WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
CORPORATE BONDS & NOTES - 32.0% | ||||||||||||||||
COMMUNICATION SERVICES - 1.8% | ||||||||||||||||
Diversified Telecommunication Services - 0.4% |
|
|||||||||||||||
Altice France SA, Senior Secured Notes |
5.500 | % | 1/15/28 | 2,250,000 | $ | 1,872,608 | (a) | |||||||||
Altice France SA, Senior Secured Notes |
5.500 | % | 10/15/29 | 200,000 | 158,391 | (a) | ||||||||||
|
|
|||||||||||||||
Total Diversified Telecommunication Services |
|
2,030,999 | ||||||||||||||
|
|
|||||||||||||||
Media - 0.6% |
||||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
4.500 | % | 8/15/30 | 70,000 | 59,894 | (a) | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
4.750 | % | 2/1/32 | 110,000 | 93,654 | (a) | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
4.500 | % | 5/1/32 | 1,480,000 | 1,226,580 | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
4.250 | % | 1/15/34 | 1,130,000 | 882,558 | (a) | ||||||||||
DISH DBS Corp., Senior Notes |
5.125 | % | 6/1/29 | 420,000 | 267,750 | |||||||||||
DISH DBS Corp., Senior Secured Notes |
5.250 | % | 12/1/26 | 240,000 | 207,300 | (a) | ||||||||||
DISH DBS Corp., Senior Secured Notes |
5.750 | % | 12/1/28 | 30,000 | 24,602 | (a) | ||||||||||
Time Warner Cable LLC, Senior Secured Notes |
7.300 | % | 7/1/38 | 190,000 | 204,041 | |||||||||||
Virgin Media Secured Finance PLC, Senior Secured Notes |
5.500 | % | 5/15/29 | 550,000 | 510,947 | (a) | ||||||||||
|
|
|||||||||||||||
Total Media |
|
3,477,326 | ||||||||||||||
|
|
|||||||||||||||
Wireless Telecommunication Services - 0.8% |
||||||||||||||||
CSC Holdings LLC, Senior Notes |
6.500 | % | 2/1/29 | 960,000 | 831,686 | (a) | ||||||||||
CSC Holdings LLC, Senior Notes |
5.750 | % | 1/15/30 | 2,210,000 | 1,395,118 | (a) | ||||||||||
CSC Holdings LLC, Senior Notes |
4.125 | % | 12/1/30 | 1,120,000 | 829,842 | (a) | ||||||||||
Sprint Capital Corp., Senior Notes |
8.750 | % | 3/15/32 | 250,000 | 309,088 | |||||||||||
Sprint LLC, Senior Notes |
7.625 | % | 2/15/25 | 300,000 | 311,790 | |||||||||||
Vmed O2 UK Financing I PLC, Senior Secured Notes |
4.750 | % | 7/15/31 | 410,000 | 349,150 | (a) | ||||||||||
|
|
|||||||||||||||
Total Wireless Telecommunication Services |
|
4,026,674 | ||||||||||||||
|
|
|||||||||||||||
TOTAL COMMUNICATION SERVICES |
9,534,999 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER DISCRETIONARY - 4.8% | ||||||||||||||||
Automobiles - 1.0% |
||||||||||||||||
Ford Motor Co., Senior Notes |
3.250 | % | 2/12/32 | 130,000 | 103,344 | |||||||||||
Ford Motor Co., Senior Notes |
6.100 | % | 8/19/32 | 1,790,000 | 1,758,600 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes |
3.375 | % | 11/13/25 | 300,000 | 279,849 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes |
4.389 | % | 1/8/26 | 220,000 | 211,454 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes |
2.700 | % | 8/10/26 | 200,000 | 178,784 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes |
4.271 | % | 1/9/27 | 1,120,000 | 1,048,132 |
See Notes to Schedule of Investments.
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
1 |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Automobiles - (continued) |
||||||||||||||||
Ford Motor Credit Co. LLC, Senior Notes |
2.900 | % | 2/10/29 | 200,000 | $ | 167,092 | ||||||||||
Ford Motor Credit Co. LLC, Senior Notes |
5.113 | % | 5/3/29 | 420,000 | 398,621 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes |
3.625 | % | 6/17/31 | 1,180,000 | 983,036 | |||||||||||
|
|
|||||||||||||||
Total Automobiles |
5,128,912 | |||||||||||||||
|
|
|||||||||||||||
Diversified Consumer Services - 0.1% |
||||||||||||||||
Wesleyan University, Senior Notes |
4.781 | % | 7/1/2116 | 690,000 | 578,183 | |||||||||||
|
|
|||||||||||||||
Hotels, Restaurants & Leisure - 2.8% |
||||||||||||||||
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes |
3.875 | % | 1/15/28 | 280,000 | 256,333 | (a) | ||||||||||
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes |
3.500 | % | 2/15/29 | 280,000 | 245,360 | (a) | ||||||||||
Carnival Corp., Senior Notes |
5.750 | % | 3/1/27 | 2,940,000 | 2,444,345 | (a) | ||||||||||
Carnival Corp., Senior Notes |
10.500 | % | 6/1/30 | 2,630,000 | 2,534,741 | (a) | ||||||||||
Las Vegas Sands Corp., Senior Notes |
3.200 | % | 8/8/24 | 920,000 | 885,715 | |||||||||||
Las Vegas Sands Corp., Senior Notes |
2.900 | % | 6/25/25 | 130,000 | 121,779 | |||||||||||
Las Vegas Sands Corp., Senior Notes |
3.500 | % | 8/18/26 | 240,000 | 223,743 | |||||||||||
Royal Caribbean Cruises Ltd., Senior Notes |
5.500 | % | 8/31/26 | 650,000 | 582,564 | (a) | ||||||||||
Royal Caribbean Cruises Ltd., Senior Notes |
5.375 | % | 7/15/27 | 2,000,000 | 1,742,264 | (a) | ||||||||||
Sands China Ltd., Senior Notes |
5.625 | % | 8/8/25 | 2,240,000 | 2,229,270 | |||||||||||
Sands China Ltd., Senior Notes |
2.800 | % | 3/8/27 | 960,000 | 839,932 | |||||||||||
Sands China Ltd., Senior Notes |
3.350 | % | 3/8/29 | 630,000 | 539,675 | |||||||||||
VOC Escrow Ltd., Senior Secured Notes |
5.000 | % | 2/15/28 | 670,000 | 590,153 | (a) | ||||||||||
Wynn Macau Ltd., Senior Notes |
4.875 | % | 10/1/24 | 840,000 | 808,509 | (a) | ||||||||||
Wynn Macau Ltd., Senior Notes |
5.500 | % | 1/15/26 | 1,320,000 | 1,232,175 | (a) | ||||||||||
|
|
|||||||||||||||
Total Hotels, Restaurants & Leisure |
15,276,558 | |||||||||||||||
|
|
|||||||||||||||
Internet & Direct Marketing Retail - 0.9% |
||||||||||||||||
Amazon.com Inc., Senior Notes |
4.050 | % | 8/22/47 | 4,500,000 | 4,090,170 | (b) | ||||||||||
Prosus NV, Senior Notes |
4.027 | % | 8/3/50 | 1,290,000 | 873,709 | (a) | ||||||||||
|
|
|||||||||||||||
Total Internet & Direct Marketing Retail |
4,963,879 | |||||||||||||||
|
|
|||||||||||||||
TOTAL CONSUMER DISCRETIONARY |
25,947,532 | |||||||||||||||
|
|
|||||||||||||||
ENERGY - 10.7% | ||||||||||||||||
Oil, Gas & Consumable Fuels - 10.7% |
||||||||||||||||
Apache Corp., Senior Notes |
7.750 | % | 12/15/29 | 190,000 | 202,289 | |||||||||||
Apache Corp., Senior Notes |
6.000 | % | 1/15/37 | 410,000 | 388,844 | |||||||||||
Apache Corp., Senior Notes |
5.250 | % | 2/1/42 | 1,210,000 | 1,017,719 | |||||||||||
Apache Corp., Senior Notes |
7.375 | % | 8/15/47 | 100,000 | 100,254 | |||||||||||
Apache Corp., Senior Notes |
5.350 | % | 7/1/49 | 940,000 | 779,673 |
See Notes to Schedule of Investments.
2 |
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
Berry Petroleum Co. LLC, Senior Notes |
7.000 | % | 2/15/26 | 780,000 | $ | 747,879 | (a) | |||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes |
7.625 | % | 12/15/25 | 580,000 | 589,840 | (a) | ||||||||||
Cheniere Energy Partners LP, Senior Notes |
3.250 | % | 1/31/32 | 430,000 | 359,549 | |||||||||||
Continental Resources Inc., Senior Notes |
4.900 | % | 6/1/44 | 240,000 | 193,035 | |||||||||||
DCP Midstream Operating LP, Senior Notes |
6.450 | % | 11/3/36 | 660,000 | 697,250 | (a) | ||||||||||
DCP Midstream Operating LP, Senior Notes |
6.750 | % | 9/15/37 | 620,000 | 679,861 | (a) | ||||||||||
Devon Energy Corp., Senior Notes |
7.875 | % | 9/30/31 | 220,000 | 258,131 | |||||||||||
Devon Energy Corp., Senior Notes |
7.950 | % | 4/15/32 | 340,000 | 402,549 | |||||||||||
Ecopetrol SA, Senior Notes |
5.375 | % | 6/26/26 | 2,090,000 | 2,022,211 | |||||||||||
Ecopetrol SA, Senior Notes |
8.875 | % | 1/13/33 | 870,000 | 893,634 | |||||||||||
Energy Transfer LP, Junior Subordinated Notes (6.625% to 2/15/28 then 3 mo. USD LIBOR + 4.155%) |
6.625 | % | 2/15/28 | 3,450,000 | 2,894,308 | (c)(d) | ||||||||||
Energy Transfer LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%) |
6.750 | % | 5/15/25 | 2,870,000 | 2,722,912 | (c)(d) | ||||||||||
Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year Treasury Constant Maturity Rate + 5.306%) |
7.125 | % | 5/15/30 | 4,570,000 | 4,186,120 | (c)(d) | ||||||||||
Energy Transfer LP, Senior Notes |
6.850 | % | 2/15/40 | 400,000 | 406,340 | |||||||||||
EQT Corp., Senior Notes |
7.000 | % | 2/1/30 | 200,000 | 212,995 | |||||||||||
Kinder Morgan Energy Partners LP, Senior Notes |
6.950 | % | 1/15/38 | 70,000 | 79,294 | |||||||||||
Northern Oil and Gas Inc., Senior Notes |
8.125 | % | 3/1/28 | 650,000 | 648,320 | (a) | ||||||||||
Occidental Petroleum Corp., Senior Notes |
3.200 | % | 8/15/26 | 860,000 | 797,671 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
6.625 | % | 9/1/30 | 2,270,000 | 2,412,573 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
0.000 | % | 10/10/36 | 11,680,000 | 5,929,215 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
6.200 | % | 3/15/40 | 980,000 | 991,407 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
4.500 | % | 7/15/44 | 180,000 | 147,487 |
See Notes to Schedule of Investments.
