NPORT-EX 2 LMF3800LM022924.htm HTML

WESTERN ASSET INTERMEDIATE MATURITY NEW YORK 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 - 93.1%           

Education - 10.1%

           

Buffalo & Erie County, NY, Industrial Land Development Corp. Revenue, Tapestry Charter School Project, Series A

      5.000 %      8/1/37      $ 825,000      $ 824,163  

Build NYC Resource Corp., NY, Revenue:

           

Academic Leadership Charter School Project, Series 2021

      4.000 %      6/15/27        100,000        98,086  

Academic Leadership Charter School Project, Series 2021

      4.000 %      6/15/28        100,000        97,498  

Academic Leadership Charter School Project, Series 2021

      4.000 %      6/15/29        110,000        106,847  

Academic Leadership Charter School Project, Series 2021

      4.000 %      6/15/30        100,000        96,691  

Academic Leadership Charter School Project, Series 2021

      4.000 %      6/15/36        360,000        339,393  

East Harlem Scholars Academy Charter School Project

      5.750 %      6/1/52        300,000        308,832 (a) 

Manhattan College Project, Refunding

      5.000 %      8/1/35        400,000        413,809  

Manhattan College Project, Refunding

      5.000 %      8/1/36        500,000        515,585  

New York State Dormitory Authority Revenue:

           

New York University, Series C, Refunding

      4.000 %      7/1/36        1,802,000        1,898,825  

Non-State Supported Debt SD Program, AGM, State Aid Withholding

      5.000 %      10/1/35        5,000,000        5,802,469  

Non-State Supported Debt SD Program, Series A, AGM

      5.000 %      10/1/30        1,995,000        2,191,585  

Troy, NY, Capital Resource Corp. Revenue:

           

Rensselaer Polytechnic Institute Project, Series A, Refunding

      5.000 %      9/1/27        2,000,000        2,113,547  

Rensselaer Polytechnic Institute Project, Series A, Refunding

      5.000 %      9/1/36        900,000        984,507  
          

 

 

  

Total Education

              15,791,837  
          

 

 

  

Health Care - 4.8%

           

Brookhaven, NY, Local Development Corp., Long Island Community Hospital Project, Series A, Refunding

      5.000 %      10/1/34        750,000        828,614  

Build NYC Resource Corp., NY, Revenue, The Children’s Aid Society Project

      4.000 %      7/1/44        480,000        467,377  

 

See Notes to Schedule of Investments.

 

 

Western Asset Intermediate Maturity New York Municipals Fund 2024 Quarterly Report 

  

 

 

1

WESTERN ASSET INTERMEDIATE MATURITY NEW YORK 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  

Health Care - (continued)

           

New York State Dormitory Authority Revenue, Northwell Health Obligated Group, Series B-3

      5.000 %      5/1/26      $ 5,000,000      $ 5,118,652 (b)(c) 

Oneida County, NY, Local Development Corp., Mohawk Valley Health System Project, Series A, Refunding, AGM

      4.000 %      12/1/32        1,000,000        1,017,794  
          

 

 

  

Total Health Care

              7,432,437  
          

 

 

  

Housing - 1.8%

           

New York City, NY, HDC Impact Revenue, Sustainable Development Bonds, Series A, HUD Section 8

      4.450 %      8/1/43        2,770,000        2,811,292  
          

 

 

  

Industrial Revenue - 2.3%

           

Build NYC Resource Corp., NY, Solid Waste Disposal Revenue, Pratt Paper NY Inc. Project, Refunding

      4.500 %      1/1/25        200,000        200,094 (a)(d) 

New York City, NY, Industrial Development Agency Revenue, Yankee Stadium Project, Series A, Refunding, AGM

      5.000 %      3/1/28        1,000,000        1,076,870  

New York State Transportation Development Corp., Special Facilities Revenue:

           

American Airlines Inc., John F. Kennedy International Airport Project 2021, Refunding

      3.000 %      8/1/31        600,000        558,938 (d) 

Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project

      5.000 %      1/1/30        500,000        517,544 (d) 

Niagara Area Development Corp., NY, Solid Waste Disposal Facility Revenue, Covanta Project, Series B, Refunding

      3.500 %      11/1/24        1,250,000        1,237,787 (a) 
          

 

 

  

