WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(a) - 38.8% |
|
|||||||||||||||
| MIC Trust, 2023-MIC A |
8.437 | % | 11/5/28 | $ | 5,470,000 | $ | 5,592,841 | (b)(c) | ||||||||
| Alternative Loan Trust, 2005-24 1A1 (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 1.310%) |
6.239 | % | 7/20/35 | 189,114 | 159,091 | (c) | ||||||||||
| Alternative Loan Trust, 2005-57CB 4A3 |
5.500 | % | 12/25/35 | 211,415 | 121,444 | |||||||||||
| American Home Mortgage Investment Trust, 2005-1 1A3 |
6.059 | % | 6/25/45 | 110,448 | 110,054 | (c) | ||||||||||
| AREIT Trust, 2021-CRE5 A (1 mo. Term SOFR + 1.194%) |
6.524 | % | 11/17/38 | 5,826,851 | 5,700,674 | (b)(c) | ||||||||||
| BDS, 2021-FL8 A (1 mo. Term SOFR + 1.034%) |
6.366 | % | 1/18/36 | 688,929 | 679,886 | (b)(c) | ||||||||||
| Benchmark Mortgage Trust, 2020-B21 B |
2.458 | % | 12/17/53 | 13,020,000 | 8,474,563 | |||||||||||
| BHMS, 2018-ATLS A (1 mo. Term SOFR + 1.547%) |
6.870 | % | 7/15/35 | 11,150,000 | 11,028,619 | (b)(c) | ||||||||||
| BX, 2021-MFM1 A (1 mo. Term SOFR + 0.814%) |
6.137 | % | 1/15/34 | 2,298,786 | 2,264,439 | (b)(c) | ||||||||||
| BX Commercial Mortgage Trust, 2021-VOLT A |
6.137 | % | 9/15/36 | 22,570,000 | 21,917,655 | (b)(c) | ||||||||||
| BX Commercial Mortgage Trust, 2021-XL2 A |
||||||||||||||||
| (1 mo. Term SOFR + 0.803%) |
6.126 | % | 10/15/38 | 34,702,061 | 33,890,938 | (b)(c) | ||||||||||
| BX Mortgage Trust, 2021-PAC A (1 mo. Term SOFR + 0.804%) |
6.127 | % | 10/15/36 | 35,380,000 | 34,585,616 | (b)(c) | ||||||||||
| BX Trust, 2019-OC11 B |
3.605 | % | 12/9/41 | 3,200,000 | 2,758,598 | (b) | ||||||||||
| BX Trust, 2021-ARIA A (1 mo. Term SOFR + 1.014%) |
6.337 | % | 10/15/36 | 19,205,000 | 18,678,328 | (b)(c) | ||||||||||
| Chevy Chase Funding LLC Mortgage-Backed Certificates, 2003-4A A1 (1 mo. Term SOFR + 0.794%) |
6.137 | % | 10/25/34 | 1,017,349 | 946,559 | (b)(c) | ||||||||||
| Commercial Mortgage Trust, 2013-CR12 AM |
4.300 | % | 10/10/46 | 180,000 | 148,365 | |||||||||||
| Commercial Mortgage Trust, 2013-CR12 B |
4.762 | % | 10/10/46 | 160,000 | 96,800 | (c) | ||||||||||
| Commercial Mortgage Trust, 2013-CR12 C |
5.069 | % | 10/10/46 | 80,000 | 22,680 | (c) | ||||||||||
| Commercial Mortgage Trust, 2014-CR20 B |
4.239 | % | 11/10/47 | 1,680,000 | 1,566,004 | (c) | ||||||||||
| CSMC Trust, 2014-USA A2 |
3.953 | % | 9/15/37 | 3,290,000 | 2,834,878 | (b) | ||||||||||
| CSMC Trust, 2017-RPL1 A1 |
2.750 | % | 7/25/57 | 3,968,044 | 3,769,693 | (b)(c) | ||||||||||
| CSMC Trust, 2017-RPL1 M1 |
2.963 | % | 7/25/57 | 20,370,000 | 15,913,125 | (b)(c) | ||||||||||
| CSMC Trust, 2017-RPL3 A1 |
4.000 | % | 8/1/57 | 11,554,467 | 10,531,340 | (b)(c) | ||||||||||
| CSMC Trust, 2017-RPL3 B2 |
4.521 | % | 8/1/57 | 15,941,063 | 14,601,761 | (b)(c) | ||||||||||
| CSMC Trust, 2019-UVIL A |
3.160 | % | 12/15/41 | 10,000,000 | 8,503,246 | (b) | ||||||||||
| CSMC Trust, 2021-AFC1 A1 |
0.830 | % | 3/25/56 | 4,671,799 | 3,564,636 | (b)(c) | ||||||||||
| CSMC Trust, 2021-RPL1 A1 |
1.668 | % | 9/27/60 | 11,852,966 | 11,246,686 | (b)(c) | ||||||||||
| CSMC Trust, 2021-RPL3 A1 |
2.000 | % | 1/25/60 | 8,131,102 | 6,852,189 | (b)(c) | ||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series M Fund 2023 Quarterly Report |
1 |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(a) - (continued) |
|
|||||||||||||||
| CSMC Trust, 2021-RPL4 A1 |
1.796 | % | 12/27/60 | $ | 6,226,453 | $ | 5,910,060 | (b)(c) | ||||||||
| CSMC Trust, 2022-7R 1A1 (30 Day Average SOFR + 3.500%) |
8.817 | % | 10/25/66 | 18,655,377 | 18,553,259 | (b)(c) | ||||||||||
| Extended Stay America Trust, 2021-ESH A (1 mo. Term SOFR + 1.194%) |
6.517 | % | 7/15/38 | 8,154,139 | 8,067,500 | (b)(c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Multiclass Certificates, 2020-RR07 AX, IO |
2.468 | % | 9/27/28 | 6,000,000 | 571,702 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K064 X1, IO |
0.734 | % | 3/25/27 | 47,448,873 | 780,188 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K091 X1, IO |
0.706 | % | 3/25/29 | 6,456,409 | 163,991 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K093 X1, IO |
1.083 | % | 5/25/29 | 5,766,396 | 237,467 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K118 X1, IO |
1.050 | % | 9/25/30 | 23,986,899 | 1,207,270 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K121 X1, IO |
1.118 | % | 10/25/30 | 54,114,872 | 2,870,199 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K122 X1, IO |
0.970 | % | 11/25/30 | 9,924,119 | 462,044 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K740 X1, IO |
0.830 | % | 9/25/27 | 35,352,025 | 840,487 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1515 X1, IO |
1.636 | % | 2/25/35 | 45,173,201 | 4,997,574 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1516 X1, IO |
1.628 | % | 5/25/35 | 29,733,817 | 3,489,100 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1517 X1, IO |
1.436 | % | 7/25/35 | 40,201,373 | 4,100,649 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Reference REMIC, R007 ZA |
6.000 | % | 5/15/36 | 11,741 | 12,051 | |||||||||||
See Notes to Schedule of Investments.