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
3 |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
Occidental Petroleum Corp., Senior Notes |
6.600 | % | 3/15/46 | 1,420,000 | $ | 1,513,983 | ||||||||||
Occidental Petroleum Corp., Senior Notes |
4.400 | % | 4/15/46 | 510,000 | 418,445 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
4.200 | % | 3/15/48 | 2,800,000 | 2,216,190 | |||||||||||
Petrobras Global Finance BV, Senior Notes |
5.999 | % | 1/27/28 | 150,000 | 150,164 | |||||||||||
Petrobras Global Finance BV, Senior Notes |
6.850 | % | 6/5/2115 | 1,490,000 | 1,293,211 | |||||||||||
Petroleos Mexicanos, Senior Notes |
6.375 | % | 1/23/45 | 1,300,000 | 876,745 | |||||||||||
Plains All American Pipeline LP, Junior Subordinated Notes (3 mo. USD LIBOR + 4.110%) |
8.716 | % | 3/3/23 | 800,000 | 732,000 | (c)(d) | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp., Senior Notes |
6.700 | % | 5/15/36 | 560,000 | 577,152 | |||||||||||
Range Resources Corp., Senior Notes |
8.250 | % | 1/15/29 | 590,000 | 607,322 | |||||||||||
Rockies Express Pipeline LLC, Senior Notes |
6.875 | % | 4/15/40 | 1,180,000 | 1,001,639 | (a) | ||||||||||
Southwestern Energy Co., Senior Notes |
4.750 | % | 2/1/32 | 5,800,000 | 5,120,008 | |||||||||||
Western Midstream Operating LP, Senior Notes |
4.500 | % | 3/1/28 | 730,000 | 690,668 | |||||||||||
Western Midstream Operating LP, Senior Notes |
5.450 | % | 4/1/44 | 2,130,000 | 1,877,222 | |||||||||||
Western Midstream Operating LP, Senior Notes |
5.300 | % | 3/1/48 | 720,000 | 630,774 | |||||||||||
Western Midstream Operating LP, Senior Notes |
5.500 | % | 8/15/48 | 890,000 | 774,171 | |||||||||||
Western Midstream Operating LP, Senior Notes |
5.500 | % | 2/1/50 | 6,090,000 | 5,289,987 | |||||||||||
Williams Cos. Inc., Senior Notes |
8.750 | % | 3/15/32 | 1,090,000 | 1,341,003 | |||||||||||
YPF SA, Senior Notes |
8.500 | % | 7/28/25 | 1,610,000 | 1,480,242 | (a) | ||||||||||
|
|
|||||||||||||||
TOTAL ENERGY |
57,352,286 | |||||||||||||||
|
|
|||||||||||||||
FINANCIALS - 8.0% | ||||||||||||||||
Banks - 4.5% |
||||||||||||||||
BAC Capital Trust XIV, Junior |
||||||||||||||||
Subordinated Notes (3 mo. USD LIBOR + 0.400%) |
5.169 | % | 2/16/23 | 260,000 | 208,342 | (c)(d) |
See Notes to Schedule of Investments.
4 |
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Banks - (continued) |
||||||||||||||||
Banco Mercantil del Norte SA, Junior Subordinated Notes (7.625% to 1/10/28 then 10 year Treasury Constant Maturity Rate + 5.353%) |
7.625 | % | 1/10/28 | 1,630,000 | $ | 1,614,336 | (a)(c)(d) | |||||||||
Bank of America Corp., Junior Subordinated Notes (5.875% to 3/15/28 then 3 mo. USD LIBOR + 2.931%) |
5.875 | % | 3/15/28 | 4,900,000 | 4,697,875 | (c)(d) | ||||||||||
Barclays PLC, Junior Subordinated Notes (7.750% to 9/15/23 then USD 5 year ICE Swap Rate + 4.842%) |
7.750 | % | 9/15/23 | 1,780,000 | 1,771,047 | (c)(d) | ||||||||||
BNP Paribas SA, Junior Subordinated Notes (7.000% to 8/16/28 then USD 5 year ICE Swap Rate + 3.980%) |
7.000 | % | 8/16/28 | 200,000 | 198,125 | (a)(c)(d) | ||||||||||
Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. USD LIBOR + 3.905%) |
5.950 | % | 5/15/25 | 7,470,000 | 7,289,034 | (c)(d) | ||||||||||
Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. USD LIBOR + 3.423%) |
6.300 | % | 5/15/24 | 880,000 | 869,000 | (c)(d) | ||||||||||
Credit Agricole SA, Junior Subordinated Notes (7.500% to 6/23/26 then GBP 5 year Swap Rate + 4.812%) |
7.500 | % | 6/23/26 | 1,680,000 | GBP | 2,067,263 | (a)(c)(d) | |||||||||
Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year ICE Swap Rate + 6.185%) |
8.125 | % | 12/23/25 | 3,250,000 | 3,360,971 | (a)(c)(d) | ||||||||||
HSBC Holdings PLC, Junior Subordinated Notes (6.375% to 3/30/25 then USD 5 year ICE Swap Rate + 4.368%) |
6.375 | % | 3/30/25 | 860,000 | 850,002 | (c)(d) | ||||||||||
Intesa Sanpaolo SpA, Subordinated Notes |
5.017 | % | 6/26/24 | 200,000 | 195,186 | (a) | ||||||||||
Intesa Sanpaolo SpA, Subordinated Notes |
5.710 | % | 1/15/26 | 210,000 | 206,467 | (a) | ||||||||||
Wells Fargo & Co., Junior Subordinated Notes (5.875% to 6/15/25 then 3 mo. USD LIBOR + 3.990%) |
5.875 | % | 6/15/25 | 847,000 | 845,052 | (c)(d) | ||||||||||
|
|
|||||||||||||||
Total Banks |
24,172,700 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
5 |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Capital Markets - 2.1% |
||||||||||||||||
Credit Suisse Group AG, Junior Subordinated Notes (5.250% to 8/11/27 then 5 year Treasury Constant Maturity Rate + 4.889%) |
5.250 | % | 2/11/27 | 4,080,000 | $ | 3,070,200 | (a)(c)(d) | |||||||||
Credit Suisse Group AG, Junior Subordinated Notes (6.375% to 8/21/26 then 5 year Treasury Constant Maturity Rate + 4.822%) |
6.375 | % | 8/21/26 | 200,000 | 162,500 | (a)(c)(d) | ||||||||||
Credit Suisse Group AG, Junior Subordinated Notes (7.250% to 9/12/25 then USD 5 year ICE Swap Rate + 4.332%) |
7.250 | % | 9/12/25 | 300,000 | 246,045 | (a)(c)(d) | ||||||||||
Credit Suisse Group AG, Junior Subordinated Notes (7.500% to 7/17/23 then USD 5 year ICE Swap Rate + 4.600%) |
7.500 | % | 7/17/23 | 570,000 | 529,107 | (a)(c)(d) | ||||||||||
Credit Suisse Group AG, Junior Subordinated Notes (9.750% to 12/23/27 then 5 year Treasury Constant Maturity Rate + 6.383%) |
9.750 | % | 6/23/27 | 4,150,000 | 4,035,875 | (a)(c)(d) | ||||||||||
Credit Suisse Group AG, Senior Notes |
4.875 | % | 5/15/45 | 530,000 | 439,533 | |||||||||||
Credit Suisse Group AG, Senior Notes (3.091% to 5/14/31 then SOFR + 1.730%) |
3.091 | % | 5/14/32 | 790,000 | 597,974 | (a)(d) | ||||||||||
Credit Suisse Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%) |
4.194 | % | 4/1/31 | 630,000 | 534,318 | (a)(d) | ||||||||||
Credit Suisse Group AG, Senior Notes (9.016% to 11/15/32 then SOFR + 5.020%) |
9.016 | % | 11/15/33 | 470,000 | 528,442 | (a)(d) | ||||||||||
Credit Suisse Group AG, Junior Subordinated Notes (7.500% to 12/11/23 then USD 5 year ICE Swap Rate + 4.598%) |
7.500 | % | 12/11/23 | 1,310,000 | 1,247,771 | (a)(c)(d) | ||||||||||
Goldman Sachs Capital II, Junior Subordinated Notes (3 mo. USD LIBOR + 0.768%) |
5.528 | % | 3/3/23 | 109,000 | 87,609 | (c)(d) | ||||||||||
|
|
|||||||||||||||
Total Capital Markets |
11,479,374 | |||||||||||||||
|
|
|||||||||||||||
Diversified Financial Services - 0.5% |
||||||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
3.300 | % | 1/30/32 | 170,000 | 142,825 |
See Notes to Schedule of Investments.