Total Industrial Revenue

              3,591,233  
          

 

 

  

Local General Obligation - 8.3%

           

Nassau County, NY, Health Care Corp. Revenue, Nassau County GTD, Refunding

      5.000 %      8/1/28        5,250,000        5,743,218  

New York City, NY, GO:

           

Series 1

      5.000 %      8/1/35        1,000,000        1,175,663  

Subseries B-1

      5.250 %      10/1/43        1,500,000        1,688,696  

Subseries F-1, Refunding

      5.000 %      8/1/35        2,000,000        2,351,327  

Suffolk County, NY, GO, Series A, Refunding

      5.000 %      6/15/34        1,720,000        1,991,532  
          

 

 

  

Total Local General Obligation

              12,950,436  
          

 

 

  

Power - 2.9%

           

Long Island, NY, Power Authority Electric System Revenue:

           

Series B,

      1.650 %      9/1/24        1,750,000        1,728,471 (b)(c) 

 

See Notes to Schedule of Investments.

 

 

 

2

  

 Western Asset Intermediate Maturity New York Municipals Fund 2024 Quarterly Report

  

WESTERN ASSET INTERMEDIATE MATURITY NEW YORK 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  

Power - (continued)

           

Series B, Refunding

      0.850 %      9/1/25      $ 2,500,000      $ 2,387,179 (b)(c) 

Puerto Rico Electric Power Authority Revenue:

           

Series A

      5.000 %      7/1/42        215,000        56,975 *(e) 

Series A

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

Series DDD, Refunding

      —        7/1/21        370,000        97,125 *(f) 

Series TT

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

Series XX

      5.250 %      7/1/40        215,000        56,975 *(e) 

Series ZZ, Refunding

      —        7/1/18        100,000        26,250 *(f) 
          

 

 

  

Total Power

              4,490,775  
          

 

 

  

Pre-Refunded/Escrowed to Maturity - 3.4%

           

Build NYC Resource Corp., NY, Revenue:

           

New York Methodist Hospital Project, Refunding

      5.000 %      7/1/26        600,000        603,055 (g) 

New York Methodist Hospital Project, Refunding

      5.000 %      7/1/28        1,000,000        1,005,092 (g) 

New York Methodist Hospital Project, Refunding

      5.000 %      7/1/29        400,000        402,037 (g) 

New York State Dormitory Authority Revenue:

           

Non-State Supported Debt SD Program, Series A, AGM

      5.000 %      10/1/30        5,000        5,511 (g) 

Pratt Institute, Series A, Refunding

      5.000 %      7/1/25        250,000        251,273 (g) 

Pratt Institute, Series A, Refunding

      5.000 %      7/1/26        500,000        502,546 (g) 

Pratt Institute, Series A, Refunding

      5.000 %      7/1/29        500,000        502,546 (g) 

Western Nassau County, NY, Water Authority, Water System Revenue:

           

Series A

      5.000 %      4/1/31        250,000        255,447 (g) 

Series A

      5.000 %      4/1/32        700,000        715,252 (g) 

Series A

      5.000 %      4/1/34        1,040,000        1,062,661 (g) 
          

 

 

  

Total Pre-Refunded/Escrowed to Maturity

              5,305,420  
          

 

 

  

Solid Waste/Resource Recovery - 1.1%

           

Rockland County, NY, Solid Waste Management Authority Revenue:

           

Exempt Facility General Obligation, Green Bonds, Series A

      4.000 %      12/15/38        625,000        632,844 (d) 

Exempt Facility General Obligation, Green Bonds, Series A

      4.000 %      12/15/39        1,040,000        1,045,133 (d) 
          

 

 

  

Total Solid Waste/Resource Recovery

              1,677,977  
          

 

 

  

Special Tax Obligation - 18.7%

           

Hudson Yards Infrastructure Corp., NY, Second Indenture Revenue, Series A, Refunding

      5.000 %      2/15/35        3,000,000        3,177,591  

New York City, NY, TFA, Future Tax Secured Revenue, Subseries A-1

      5.000 %      5/1/44        4,000,000        4,460,918  

 

See Notes to Schedule of Investments.