|
2 |
Western Asset SMASh Series M Fund 2023 Quarterly Report |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(a) - (continued) |
|
|||||||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3947 SG, IO (-1.000 x 30 Day Average SOFR + 5.836%) |
0.511 | % | 10/15/41 | $ | 120,910 | $ | 9,977 | (c) | ||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4298 PI, IO, PAC |
4.000 | % | 4/15/43 | 61,574 | 1,686 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4813 CJ |
3.000 | % | 8/15/48 | 428,783 | 367,358 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5018 MI, IO |
2.000 | % | 10/25/50 | 1,227,156 | 161,952 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5040 IB, IO |
2.500 | % | 11/25/50 | 420,547 | 72,922 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5274 IO, IO |
2.500 | % | 1/25/51 | 21,916,098 | 3,502,710 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA3 M2 (30 Day Average SOFR + 2.100%) |
7.428 | % | 10/25/33 | 25,300,000 | 25,394,602 | (b)(c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 328 S4, IO |
0.000 | % | 2/15/38 | 773,052 | 43,806 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2015-DNA3 M3F (30 Day Average SOFR + 3.814%) |
9.143 | % | 4/25/28 | 2,177,305 | 2,252,728 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2021-DNA2 M2 (30 Day Average SOFR + 2.300%) |
7.628 | % | 8/25/33 | 15,110,211 | 15,236,598 | (b)(c) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2014-C01 M2 (30 Day Average SOFR + 4.514%) |
9.843 | % | 1/25/24 | 9,143,366 | 9,183,597 | (c) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2021-R01 1M2 (30 Day Average SOFR + 1.550%) |
6.878 | % | 10/25/41 | 11,940,000 | 11,939,544 | (b)(c) | ||||||||||
| Federal National Mortgage Association (FNMA) ACES, 2018-M15 1A2 |
3.700 | % | 1/25/36 | 3,000,000 | 2,681,023 | |||||||||||
| Federal National Mortgage Association (FNMA) ACES, 2019-M19 A2 |
2.560 | % | 9/25/29 | 530,422 | 471,230 | |||||||||||
| Federal National Mortgage Association (FNMA) ACES, 2019-M19 X2, IO |
0.741 | % | 9/25/29 | 34,037,866 | 958,275 | (c) | ||||||||||
| Federal National Mortgage Association (FNMA) ACES, 2019-M22 A2 |
2.522 | % | 8/25/29 | 11,562,103 | 10,225,367 | |||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series M Fund 2023 Quarterly Report |
3 |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(a) - (continued) |
|
|||||||||||||||
| Federal National Mortgage Association (FNMA) ACES, 2019-M28 AV |
2.232 | % | 2/25/27 | $ | 702,015 | $ | 658,184 | |||||||||
| Federal National Mortgage Association (FNMA) ACES, 2019-M28 XA2, IO |
0.512 | % | 2/25/30 | 6,713,961 | 119,795 | (c) | ||||||||||
| Federal National Mortgage Association (FNMA) ACES, 2019-M28 XA3, IO |
0.898 | % | 2/25/30 | 12,071,926 | 402,110 | (c) | ||||||||||
| Federal National Mortgage Association (FNMA) ACES, 2020-M4 1X2, IO |
0.843 | % | 2/25/28 | 5,529,585 | 140,669 | (c) | ||||||||||
| Federal National Mortgage Association (FNMA) ACES, 2020-M4 1X3, IO |
1.123 | % | 2/25/28 | 30,028,903 | 1,027,139 | (c) | ||||||||||
| Federal National Mortgage Association (FNMA) ACES, 2020-M26 X3, IO |
1.837 | % | 1/25/28 | 8,184,088 | 344,840 | (c) | ||||||||||
| Federal National Mortgage Association (FNMA) ACES, 2020-M36 X1, IO |
1.546 | % | 9/25/34 | 2,717,513 | 169,861 | (c) | ||||||||||
| Federal National Mortgage Association (FNMA) ACES, 2020-M51 X3, IO |
0.116 | % | 12/25/30 | 74,520,000 | 358,471 | (c) | ||||||||||
| Federal National Mortgage Association (FNMA) ACES, 2020-M54 X, IO |
1.602 | % | 12/25/33 | 36,801,777 | 2,645,146 | (c) | ||||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2011-59 NZ |
5.500 | % | 7/25/41 | 180,558 | 182,537 | |||||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2012-28 B |
6.500 | % | 6/25/39 | 750 | 756 | |||||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2012-75 AO, PO |
0.000 | % | 3/25/42 | 8,580 | 7,604 | |||||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2012-75 NS, IO (-1.000 x 30 Day Average SOFR + 6.486%) |
1.157 | % | 7/25/42 | 30,819 | 3,265 | (c) | ||||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2012-93 UI, IO |
3.000 | % | 9/25/27 | 143,053 | 5,048 | |||||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2012-134 SK, IO (-1.000 x 30 Day Average SOFR + 6.036%) |
0.707 | % | 12/25/42 | 258,219 | 27,055 | (c) | ||||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2013-9 CB |
5.500 | % | 4/25/42 | 53,422 | 53,829 | |||||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2013-14 IG, IO |
4.000 | % | 3/25/43 | 125,928 | 20,992 | |||||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2013-29 QI, IO |
4.000 | % | 4/25/43 | 403,958 | 69,519 | |||||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2013-73 IB, IO |
3.500 | % | 7/25/28 | 360,518 | 15,021 | |||||||||||
See Notes to Schedule of Investments.