6 |
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Diversified Financial Services - (continued) |
||||||||||||||||
ILFC E-Capital Trust I Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate and 30 year Treasury Constant Maturity Rate) + 1.550%) |
6.288 | % | 12/21/65 | 740,000 | $ | 479,150 | (a)(d) | |||||||||
Toll Road Investors Partnership II LP |
0.000 | % | 2/15/24 | 520,000 | 483,927 | (a) | ||||||||||
Toll Road Investors Partnership II LP |
0.000 | % | 2/15/38 | 200,000 | 68,366 | (a) | ||||||||||
Vanguard Group Inc. |
3.050 | % | 8/22/50 | 2,610,000 | 1,802,941 | (e)(f) | ||||||||||
|
|
|||||||||||||||
Total Diversified Financial Services |
2,977,209 | |||||||||||||||
|
|
|||||||||||||||
Insurance - 0.9% |
||||||||||||||||
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer Inc., Senior Secured Notes (7.625% Cash or 8.375% PIK) |
7.625 | % | 10/15/25 | 4,950,000 | 4,598,525 | (a)(g) | ||||||||||
|
|
|||||||||||||||
TOTAL FINANCIALS |
43,227,808 | |||||||||||||||
|
|
|||||||||||||||
HEALTH CARE - 4.3% | ||||||||||||||||
Health Care Providers & Services - 0.4% |
||||||||||||||||
Dignity Health, Secured Notes |
5.267 | % | 11/1/64 | 760,000 | 730,506 | |||||||||||
HCA Inc., Senior Notes |
7.500 | % | 11/15/95 | 1,250,000 | 1,402,135 | |||||||||||
|
|
|||||||||||||||
Total Health Care Providers & Services |
2,132,641 | |||||||||||||||
|
|
|||||||||||||||
Pharmaceuticals - 3.9% |
||||||||||||||||
Bausch Health Cos. Inc., Senior Notes |
6.250 | % | 2/15/29 | 6,030,000 | 2,779,193 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Notes |
7.250 | % | 5/30/29 | 1,140,000 | 511,388 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Notes |
5.250 | % | 1/30/30 | 5,490,000 | 2,414,500 | (a) | ||||||||||
Teva Pharmaceutical Finance Co. LLC, Senior Notes |
6.150 | % | 2/1/36 | 4,146,000 | 3,839,813 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
7.125 | % | 1/31/25 | 4,200,000 | 4,262,160 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
3.150 | % | 10/1/26 | 2,374,000 | 2,132,897 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
6.750 | % | 3/1/28 | 520,000 | 523,640 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
4.100 | % | 10/1/46 | 6,917,000 | 4,750,947 | |||||||||||
|
|
|||||||||||||||
Total Pharmaceuticals |
21,214,538 | |||||||||||||||
|
|
|||||||||||||||
TOTAL HEALTH CARE |
23,347,179 | |||||||||||||||
|
|
|||||||||||||||
INDUSTRIALS - 1.7% | ||||||||||||||||
Air Freight & Logistics - 0.3% |
||||||||||||||||
XPO CNW Inc., Senior Notes |
6.700 | % | 5/1/34 | 1,510,000 | 1,364,070 | |||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
7 |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Airlines - 1.0% |
||||||||||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes |
5.750 | % | 1/20/26 | 50,000 | $ | 47,813 | (a) | |||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes |
6.500 | % | 6/20/27 | 612,000 | 619,047 | (a) | ||||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes |
8.000 | % | 9/20/25 | 522,000 | 533,484 | (a) | ||||||||||
United Airlines Inc., Senior Secured Notes |
4.375 | % | 4/15/26 | 3,420,000 | 3,250,795 | (a) | ||||||||||
United Airlines Inc., Senior Secured Notes |
4.625 | % | 4/15/29 | 1,220,000 | 1,114,684 | (a) | ||||||||||
|
|
|||||||||||||||
Total Airlines |
5,565,823 | |||||||||||||||
|
|
|||||||||||||||
Building Products - 0.0% |
||||||||||||||||
Builders FirstSource Inc., Senior Notes |
4.250 | % | 2/1/32 | 50,000 | 43,091 | (a) | ||||||||||
|
|
|||||||||||||||
Commercial Services & Supplies - 0.1% |
||||||||||||||||
California Institute of Technology, Senior Notes |
3.650 | % | 9/1/2119 | 990,000 | 705,688 | |||||||||||
|
|
|||||||||||||||
Road & Rail - 0.0% |
||||||||||||||||
XPO Inc., Senior Notes |
6.250 | % | 5/1/25 | 36,000 | 36,368 | (a) | ||||||||||
|
|
|||||||||||||||
Trading Companies & Distributors - 0.3% |
||||||||||||||||
H&E Equipment Services Inc., Senior Notes |
3.875 | % | 12/15/28 | 110,000 | 96,956 | (a) | ||||||||||
United Rentals North America Inc., Senior Notes |
5.250 | % | 1/15/30 | 320,000 | 310,014 | |||||||||||
United Rentals North America Inc., Senior Notes |
3.875 | % | 2/15/31 | 1,310,000 | 1,154,677 | |||||||||||
|
|
|||||||||||||||
Total Trading Companies & Distributors |
1,561,647 | |||||||||||||||
|
|
|||||||||||||||
TOTAL INDUSTRIALS |
9,276,687 | |||||||||||||||
|
|
|||||||||||||||
MATERIALS - 0.3% | ||||||||||||||||
Containers & Packaging - 0.1% |
||||||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes |
5.250 | % | 8/15/27 | 890,000 | 730,138 | (a) | ||||||||||
|
|
|||||||||||||||
Metals & Mining - 0.2% |
||||||||||||||||
Glencore Funding LLC, Senior Notes |
4.125 | % | 5/30/23 | 150,000 | 149,519 | (a) | ||||||||||
Yamana Gold Inc., Senior Notes |
4.625 | % | 12/15/27 | 780,000 | 746,107 | |||||||||||
|
|
|||||||||||||||
Total Metals & Mining |
895,626 | |||||||||||||||
|
|
|||||||||||||||
TOTAL MATERIALS |
1,625,764 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
8 |
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
REAL ESTATE - 0.1% | ||||||||||||||||
Equity Real Estate Investment Trusts (REITs) - 0.1% |
|
|||||||||||||||
CTR Partnership LP/CareTrust Capital Corp., Senior Notes |
3.875 | % | 6/30/28 | 240,000 | $ | 215,174 | (a) | |||||||||
|
|
|||||||||||||||
UTILITIES - 0.3% | ||||||||||||||||
Electric Utilities - 0.3% |
||||||||||||||||
Enel Finance International NV, Senior Notes |
6.000 | % | 10/7/39 | 1,680,000 | 1,673,078 | (a) | ||||||||||
Pacific Gas and Electric Co., First Mortgage Bonds |
3.300 | % | 8/1/40 | 200,000 | 143,784 | |||||||||||
|
|
|||||||||||||||
TOTAL UTILITIES |
1,816,862 | |||||||||||||||
|
|
|||||||||||||||
TOTAL CORPORATE BONDS & NOTES |
|
172,344,291 | ||||||||||||||
|
|
|||||||||||||||
SOVEREIGN BONDS - 25.1% | ||||||||||||||||
Angola - 0.2% |
||||||||||||||||
Angolan Government International Bond, Senior Notes |
8.250 | % | 5/9/28 | 700,000 | 664,818 | (h) | ||||||||||
Angolan Government International Bond, Senior Notes |
8.750 | % | 4/14/32 | 400,000 | 371,234 | (a) | ||||||||||
|
|
|||||||||||||||
Total Angola |
1,036,052 | |||||||||||||||
|
|
|||||||||||||||
Argentina - 1.7% |
||||||||||||||||
Argentine Republic Government International Bond, Senior Notes, Step bond (0.500% to 7/9/23, 0.750% to 7/9/27 then 1.750%) |
0.500 | % | 7/9/30 | 4,457,393 | 1,600,341 | |||||||||||
Argentine Republic Government International Bond, Senior Notes, Step bond (3.875% to 7/9/23 then 4.250%) |
3.875 | % | 1/9/38 | 2,874,178 | 1,062,985 | |||||||||||
Provincia de Buenos Aires, Senior Notes, Step bond (5.250% to 9/1/23, 6.375% to 9/1/24 then 6.625%) |
5.250 | % | 9/1/37 | 6,272,122 | 2,502,341 | (a) | ||||||||||
Provincia de Cordoba, Senior Notes |
6.875 | % | 12/10/25 | 700,000 | 606,565 | (h) | ||||||||||
Provincia de Cordoba, Senior Notes |
6.875 | % | 12/10/25 | 824,492 | 714,441 | (a) | ||||||||||
Provincia de Cordoba, Senior Notes |
6.990 | % | 6/1/27 | 2,600,000 | 2,014,236 | (a) | ||||||||||
Provincia de Cordoba, Senior Notes (6.875% PIK) |
6.875 | % | 2/1/29 | 1,034,131 | 728,888 | (a)(g) | ||||||||||
|
|
|||||||||||||||
Total Argentina |
9,229,797 | |||||||||||||||
|
|
|||||||||||||||
Australia - 0.7% |
||||||||||||||||
Australia Government Bond, Senior Notes |
3.000 | % | 3/21/47 | 6,690,000 | AUD | 4,018,117 | (h) | |||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
9 |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Brazil - 1.6% |
||||||||||||||||
Brazil Notas do Tesouro Nacional Serie F, Notes |
10.000 | % | 1/1/27 | 13,552,000 | BRL | $ | 2,453,669 | |||||||||
Brazil Notas do Tesouro Nacional Serie F, Notes |
10.000 | % | 1/1/31 | 38,024,000 | BRL | 6,428,132 | ||||||||||
|
|
|||||||||||||||
Total Brazil |
8,881,801 | |||||||||||||||
|
|
|||||||||||||||
Dominican Republic - 0.3% |
||||||||||||||||
Dominican Republic International Bond, Senior Notes |
5.875 | % | 1/30/60 | 2,110,000 | 1,631,288 | (a) | ||||||||||
|
|
|||||||||||||||
Egypt - 0.3% |
||||||||||||||||
Egypt Government Bond |
18.400 | % | 5/30/24 | 3,500,000 | EGP | 111,673 | ||||||||||
Egypt Government International Bond, Senior Notes |
5.250 | % | 10/6/25 | 1,490,000 | 1,343,327 | (h) | ||||||||||
|
|
|||||||||||||||
Total Egypt |
1,455,000 | |||||||||||||||
|
|
|||||||||||||||
Gabon - 0.6% |
||||||||||||||||
Gabon Government International Bond, Senior Notes |
7.000 | % | 11/24/31 | 3,690,000 | 3,122,286 | (a) | ||||||||||
|
|
|||||||||||||||
Indonesia - 8.9% |
||||||||||||||||
Indonesia Treasury Bond |
8.375 | % | 9/15/26 | 3,507,000,000 | IDR | 250,076 | ||||||||||
Indonesia Treasury Bond |
8.250 | % | 5/15/29 | 258,401,000,000 | IDR | 18,717,610 | ||||||||||
Indonesia Treasury Bond |
6.500 | % | 2/15/31 | 143,819,000,000 | IDR | 9,496,180 | ||||||||||
Indonesia Treasury Bond |
7.000 | % | 2/15/33 | 86,483,000,000 | IDR | 5,880,065 | ||||||||||
Indonesia Treasury Bond |
8.375 | % | 3/15/34 | 132,689,000,000 | IDR | 9,894,581 | ||||||||||
Indonesia Treasury Bond |
8.250 | % | 5/15/36 | 45,190,000,000 | IDR | 3,364,861 | ||||||||||
Indonesia Treasury Bond |
8.375 | % | 4/15/39 | 6,456,000,000 | IDR | 488,459 | ||||||||||
Indonesia Treasury Bond |
7.375 | % | 5/15/48 | 576,000,000 | IDR | 39,367 | ||||||||||
|
|
|||||||||||||||
Total Indonesia |
48,131,199 | |||||||||||||||
|
|
|||||||||||||||
Ivory Coast - 1.0% |
||||||||||||||||
Ivory Coast Government International Bond, Senior Notes |
4.875 | % | 1/30/32 | 2,150,000 | EUR | 1,840,915 | (a) | |||||||||
Ivory Coast Government International Bond, Senior Notes |
5.750 | % | 12/31/32 | 364,136 | 336,203 | (h) | ||||||||||
Ivory Coast Government International Bond, Senior Notes |
6.125 | % | 6/15/33 | 1,420,000 | 1,264,953 | (h) | ||||||||||
Ivory Coast Government International Bond, Senior Notes |
6.125 | % | 6/15/33 | 2,150,000 | 1,915,246 | (a) | ||||||||||
|
|
|||||||||||||||
Total Ivory Coast |
5,357,317 | |||||||||||||||
|
|
|||||||||||||||
Kenya - 0.3% |
||||||||||||||||
Republic of Kenya Government International Bond, Senior Notes |
7.250 | % | 2/28/28 | 1,600,000 | 1,418,784 | (h) | ||||||||||
|
|
See Notes to Schedule of Investments.