 

 

Western Asset Intermediate Maturity New York Municipals Fund 2024 Quarterly Report 

  

 

 

3

WESTERN ASSET INTERMEDIATE MATURITY NEW YORK 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)

           

New York State Convention Center Development Corp. Revenue, CAB, Subordinated Lien, Hotel Unit Fee Secured, Series B

      0.000 %      11/15/31      $ 3,925,000      $ 2,934,636  

New York State Dormitory Authority, Sales Tax Revenue:

           

Bidding Group 1, Series C, Refunding

      5.000 %      3/15/39        3,515,000        3,739,194  

Group C, Series A

      5.000 %      3/15/42        3,060,000        3,174,660  

New York State Dormitory Authority, State Personal Income Tax Revenue, Series D, Refunding

      5.000 %      2/15/41        4,000,000        4,365,280  

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

           

CAB, Restructured, Series A-1

      0.000 %      7/1/27        210,000        186,203  

Restructured, Series A-1

      4.550 %      7/1/40        40,000        40,310  

Restructured, Series A-1

      4.750 %      7/1/53        1,600,000        1,600,915  

Restructured, Series A-2

      4.329 %      7/1/40        70,000        69,680  

Restructured, Series A-2A

      4.550 %      7/1/40        1,270,000        1,279,846  

Triborough Bridge & Tunnel Authority, NY, Revenue:

           

Sales Tax-MTA Bridges & Tunnels, Series A

      4.000 %      5/15/48        3,000,000        2,926,275  

MTA Bridges & Tunnels, Senior Lien, Series C, Refunding

      5.000 %      5/15/47        1,000,000        1,090,414  
          

 

 

  

Total Special Tax Obligation

              29,045,922  
          

 

 

  

State General Obligation - 0.7%

           

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        228,447        221,743  

Restructured, Series A-1

      4.000 %      7/1/37        685,000        654,230  

Restructured, Series A-1

      4.000 %      7/1/41        104,857        97,395  

Restructured, Series A-1

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

Subseries CW

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

 

 

  

Total State General Obligation

              1,069,242  
          

 

 

  

Transportation - 31.6%

           

MTA, NY, Dedicated Tax Fund Revenue, Green Bonds, Series A

      5.000 %      11/15/34        5,000,000        5,307,747  

 

See Notes to Schedule of Investments.

 

 

 

4

  

 Western Asset Intermediate Maturity New York Municipals Fund 2024 Quarterly Report

  

WESTERN ASSET INTERMEDIATE MATURITY NEW YORK 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)

           

MTA, NY, Transportation Revenue:

           

Green Bonds, Series B, Refunding

      5.000 %      11/15/26      $ 1,000,000      $ 1,053,488  

Green Bonds, Series C-1, Refunding

      5.000 %      11/15/24        370,000        374,559  

Green Bonds, Series E, Refunding

      4.000 %      11/15/26        2,000,000        2,054,434  

Series A-2

      5.000 %      5/15/30        1,250,000        1,361,174 (b)(c) 

Series B, Refunding

      5.000 %      11/15/37        1,000,000        1,038,164  

New York State Bridge Authority Revenue, Series A

      4.000 %      1/1/46        725,000        719,508  

New York State Thruway Authority Revenue:

           

Series L, Refunding

      5.000 %      1/1/31        1,750,000        1,899,316  

Series L, Refunding

      5.000 %      1/1/32        1,250,000        1,355,110  

New York State Transportation Development Corp., Special Facilities Revenue:

           

Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project

      5.000 %      1/1/32        1,200,000        1,240,868 (d) 

Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project

      5.000 %      1/1/33        5,100,000        5,272,280 (d) 

John F. Kennedy International Airport New Terminal One Project, Green Bonds

      6.000 %      6/30/54        1,250,000        1,376,836 (d) 

John F. Kennedy International Airport New Terminal One Project, Green Bonds, AGM

      5.500 %      6/30/44        1,000,000        1,099,881 (d) 

John F. Kennedy International Airport New Terminal One Project, Green Bonds, AGM

      5.000 %      6/30/49        500,000        525,002 (d) 

Terminal 4 John F. Kennedy International Airport Project, Series A, Refunding

      5.000 %      12/1/25        1,120,000        1,141,924 (d) 

Terminal 4 John F. Kennedy International Airport Project, Series C, Refunding

      5.000 %      12/1/37        2,500,000        2,668,882  

Port Authority of New York & New Jersey Revenue:

           

Consolidated Series 185

      5.000 %      9/1/25        2,000,000        2,014,033 (d) 

Consolidated Series 185

      5.000 %      9/1/26        5,935,000        5,963,771 (d) 

Consolidated Series 193, Refunding

      5.000 %      10/15/30        8,000,000        8,118,102 (d) 

Consolidated Series 226, Refunding

      5.000 %      10/15/37        1,250,000        1,364,086 (d) 

Triborough Bridge & Tunnel Authority, NY, Revenue, General-MTA Bridges & Tunnels, Series A

      5.000 %      11/15/49        3,000,000        3,216,676 (h) 
          

 

 

  

Total Transportation

              49,165,841  
          

 

 

  

Water & Sewer - 7.4%

           

Buffalo, NY, Municipal Water Finance Authority, Water System Revenue:

           

Series A, Refunding

      5.000 %      7/1/26        900,000        918,559  

 

See Notes to Schedule of Investments.

 

 

Western Asset Intermediate Maturity New York Municipals Fund 2024 Quarterly Report 

  

 

 

5

WESTERN ASSET INTERMEDIATE MATURITY NEW YORK 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  

Water & Sewer - (continued)

           

Series A, Refunding

      5.000 %      7/1/27      $ 1,000,000      $ 1,020,360  

New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue:

           

Second General Resolution Fiscal 2023, Series DD, Refunding

      4.125 %      6/15/46        2,000,000        2,013,352  

Second General Resolution Fiscal 2023, Series DD, Refunding

      4.125 %      6/15/47        3,000,000        3,005,579  

Second General Resolution, Series CC-1, Refunding

      5.000 %      6/15/46        2,500,000        2,573,774  

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

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

Western Nassau County, NY, Water Authority, Water System Revenue:

           

Green Bonds, Series A

      4.000 %      4/1/41        450,000        457,158  

Green Bonds, Series A

      4.000 %      4/1/46        1,000,000        1,002,796  
          

 

 

  

Total Water & Sewer

              11,496,401  
          

 

 

  

TOTAL MUNICIPAL BONDS
(Cost - $145,759,424)

              144,828,813  
          

 

 

  
MUNICIPAL BONDS DEPOSITED IN TENDER OPTION BOND TRUSTS(i) - 2.1%

 

      

Leasing - 1.1%

           

New York State, NY, Urban Development State Sales Revenue, Series A

      5.000 %      3/15/47        1,500,000        1,660,090  
          

 

 

  

Water & Sewer - 1.0%

           

New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue, Second General Resolution Fiscal 2023, Subseries AA-3, Refunding

      5.000 %      6/15/47        1,435,000        1,578,668  
          

 

 

  

TOTAL MUNICIPAL BONDS DEPOSITED IN TENDER OPTION BOND TRUSTS
(Cost - $3,016,232)

 

         3,238,758  
          

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $148,775,656)

 

      148,067,571  
          

 

 

  
SHORT-TERM INVESTMENTS - 4.6%           
MUNICIPAL BONDS - 4.6%           

Education - 0.4%

           

New York State Dormitory Authority Revenue, Non-State Supported Debt, Rockefeller University, Series A2, SPA - JPMorgan Chase & Co.

      3.300 %      7/1/32        600,000        600,000 (j)(k) 
          

 

 

  

General Obligations - 1.4%

           

New York City, NY, GO:

           

Subseries D-4, LOC - TD Bank N.A.

      3.650 %      8/1/40        1,300,000        1,300,000 (j)(k) 

 

See Notes to Schedule of Investments.

 

 

 

6

  

 Western Asset Intermediate Maturity New York Municipals Fund 2024 Quarterly Report

  

WESTERN ASSET INTERMEDIATE MATURITY NEW YORK 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  

General Obligations - (continued)

           

Subseries E-5, LOC - TD Bank N.A.

      3.650 %      3/1/48      $ 400,000      $ 400,000 (j)(k) 

Subseries I-4, Refunding, LOC - TD Bank N.A.

      3.650 %      4/1/36        550,000        550,000 (j)(k) 
          

 

 

  

Total General Obligations

              2,250,000  
          

 

 

  

Housing: Multi-Family - 0.3%

           

New York City, NY, HDC, MFH Revenue, Series I-3, SPA - TD Bank N.A.