|
4 |
Western Asset SMASh Series M Fund 2023 Quarterly Report |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(a) - (continued) |
|
|||||||||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2014-47 AI, IO |
0.000 | % | 8/25/44 | $ | 585,652 | $ | 23,020 | (c) | ||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2020-47 GZ |
2.000 | % | 7/25/50 | 963,595 | 518,322 | |||||||||||
| Federal National Mortgage Association (FNMA) STRIPS, 390 C3, IO |
6.000 | % | 7/25/38 | 8,341 | 1,775 | |||||||||||
| Federal National Mortgage Association (FNMA) STRIPS, 407 22, IO |
5.000 | % | 1/25/39 | 5,494 | 1,079 | |||||||||||
| Federal National Mortgage Association (FNMA) STRIPS, 407 23, IO |
5.000 | % | 1/25/39 | 2,876 | 566 | (c) | ||||||||||
| Federal National Mortgage Association (FNMA) STRIPS, 407 27, IO |
5.500 | % | 1/25/39 | 3,018 | 647 | (c) | ||||||||||
| Federal National Mortgage Association (FNMA) STRIPS, 407 34, IO |
5.000 | % | 1/25/38 | 4,859 | 782 | |||||||||||
| Federal National Mortgage Association (FNMA) STRIPS, 407 41, IO |
6.000 | % | 1/25/38 | 7,098 | 1,525 | |||||||||||
| Federal National Mortgage Association (FNMA) STRIPS, 407 C10, IO |
5.000 | % | 1/25/38 | 26,538 | 4,428 | |||||||||||
| Federal National Mortgage Association (FNMA) STRIPS, 409 C2, IO |
3.000 | % | 4/25/27 | 42,771 | 1,451 | |||||||||||
| Federal National Mortgage Association (FNMA) STRIPS, 409 C13, IO |
3.500 | % | 11/25/41 | 45,967 | 7,005 | |||||||||||
| FRESB Mortgage Trust, 2015-SB7 A10 |
2.950 | % | 9/25/35 | 1,722,524 | 1,658,307 | (c) | ||||||||||
| GMACM Mortgage Loan Trust, 2006-AR1 1A1 |
3.357 | % | 4/19/36 | 340,513 | 259,002 | (c) | ||||||||||
| Government National Mortgage Association (GNMA), 2010-85 HS, IO, PAC (-1.000 x 1 mo. Term SOFR + 6.536%) |
1.204 | % | 1/20/40 | 1,668 | 8 | (c) | ||||||||||
| Government National Mortgage Association (GNMA), 2011-140 AI, IO |
4.000 | % | 10/16/26 | 18,321 | 2 | |||||||||||
| Government National Mortgage Association (GNMA), 2011-H01 AF (1 mo. Term SOFR + 0.564%) |
5.889 | % | 11/20/60 | 253,041 | 252,105 | (c) | ||||||||||
| Government National Mortgage Association (GNMA), 2011-H11 FB (1 mo. Term SOFR + 0.614%) |
5.939 | % | 4/20/61 | 339,655 | 338,349 | (c) | ||||||||||
| Government National Mortgage Association (GNMA), 2012-43 SN, IO (-1.000 x 1 mo. Term SOFR + 6.486%) |
1.156 | % | 4/16/42 | 1,328,269 | 163,202 | (c) | ||||||||||
| Government National Mortgage Association (GNMA), 2013-105 IO, IO |
0.172 | % | 6/16/54 | 14,046,159 | 18,049 | (c) | ||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series M Fund 2023 Quarterly Report |
5 |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(a) - (continued) |
|
|||||||||||||||
| Government National Mortgage Association (GNMA), 2014-134 IA, IO |
0.146 | % | 1/16/55 | $ | 52,108,628 | $ | 235,125 | (c) | ||||||||
| Government National Mortgage Association (GNMA), 2014-157 IO, IO |
0.190 | % | 5/16/55 | 7,684,869 | 47,776 | (c) | ||||||||||
| Government National Mortgage Association (GNMA), 2014-176 IA, IO |
4.000 | % | 11/20/44 | 384,747 | 68,588 | |||||||||||
| Government National Mortgage Association (GNMA), 2015-36 MI, IO |
5.500 | % | 3/20/45 | 523,181 | 94,860 | |||||||||||
| Government National Mortgage Association (GNMA), 2015-167 OI, IO |
4.000 | % | 4/16/45 | 212,497 | 40,234 | |||||||||||
| Government National Mortgage Association (GNMA), 2017-28 IO, IO |
0.680 | % | 2/16/57 | 889,414 | 30,324 | (c) | ||||||||||
| Government National Mortgage Association (GNMA), 2018-H07 FD (1 mo. Term SOFR + 0.414%) |
5.739 | % | 5/20/68 | 574,003 | 572,781 | (c) | ||||||||||
| Government National Mortgage Association (GNMA), 2019-90 AB |
3.000 | % | 7/20/49 | 3,485,188 | 2,997,071 | |||||||||||
| Government National Mortgage Association (GNMA), 2019-H01 FT (1 mo. Term SOFR + 0.514%) |
