR + 2.864%) |
8.192 | % | 9/23/26 | 491,184 | 491,017 | (b)(f)(g) | ||||||||||
|
|
|||||||||||||||
Specialty Retail - 0.1% |
||||||||||||||||
Rent-A-Center Inc., Term Loan B2 (3 mo. Term SOFR + 3.512%) |
8.881 | % | 2/17/28 | 700,756 | 700,210 | (b)(f)(g) | ||||||||||
|
|
|||||||||||||||
TOTAL CONSUMER DISCRETIONARY |
1,191,227 | |||||||||||||||
|
|
|||||||||||||||
ENERGY - 0.1% | ||||||||||||||||
Oil, Gas & Consumable Fuels - 0.1% |
||||||||||||||||
Pilot Travel Centers LLC, Initial Term Loan B (1 mo. Term SOFR + 2.100%) |
7.416 | % | 8/4/28 | 734,962 | 734,962 | (b)(f)(g) | ||||||||||
|
|
See Notes to Schedule of Investments.
26 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
FINANCIALS - 0.4% | ||||||||||||||||
Financial Services - 0.3% |
||||||||||||||||
Hudson River Trading LLC, Term Loan (3 mo. Term SOFR + 3.262%) |
8.631 | % | 3/20/28 | $ | 736,776 | $ | 733,552 | (b)(f)(g) | ||||||||
Setanta Aircraft Leasing DAC, Term Loan (3 mo. USD LIBOR + 2.262%) |
7.652 | % | 11/5/28 | 750,000 | 750,589 | (b)(f)(g) | ||||||||||
VFH Parent LLC, Initial Term Loan (1 mo. Term SOFR + 3.100%) |
8.418 | % | 1/13/29 | 495,000 | 492,421 | (b)(f)(g) | ||||||||||
|
|
|||||||||||||||
Total Financial Services |
1,976,562 | |||||||||||||||
|
|
|||||||||||||||
Insurance - 0.1% |
||||||||||||||||
Asurion LLC, New Term Loan B9 (1 mo. Term SOFR + 3.364%) |
8.681 | % | 7/31/27 | 491,184 | 475,589 | (b)(f)(g) | ||||||||||
|
|
|||||||||||||||
TOTAL FINANCIALS |
2,452,151 | |||||||||||||||
|
|
|||||||||||||||
INDUSTRIALS - 0.2% | ||||||||||||||||
Commercial Services & Supplies - 0.1% |
||||||||||||||||
APi Group DE Inc., Initial Term Loan (1 mo. Term SOFR + 2.614%) |
7.931 | % | 10/1/26 | 675,840 | 677,584 | (b)(f)(g) | ||||||||||
|
|
|||||||||||||||
Ground Transportation - 0.1% |
||||||||||||||||
Genesee & Wyoming Inc., Initial Term Loan (3 mo. Term SOFR + 2.100%) |
7.490 | % | 12/30/26 | 736,641 | 736,678 | (b)(f)(g) | ||||||||||
|
|
|||||||||||||||
TOTAL INDUSTRIALS |
1,414,262 | |||||||||||||||
|
|
|||||||||||||||
TOTAL SENIOR LOANS |
7,948,864 | |||||||||||||||
|
|
|||||||||||||||
EXPIRATION DATE |
CONTRACTS | NOTIONAL AMOUNT |
||||||||||||||
PURCHASED OPTIONS - 0.3% | ||||||||||||||||
EXCHANGE-TRADED PURCHASED OPTIONS - 0.3% | ||||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put @ $97.000 |
10/13/23 | 285 | 712,500 | 1,132,875 | ||||||||||||
SOFR 1-Year Mid-Curve Futures, Put @ $95.875 |
12/15/23 | 137 | 342,500 | 200,363 | ||||||||||||
SOFR 1-Year Mid-Curve Futures, Put @ $96.000 |
12/15/23 | 323 | 807,500 | 553,137 | ||||||||||||
U.S. Treasury 5-Year Notes Futures, Call @ $106.000 |
10/27/23 | 69 | 69,000 | 21,023 | ||||||||||||
U.S. Treasury 5-Year Notes Futures, Call @ $106.250 |
10/27/23 | 117 | 117,000 | 27,422 | ||||||||||||
|
|
|||||||||||||||
TOTAL PURCHASED OPTIONS |
1,934,820 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
27 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
SOVEREIGN BONDS - 0.1% | ||||||||||||||||
Supranational - 0.1% |
||||||||||||||||
Asian Development Bank, Senior Notes |
1.500 | % | 1/20/27 | $ | 830,000 | $ | 746,282 | |||||||||
|
|
|||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
|
664,110,278 | ||||||||||||||
|
|
|||||||||||||||
SHARES | ||||||||||||||||
SHORT-TERM INVESTMENTS - 2.8% | ||||||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares |
5.259 | % | 18,190,119 | 18,190,119 | (h)(i) | |||||||||||
|
|
|||||||||||||||
TOTAL INVESTMENTS - 105.2% |
682,300,397 | |||||||||||||||
Liabilities in Excess of Other Assets - (5.2)% |
(33,503,030 | ) | ||||||||||||||
|
|
|||||||||||||||
TOTAL NET ASSETS - 100.0% |
$ | 648,797,367 | ||||||||||||||
|
|
| 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) | Security has no maturity date. The date shown represents the next call date. |
(d) | 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. |
(e) | This security is traded on a to-be-announced (TBA) basis. At September 30, 2023, the Fund held TBA securities with a total cost of $19,075,297. |
(f) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
(g) | 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. |
(h) | Rate shown is one-day yield as of the end of the reporting period. |
(i) | 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, 2023, the total market value of investments in Affiliated Companies was $18,190,119 and the cost was $18,190,119 (Note 2). |
See Notes to Schedule of Investments.