      3.300 %      11/1/60        500,000        500,000 (j)(k) 
          

 

 

  

State General Obligation - 1.1%

           

New York City, NY, GO:

           

Subseries A-3, SPA - Bank of Montreal

      3.650 %      9/1/49        1,300,000        1,300,000 (j)(k) 

Subseries F-6, SPA - JPMorgan Chase & Co.

      3.750 %      6/1/44        400,000        400,000 (j)(k) 
          

 

 

  

Total State General Obligation

              1,700,000  
          

 

 

  

Water & Sewer - 1.4%

           

New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue:

           

Second General Resolution Fiscal 2008, Series BB-5, Refunding, SPA - Bank of America N.A.

      3.650 %      6/15/33        955,000        955,000 (j)(k) 

Second General Resolution Fiscal 2014, Series AA-3, Refunding, SPA - TD Bank N.A.

      3.650 %      6/15/49        400,000        400,000 (j)(k) 

Second General Resolution Fiscal 2014, Series AA-5, Refunding, SPA - Mizuho Bank Ltd.

      3.650 %      6/15/48        800,000        800,000 (j)(k) 
          

 

 

  

Total Water & Sewer

              2,155,000  
          

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost - $7,205,000)

 

         7,205,000  
          

 

 

  

TOTAL INVESTMENTS - 99.8%
(Cost - $155,980,656)

 

         155,272,571  

TOB Floating Rate Notes - (1.1)%

              (1,705,000 ) 

Other Assets in Excess of Other Liabilities - 1.3%

              2,009,247  
          

 

 

  

TOTAL NET ASSETS - 100.0%

            $ 155,576,818  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset Intermediate Maturity New York Municipals Fund 2024 Quarterly Report 

  

 

 

7

WESTERN ASSET INTERMEDIATE MATURITY NEW YORK MUNICIPALS FUND

 

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

 

*

Non-income producing security.

 

(a)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

 

(b)

Maturity date shown represents the mandatory tender date.

 

(c)

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.

 

(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)

Pre-Refunded bonds are generally escrowed with U.S. government obligations and/or U.S. government agency securities.

 

(h)

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

 

(i)

Represents securities deposited into a special purpose entity, referred to as a Tender Option Bond (“TOB”) trust.

 

(j)

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.

 

(k)

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

Abbreviation(s) used in this schedule:

AGM    — Assured Guaranty Municipal Corporation - Insured Bonds
CAB    — Capital Appreciation Bonds
GO    — General Obligation
GTD    — Guaranteed
HDC    — Housing Development Corporation
HUD    — Housing & Urban Development
LOC    — Letter of Credit
MFH    — Multi-Family Housing
MTA    — Metropolitan Transportation Authority
SD    — School District
SPA    — Standby Bond Purchase Agreement - Insured Bonds
TFA    — Transitional Finance Authority

 

See Notes to Schedule of Investments.

 

 

 

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 Western Asset Intermediate Maturity New York Municipals Fund 2024 Quarterly Report

  

WESTERN ASSET INTERMEDIATE MATURITY NEW YORK MUNICIPALS FUND

 

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

 

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

      58        6/24      $ 6,894,789      $ 6,916,500      $ 21,711  

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 New York Municipals Fund 2024 Quarterly Report 

  

 

 

9

Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Western Asset Intermediate Maturity New York 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.

 

 

 

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 Western Asset Intermediate Maturity New York 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 New York Municipals Fund 2024 Quarterly Report 

  

 

 

11

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  

Long-Term Investments†:

            

Municipal Bonds

      —       $ 144,828,813        —       $ 144,828,813  

Municipal Bonds Deposited in Tender Option Bond Trusts

      —         3,238,758        —         3,238,758  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      —         148,067,571        —         148,067,571  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

      —         7,205,000        —         7,205,000  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

      —       $ 155,272,571        —       $ 155,272,571  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:

            

Futures Contracts††

    $ 21,711        —         —       $ 21,711  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 21,711      $ 155,272,571        —       $ 155,294,282  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

††

Reflects the unrealized appreciation (depreciation) of the instruments.

 

 

 

12

  

 Western Asset Intermediate Maturity New York Municipals Fund 2024 Quarterly Report