5.839 | % | 10/20/68 | 197,444 | 196,850 | (c) | ||||||||||
| Government National Mortgage Association (GNMA), 2019-H08 FE (1 mo. Term SOFR + 0.764%) |
6.089 | % | 1/20/69 | 402,669 | 392,748 | (c) | ||||||||||
| Government National Mortgage Association (GNMA), 2020-47 MI, IO, PAC |
3.500 | % | 4/20/50 | 1,405,812 | 240,055 | |||||||||||
| Government National Mortgage Association (GNMA), 2020-47 NI, IO, PAC |
3.500 | % | 4/20/50 | 620,236 | 103,554 | |||||||||||
| Government National Mortgage Association (GNMA), 2020-127 IN, IO |
2.500 | % | 8/20/50 | 589,303 | 80,381 | |||||||||||
| Government National Mortgage Association (GNMA), 2020-129 IE, IO |
2.500 | % | 9/20/50 | 603,954 | 82,629 | |||||||||||
| Government National Mortgage Association (GNMA), 2020-160 IH, IO |
2.500 | % | 10/20/50 | 393,643 | 53,543 | |||||||||||
| Government National Mortgage Association (GNMA), 2020-160 VI, IO |
2.500 | % | 10/20/50 | 611,679 | 87,140 | |||||||||||
| Government National Mortgage Association (GNMA), 2020-160 YI, IO |
2.500 | % | 10/20/50 | 2,073,289 | 279,725 | |||||||||||
| Government National Mortgage Association (GNMA), 2020-171 IO, IO |
0.957 | % | 10/16/60 | 87,174,470 | 5,607,890 | (c) | ||||||||||
See Notes to Schedule of Investments.
|
6 |
Western Asset SMASh Series M Fund 2023 Quarterly Report |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(a) - (continued) |
|
|||||||||||||||
| Government National Mortgage Association (GNMA), 2020-H09 FL (1 mo. Term SOFR + 1.264%) |
6.589 | % | 5/20/70 | $ | 1,600,058 | $ | 1,589,370 | (c) | ||||||||
| Government National Mortgage Association (GNMA), 2020-H09 NF (1 mo. Term SOFR + 1.364%) |
6.689 | % | 4/20/70 | 2,126,559 | 2,146,089 | (c) | ||||||||||
| Government National Mortgage Association (GNMA), 2020-H12 F (1 mo. Term SOFR + 0.614%) |
5.939 | % | 7/20/70 | 441,630 | 429,022 | (c) | ||||||||||
| Government National Mortgage Association (GNMA), 2020-H13 FC (1 mo. Term SOFR + 0.564%) |
5.889 | % | 7/20/70 | 236,557 | 228,981 | (c) | ||||||||||
| Government National Mortgage Association (GNMA), 2020-H13 FM (1 mo. Term SOFR + 0.514%) |
5.839 | % | 8/20/70 | 2,079,309 | 2,049,411 | (c) | ||||||||||
| GS Mortgage Securities Corp. Trust, 2021- ROSS C (1 mo. Term SOFR + 2.114%) |
7.437 | % | 5/15/26 | 2,894,000 | 2,014,284 | (b)(c) | ||||||||||
| GS Mortgage Securities Corp. Trust, 2021- ROSS D (1 mo. Term SOFR + 2.614%) |
7.937 | % | 5/15/26 | 8,660,000 | 5,326,860 | (b)(c) | ||||||||||
| GS Mortgage Securities Trust, 2018-GS9 B |
4.321 | % | 3/10/51 | 1,725,000 | 1,517,158 | (c) | ||||||||||
| GS Mortgage-Backed Securities Corp. Trust, 2021-RPL1 A2 |
2.000 | % | 12/25/60 | 16,090,000 | 12,824,401 | (b)(c) | ||||||||||
| GS Mortgage-Backed Securities Trust, 2018- RPL1 A1A |
3.750 | % | 10/25/57 | 10,243,086 | 9,755,001 | (b) | ||||||||||
| HomeBanc Mortgage Trust, 2004-2 A1 (1 mo. Term SOFR + 0.854%) |
6.197 | % | 12/25/34 | 1,083,318 | 1,008,365 | (c) | ||||||||||
| IMPAC CMB Trust, 2004-7 1A1 (1 mo. Term SOFR + 0.854%) |
6.197 | % | 11/25/34 | 1,967,281 | 1,915,451 | (c) | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, 2014-C20, C |
4.672 | % | 7/15/47 | 700,000 | 532,570 | (c) | ||||||||||
| JPMorgan Mortgage Trust, 2018-4 A1 |
3.500 | % | 10/25/48 | 1,872,348 | 1,602,268 | (b)(c) | ||||||||||
| JPMorgan Resecuritization Trust, 2014-6 1A2 |
0.061 | % | 7/27/36 | 4,154,110 | 3,612,641 | (b)(c) | ||||||||||
| Legacy Mortgage Asset Trust, 2020-GS5 A1, Step bond (6.250% to 8/25/24 then 7.250%) |
6.250 | % | 6/25/60 | 5,420,990 | 5,480,669 | (b) | ||||||||||
| MASTR Adjustable Rate Mortgages Trust, 2005-7 3A1 |
3.816 | % | 9/25/35 | 55,701 | 33,689 | (c) | ||||||||||
| Merrill Lynch Mortgage Investors Trust, 2006-A1 1A1 |
4.356 | % | 3/25/36 | 298,721 | 179,139 | (c) | ||||||||||
| New Residential Mortgage Loan Trust, 2016-3A A1B |
