0001752724-24-090877.txt : 20240425 0001752724-24-090877.hdr.sgml : 20240425 20240425161136 ACCESSION NUMBER: 0001752724-24-090877 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240229 FILED AS OF DATE: 20240425 DATE AS OF CHANGE: 20240425 PERIOD START: 20241130 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LEGG MASON PARTNERS INCOME TRUST CENTRAL INDEX KEY: 0000764624 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: MD FISCAL YEAR END: 0731 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04254 FILM NUMBER: 24876406 BUSINESS ADDRESS: STREET 1: LEGG MASON & CO., LLC STREET 2: 620 EIGHTH AVENUE, 49TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10018 BUSINESS PHONE: 1-877-721-1926 MAIL ADDRESS: STREET 1: LEGG MASON & CO., LLC STREET 2: 620 EIGHTH AVENUE, 49TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10018 FORMER COMPANY: FORMER CONFORMED NAME: LEGG MASON PARTNERS INCOME FUNDS DATE OF NAME CHANGE: 20060407 FORMER COMPANY: FORMER CONFORMED NAME: SMITH BARNEY INCOME FUNDS DATE OF NAME CHANGE: 19941228 FORMER COMPANY: FORMER CONFORMED NAME: SMITH BARNEY SHEARSON INCOME FUNDS DATE OF NAME CHANGE: 19931015 0000764624 S000016650 Western Asset Intermediate Maturity California Municipals Fund C000046511 Class A ITCAX C000046512 Class C SIMLX C000046513 Class I SICYX NPORT-P 1 primary_doc.xml NPORT-P false 0000764624 XXXXXXXX S000016650 C000046512 C000046513 C000046511 Legg Mason Partners Income Trust 811-04254 0000764624 549300Y1U2UCLTK83X35 620 Eighth Avenue 47th Floor New York 10018 1-877-656-3863 Western Asset Intermediate Maturity California Municipals Fund S000016650 5493009CQ8IRJSOVHW66 2024-11-30 2024-02-29 N 90379513.77 280238.72 90099275.05 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 15224.29000000 USD N RIVER ISLANDS CA PUBLIC FING A N/A River Islands Public Financing Authority 76827QGP2 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WESTERN ASSET INTERMEDIATE MATURITY CALIFORNIA MUNICIPALS FUND

 

Schedule of investments (unaudited)    February 29, 2024

 

(Percentages shown based on Fund net assets)

   

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
MUNICIPAL BONDS - 98.2%           

Education - 11.3%

           

California Enterprise Development Authority, Student Housing Revenue, M@College Project, Series A

      5.000 %      8/1/35      $ 400,000      $ 419,929  

California State Infrastructure & Economic Development Bank Revenue, Colburn School, Refunding

      1.750 %      8/1/26        5,000,000        4,720,486 (a)(b) 

California State MFA Revenue:

           

CHF-Davis II, LLC, Orchard Park Student Housing Project, Green Bond, Series 2021, BAM

      4.000 %      5/15/39        500,000        505,507  

CHF-Davis II, LLC, Orchard Park Student Housing Project, Green Bond, Series 2021, BAM

      4.000 %      5/15/41        550,000        551,131  

California State School Finance Authority Revenue:

           

KIPP LA Project, Series A

      5.000 %      7/1/35        1,200,000        1,216,510 (c) 

KIPP LA Project, Series A

      5.000 %      7/1/37        1,180,000        1,211,372 (c) 

KIPP SoCal Project, Series A

      4.000 %      7/1/40        800,000        746,252 (c) 

California Statewide CDA Revenue, College Housing, NCCD Hooper Street LLC

      5.000 %      7/1/29        800,000        820,209 (c) 
          

 

 

  

Total Education

              10,191,396  
          

 

 

  

Health Care - 5.3%

           

California State MFA Revenue, Humangood Obligated Group, Series A, Refunding

      4.000 %      10/1/39        750,000        751,205  

California State Public Finance Authority, Senior Living Revenue:

           

Enso Village Project, Green Bond, Series A

      5.000 %      11/15/36        250,000        229,440  

Enso Village Project, Green Bond, Series B-3, Refunding

      2.125 %      11/15/27        60,000        59,798 (c) 

California Statewide CDA Revenue:

           

Adventist Health System/West

      5.000 %      3/1/27        1,715,000        1,772,166 (a)(b) 