10 |
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Kuwait - 0.2% |
||||||||||||||||
Kuwait International Government Bond, Senior Notes |
3.500 | % | 3/20/27 | 1,370,000 | $ | 1,349,450 | (a) | |||||||||
|
|
|||||||||||||||
Mexico - 4.6% |
||||||||||||||||
Mexican Bonos, Bonds |
8.000 | % | 11/7/47 | 163,030,000 | MXN | 7,984,795 | ||||||||||
Mexican Bonos, Senior Notes |
7.750 | % | 11/13/42 | 348,475,400 | MXN | 16,722,303 | ||||||||||
|
|
|||||||||||||||
Total Mexico |
24,707,098 | |||||||||||||||
|
|
|||||||||||||||
Nigeria - 0.2% |
||||||||||||||||
Nigeria Government International Bond, Senior Notes |
6.125 | % | 9/28/28 | 1,080,000 | 842,281 | (h) | ||||||||||
|
|
|||||||||||||||
Poland - 3.0% |
||||||||||||||||
Republic of Poland Government Bond |
1.750 | % | 4/25/32 | 99,000,000 | PLN | 16,174,320 | ||||||||||
|
|
|||||||||||||||
Russia - 0.9% |
||||||||||||||||
Russian Federal Bond - OFZ |
8.150 | % | 2/3/27 | 548,657,000 | RUB | 1,172,156 | *(i) | |||||||||
Russian Federal Bond - OFZ |
7.650 | % | 4/10/30 | 321,260,000 | RUB | 686,343 | *(i) | |||||||||
Russian Federal Bond - OFZ |
7.700 | % | 3/23/33 | 437,180,000 | RUB | 933,996 | *(i) | |||||||||
Russian Federal Bond - OFZ |
7.250 | % | 5/10/34 | 935,800,000 | RUB | 1,999,252 | *(i) | |||||||||
Russian Federal Bond - OFZ |
7.700 | % | 3/16/39 | 6,482,000 | RUB | 13,848 | *(i) | |||||||||
|
|
|||||||||||||||
Total Russia |
4,805,595 | |||||||||||||||
|
|
|||||||||||||||
Supranational - 0.5% |
||||||||||||||||
European Bank for Reconstruction & Development, Senior Notes |
5.000 | % | 10/6/26 | 38,012,000,000 | IDR | 2,447,220 | ||||||||||
|
|
|||||||||||||||
Zambia - 0.1% |
||||||||||||||||
Zambia Government International Bond, Senior Notes |
8.500 | % | 4/14/24 | 550,000 | 277,984 | (a) | ||||||||||
|
|
|||||||||||||||
TOTAL SOVEREIGN BONDS |
|
134,885,589 | ||||||||||||||
|
|
|||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (j) - 8.3% |
|
|||||||||||||||
AREIT Trust, 2021-CRE5 B (1 mo. USD LIBOR + 1.820%) |
6.285 | % | 11/17/38 | 807,000 | 780,239 | (a)(d) | ||||||||||
Benchmark Mortgage Trust, 2020-IG3 C |
3.290 | % | 9/15/48 | 1,190,000 | 808,346 | (a)(d) | ||||||||||
BX Trust, 2018-GWMZ MC (1 mo. USD LIBOR + 5.488%) |
9.947 | % | 5/15/37 | 4,400,000 | 4,259,275 | (a)(d) | ||||||||||
BX Trust, 2021-ARIA G (1 mo. USD LIBOR + 3.142%) |
7.601 | % | 10/15/36 | 2,570,000 | 2,365,214 | (a)(d) | ||||||||||
CSMC Trust, 2015-2R 7A2 |
3.598 | % | 8/27/36 | 6,750,384 | 5,150,615 | (a)(d) | ||||||||||
CSMC Trust, 2019-RIO B (1 mo. USD LIBOR + 7.000%) |
11.459 | % | 2/15/23 | 6,207,741 | 6,194,364 | (a)(d) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA3 B1 (1 mo. USD LIBOR + 5.100%) |
9.606 | % | 6/25/50 | 629,901 | 659,425 | (a)(d) |
See Notes to Schedule of Investments.
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
11 |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (j) - (continued) |
|
|||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA6 B1 (30 Day Average SOFR + 3.000%) |
7.310 | % | 12/25/50 | 2,180,000 | $ | 2,103,646 | (a)(d) | |||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2015-HQ2 B (1 mo. USD LIBOR + 7.950%) |
12.456 | % | 5/25/25 | 1,531,127 | 1,563,621 | (d) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2017-C05 1B1 (1 mo. USD LIBOR + 3.600%) |
8.106 | % | 1/25/30 | 3,880,000 | 3,978,083 | (a)(d) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2018-C01 1B1 (1 mo. USD LIBOR + 3.550%) |
8.056 | % | 7/25/30 | 5,280,000 | 5,424,143 | (a)(d) | ||||||||||
GS Mortgage Securities Corp. II, 2018- SRP5 C (1 mo. USD LIBOR + 4.250%) |
8.709 | % | 9/15/31 | 7,585,008 | 3,221,603 | (a)(d) | ||||||||||
GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. USD LIBOR + 4.450%) |
8.909 | % | 11/15/32 | 1,032,000 | 970,868 | (a)(d) | ||||||||||
IMPAC Secured Assets Corp., 2006-3 A7 (1 mo. USD LIBOR + 0.540%) |
5.046 | % | 11/25/36 | 1,479,995 | 1,108,065 | (d) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2018-PHMZ M (1 mo. USD LIBOR + 8.508%) |
12.967 | % | 6/15/35 | 10,570,000 | 106 | (a)(d) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYAH F (1 mo. USD LIBOR + 2.190%) |
6.649 | % | 6/15/38 | 344,000 | 324,328 | (a)(d) | ||||||||||
MHC Trust, 2021-MHC2 E (1 mo. USD LIBOR + 1.950%) |
6.409 | % | 5/15/38 | 850,000 | 818,420 | (a)(d) | ||||||||||
ML-CFC Commercial Mortgage Trust, 2007-5 AJ |
5.450 | % | 8/12/48 | 96,506 | 24,725 | (d) | ||||||||||
ML-CFC Commercial Mortgage Trust, 2007-9 AJ |
6.193 | % | 9/12/49 | 2,920 | 2,864 | (d) | ||||||||||
Morgan Stanley Capital I Trust, 2021-L7 XA, IO |
1.100 | % | 10/15/54 | 7,252,762 | 433,758 | (d) | ||||||||||
Residential Asset Securitization Trust, 2005-A15 1A4 |
5.750 | % | 2/25/36 | 70,044 | 65,139 | |||||||||||
Residential Asset Securitization Trust, 2005-A15 2A11, IO (-1.000 x 1 mo. USD LIBOR + 5.550%) |
1.044 | % | 2/25/36 | 1,666,309 | 215,227 | (d) |
See Notes to Schedule of Investments.
12 |
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (j) - (continued) |
|
|||||||||||||||
Sequoia Mortgage Trust, 2004-3 M1 (1 mo. USD LIBOR + 0.750%) |
5.236 | % | 5/20/34 | 192,978 | $ | 186,413 | (d) | |||||||||
SFO Commercial Mortgage Trust, 2021-555 D (1 mo. USD LIBOR + 2.400%) |
6.859 | % | 5/15/38 | 1,000,000 | 865,259 | (a)(d) | ||||||||||
Starwood Retail Property Trust, 2014-STAR E (1 mo. USD LIBOR + 4.400%) |
8.860 | % | 11/15/27 | 5,070,000 | 10,165 | (a)(d) | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR2 B1 (1 mo. USD LIBOR + 0.795%) |
5.301 | % | 1/25/45 | 3,151,996 | 2,546,007 | (d) | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR17 A1C3 (1 mo. USD LIBOR + 0.960%) |
5.466 | % | 12/25/45 | 1,316,893 | 845,080 | (d) | ||||||||||
|
|
|||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $66,903,764) |
|
44,924,998 | ||||||||||||||
|
|
|||||||||||||||
ASSET-BACKED SECURITIES - 7.0% | ||||||||||||||||
Aegis Asset Backed Securities Trust, 2003-3 M2 (1 mo. USD LIBOR + 2.475%) |
6.981 | % | 1/25/34 | 184,108 | 172,572 | (d) | ||||||||||
Bain Capital Credit CLO Ltd., 2021-4A E (3 mo. USD LIBOR + 6.500%) |
11.308 | % | 10/20/34 | 1,900,000 | 1,684,402 | (a)(d) | ||||||||||
Bayview Financial Mortgage Pass- Through Trust, 2006-C 2A3 (1 mo. USD LIBOR + 0.435%) |
4.982 | % | 11/28/36 | 1,649,427 | 1,424,119 | (d) | ||||||||||
BlueMountain CLO Ltd., 2020-29A ER (3 mo. USD LIBOR + 6.860%) |
11.678 | % | 7/25/34 | 4,390,000 | 4,016,798 | (a)(d) | ||||||||||
Conseco Finance Corp., 1996-4 M1 |
7.750 | % | 6/15/27 | 1,083,949 | 1,082,684 | (d) | ||||||||||
Dryden CLO Ltd., 2021-95A SUB |
0.000 | % | 8/20/34 | 3,900,000 | 2,956,200 | (a)(d) | ||||||||||
Elmwood CLO Ltd., 2019-2A SUB |
0.000 | % | 4/20/34 | 6,600,000 | 4,800,303 | (a)(d) | ||||||||||
Hayfin US Ltd., 2021-14A E (3 mo. USD LIBOR + 7.180%) |
11.988 | % | 7/20/34 | 5,110,000 | 5,028,638 | (a)(d) | ||||||||||
KeyCorp Student Loan Trust, 2005-A 2C (3 mo. USD LIBOR + 1.300%) |
6.024 | % | 12/27/38 | 3,229,873 | 2,965,242 | (d) | ||||||||||
Madison Park Funding Ltd., 2017-26A DR (3 mo. USD LIBOR + 3.000%) |
7.802 | % | 7/29/30 | 5,025,000 | 4,704,685 | (a)(d) | ||||||||||
Navient Private Education Loan Trust, 2020-A B |
3.160 | % | 11/15/68 | 1,890,000 | 1,630,602 | (a) | ||||||||||
Popular ABS Mortgage Pass-Through Trust, 2005-2 M2 |
6.217 | % | 4/25/35 | 4,283,540 | 3,202,578 | |||||||||||
RAMP Trust, 2006-RZ3 M1 (1 mo. USD LIBOR + 0.350%) |
4.856 | % | 8/25/36 | 1,064,438 | 1,031,242 | (d) | ||||||||||
SMB Private Education Loan Trust, 2021-A D2 |
3.860 | % | 1/15/53 | 3,340,000 | 3,010,617 | (a) | ||||||||||
|
|
|||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
|
37,710,682 | ||||||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
13 |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 4.4% |
|
|||||||||||||||
U.S. Government Obligations - 4.4% |
||||||||||||||||
U.S. Treasury Bonds |
1.125 | % | 8/15/40 | 60,000 | $ | 39,838 | (k) | |||||||||
U.S. Treasury Bonds |
3.000 | % | 5/15/45 | 972,000 | 856,347 | (k) | ||||||||||
U.S. Treasury Bonds |
2.875 | % | 8/15/45 | 10,000 | 8,616 | |||||||||||
U.S. Treasury Bonds |
4.000 | % | 11/15/52 | 20,674,000 | 22,111,489 | (k) | ||||||||||
U.S. Treasury Notes |
4.000 | % | 10/31/29 | 620,800 | 636,368 | (k) | ||||||||||
|
|
|||||||||||||||
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS |
|
23,652,658 | ||||||||||||||
|
|
|||||||||||||||
SENIOR LOANS - 1.9% | ||||||||||||||||
COMMUNICATION SERVICES - 0.7% | ||||||||||||||||
Diversified Telecommunication Services - 0.1% |
|
|||||||||||||||
Level 3 Financing Inc., 2027 Term Loan B (1 mo. USD LIBOR + 1.750%) |
6.320 | % | 3/1/27 | 503,536 | 495,867 | (d)(l)(m) | ||||||||||
|
|
|||||||||||||||
Media - 0.6% |
||||||||||||||||
Charter Communications Operating LLC, Term Loan B1 (1 mo. USD LIBOR + 1.750%) |
6.320 | % | 4/30/25 | 1,349,996 | 1,349,497 | (d)(l)(m) | ||||||||||
Univision Communications Inc., 2021 Replacement Term Loan (1 mo. USD LIBOR + 3.250%) |
7.820 | % | 3/15/26 | 1,351,809 | 1,340,075 | (d)(l)(m) | ||||||||||
Virgin Media Bristol LLC, Term Loan Facility N (1 mo. USD LIBOR + 2.500%) |
6.959 | % | 1/31/28 | 360,000 | 358,652 | (d)(l)(m) | ||||||||||
|
|
|||||||||||||||
Total Media |
3,048,224 | |||||||||||||||
|
|
|||||||||||||||
TOTAL COMMUNICATION SERVICES |
3,544,091 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER DISCRETIONARY - 0.5% | ||||||||||||||||
Diversified Consumer Services - 0.1% |
||||||||||||||||
Prime Security Services Borrower LLC, 2021 Refinancing Term Loan B1 (3 mo. USD LIBOR + 2.750%) |
7.517 | % | 9/23/26 | 843,180 | 843,707 | (d)(l)(m) | ||||||||||
|
|
|||||||||||||||
Hotels, Restaurants & Leisure - 0.4% |
||||||||||||||||
1011778 BC Unlimited Liability Co., Term Loan B4 (1 mo. USD LIBOR + 1.750%) |
6.320 | % | 11/19/26 | 743,626 | 736,922 | (d)(l)(m) | ||||||||||
Alterra Mountain Co., 2028 Term Loan B (1 mo. USD LIBOR + 3.500%) |
8.070 | % | 8/17/28 | 279,850 | 279,675 | (d)(l)(m) |
See Notes to Schedule of Investments.