3.250 | % | 9/25/56 | 2,361,346 | 2,134,407 | (b)(c) | ||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series M Fund 2023 Quarterly Report |
7 |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(a) - (continued) |
|
|||||||||||||||
| New Residential Mortgage Loan Trust, 2016-4A A1 |
3.750 | % | 11/25/56 | $ | 3,126,471 | $ | 2,888,634 | (b)(c) | ||||||||
| New Residential Mortgage Loan Trust, 2017-4A A1 |
4.000 | % | 5/25/57 | 9,552,277 | 8,820,586 | (b)(c) | ||||||||||
| New Residential Mortgage Loan Trust, 2019-2A A1 |
4.250 | % | 12/25/57 | 12,235,576 | 11,597,133 | (b)(c) | ||||||||||
| New Residential Mortgage Loan Trust, 2021- NQM3 A1 |
1.156 | % | 11/27/56 | 4,933,335 | 4,014,094 | (b)(c) | ||||||||||
| OPG Trust, 2021-PORT D (1 mo. Term SOFR + 1.245%) |
6.568 | % | 10/15/36 | 2,481,991 | 2,398,721 | (b)(c) | ||||||||||
| PFP Ltd., 2021-8 A (1 mo. Term SOFR + 1.114%) |
6.444 | % | 8/9/37 | 1,496,830 | 1,476,376 | (b)(c) | ||||||||||
| PRKCM Trust, 2021-AFC1 A1 |
1.510 | % | 8/25/56 | 15,958,969 | 12,363,381 | (b)(c) | ||||||||||
| RALI Trust, 2006-QO7 3A2 (1 mo. Term SOFR + 0.524%) |
5.867 | % | 9/25/46 | 261,741 | 242,820 | (c) | ||||||||||
| RAMP Trust, 2005-SL1 A7 |
8.000 | % | 5/25/32 | 14,669 | 9,490 | |||||||||||
| Residential Asset Securitization Trust, 2005- A15 1A4 |
5.750 | % | 2/25/36 | 441,636 | 404,185 | |||||||||||
| SFO Commercial Mortgage Trust, 2021-555 A (1 mo. Term SOFR + 1.264%) |
6.587 | % | 5/15/38 | 9,120,000 | 8,326,408 | (b)(c) | ||||||||||
| SREIT Trust, 2021-PALM A (1 mo. Term SOFR + 0.704%) |
6.027 | % | 10/15/34 | 12,605,000 | 12,286,405 | (b)(c) | ||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, 2004-2 4A1 |
5.816 | % | 3/25/34 | 62,125 | 57,925 | (c) | ||||||||||
| Structured Asset Mortgage Investments II Trust, 2005-AR7 4A1 (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 2.150%) |
7.079 | % | 3/25/46 | 91,628 | 81,203 | (c) | ||||||||||
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 2003-9A 2A2 |
6.600 | % | 3/25/33 | 58,401 | 55,651 | (c) | ||||||||||
| Towd Point Mortgage Trust, 2019-HY2 A1 (1 mo. Term SOFR + 1.114%) |
6.457 | % | 5/25/58 | 5,758,374 | 5,813,866 | (b)(c) | ||||||||||
| Towd Point Mortgage Trust, 2020-2 M1B |
3.000 | % | 4/25/60 | 8,740,000 | 6,196,129 | (b)(c) | ||||||||||
| WaMu Mortgage Pass-Through Certificates Trust, 2004-AR13 A1B2 (1 mo. Term SOFR + 1.094%) |
6.437 | % | 11/25/34 | 3,943,044 | 3,579,140 | (c) | ||||||||||
| WaMu Mortgage Pass-Through Certificates Trust, 2005-AR9 A1A (1 mo. Term SOFR + 0.754%) |
6.097 | % | 7/25/45 | 32,532 | 30,266 | (c) | ||||||||||
| WFRBS Commercial Mortgage Trust, 2014- C24 B |
4.204 | % | 11/15/47 | 1,670,000 | 1,466,288 | (c) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $569,018,862) |
|
518,528,840 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
8 |
Western Asset SMASh Series M Fund 2023 Quarterly Report |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| MORTGAGE-BACKED SECURITIES - 36.4% | ||||||||||||||||
| FHLMC - 3.2% |
||||||||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
6.000 | % | 10/1/36 | $ | 12,495 | $ | 12,850 | |||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
5.500 | % | 12/1/38-5/1/53 | 950,612 | 940,961 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
3.500 | % | 10/1/42-3/1/43 | 259,973 | 237,409 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
5.000 | % | 10/1/48 | 153,438 | 150,199 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
2.000 | % | 2/1/51-4/1/51 | 3,471,544 | 2,752,190 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
5.500 | % | 5/1/53 | 18,368,551 | 18,134,031 | (d) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
6.500 | % | 10/1/53 | 10,028,591 | 10,264,272 | (d) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.619%) |