Los Angeles Jewish Home for the Aging, Refunding

      5.000 %      11/15/30        1,100,000        1,250,843  

Viamonte Senior Living 1 Project, Series A, CMI

      5.000 %      7/1/30        225,000        247,828  

Viamonte Senior Living 1 Project, Series A, CMI

      5.000 %      7/1/31        300,000        330,208  

Viamonte Senior Living 1 Project, Series A, CMI

      5.000 %      7/1/32        100,000        110,001  
          

 

 

  

Total Health Care

              4,751,489  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset Intermediate Maturity California Municipals Fund 2024 Quarterly Report 

  

 

 

1

WESTERN ASSET INTERMEDIATE MATURITY CALIFORNIA MUNICIPALS FUND

 

Schedule of investments (unaudited) (cont’d)    February 29, 2024

 

(Percentages shown based on Fund net assets)

   

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Housing - 4.6%

           

California Statewide CDA Revenue, Provident Group-Pomona Properties LLC, Series A

      5.600 %      1/15/36      $ 635,000      $ 635,155 (c) 

California Statewide CDA, Student Housing Revenue:

           

CHF Irvine LLC, Refunding

      5.000 %      5/15/27        1,000,000        1,023,936  

CHF Irvine LLC, Refunding

      5.000 %      5/15/28        1,220,000        1,250,409  

CHF Irvine LLC, Refunding

      5.000 %      5/15/29        1,250,000        1,280,767  
          

 

 

  

Total Housing

              4,190,267  
          

 

 

  

Industrial Revenue - 23.6%

           

California County Tobacco Securitization Agency, Tobacco Settlement Revenue:

           

Series A

      4.000 %      6/1/34        300,000        313,902  

Series A

      4.000 %      6/1/35        235,000        245,119  

Series A

      4.000 %      6/1/36        275,000        284,981  

Series A

      4.000 %      6/1/37        275,000        282,783  

Series A

      4.000 %      6/1/38        275,000        281,394  

Series A

      4.000 %      6/1/39        750,000        763,838  

California State Community Choice Financing Authority Revenue:

           

Clean Energy Project, Green Bonds, Series A-1

      4.000 %      8/1/28        1,500,000        1,509,491 (a)(b) 

Clean Energy Project, Green Bonds, Series B-1

      5.000 %      8/1/29        1,100,000        1,160,188 (a)(b) 

Clean Energy Project, Green Bonds, Series B-1

      4.000 %      8/1/31        2,500,000        2,514,279 (a)(b) 

California State MFA Special Facility Revenue, United Airlines, Inc., Los Angeles International Airport Project

      4.000 %      7/15/29        2,000,000        1,973,823 (d) 

Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Revenue, Senior Asset-Backed Bonds, Series A-1, Refunding

      5.000 %      6/1/51        1,100,000        1,154,596  

M-S-R Energy Authority, CA, Natural Gas Revenue, Series B

      6.125 %      11/1/29        4,140,000        4,448,857  

San Francisco, CA, City & County Airport Commission, International Airport Revenue, SFO Fuel Company LLC, Series A, Refunding

      5.000 %      1/1/36        600,000        641,722 (d) 

Southern California Public Power Authority, Natural Gas Project Revenue:

           

Project Number 1, Series A

      5.250 %      11/1/24        2,435,000        2,453,918  

Project Number 1, Series A

      5.250 %      11/1/26        2,000,000        2,072,121  

Tobacco Securitization Authority of Southern California Revenue, Asset Backed Refunding, San Diego County Tobacco Asset Securitization Corporation, Class 2, Series B

      5.000 %      6/1/48        1,185,000        1,212,198  
          

 

 

  

Total Industrial Revenue

              21,313,210  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

2

  

 Western Asset Intermediate Maturity California Municipals Fund 2024 Quarterly Report

  

WESTERN ASSET INTERMEDIATE MATURITY CALIFORNIA MUNICIPALS FUND

 

Schedule of investments (unaudited) (cont’d)    February 29, 2024

 

(Percentages shown based on Fund net assets)

   

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Leasing - 10.1%

           

San Bernardino, CA, USD Revenue, COP, 2019 School Financing Project, AGM

      5.000 %      10/1/38      $ 250,000      $ 269,023  

San Diego, CA, Public Facilities Financing Authority, Lease Revenue:

           

Capital Improvement Projects, Series A

      5.000 %      10/15/34        1,000,000        1,031,606  

Capital Improvement Projects, Series A

      5.000 %      10/15/35        1,040,000        1,071,811  

Capital Improvement Projects, Series A, Refunding

      5.000 %      10/15/40        1,525,000        1,717,672  

San Mateo County, CA, Joint Powers Financing Authority, Lease Revenue, Capital Project, Series A