14 |
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Hotels, Restaurants & Leisure - (continued) |
||||||||||||||||
Caesars Resort Collection LLC, Term Loan B (1 mo. USD LIBOR + 2.750%) |
7.320 | % | 12/23/24 | 886,633 | $ | 886,992 | (d)(l)(m) | |||||||||
Hilton Worldwide Finance LLC, Refinance Term Loan B2 (1 mo. USD LIBOR + 1.750%) |
6.380 | % | 6/22/26 | 159,506 | 159,498 | (d)(l)(m) | ||||||||||
|
|
|||||||||||||||
Total Hotels, Restaurants & Leisure |
2,063,087 | |||||||||||||||
|
|
|||||||||||||||
TOTAL CONSUMER DISCRETIONARY |
2,906,794 | |||||||||||||||
|
|
|||||||||||||||
FINANCIALS - 0.2% | ||||||||||||||||
Capital Markets - 0.0% |
||||||||||||||||
Edelman Financial Engines Center LLC, 2021 Refinancing Term Loan (1 mo. USD LIBOR + 3.500%) |
8.070 | % | 4/7/28 | 308,391 | 302,745 | (d)(l)(m) | ||||||||||
|
|
|||||||||||||||
Diversified Financial Services - 0.1% |
||||||||||||||||
Jane Street Group LLC, Dollar Term Loan (1 mo. USD LIBOR + 2.750%) |
7.320 | % | 1/26/28 | 327,382 | 326,794 | (d)(l)(m) | ||||||||||
|
|
|||||||||||||||
Insurance - 0.1% |
||||||||||||||||
Asurion LLC, New Term Loan B7 (1 mo. USD LIBOR + 3.000%) |
7.570 | % | 11/3/24 | 548,463 | 543,620 | (d)(l)(m) | ||||||||||
|
|
|||||||||||||||
TOTAL FINANCIALS |
1,173,159 | |||||||||||||||
|
|
|||||||||||||||
HEALTH CARE - 0.2% | ||||||||||||||||
Health Care Providers & Services - 0.2% |
||||||||||||||||
LifePoint Health Inc., First Lien Term Loan B (3 mo. USD LIBOR + 3.750%) |
8.575 | % | 11/16/25 | 671,578 | 653,855 | (d)(l)(m) | ||||||||||
Phoenix Guarantor Inc., Term Loan B1 (1 mo. USD LIBOR + 3.250%) |
7.820 | % | 3/5/26 | 270,242 | 266,779 | (d)(l)(m) | ||||||||||
|
|
|||||||||||||||
TOTAL HEALTH CARE |
920,634 | |||||||||||||||
|
|
|||||||||||||||
INDUSTRIALS - 0.3% | ||||||||||||||||
Building Products - 0.3% |
||||||||||||||||
Hunter Douglas Holding BV, Term Loan B1 (3 mo. Term SOFR + 3.500%) |
7.859 | % | 2/26/29 | 1,890,500 | 1,743,400 | (d)(l)(m) | ||||||||||
|
|
|||||||||||||||
TOTAL SENIOR LOANS |
10,288,078 | |||||||||||||||
|
|
|||||||||||||||
CONVERTIBLE BONDS & NOTES - 0.6% | ||||||||||||||||
COMMUNICATION SERVICES - 0.6% | ||||||||||||||||
Media - 0.6% |
||||||||||||||||
DISH Network Corp., Senior Notes |
2.375 | % | 3/15/24 | 3,650,000 | 3,395,413 | |||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
15 |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
MUNICIPAL BONDS - 0.5% | ||||||||||||||||
California - 0.1% |
||||||||||||||||
Morongo Band of Mission Indians, CA, Revenue, Tribal Economic Development, Series A |
7.000 | % | 10/1/39 | 360,000 | $ | 397,608 | (a) | |||||||||
Regents of the University of California, CA, Medical Center Pooled Revenue, Taxable Bonds, Series N |
3.706 | % | 5/15/2120 | 205,000 | 143,457 | |||||||||||
|
|
|||||||||||||||
Total California |
541,065 | |||||||||||||||
|
|
|||||||||||||||
Illinois - 0.3% |
||||||||||||||||
State of Illinois, GO |
5.100 | % | 6/1/33 | 1,425,000 | 1,416,591 | |||||||||||
|
|
|||||||||||||||
Michigan - 0.1% |
||||||||||||||||
Detroit, MI, GO, Financial Recovery, Series B-1, Step bond (4.000% to 4/1/34 then 6.000%) |
4.000 | % | 4/1/44 | 820,000 | 619,249 | |||||||||||
|
|
|||||||||||||||
TOTAL MUNICIPAL BONDS |
|
2,576,905 | ||||||||||||||
|
|
|||||||||||||||
EXPIRATION DATE |
CONTRACTS | NOTIONAL AMOUNT |
||||||||||||||
PURCHASED OPTIONS - 0.4% | ||||||||||||||||
EXCHANGE-TRADED PURCHASED OPTIONS - 0.4% |
|
|||||||||||||||
90-Day Eurodollar Futures, Call @ $97.13 |
12/18/23 | 4,430 | 11,075,000 | 415,310 | ||||||||||||
Australian Dollar Futures, Call @ $68.00 |
2/3/23 | 27 | 27,000 | 72,090 | ||||||||||||
Canadian Dollar Futures, Call @ $75.00 |
3/3/23 | 182 | 182,000 | 134,680 | ||||||||||||
Canadian Dollar Futures, Call @ $75.50 |
3/3/23 | 52 | 52,000 | 25,480 | ||||||||||||
Euro Futures, Put @ $1.09 |
3/3/23 | 52 | 6,500,000 | 58,500 | ||||||||||||
Japanese Yen Futures, Call @ $77.50 |
2/3/23 | 26 | 32,500 | 12,025 | ||||||||||||
U.S. Treasury 5-Year Notes Futures, Call @ $109.25 |
2/24/23 | 331 | 331,000 | 175,844 | ||||||||||||
U.S. Treasury 5-Year Notes Futures, Call @ $109.50 |
2/24/23 | 624 | 624,000 | 258,375 | ||||||||||||
U.S. Treasury 5-Year Notes Futures, Call @ $109.75 |
2/24/23 | 572 | 572,000 | 178,750 | ||||||||||||
U.S. Treasury 10-Year Notes Futures, Call @ $114.50 |
2/24/23 | 130 | 130,000 | 101,563 | ||||||||||||
U.S. Treasury 10-Year Notes Futures, Call @ $114.75 |
2/24/23 | 130 | 130,000 | 85,313 | ||||||||||||
U.S. Treasury 10-Year Notes Futures, Call @ $115.00 |
2/24/23 | 101 | 101,000 | 56,813 |
See Notes to Schedule of Investments.
16 |
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
EXPIRATION DATE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | ||||||||||||||||
EXCHANGE-TRADED PURCHASED OPTIONS - (continued) |
|
|||||||||||||||||||
U.S. Treasury 10-Year Notes Futures, Put @ $115.00 |
|
2/24/23 | 76 | 76,000 | $ | 79,563 | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call @ $130.00 |
|
2/24/23 | 234 | 234,000 | 340,031 | |||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call @ $130.50 |
|
2/24/23 | 52 | 52,000 | 64,188 | |||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call @ $131.00 |
|
2/24/23 | 51 | 51,000 | 52,594 | |||||||||||||||
|
|
|||||||||||||||||||
TOTAL EXCHANGE-TRADED PURCHASED OPTIONS |
|
2,111,119 | ||||||||||||||||||
|
|
|||||||||||||||||||
COUNTERPARTY | ||||||||||||||||||||
OTC PURCHASED OPTIONS - 0.0% |
|
|||||||||||||||||||
U.S. Dollar/Indian Rupee, Put @ 82.75INR |
|
JPMorgan Chase & Co. |
|
4/3/23 | 4,600,000 | 4,600,000 | 60,220 | |||||||||||||
|
|
|||||||||||||||||||
TOTAL PURCHASED OPTIONS |
|
2,171,339 | ||||||||||||||||||
|
|
|||||||||||||||||||
SHARES | ||||||||||||||||||||
COMMON STOCKS - 0.2% | ||||||||||||||||||||
ENERGY - 0.1% | ||||||||||||||||||||
Oil, Gas & Consumable Fuels - 0.1% |
|
|||||||||||||||||||
Berry Corp. |
40,182 | 369,674 | ||||||||||||||||||
|
|
|||||||||||||||||||
FINANCIALS - 0.1% | ||||||||||||||||||||
Capital Markets - 0.1% |
||||||||||||||||||||
EG Acquisition Corp., Class A Shares |
|
55,833 | 561,680 | * | ||||||||||||||||
|
|
|||||||||||||||||||
TOTAL COMMON STOCKS |
|
931,354 | ||||||||||||||||||
|
|
|||||||||||||||||||
EXPIRATION DATE |
WARRANTS | |||||||||||||||||||
WARRANTS - 0.0% | ||||||||||||||||||||
FINANCIALS - 0.0% | ||||||||||||||||||||
Capital Markets - 0.0% |
|
|||||||||||||||||||
EG Acquisition Corp., Class A Shares |
|
5/28/28 | 70,273 | 12,649 | * | |||||||||||||||
|
|
|||||||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
|
432,893,956 | ||||||||||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
17 |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
Rate | Shares | Value | |||||||||||||
SHORT-TERM INVESTMENTS - 4.1% | ||||||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares |
4.283 | % | 22,364,948 | $ | 22,364,948 | (n)(o) | ||||||||||
|
|
|||||||||||||||
TOTAL INVESTMENTS - 84.5% |
|
455,258,904 | ||||||||||||||
Other Assets in Excess of Liabilities - 15.5% |
83,203,917 | |||||||||||||||
|
|
|||||||||||||||
TOTAL NET ASSETS - 100.0% |
$ | 538,462,821 | ||||||||||||||
|
|
| Face amount/notional amount denominated in U.S. dollars, unless otherwise noted. |
| Represents less than 0.1%. |
* | Non-income producing security. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
(b) | All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts. |
(c) | Security has no maturity date. The date shown represents the next call date. |
(d) | 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. |
(e) | Security is valued in good faith in accordance with procedures approved by the Board of Directors (Note 1). |
(f) | Security is valued using significant unobservable inputs (Note 1). |
(g) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities. |
(h) | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
(i) | The coupon payment on this security is currently in default as of January 31, 2023. |
(j) | 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. |
(k) | All or a portion of this security is held at the broker as collateral for OTC derivatives. |
(l) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
(m) | Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(n) | Rate shown is one-day yield as of the end of the reporting period. |
(o) | 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 January 31, 2023, the total market value of investments in Affiliated Companies was $22,364,948 and the cost was $22,364,948 (Note 2). |
See Notes to Schedule of Investments.