28 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
Abbreviation(s) used in this schedule:
ACES | Alternative Credit Enhancement Securities | |
CAS | Connecticut Avenue Securities | |
CDO | Collateralized Debt Obligation | |
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury | |
IBOR | Interbank Offered Rate | |
IO | Interest Only | |
JSC | Joint Stock Company | |
LIBOR | London Interbank Offered Rate | |
PAC | Planned Amortization Class | |
REMIC | Real Estate Mortgage Investment Conduit | |
SOFR | Secured Overnight Financing Rate | |
USD | United States Dollar |
At September 30, 2023, the Fund had the following written options contracts:
EXCHANGE-TRADED WRITTEN OPTIONS | ||||||||||||||||||||
SECURITY |
EXPIRATION DATE |
STRIKE PRICE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | |||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put |
10/13/23 | $ | 96.250 | 285 | $ | 712,500 | $ | (600,281 | ) | |||||||||||
SOFR 1-Year Mid-Curve Futures, Put |
10/13/23 | 96.500 | 285 | 712,500 | (776,625 | ) | ||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put |
12/15/23 | 95.250 | 274 | 685,000 | (131,863 | ) | ||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put |
12/15/23 | 95.375 | 646 | 1,615,000 | (407,787 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Call |
10/27/23 | 106.750 | 43 | 43,000 | (5,711 | ) | ||||||||||||||
|
|
|||||||||||||||||||
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS |
|
$ | (1,922,267 | ) | ||||||||||||||||
|
|
Abbreviation(s) used in this schedule:
SOFR | Secured Overnight Financing Rate |
At September 30, 2023, 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 |
151 | 3/25 | $ | 36,187,402 | $ | 36,017,275 | $ | (170,127 | ) | |||||||||||
3-Month SOFR |
304 | 3/26 | 73,122,941 | 72,994,200 | (128,741 | ) | ||||||||||||||
U.S. Treasury 2-Year Notes |
1,478 | 12/23 | 300,317,910 | 299,606,766 | (711,144 | ) | ||||||||||||||
|
|
|||||||||||||||||||
(1,010,012 | ) | |||||||||||||||||||
|
|
|||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
3-Month SOFR |
183 | 3/24 | 43,483,966 | 43,256,625 | 227,341 |
See Notes to Schedule of Investments.
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
29 |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
Contracts to Sell (continued) | ||||||||||||||||||||
U.S. Treasury 5-Year Notes |
896 | 12/23 | $ | 94,842,174 | $ | 94,402,004 | $ | 440,170 | ||||||||||||
U.S. Treasury 10-Year Notes |
409 | 12/23 | 44,892,934 | 44,197,563 | 695,371 | |||||||||||||||
U.S. Treasury Long-Term Bonds |
27 | 12/23 | 3,207,672 | 3,072,094 | 135,578 | |||||||||||||||
U.S. Treasury Ultra Long-Term Bonds |
6 | 12/23 | 761,029 | 712,125 | 48,904 | |||||||||||||||
|
|
|||||||||||||||||||
1,547,364 | ||||||||||||||||||||
|
|
|||||||||||||||||||
Net unrealized appreciation on open futures contracts | $ | 537,352 | ||||||||||||||||||
|
|
Abbreviation(s) used in this table:
SOFR | Secured Overnight Financing Rate |
At September 30, 2023, 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 |
MARKET VALUE |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||
$ | 185,149,000 | 1/31/24 | 5.410%** | Daily U.S. Federal Funds Intraday Effective Rate** | $ | 6,844 | | $ | 6,844 | |||||||||||||||
25,291,000 | 9/30/24 | Daily SOFR Compound annually | 3.500% annually | (474,246 | ) | $ | 7,213 | (481,459 | ) | |||||||||||||||
19,216,000 | 10/14/24 | Daily SOFR Compound annually | 2.770% annually | (512,249 | ) | 216 | (512,465 | ) | ||||||||||||||||
7,993,000 | 10/14/27 | 2.600% annually | Daily SOFR Compound annually | 543,645 | 2,613 | 541,032 | ||||||||||||||||||
|
51,170,000 | 2/29/28 | Daily SOFR Compound annually | 4.000% annually | (714,320 | ) | 10,593 | (724,913 | ) |
See Notes to Schedule of Investments.