      5.000 %      7/15/38        1,000,000        1,090,566  

San Mateo, CA, Foster City PFA Revenue:

           

Street and Flood Control Project, Series A

      4.000 %      5/1/38        360,000        367,633  

Street and Flood Control Project, Series A

      4.000 %      5/1/39        300,000        305,506  

Street and Flood Control Project, Series A

      4.000 %      5/1/40        400,000        405,926  

Sanger, CA, USD Revenue, COP, Capital Projects, Refunding, AGM

      5.000 %      6/1/45        1,620,000        1,734,042  

Tahoe-Truckee, CA, USD, COP:

           

School Financing Project, BAM

      4.000 %      6/1/36        505,000        512,066  

School Financing Project, BAM

      4.000 %      6/1/37        610,000        616,103  
          

 

 

  

Total Leasing

              9,121,954  
          

 

 

  

Other - 2.6%

           

California State MFA Revenue:

           

Senior Lien, LINXS APM Project, Series A

      5.000 %      12/31/33        1,250,000        1,288,390 (d) 

Senior Lien, LINXS APM Project, Series A

      5.000 %      12/31/34        1,000,000        1,029,473 (d) 
          

 

 

  

Total Other

              2,317,863  
          

 

 

  

Power - 0.5%

           

Puerto Rico Electric Power Authority Revenue:

           

Series A

      5.000 %      7/1/29        750,000        198,750 *(e) 

Series A

      5.050 %      7/1/42        70,000        18,550 *(e) 

Series DDD, Refunding

      —        7/1/21        275,000        72,187 *(f) 

Series TT

      5.000 %      7/1/37        450,000        119,250 *(e) 

Series XX

      5.250 %      7/1/40        190,000        50,350 *(e) 
          

 

 

  

Total Power

              459,087  
          

 

 

  

Special Tax Obligation - 6.5%

           

Irvine, CA, Improvement Bond Act 1915, Ltd. Obligation Reassessment District No 12-1, Refunding

      5.000 %      9/2/24        600,000        604,807  

Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue:

           

CAB, Restructured, Series A-1

      0.000 %      7/1/27        450,000        399,007  

 

See Notes to Schedule of Investments.

 

 

Western Asset Intermediate Maturity California Municipals Fund 2024 Quarterly Report 

  

 

 

3

WESTERN ASSET INTERMEDIATE MATURITY CALIFORNIA MUNICIPALS FUND

 

Schedule of investments (unaudited) (cont’d)    February 29, 2024

 

(Percentages shown based on Fund net assets)

   

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Special Tax Obligation - (continued)

           

Restructured, Series A-1

      4.550 %      7/1/40      $ 50,000      $ 50,388  

Restructured, Series A-2

      4.329 %      7/1/40        80,000        79,634  

Restructured, Series A-2A

      4.550 %      7/1/40        2,000,000        2,015,505  

Rancho Cucamonga, CA, RDA, Successor Agency Tax Allocation, Rancho Redevelopment Project Area, Refunding, AGM

      5.000 %      9/1/27        1,700,000        1,714,982  

River Islands, CA, Public Financing Authority, Special Tax Revenue:

           

Community Facilities District No 2003-1

      5.500 %      9/1/37        250,000        261,676  

Community Facilities District No 2003-1, Series A-1, Refunding, AGM

      5.000 %      9/1/42        300,000        328,649  

Community Facilities District No 2023-1

      5.500 %      9/1/43        400,000        416,928  
          

 

 

  

Total Special Tax Obligation

              5,871,576  
          

 

 

  

State General Obligation - 2.0%

           

California State, GO, Various Purpose, Refunding

      4.000 %      3/1/37        1,000,000        1,058,068 (g) 

Puerto Rico Commonwealth, GO:

           