18 |
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
Abbreviation(s) used in this schedule:
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAS | Connecticut Avenue Securities | |
CLO | Collateralized Loan Obligation | |
EGP | Egyptian Pound | |
EUR | Euro | |
GBP | British Pound | |
GO | General Obligation | |
GTD | Guaranteed | |
ICE | Intercontinental Exchange | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
IO | Interest Only | |
LIBOR | London Interbank Offered Rate | |
MXN | Mexican Peso | |
OFZ | Obligatsyi Federalnovo Zaima (Russian Federal Loan Obligation) | |
PIK | Payment-In-Kind | |
PLN | Polish Zloty | |
REMIC | Real Estate Mortgage Investment Conduit | |
RUB | Russian Ruble | |
SOFR | Secured Overnight Financing Rate | |
USD | United States Dollar |
At January 31, 2023, the Fund had the following written options contracts:
EXCHANGE-TRADED WRITTEN OPTIONS | ||||||||||||||||||||
SECURITY |
EXPIRATION DATE |
STRIKE PRICE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | |||||||||||||||
90-Day Eurodollar Futures, Call |
12/18/23 | $ | 97.00 | 1,301 | 3,252,500 | $ | (138,231 | ) | ||||||||||||
90-Day Eurodollar Futures, Call |
12/18/23 | 97.88 | 2,195 | 5,487,500 | (109,750 | ) | ||||||||||||||
90-Day Eurodollar Futures, Call |
12/18/23 | 98.00 | 6,665 | 16,662,500 | (291,594 | ) | ||||||||||||||
Australian Dollar Futures, Call |
2/3/23 | 67.00 | 54 | 54,000 | (197,100 | ) | ||||||||||||||
Australian Dollar Futures, Call |
2/3/23 | 67.50 | 54 | 54,000 | (170,640 | ) | ||||||||||||||
Australian Dollar Futures, Call |
2/3/23 | 68.50 | 78 | 78,000 | (170,040 | ) | ||||||||||||||
Australian Dollar Futures, Call |
2/3/23 | 69.00 | 52 | 52,000 | (89,440 | ) | ||||||||||||||
Australian Dollar Futures, Call |
2/3/23 | 71.00 | 52 | 52,000 | (17,160 | ) | ||||||||||||||
Australian Dollar Futures, Put |
2/3/23 | 68.50 | 52 | 52,000 | (2,080 | ) | ||||||||||||||
Australian Dollar Futures, Put |
3/3/23 | 68.00 | 51 | 51,000 | (14,790 | ) | ||||||||||||||
Australian Dollar Futures, Put |
3/3/23 | 70.50 | 26 | 26,000 | (26,260 | ) | ||||||||||||||
Canadian Dollar Futures, Call |
2/3/23 | 74.00 | 26 | 26,000 | (31,460 | ) | ||||||||||||||
Canadian Dollar Futures, Call |
2/3/23 | 74.50 | 111 | 111,000 | (84,360 | ) | ||||||||||||||
Canadian Dollar Futures, Call |
2/3/23 | 75.00 | 26 | 26,000 | (10,400 | ) | ||||||||||||||
Canadian Dollar Futures, Put |
2/3/23 | 74.00 | 26 | 26,000 | (910 | ) |
See Notes to Schedule of Investments.
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
19 |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
EXCHANGE-TRADED WRITTEN OPTIONS - (continued)
SECURITY |
EXPIRATION DATE |
STRIKE PRICE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | |||||||||||||||
Euro Futures, Call |
3/3/23 | $ | 1.09 | 52 | 6,500,000 | $ | (68,250 | ) | ||||||||||||
Euro Futures, Put |
2/3/23 | 1.06 | 26 | 3,250,000 | (650 | ) | ||||||||||||||
Euro Futures, Put |
3/3/23 | 1.08 | 106 | 13,250,000 | (74,200 | ) | ||||||||||||||
Euro Futures, Put |
3/3/23 | 1.08 | 52 | 6,500,000 | (46,150 | ) | ||||||||||||||
Euro-Bund Futures, Call |
2/24/23 | 137.50 | EUR | 104 | 10,400,000 | EUR | (131,154 | ) | ||||||||||||
Euro-Bund Futures, Call |
2/24/23 | 138.00 | EUR | 52 | 5,200,000 | EUR | (54,270 | ) | ||||||||||||
Euro-Bund Futures, Call |
2/24/23 | 139.00 | EUR | 441 | 44,100,000 | EUR | (302,043 | ) | ||||||||||||
Euro-Bund Futures, Call |
2/24/23 | 140.00 | EUR | 260 | 26,000,000 | EUR | (113,064 | ) | ||||||||||||
Euro-Bund Futures, Call |
2/24/23 | 141.00 | EUR | 52 | 5,200,000 | EUR | (13,568 | ) | ||||||||||||
Euro-Bund Futures, Put |
2/24/23 | 136.50 | EUR | 52 | 5,200,000 | EUR | (74,622 | ) | ||||||||||||
Euro-Bund Futures, Put |
2/24/23 | 137.00 | EUR | 156 | 15,600,000 | EUR | (266,265 | ) | ||||||||||||
Euro-Bund Futures, Put |
2/24/23 | 137.50 | EUR | 156 | 15,600,000 | EUR | (312,055 | ) | ||||||||||||
Euro-Bund Futures, Put |
2/24/23 | 138.00 | EUR | 78 | 7,800,000 | EUR | (181,467 | ) | ||||||||||||
Japanese Yen Futures, Call |
2/3/23 | 77.00 | 154 | 192,500 | (115,500 | ) | ||||||||||||||
Japanese Yen Futures, Call |
2/3/23 | 79.00 | 52 | 65,000 | (3,900 | ) | ||||||||||||||
Japanese Yen Futures, Call |
3/3/23 | 78.00 | 81 | 101,250 | (85,050 | ) | ||||||||||||||
Japanese Yen Futures, Call |
3/3/23 | 79.00 | 26 | 32,500 | (17,550 | ) | ||||||||||||||
Japanese Yen Futures, Call |
3/3/23 | 80.00 | 52 | 65,000 | (21,450 | ) | ||||||||||||||
Japanese Yen Futures, Put |
2/3/23 | 76.00 | 288 | 360,000 | (32,400 | ) | ||||||||||||||
Japanese Yen Futures, Put |
2/3/23 | 76.50 | 78 | 97,500 | (18,525 | ) | ||||||||||||||
Japanese Yen Futures, Put |
2/3/23 | 77.00 | 129 | 161,250 | (59,662 | ) | ||||||||||||||
Japanese Yen Futures, Put |
2/3/23 | 77.50 | 26 | 32,500 | (20,475 | ) | ||||||||||||||
Japanese Yen Futures, Put |
3/3/23 | 77.00 | 154 | 192,500 | (200,200 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Call |
2/24/23 | 108.75 | 306 | 306,000 | (251,016 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Call |
2/24/23 | 110.00 | 666 | 666,000 | (156,094 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Call |
2/24/23 | 110.25 | 577 | 577,000 | (99,172 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Call |
2/24/23 | 110.50 | 470 | 470,000 | (58,750 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Call |
2/24/23 | 110.75 | 156 | 156,000 | (14,625 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Call |
2/24/23 | 111.00 | 130 | 130,000 | (8,125 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Put |
2/24/23 | 108.00 | 892 | 892,000 | (118,469 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Put |
2/24/23 | 109.25 | 312 | 312,000 | (168,188 | ) | ||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call |
2/24/23 | 115.50 | 370 | 370,000 | (138,750 | ) | ||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call |
2/24/23 | 116.00 | 1,108 | 1,108,000 | (277,000 | ) | ||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call |
2/24/23 | 116.50 | 818 | 818,000 | (127,812 | ) | ||||||||||||||
U.S. Treasury 10-Year Notes Futures, Put |
2/24/23 | 114.50 | 119 | 119,000 | (91,109 | ) | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call |
2/3/23 | 131.00 | 47 | 47,000 | (18,359 | ) | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call |
2/24/23 | 132.00 | 272 | 272,000 | (191,250 | ) |
See Notes to Schedule of Investments.
20 |
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
EXCHANGE-TRADED WRITTEN OPTIONS - (continued)
SECURITY |
EXPIRATION DATE |
STRIKE PRICE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | |||||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call |
|
2/24/23 | $ | 135.00 | 102 | 102,000 | $ | (19,125 | ) | |||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put |
|
2/24/23 | 125.00 | 102 | 102,000 | (20,719 | ) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put |
|
2/24/23 | 129.00 | 103 | 103,000 | (115,875 | ) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put |
|
2/24/23 | 130.00 | 130 | 130,000 | (205,156 | ) | |||||||||||||||||
|
|
|||||||||||||||||||||||
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS |
|
$ | (5,646,279 | ) | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
OTC Written Options | ||||||||||||||||||||||||
COUNTERPARTY | ||||||||||||||||||||||||
U.S. Dollar/Australian Dollar, Put |
|
Morgan Stanley & Co. Inc. |
|
3/29/23 | $ | 0.70 | 5,210,000 | 5,210,000 | $ | (139,743 | ) | |||||||||||||
U.S. Dollar/Brazilian Real, Call |
|
Morgan Stanley & Co. Inc. |
|
3/2/23 | 5.29 | BRL | 5,733,973 | 5,733,973 | (42,770 | ) | ||||||||||||||
U.S. Dollar/Brazilian Real, Call |
|
Morgan Stanley & Co. Inc. |
|
4/5/23 | 5.37 | BRL | 5,130,000 | 5,130,000 | (72,688 | ) | ||||||||||||||
U.S. Dollar/Brazilian Real, Put |
|
Morgan Stanley & Co. Inc. |
|
3/2/23 | 5.29 | BRL | 5,733,973 | 5,733,973 | (251,891 | ) | ||||||||||||||
U.S. Dollar/Brazilian Real, Put |
|
Morgan Stanley & Co. Inc. |
|
3/21/23 | 5.00 | BRL | 5,340,000 | 5,340,000 | (76,895 | ) | ||||||||||||||
U.S. Dollar/Brazilian Real, Put |
|
Morgan Stanley & Co. Inc. |
|
4/5/23 | 5.37 | BRL | 5,130,000 | 5,130,000 | (299,607 | ) | ||||||||||||||
U.S. Dollar/Chinese Yuan Renminbi, Call |
|
JPMorgan Chase & Co. |
|
2/6/23 | 7.27 | CNY | 11,790,000 | 11,790,000 | (2 | ) | ||||||||||||||
U.S. Dollar/Japanese Yen, Put |
|
Bank of America N.A. |
|
2/10/23 | 140.03 | JPY | 6,100,000 | 6,100,000 | (471,099 | ) | ||||||||||||||
U.S. Dollar/Mexican Peso, Put |
|
Morgan Stanley & Co. Inc. |
|
3/6/23 | 19.25 | MXN | 5,705,938 | 5,705,938 | (128,309 | ) | ||||||||||||||
|
|
|||||||||||||||||||||||
TOTAL OTC WRITTEN OPTIONS |
|
$ | (1,483,004 | ) | ||||||||||||||||||||
|
|
|||||||||||||||||||||||
TOTAL WRITTEN OPTIONS |
|
$ | (7,129,283 | ) | ||||||||||||||||||||
|
|
| Notional amount denominated in U.S. dollars, unless otherwise noted. |
Abbreviation(s) used in this schedule:
BRL | Brazilian Real | |
CNY | Chinese Yuan Renminbi | |
EUR | Euro | |
JPY | Japanese Yen | |
MXN | Mexican Peso |
See Notes to Schedule of Investments.