2.872 | % | 11/1/47 | 1,154,169 | 1,098,946 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.621%) |
3.098 | % | 2/1/50 | 2,163,546 | 2,055,198 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.628%) |
3.006 | % | 11/1/48 | 5,787,547 | 5,415,804 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) (5 year Treasury Constant Maturity Rate + 1.285%) |
2.106 | % | 3/1/47 | 1,017,622 | 936,339 | (c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Gold |
5.500 | % | 11/1/35 | 9,711 | 9,803 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Gold |
7.000 | % | 3/1/39 | 10,305 | 10,952 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Gold |
6.500 | % | 9/1/39 | 36,303 | 37,541 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Gold |
6.000 | % | 11/1/39 | 74,339 | 76,900 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Gold |
4.000 | % | 4/1/43-7/1/43 | 565,637 | 534,624 | |||||||||||
|
|
|
|||||||||||||||
| Total FHLMC |
42,668,019 | |||||||||||||||
|
|
|
|||||||||||||||
| FNMA - 10.2% |
||||||||||||||||
| Federal National Mortgage Association (FNMA) |
2.560 | % | 11/1/31 | 4,512,022 | 3,853,899 | |||||||||||
| Federal National Mortgage Association (FNMA) |
5.500 | % | 11/1/36-9/1/53 | 9,247,029 | 9,124,511 | |||||||||||
| Federal National Mortgage Association (FNMA) |
6.000 | % | 11/1/37 | 14,992 | 15,488 | |||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series M Fund 2023 Quarterly Report |
9 |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| FNMA - (continued) |
||||||||||||||||
| Federal National Mortgage Association (FNMA) |
6.500 | % | 11/1/37-5/1/40 | $ | 201,778 | $ | 210,937 | |||||||||
| Federal National Mortgage Association (FNMA) |
5.000 | % | 6/1/38-12/1/47 | 1,094,015 | 1,096,425 | |||||||||||
| Federal National Mortgage Association (FNMA) |
7.000 | % | 2/1/39 | 14,818 | 15,722 | |||||||||||
| Federal National Mortgage Association (FNMA) |
4.500 | % | 6/1/42-8/1/58 | 6,088,232 | 5,741,401 | |||||||||||
| Federal National Mortgage Association (FNMA) |
4.000 | % | 10/1/42-6/1/57 | 4,313,720 | 4,030,964 | |||||||||||
| Federal National Mortgage Association (FNMA) |
3.000 | % | 6/1/43-11/1/48 | 7,408,116 | 6,525,055 | |||||||||||
| Federal National Mortgage Association (FNMA) |
2.000 | % | 8/1/50-3/1/52 | 16,973,589 | 13,390,978 | |||||||||||
| Federal National Mortgage Association (FNMA) |
2.500 | % | 10/1/51-9/1/61 | 11,003,120 | 8,923,875 | |||||||||||
| Federal National Mortgage Association (FNMA) |
6.000 | % | 11/1/53 | 50,000,000 | 50,355,762 | (d) | ||||||||||
| Federal National Mortgage Association (FNMA) |
2.500 | % | 12/1/53 | 35,700,000 | 28,908,633 | (e) | ||||||||||
| Federal National Mortgage Association (FNMA) |
5.500 | % | 1/1/54 | 3,800,000 | 3,745,041 | (e) | ||||||||||
|
|
|
|||||||||||||||
| Total FNMA |
135,938,691 | |||||||||||||||
|
|
|
|||||||||||||||
| GNMA - 23.0% |
||||||||||||||||
| Government National Mortgage Association (GNMA) |
3.000 | % | 9/15/42-11/15/42 | 30,004,018 | 26,177,097 | |||||||||||
| Government National Mortgage Association (GNMA) |
3.500 | % | 6/15/48-5/15/50 | 3,815,406 | 3,480,484 | |||||||||||
| Government National Mortgage Association (GNMA) |
4.000 | % | 3/15/50 | 63,613 | 58,668 | |||||||||||
| Government National Mortgage Association (GNMA) II |
6.000 | % | 8/20/37-12/20/41 | 519,302 | 542,029 | |||||||||||
| Government National Mortgage Association (GNMA) II |
4.500 | % | 1/20/40-9/20/52 | 47,259,280 | 45,163,234 | |||||||||||
| Government National Mortgage Association (GNMA) II |
5.000 | % | 7/20/40-9/20/52 | 5,990,007 | 5,911,344 | |||||||||||
| Government National Mortgage Association (GNMA) II |
3.500 | % | 6/20/44-12/20/52 | 31,933,217 | 28,907,491 | |||||||||||
| Government National Mortgage Association (GNMA) II |
4.000 | % | 9/20/45-6/20/52 | 63,597,406 | 59,172,920 | |||||||||||
See Notes to Schedule of Investments.