CAB, Restructured, Series A-1

      0.000 %      7/1/24        1,525        1,505  

CAB, Restructured, Series A-1

      0.000 %      7/1/33        12,094        7,795  

Restructured, Series A-1

      5.375 %      7/1/25        10,466        10,626  

Restructured, Series A-1

      5.625 %      7/1/27        10,372        10,957  

Restructured, Series A-1

      5.625 %      7/1/29        10,203        11,067  

Restructured, Series A-1

      5.750 %      7/1/31        9,910        11,068  

Restructured, Series A-1

      4.000 %      7/1/33        9,398        9,232  

Restructured, Series A-1

      4.000 %      7/1/35        163,447        158,651  

Restructured, Series A-1

      4.000 %      7/1/37        435,000        415,460  

Restructured, Series A-1

      4.000 %      7/1/41        74,857        69,530  

Restructured, Series A-1

      4.000 %      7/1/46        10,251        9,265  

Subseries CW

      0.000 %      11/1/43        41,550        24,359 (b) 
          

 

 

  

Total State General Obligation

              1,797,583  
          

 

 

  

Transportation - 18.2%

           

Alameda, CA, Corridor Transportation Authority Revenue, Second Subordinated Lien, Series B, Refunding

      5.000 %      10/1/34        2,700,000        2,774,268  

Bay Area Toll Authority, CA, Toll Bridge Revenue, San Francisco Bay Area, Series B-1 (SIFMA Municipal Swap Index Yield + 1.100%)

      4.400 %      4/1/24        1,000,000        1,000,104 (a)(b) 

Foothill-Eastern Transportation Corridor Agency, CA, Toll Road Revenue, Senior Lien, Series A, Refunding

      4.000 %      1/15/46        500,000        486,479  

Long Beach, CA, Marina System Revenue:

           

Alamitos Bay Marina Project

      5.000 %      5/15/28        850,000        861,342  

 

See Notes to Schedule of Investments.

 

 

 

4

  

 Western Asset Intermediate Maturity California Municipals Fund 2024 Quarterly Report

  

WESTERN ASSET INTERMEDIATE MATURITY CALIFORNIA MUNICIPALS FUND

 

Schedule of investments (unaudited) (cont’d)    February 29, 2024

 

(Percentages shown based on Fund net assets)

   

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Transportation - (continued)

           

Alamitos Bay Marina Project

      5.000 %      5/15/31      $ 445,000      $ 450,914  

Los Angeles, CA, Department of Airports Revenue, Los Angeles International Airport, Subordinated, Series F

      5.000 %      5/15/26        2,610,000        2,697,932 (d) 

San Francisco, CA, City & County Airport Commission, International Airport Revenue:

           

Series A, Refunding

      5.000 %      5/1/36        2,100,000        2,303,527 (d) 

Series E

      5.000 %      5/1/35        3,600,000        3,876,341 (d) 

Stockton, CA, PFA Parking Revenue:

           

Refunding

      5.000 %      3/1/34        885,000        935,317  

Refunding

      5.000 %      3/1/36        975,000        1,024,483  
          

 

 

  

Total Transportation

              16,410,707  
          

 

 

  

Water & Sewer - 13.5%

           

California State PCFA Water Furnishing Revenue:

           

San Diego County Water Authority Desalination Project, Refunding

      5.000 %      7/1/29        1,000,000        1,049,394 (c) 

San Diego County Water Authority Desalination Project, Refunding

      5.000 %      7/1/39        1,000,000        1,034,554 (c) 

Fillmore, CA, Wastewater Revenue, Series 2017, Refunding, AGM

      5.000 %      5/1/36        1,730,000        1,837,254  

Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue, Senior Lien, Series A, Refunding

      5.000 %      7/1/47        500,000        504,823 (c) 

San Francisco, CA, City & County Public Utilities Commission Revenue, Green Bonds, Sub-Series C, Refunding

      4.000 %      11/1/40        1,500,000        1,589,485  

Stockton, CA, PFA Revenue:

           

1998 Wastewater Project and 2003 Wastewater Project, Refunding, BAM

      5.000 %      9/1/26        1,375,000        1,385,609  

1998 Wastewater Project and 2003 Wastewater Project, Refunding, BAM

      5.000 %      9/1/28        1,500,000        1,510,551  

Green Bond, Series A, Refunding, BAM

      5.000 %      10/1/32        1,000,000        1,100,727  

Green Bond, Series A, Refunding, BAM

      5.000 %      10/1/33        2,000,000        2,198,224  
          

 

 

  

Total Water & Sewer

              12,210,621  
          

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $90,479,178)

 

         88,635,753  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset Intermediate Maturity California Municipals Fund 2024 Quarterly Report 

  

 

 

5

WESTERN ASSET INTERMEDIATE MATURITY CALIFORNIA MUNICIPALS FUND

 

Schedule of investments (unaudited) (cont’d)    February 29, 2024

 

(Percentages shown based on Fund net assets)