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
21 |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
At January 31, 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 EURIBOR |
656 | 12/23 | $ | 173,031,201 | $ | 172,212,822 | $ | (818,379 | ) | |||||||||||
3-Month SOFR |
1,118 | 12/23 | 266,244,545 | 266,251,700 | 7,155 | |||||||||||||||
3-Month SOFR |
136 | 9/23 | 32,823,886 | 32,335,700 | (488,186 | ) | ||||||||||||||
90-Day Eurodollar |
43 | 3/23 | 10,219,099 | 10,214,113 | (4,986 | ) | ||||||||||||||
Australian Dollar |
570 | 3/23 | 39,025,022 | 40,267,650 | 1,242,628 | |||||||||||||||
British Pound |
260 | 3/23 | 20,147,172 | 20,041,125 | (106,047 | ) | ||||||||||||||
Canadian Dollar |
49 | 3/23 | 3,618,234 | 3,683,575 | 65,341 | |||||||||||||||
Euro |
87 | 3/23 | 11,852,655 | 11,845,594 | (7,061 | ) | ||||||||||||||
Japanese Yen |
921 | 3/23 | 87,321,995 | 88,916,794 | 1,594,799 | |||||||||||||||
Mexican Peso |
1,019 | 3/23 | 25,938,273 | 26,855,745 | 917,472 | |||||||||||||||
U.S. Treasury 5-Year Notes |
3,784 | 3/23 | 413,923,895 | 413,372,447 | (551,448 | ) | ||||||||||||||
U.S. Treasury 10-Year Notes |
3,399 | 3/23 | 388,851,017 | 389,238,626 | 387,609 | |||||||||||||||
U.S. Treasury Long-Term Bonds |
3,152 | 3/23 | 406,168,090 | 409,366,000 | 3,197,910 | |||||||||||||||
U.S. Treasury Ultra Long- Term Bonds |
674 | 3/23 | 94,151,737 | 95,539,500 | 1,387,763 | |||||||||||||||
United Kingdom Long Gilt Bonds |
123 | 3/23 | 15,985,564 | 15,847,954 | (137,610 | ) | ||||||||||||||
|
|
|||||||||||||||||||
6,686,960 | ||||||||||||||||||||
|
|
|||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
30-Day Federal Funds |
268 | 2/23 | 106,554,765 | 106,560,858 | (6,093 | ) | ||||||||||||||
3-Month SOFR |
218 | 3/24 | 52,095,477 | 52,093,825 | 1,652 | |||||||||||||||
Euro-Bund |
432 | 3/23 | 64,201,851 | 64,257,349 | (55,498 | ) | ||||||||||||||
Japanese 10-Year Bonds |
130 | 3/23 | 147,590,565 | 146,374,217 | 1,216,348 | |||||||||||||||
U.S. Treasury 2-Year Notes |
2,760 | 3/23 | 568,500,962 | 567,589,689 | 911,273 | |||||||||||||||
U.S. Treasury Ultra 10-Year Notes |
3,370 | 3/23 | 402,931,770 | 408,454,548 | (5,522,778 | ) | ||||||||||||||
|
|
|||||||||||||||||||
(3,455,096 | ) | |||||||||||||||||||
|
|
|||||||||||||||||||
Net unrealized appreciation on open futures contracts |
$ | 3,231,864 | ||||||||||||||||||
|
|
Abbreviation(s) used in this table: | ||
EURIBOR | Euro Interbank Offered Rate | |
SOFR | Secured Overnight Financing Rate |
See Notes to Schedule of Investments.
22 |
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
At January 31, 2023, the Fund had the following open forward foreign currency contracts:
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
CNH | 25,260,000 | USD | 3,534,320 | JPMorgan Chase & Co. | 2/8/23 | $ | 206,945 | |||||||||||||||
USD | 3,537,320 | CNH | 25,260,000 | JPMorgan Chase & Co. | 2/8/23 | (203,946 | ) | |||||||||||||||
KRW | 2,449,822,000 | USD | 1,925,779 | Bank of America N.A. | 4/18/23 | 68,979 | ||||||||||||||||
KRW | 3,910,844,973 | USD | 3,071,304 | Bank of America N.A. | 4/18/23 | 113,086 | ||||||||||||||||
USD | 11,291,022 | TWD | 343,247,065 | Bank of America N.A. | 4/18/23 | (233,369 | ) | |||||||||||||||
EUR | 3,150,000 | USD | 3,439,958 | BNP Paribas SA | 4/18/23 | 1,051 | ||||||||||||||||
EUR | 10,474,000 | USD | 11,374,083 | BNP Paribas SA | 4/18/23 | 67,544 | ||||||||||||||||
USD | 66,797 | EUR | 61,711 | BNP Paribas SA | 4/18/23 | (615 | ) | |||||||||||||||
USD | 3,720,358 | EUR | 3,413,000 | BNP Paribas SA | 4/18/23 | (7,948 | ) | |||||||||||||||
USD | 3,796,707 | EUR | 3,491,000 | BNP Paribas SA | 4/18/23 | (16,805 | ) | |||||||||||||||
MXN | 177,069,920 | USD | 9,097,213 | Goldman Sachs Group Inc. | 4/18/23 | 174,298 | ||||||||||||||||
USD | 1,057,826 | JPY | 135,636,000 | Goldman Sachs Group Inc. | 4/18/23 | 4,516 | ||||||||||||||||
USD | 1,083,298 | JPY | 139,388,000 | Goldman Sachs Group Inc. | 4/18/23 | 851 | ||||||||||||||||
USD | 6,884,665 | JPY | 901,065,000 | Goldman Sachs Group Inc. | 4/18/23 | (112,746 | ) | |||||||||||||||
USD | 43,238,789 | JPY | 5,654,984,974 | Goldman Sachs Group Inc. | 4/18/23 | (676,194 | ) | |||||||||||||||
USD | 27,218,496 | MXN | 538,762,916 | Goldman Sachs Group Inc. | 4/18/23 | (991,527 | ) | |||||||||||||||
ZAR | 135,848,545 | USD | 7,931,141 | Goldman Sachs Group Inc. | 4/18/23 | (174,550 | ) | |||||||||||||||
BRL | 2,527,458 | USD | 478,438 | JPMorgan Chase & Co. | 4/18/23 | 12,506 | ||||||||||||||||
BRL | 19,061,217 | USD | 3,558,986 | JPMorgan Chase & Co. | 4/18/23 | 143,544 | ||||||||||||||||
CAD | 27,693,406 | USD | 20,735,581 | JPMorgan Chase & Co. | 4/18/23 | 91,126 | ||||||||||||||||
CNH | 11,102,016 | USD | 1,643,657 | JPMorgan Chase & Co. | 4/18/23 | 7,807 | ||||||||||||||||
CNH | 51,951,580 | USD | 7,602,006 | JPMorgan Chase & Co. | 4/18/23 | 125,974 | ||||||||||||||||
CNH | 63,310,000 | USD | 9,424,567 | JPMorgan Chase & Co. | 4/18/23 | (6,981 | ) | |||||||||||||||
IDR | 24,187,915,972 | USD | 1,554,943 | JPMorgan Chase & Co. | 4/18/23 | 56,467 | ||||||||||||||||
INR | 254,675,089 | USD | 3,078,984 | JPMorgan Chase & Co. | 4/18/23 | 13,056 | ||||||||||||||||
INR | 857,163,540 | USD | 10,291,314 | JPMorgan Chase & Co. | 4/18/23 | 115,608 | ||||||||||||||||
SGD | 3,585,990 | USD | 2,704,489 | JPMorgan Chase & Co. | 4/18/23 | 29,565 | ||||||||||||||||
SGD | 6,724,000 | USD | 5,013,346 | JPMorgan Chase & Co. | 4/18/23 | 113,209 | ||||||||||||||||
USD | 4,390,455 | BRL | 22,788,000 | JPMorgan Chase & Co. | 4/18/23 | (35,980 | ) | |||||||||||||||
USD | 31,362,494 | CNH | 214,671,564 | JPMorgan Chase & Co. | 4/18/23 | (570,657 | ) | |||||||||||||||
USD | 28,879,734 | CNY | 198,100,534 | JPMorgan Chase & Co. | 4/18/23 | (586,533 | ) | |||||||||||||||
USD | 5,310,886 | COP | 25,901,192,968 | JPMorgan Chase & Co. | 4/18/23 | (151,944 | ) | |||||||||||||||
USD | 32,735,087 | IDR | 511,526,656,600 | JPMorgan Chase & Co. | 4/18/23 | (1,343,062 | ) | |||||||||||||||
USD | 5,170,433 | KRW | 6,360,666,973 | JPMorgan Chase & Co. | 4/18/23 | (8,715 | ) | |||||||||||||||
AUD | 446,539 | USD | 311,355 | Morgan Stanley & Co. Inc. | 4/18/23 | 4,770 | ||||||||||||||||
AUD | 886,225 | USD | 626,269 | Morgan Stanley & Co. Inc. | 4/18/23 | 1,129 | ||||||||||||||||
AUD | 6,464,893 | USD | 4,590,727 | Morgan Stanley & Co. Inc. | 4/18/23 | (13,943 | ) | |||||||||||||||
GBP | 465,000 | USD | 565,799 | Morgan Stanley & Co. Inc. | 4/18/23 | 8,438 |
See Notes to Schedule of Investments.
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
23 |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
JPY | 212,350,000 | USD | 1,650,428 | Morgan Stanley & Co. Inc. | 4/18/23 | $ | (1,379 | ) | ||||||||||||||
MYR | 11,297,758 | USD | 2,601,072 | Morgan Stanley & Co. Inc. | 4/18/23 | 59,458 | ||||||||||||||||
NOK | 11,737,746 | USD | 1,177,874 | Morgan Stanley & Co. Inc. | 4/18/23 | 2,364 | ||||||||||||||||
USD | 7,153,101 | EUR | 6,735,030 | Morgan Stanley & Co. Inc. | 4/18/23 | (204,136 | ) | |||||||||||||||
USD | 26,105,951 | GBP | 21,372,919 | Morgan Stanley & Co. Inc. | 4/18/23 | (287,857 | ) | |||||||||||||||
USD | 14,772,401 | PLN | 65,843,544 | Morgan Stanley & Co. Inc. | 4/18/23 | (338,803 | ) | |||||||||||||||
USD | 1,379,035 | RUB | 99,980,000 | Goldman Sachs Group Inc. | 9/20/23 | 84,537 | ||||||||||||||||
|
|
|||||||||||||||||||||
Total | $ | (4,460,862 | ) | |||||||||||||||||||
|
|
Abbreviation(s) used in this table: | ||
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CNH | Chinese Offshore Yuan | |
CNY | Chinese Yuan Renminbi | |
COP | Colombian Peso | |
EUR | Euro | |
GBP | British Pound | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
MXN | Mexican Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
PLN | Polish Zloty | |
RUB | Russian Ruble | |
SGD | Singapore Dollar | |
TWD | Taiwan Dollar | |
USD | United States Dollar | |
ZAR | South African Rand |
See Notes to Schedule of Investments.