30 |
Western Asset Short-Term Bond Fund 2023 Quarterly Report |
WESTERN ASSET SHORT-TERM BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
CENTRALLY CLEARED INTEREST RATE SWAPS (contd) |
||||||||||||||||||||||||
NOTIONAL AMOUNT |
TERMINATION DATE |
PAYMENTS MADE BY THE FUND |
PAYMENTS RECEIVED BY THE FUND |
MARKET VALUE |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||
$ | 2,253,000 | 4/30/29 | 3.270% annually | Daily SOFR Compound annually | $ | 119,682 | $ | (39,646 | ) | $ | 159,328 | |||||||||||||
11,345,000 | 9/30/29 | 3.250% annually | Daily SOFR Compound annually | 641,004 | 6,603 | 634,401 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||
Total |
$ | 302,417,000 | $ | (389,640 | ) | $ | (12,408 | ) | $ | (377,232 | ) | |||||||||||||
|
|
|
|
|
|
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION1 |
||||||||||||||||||||||
REFERENCE ENTITY |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
PERIODIC PAYMENTS MADE BY THE FUND |
MARKET VALUE3 |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION |
||||||||||||||||
Markit CDX.NA.IG.41 Index |
$ | 12,898,400 | 12/20/28 | 1.000% quarterly | $ | (154,502 | ) | $ | (176,247 | ) | $ | 21,745 |
1 | 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. |
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 | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| Percentage shown is an annual percentage rate. |
** | One time payment made at termination date. |
Abbreviation(s) used in this table:
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 Short-Term Bond Fund 2023 Quarterly Report |
31 |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Short-Term Bond Fund (the Fund) is a separate diversified investment series of Legg Mason Partners Income 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 follows the accounting and reporting guidance in Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services Investment Companies (ASC 946). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (GAAP), including, but not limited to, ASC 946.
(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 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
32 |
Notes to Schedule of Investments (unaudited) (continued)
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.
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) |
33 |
Notes to Schedule of Investments (unaudited) (continued)
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 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 |
| $ | 346,743,860 | | $ | 346,743,860 | ||||||||||
U.S. Government & Agency Obligations |
| 93,669,508 | | 93,669,508 | ||||||||||||
Asset-Backed Securities |
| 88,352,739 | | 88,352,739 | ||||||||||||
Collateralized Mortgage Obligations |
| 78,665,565 | | 78,665,565 | ||||||||||||
Mortgage-Backed Securities |
| 46,048,640 | | 46,048,640 | ||||||||||||
Senior Loans |
| 7,948,864 | | 7,948,864 | ||||||||||||
Purchased Options |
$ | 1,934,820 | | | 1,934,820 | |||||||||||
Sovereign Bonds |
| 746,282 | | 746,282 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long-Term Investments |
1,934,820 | 662,175,458 | | 664,110,278 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
18,190,119 | | | 18,190,119 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 20,124,939 | $ | 662,175,458 | | $ | 682,300,397 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments: |
||||||||||||||||
Futures Contracts |
$ | 1,547,364 | | | $ | 1,547,364 | ||||||||||
Centrally Cleared Interest Rate Swaps |
| $ | 1,341,605 | | 1,341,605 | |||||||||||
Centrally Cleared Credit Default Swaps on Credit Indices - Buy Protection |
| 21,745 | | 21,745 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Other Financial Instruments |
$ | 1,547,364 | $ | 1,363,350 | | $ | 2,910,714 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 21,672,303 | $ | 663,538,808 | | $ | 685,211,111 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Written Options |
$ | 1,922,267 | | | $ | 1,922,267 | ||||||||||
Futures Contracts |
1,010,012 | | | 1,010,012 | ||||||||||||
Centrally Cleared Interest Rate Swaps |
| $ | 1,718,837 | | 1,718,837 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 2,932,279 | $ | 1,718,837 | | $ | 4,651,116 | |||||||||
|
|
|
|
|
|
|
|
34 |
Notes to Schedule of Investments (unaudited) (continued)
| See Schedule of Investments for additional detailed categorizations. |
| Reflects the unrealized appreciation (depreciation) of the instruments. |
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, 2023. The following transactions were effected in such company for the period ended September 30, 2023.
Affiliate Value at December 31, 2022 |
Purchased | Sold | ||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares | $ | 23,437,784 | $ | 191,468,509 | 191,468,509 | $ | 196,716,174 | 196,716,174 |
(contd) |
Realized Gain (Loss) |
Dividend Income |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) |
Affiliate Value at September 30, 2023 |
||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares | | $ | 1,129,879 | | $ | 18,190,119 |
35 |