|
10 |
Western Asset SMASh Series M Fund 2023 Quarterly Report |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| GNMA - (continued) |
||||||||||||||||
| Government National Mortgage Association (GNMA) II |
3.000 | % | 1/20/50-3/20/52 | $ | 9,661,870 | $ | 8,392,048 | |||||||||
| Government National Mortgage Association (GNMA) II |
2.000 | % | 12/20/50-3/20/51 | 13,544,170 | 10,817,889 | |||||||||||
| Government National Mortgage Association (GNMA) II |
2.500 | % | 12/20/50-12/20/51 | 50,283,014 | 41,562,150 | |||||||||||
| Government National Mortgage Association (GNMA) II |
5.500 | % | 3/20/53- 8/20/53 | 4,113,848 | 4,089,817 | |||||||||||
| Government National Mortgage Association (GNMA) II |
5.000 | % | 12/20/53- 1/20/54 | 15,600,000 | 15,153,860 | (e) | ||||||||||
| Government National Mortgage Association (GNMA) II |
5.500 | % | 1/20/54 | 39,000,000 | 38,712,973 | (e) | ||||||||||
| Government National Mortgage Association (GNMA) II |
6.000 | % | 1/20/54 | 20,000,000 | 20,143,296 | (e) | ||||||||||
|
|
|
|||||||||||||||
| Total GNMA |
308,285,300 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES |
|
486,892,010 | ||||||||||||||
|
|
|
|||||||||||||||
| ASSET-BACKED SECURITIES - 14.7% | ||||||||||||||||
| Arbor Realty Commercial Real Estate Notes Ltd., 2021-FL3 A (1 mo. Term SOFR + 1.184%) |
6.507 | % | 8/15/34 | 3,000,000 | 2,953,713 | (b)(c) | ||||||||||
| Avis Budget Rental Car Funding AESOP LLC, 2021-1A A |
1.380 | % | 8/20/27 | 6,654,000 | 5,953,959 | (b) | ||||||||||
| Bayview Financial Asset Trust, 2007-SR1A M2 (1 mo. Term SOFR + 1.014%) |
6.357 | % | 3/25/37 | 300,310 | 292,578 | (b)(c) | ||||||||||
| Blackbird Capital Aircraft Lease Securitization Ltd., 2016-1A A, Step bond (4.213% to 12/16/24 then 6.500%) |
4.213 | % | 12/16/41 | 11,889,692 | 10,958,775 | (b) | ||||||||||
| BRSP Ltd., 2021-FL1 A (1 mo. Term SOFR + 1.264%) |
6.596 | % | 8/19/38 | 5,042,847 | 4,907,195 | (b)(c) | ||||||||||
| Countrywide Asset-Backed Certificates Trust, 2004-5 2A (1 mo. Term SOFR + 0.614%) |
5.957 | % | 10/25/34 | 1,728,903 | 1,642,536 | (c) | ||||||||||
| Countrywide Asset-Backed Certificates Trust, 2006-SD3 A1 (1 mo. Term SOFR + 0.774%) |
6.117 | % | 7/25/36 | 9,749 | 9,535 | (b)(c) | ||||||||||
| Dividend Solar Loans LLC, 2019-1 A |
3.670 | % | 8/22/39 | 219,118 | 189,959 | (b) | ||||||||||
| Foundation Finance Trust, 2021-1A A |
1.270 | % | 5/15/41 | 2,902,377 | 2,566,024 | (b) | ||||||||||
| Goodgreen Trust, 2021-1A A |
2.660 | % | 10/15/56 | 7,747,218 | 5,992,631 | (b) | ||||||||||
| Greystone CRE Notes Ltd., 2021-FL3 A (1 mo. Term SOFR + 1.134%) |
6.457 | % | 7/15/39 | 3,880,000 | 3,831,789 | (b)(c) | ||||||||||
| Hardee’s Funding LLC, 2021-1A A2 |
2.865 | % | 6/20/51 | 8,484,700 | 6,876,616 | (b) | ||||||||||
| Hertz Vehicle Financing LLC, 2021-1A A |
1.210 | % | 12/26/25 | 3,690,000 | 3,543,203 | (b) | ||||||||||
| Hertz Vehicle Financing LLC, 2021-1A B |
1.560 | % | 12/26/25 | 8,690,000 | 8,312,780 | (b) | ||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series M Fund 2023 Quarterly Report |
11 |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
| Hertz Vehicle Financing LP, 2021-2A A |
1.680 | % | 12/27/27 | $ | 16,380,000 | $ | 14,549,795 | (b) | ||||||||
| Hertz Vehicle Financing LP, 2021-2A B |
2.120 | % | 12/27/27 | 8,690,000 | 7,710,268 | (b) | ||||||||||
| KREF Ltd., 2021-FL2 A (1 mo. Term SOFR + 1.184%) |
6.514 | % | 2/15/39 | 4,360,000 | 4,259,764 | (b)(c) | ||||||||||
| MASTR Asset-Backed Securities Trust, 2007- NCW A1 (1 mo. Term SOFR + 0.414%) |
5.757 | % | 5/25/37 | 3,979,217 | 3,301,877 | (b)(c) | ||||||||||
| MF1 Ltd., 2021-FL7 A (1 mo. Term SOFR + 1.194%) |
6.526 | % | 10/16/36 | 3,558,575 | 3,521,613 | (b)(c) | ||||||||||
| Morgan Stanley Mortgage Loan Trust, 2007-2AX 2A1 (1 mo. Term SOFR + 0.294%) |
5.637 | % | 12/25/36 | 18,415 | 6,485 | (c) | ||||||||||
| Navient Private Education Refi Loan Trust, 2019-FA A2 |
2.600 | % | 8/15/68 | 8,951,054 | 8,254,075 | (b) | ||||||||||
| Navient Student Loan Trust, 2017-2A A (30 Day Average SOFR + 1.164%) |
6.493 | % | 12/27/66 | 21,898,828 | 21,780,561 | (b)(c) | ||||||||||