24 |
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
At January 31, 2023, the Fund had the following open swap contracts:
OTC INTEREST RATE SWAPS |
||||||||||||||||||||||||
SWAP COUNTERPARTY |
NOTIONAL AMOUNT* |
TERMINATION DATE |
PAYMENTS MADE BY THE FUND |
PAYMENTS RECEIVED BY THE FUND |
MARKET VALUE |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
Bank of America N.A. | 122,898,368 | BRL | 1/4/27 | BRL-CDI** | 11.993%** | $(521,700) | | $ | (521,700 | ) | ||||||||||||||
BNP Paribas SA | 142,015,300 | BRL | 1/2/29 | BRL-CDI** | 12.610%** | (149,098) | | (149,098 | ) | |||||||||||||||
JPMorgan Chase & Co. | 4,588,200 | BRL | 1/2/29 | BRL-CDI** | 12.893%** | 2,196 | | 2,196 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total | $(668,602) | | $ | (668,602 | ) | |||||||||||||||||||
|
|
|
|
|
|
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) |
||||||||||||||||
144,900,000 | 6/4/24 | Daily SOFR Compound** | 4.600%** | $(38,757) | $ | 4,508 | $ | (43,265 | ) | |||||||||||||
538,736,000 | 3/1/25 | Daily SOFR Compound annually | 3.550% annually |
225,996 | (31,766 | ) | 257,762 | |||||||||||||||
|
200,460,000 | 6/21/25 | Daily SOFR Compound annually | 3.400% annually |
450,556 | (12,510 | ) | 463,066 | ||||||||||||||
170,428,000 | 10/13/25 | Daily SOFR Compound** | 1.396%** | (2,459,933) | | (2,459,933 | ) | |||||||||||||||
10,560,000 | GBP | 10/15/26 | UKRPI** | 4.500%** | (1,104,388) | (363,067 | ) | (741,321 | ) | |||||||||||||
111,986,000 | 4/30/29 | 3.270% annually | Daily SOFR Compound annually |
337,249 | (55,430 | ) | 392,679 | |||||||||||||||
65,315,000 | 6/30/29 | 3.850% annually | Daily SOFR Compound annually |
(1,997,892) | (17,521 | ) | (1,980,371 | ) | ||||||||||||||
12,579,000 | 3/18/32 | 2.000% annually | Daily SOFR Compound annually |
1,220,992 | 101,962 | 1,119,030 | ||||||||||||||||
95,948,000 | 5/15/32 | 3.220% annually | Daily SOFR Compound annually |
50,079 | 2,390,186 | (2,340,107 | ) | |||||||||||||||
228,101,667 | MXN | 10/25/32 | 28-Day MXN TIIE - Banxico every 28 days | 9.260% every 28 days |
683,795 | | 683,795 | |||||||||||||||
7,341,000 | 8/15/47 | 1.650% annually | Daily SOFR Compound annually |
1,812,954 | 738,023 | 1,074,931 |
See Notes to Schedule of Investments.
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
25 |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 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) |
||||||||||||||||
63,279,000 | 2/15/48 | 2.600% annually | Daily SOFR Compound annually |
$5,392,874 | $ | 3,152,470 | $ | 2,240,404 | ||||||||||||||
|
23,407,000 | 2/15/48 | 2.620% annually | Daily SOFR Compound annually |
1,914,647 | (479,630 | ) | 2,394,277 | ||||||||||||||
9,268,000 | 5/15/48 | 3.150% annually | Daily SOFR Compound annually |
(121,942) | (2,767,324 | ) | 2,645,382 | |||||||||||||||
10,840,000 | 4/21/52 | 2.500% annually | Daily SOFR Compound annually |
1,054,144 | 22,058 | 1,032,086 | ||||||||||||||||
|
|
|
|
|
||||||||||||||||||
Total |
$7,420,374 | $ | 2,681,959 | $ | 4,738,415 | |||||||||||||||||
|
|
|
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION1 |
||||||||||||||||||||||||
REFERENCE ENTITY |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
IMPLIED CREDIT SPREAD AT JANUARY 31, 20233 |
PERIODIC PAYMENTS RECEIVED BY THE FUND |
MARKET VALUE |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION |
|||||||||||||||||
Teva Pharmaceutical Finance Netherlands III BV, 3.150%, due 10/1/26 | $ | 3,270,000 | 6/20/26 | 2.398% | 1.000% quarterly | $ | (137,477 | ) | $ | (218,171 | ) | $ | 80,694 |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1 |
||||||||||||||||||||||
REFERENCE ENTITY |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
PERIODIC PAYMENTS RECEIVED BY THE FUND |
MARKET VALUE4 |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION |
||||||||||||||||
Markit CDX.NA.IG.39 Index |
$ | 158,670,000 | 12/20/27 | 1.000% quarterly | $ | 1,990,306 | $ | 539,340 | $ | 1,450,966 |
See Notes to Schedule of Investments.
26 |
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES BUY PROTECTION5 |
||||||||||||||||||||||
REFERENCE ENTITY |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
PERIODIC PAYMENTS MADE BY THE FUND |
MARKET VALUE4 |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED DEPRECIATION |
||||||||||||||||
Markit CDX.NA.HY.39 Index |
$ | 17,802,600 | 12/20/27 | 5.000% quarterly | $ | (491,246 | ) | $ | (184,106 | ) | $ | (307,140 | ) |
1 | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
2 | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
3 | Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as Defaulted indicates a credit event has occurred for the referenced entity or obligation. |
4 | 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. |
5 | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index. |
| Percentage shown is an annual percentage rate. |
* | Notional amount denominated in U.S. dollars, unless otherwise noted. |
** | One time payment made at termination date. |
See Notes to Schedule of Investments.
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
27 |
WESTERN ASSET MACRO OPPORTUNITIES FUND
Schedule of investments (unaudited) (contd) | January 31, 2023 |
Abbreviation(s) used in this table:
BRL | Brazilian Real | |
BRL-CDI | Brazil Cetip InterBank Deposit Rate | |
GBP | British Pound | |
MXN | Mexican Peso | |
SOFR | Secured Overnight Financing Rate | |
TIIE | Tasa de Interes Interbancaria de Equilibrio (Equilibrium Interbanking Interest Rate) | |
UKRPI | United Kingdom Retail Price Index |
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.
28 |
Western Asset Macro Opportunities Fund 2023 Quarterly Report |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Macro Opportunities Fund (the Fund) is a separate non-diversified investment series of Western Asset Funds, Inc. (the Corporation). The Corporation, a Maryland corporation, 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 Directors.
Pursuant to policies adopted by the Board of Directors, 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 Directors. 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.
29 |
Notes to Schedule of Investments (unaudited) (contd)
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 Directors, 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 Directors 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) |
30 |
Notes to Schedule of Investments (unaudited) (contd)
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: |
||||||||||||||||
Financials |
| $ | 41,424,867 | $ | 1,802,941 | $ | 43,227,808 | |||||||||
Other Corporate Bonds & Notes |
| 129,116,483 | | 129,116,483 | ||||||||||||
Sovereign Bonds |
| 134,885,589 | | 134,885,589 | ||||||||||||
Collateralized Mortgage Obligations |
| 44,924,998 | | 44,924,998 | ||||||||||||
Asset-Backed Securities |
| 37,710,682 | | 37,710,682 | ||||||||||||
U.S. Government & Agency Obligations |
| 23,652,658 | | 23,652,658 | ||||||||||||
Senior Loans |
| 10,288,078 | | 10,288,078 | ||||||||||||
Convertible Bonds & Notes |
| 3,395,413 | | 3,395,413 | ||||||||||||
Municipal Bonds |
| 2,576,905 | | 2,576,905 | ||||||||||||
Purchased Options: |
||||||||||||||||
Exchange-Traded Purchased Options |
$ | 2,111,119 | | | 2,111,119 | |||||||||||
OTC Purchased Options |
| 60,220 | | 60,220 | ||||||||||||
Common Stocks |
931,354 | | | 931,354 | ||||||||||||
Warrants |
12,649 | | | 12,649 | ||||||||||||
Total Long-Term Investments |
3,055,122 | 428,035,893 | 1,802,941 | 432,893,956 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
22,364,948 | | | 22,364,948 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 25,420,070 | $ | 428,035,893 | $ | 1,802,941 | $ | 455,258,904 | ||||||||
|
|
|
|
|
|
|
|
31 |
Notes to Schedule of Investments (unaudited) (contd)
ASSETS (CONTD) |
||||||||||||||||
DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures Contracts |
$ | 10,929,950 | | | $ | 10,929,950 | ||||||||||
Forward Foreign Currency Contracts |
| $ | 1,506,828 | | 1,506,828 | |||||||||||
OTC Interest Rate Swaps |
| 2,196 | | 2,196 | ||||||||||||
Centrally Cleared Interest Rate Swaps |
| 12,303,412 | | 12,303,412 | ||||||||||||
Centrally Cleared Credit Default Swaps on Corporate Issues - Sell Protection |
| 80,694 | | 80,694 | ||||||||||||
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection |
| 1,450,966 | | 1,450,966 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Other Financial Instruments |
$ | 10,929,950 | $ | 15,344,096 | | $ | 26,274,046 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 36,350,020 | $ | 443,379,989 | $ | 1,802,941 | $ | 481,532,950 | ||||||||
|
|
|
|
|
|
|
|
LIABILITIES |
||||||||||||||||
DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Written Options: |
||||||||||||||||
Exchange-Traded Written Options |
$ | 5,646,279 | | | $ | 5,646,279 | ||||||||||
OTC Written Options |
| $ | 1,483,004 | | 1,483,004 | |||||||||||
Futures Contracts |
7,698,086 | | | 7,698,086 | ||||||||||||
Forward Foreign Currency Contracts |
| 5,967,690 | | 5,967,690 | ||||||||||||
OTC Interest Rate Swaps |
| 670,798 | | 670,798 | ||||||||||||
Centrally Cleared Interest Rate Swaps |
| 7,564,997 | | 7,564,997 | ||||||||||||
Centrally Cleared Credit Default Swaps on Credit Indices Buy Protection |
| 307,140 | | 307,140 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 13,344,365 | $ | 15,993,629 | | $ | 29,337,994 | |||||||||
|
|
|
|
|
|
|
|
| See Schedule of Investments for additional detailed categorizations. |
| Reflects the unrealized appreciation (depreciation) of the instruments. |
32 |
Notes to Schedule of Investments (unaudited) (contd)
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 January 31, 2023. The following transactions were effected in such company for the period ended January 31, 2023.
Affiliate Value at October 31, 2022 |
Purchased | Sold | ||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares |
$ | 12,836,917 | $ | 149,914,175 | 149,914,175 | $ | 140,386,144 | 140,386,144 |
(contd) |
Realized Gain (Loss) |
Dividend Income |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) |
Affiliate Value at January 31, 2023 |
||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares |
| $ | 134,393 | | $ | 22,364,948 |
33 |