   

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
SHORT-TERM INVESTMENTS - 0.6%           
MUNICIPAL BONDS - 0.6%           

Industrial Revenue - 0.6%

           

California State MFA Revenue, Chevron USA Inc. Project, Series A
(Cost - $550,000)

      3.550 %      11/1/35      $ 550,000      $ 550,000 (h)(i) 
          

 

 

  

TOTAL INVESTMENTS - 98.8%
(Cost - $91,029,178)

 

           89,185,753  

Other Assets in Excess of Liabilities - 1.2%

              1,060,421  
          

 

 

  

TOTAL NET ASSETS - 100.0%

            $ 90,246,174  
          

 

 

  

 

*

Non-income producing security.

 

(a)

Maturity date shown represents the mandatory tender date.

 

(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 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.

 

(d)

Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (“AMT”).

 

(e)

The coupon payment on this security is currently in default as of February 29, 2024.

 

(f)

The maturity principal is currently in default as of February 29, 2024.

 

(g)

All or a portion of this security is held at the broker as collateral for open futures contracts.

 

(h)

Variable rate demand obligations (“VRDOs”) have a demand feature under which the Fund can tender them back to the issuer or liquidity provider on no more than 7 days notice. The interest rate generally resets on a daily or weekly basis and is determined on the specific interest rate reset date by the remarketing agent, pursuant to a formula specified in official documents for the VRDO, or set at the highest rate allowable as specified in official documents for the VRDO. VRDOs are benchmarked to the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index. The SIFMA Municipal Swap Index is compiled from weekly interest rate resets of tax-exempt VRDOs reported to the Municipal Securities Rulemaking Board’s Short-term Obligation Rate Transparency System.

 

(i)

Maturity date shown is the final maturity date. The security may be sold back to the issuer before final maturity.

 

See Notes to Schedule of Investments.

 

 

 

6

  

 Western Asset Intermediate Maturity California Municipals Fund 2024 Quarterly Report

  

WESTERN ASSET INTERMEDIATE MATURITY CALIFORNIA MUNICIPALS FUND

 

Schedule of investments (unaudited) (cont’d)    February 29, 2024

 

(Percentages shown based on Fund net assets)

   

 

Abbreviation(s) used in this schedule:

 

AGM    — Assured Guaranty Municipal Corporation - Insured Bonds
BAM    — Build America Mutual - Insured Bonds
CAB    — Capital Appreciation Bonds
CDA    — Communities Development Authority
CMI    — California Mortgage Insurance Program - Insured Bonds
COP    — Certificates of Participation
GO    — General Obligation
MFA    — Municipal Finance Authority
PCFA    — Pollution Control Financing Authority
PFA    — Public Facilities Authority
RDA    — Redevelopment Agency
SIFMA    — Securities Industry and Financial Markets Association
USD    — Unified School District

At February 29, 2024, the Fund had the following open futures contracts:

 

     Number of
Contracts		      Expiration
Date		      Notional
Amount		      Market
Value		      Unrealized
Appreciation		  
Contracts to Buy:               
U.S. Treasury Long-Term Bonds      34        6/24      $ 4,041,773      $ 4,054,500      $ 12,727  

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedule of Investments.

 

 

Western Asset Intermediate Maturity California Municipals Fund 2024 Quarterly Report 

  

 

 

7

Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Western Asset Intermediate Maturity California Municipals Fund (the “Fund”) is a separate non-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. 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 Fund’s Board of Trustees.

Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s 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 Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

 

 

 

8

    Western Asset Intermediate Maturity California Municipals Fund 2024 Quarterly Report  

Notes to Schedule of Investments (unaudited) (continued)

 

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

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 Fund’s own assumptions in determining the fair value of investments)

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

 

 

Western Asset Intermediate Maturity California Municipals Fund 2024 Quarterly Report 

  

 

 

9

Notes to Schedule of Investments (unaudited) (continued)

 

The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Municipal Bonds†

      —       $ 88,635,753            —       $ 88,635,753  

Short-Term Investments†

      —         550,000        —         550,000  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

      —       $ 89,185,753        —       $ 89,185,753  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:

            

Futures Contracts††

    $ 12,727        —         —       $ 12,727  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 12,727      $ 89,185,753        —       $ 89,198,480  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

††

Reflects the unrealized appreciation (depreciation) of the instruments.

 

 

 

10

  

 Western Asset Intermediate Maturity California Municipals Fund 2024 Quarterly Report