| Navient Student Loan Trust, 2021-1A A1B (30 Day Average SOFR + 0.714%) |
6.043 | % | 12/26/69 | 2,109,107 | 2,075,574 | (b)(c) | ||||||||||
| Nelnet Student Loan Trust, 2021-A B1 |
2.850 | % | 4/20/62 | 17,500,000 | 13,750,933 | (b) | ||||||||||
| Origen Manufactured Housing Contract Trust, 2007-A A2 |
7.979 | % | 4/15/37 | 189,703 | 176,657 | (c) | ||||||||||
| RAAC Trust, 2006-SP1 M1 (1 mo. Term SOFR + 0.714%) |
6.057 | % | 9/25/45 | 521,167 | 502,911 | (c) | ||||||||||
| Renaissance Home Equity Loan Trust, 2003-2 A |
3.678 | % | 8/25/33 | 590,570 | 526,509 | (c) | ||||||||||
| Renaissance Home Equity Loan Trust, 2007-3 AV2 (1 mo. Term SOFR + 1.114%) |
6.457 | % | 9/25/37 | 163,401 | 137,364 | (c) | ||||||||||
| Renaissance Home Equity Loan Trust, 2007-3 AV3 (1 mo. Term SOFR + 1.914%) |
7.257 | % | 9/25/37 | 715,407 | 601,363 | (c) | ||||||||||
| Residential Funding Securities Corp., 2002- RP2 A1 (1 mo. Term SOFR + 1.614%) |
6.957 | % | 10/25/32 | 1,873 | 1,826 | (b)(c) | ||||||||||
| SBA Small Business Investment Cos., 2017-10A 1 |
2.845 | % | 3/10/27 | 507,900 | 471,469 | |||||||||||
| SLM Student Loan Trust, 2003-10A A4 (90 Day Average SOFR + 0.931%) |
6.152 | % | 12/17/68 | 6,827,313 | 6,677,172 | (b)(c) | ||||||||||
| SMB Private Education Loan Trust, 2020-A A2A |
2.230 | % | 9/15/37 | 10,949,637 | 10,124,171 | (b) | ||||||||||
| SMB Private Education Loan Trust, 2021-A A2B |
1.590 | % | 1/15/53 | 13,903,109 | 12,029,526 | (b) | ||||||||||
| SMB Private Education Loan Trust, 2021-A B |
2.310 | % | 1/15/53 | 8,500,000 | 7,767,310 | (b) | ||||||||||
| SMB Private Education Loan Trust, 2021-C D |
3.930 | % | 1/15/53 | 5,885,116 | 5,403,260 | (b) | ||||||||||
| SMB Private Education Loan Trust, 2023-B A1B (30 Day Average SOFR + 1.800%) |
7.124 | % | 10/16/56 | 5,918,763 | 5,974,544 | (b)(c) | ||||||||||
See Notes to Schedule of Investments.
|
12 |
Western Asset SMASh Series M Fund 2023 Quarterly Report |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
| Structured Asset Securities Corp., 2004-SC1 A |
8.288 | % | 12/25/29 | $ | 6,706 | $ | 5,689 | (b)(c) | ||||||||
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 2001-SB1 A2 |
3.375 | % | 8/25/31 | 45,009 | 44,796 | |||||||||||
| Sunrun Vulcan Issuer LLC, 2021-1A A |
2.460 | % | 1/30/52 | 3,113,434 | 2,443,949 | (b) | ||||||||||
| Thrust Engine Leasing, 2021-1A A |
4.163 | % | 7/15/40 | 7,770,777 | 6,716,399 | (b) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
196,847,153 | ||||||||||||||
|
|
|
|||||||||||||||
| CORPORATE BONDS & NOTES - 3.7% | ||||||||||||||||
| COMMUNICATION SERVICES - 1.0% | ||||||||||||||||
| Diversified Telecommunication Services - 0.3% |
||||||||||||||||
| AT&T Inc., Senior Notes |
2.250 | % | 2/1/32 | 1,100,000 | 872,168 | |||||||||||
| Verizon Communications Inc., Senior Notes |
2.355 | % | 3/15/32 | 2,210,000 | 1,763,833 | |||||||||||
| Verizon Communications Inc., Senior Notes |
4.500 | % | 8/10/33 | 2,160,000 | 2,020,491 | |||||||||||
|
|
|
|||||||||||||||
| Total Diversified Telecommunication Services |
|
4,656,492 | ||||||||||||||
|
|
|
|||||||||||||||
| Media - 0.4% |
||||||||||||||||
| Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
5.375 | % | 5/1/47 | 900,000 | 728,494 | |||||||||||
| Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
5.125 | % | 7/1/49 | 2,890,000 | 2,244,077 | |||||||||||
| Comcast Corp., Senior Notes |
3.969 | % | 11/1/47 | 1,460,000 | 1,149,471 | |||||||||||
| Comcast Corp., Senior Notes |
2.887 | % | 11/1/51 | 1,170,000 | 737,690 | |||||||||||
|
|
|
|||||||||||||||
| Total Media |
4,859,732 | |||||||||||||||
|
|
|
|||||||||||||||
| Wireless Telecommunication Services - 0.3% |
||||||||||||||||
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes |
4.738 | % | 3/20/25 | 465,000 | 461,221 | (b) | ||||||||||
| T-Mobile USA Inc., Senior Notes |
3.875 | % | 4/15/30 | 3,410,000 | 3,133,000 | |||||||||||
|
|
|
|||||||||||||||
| Total Wireless Telecommunication Services |
3,594,221 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL COMMUNICATION SERVICES |
13,110,445 | |||||||||||||||
|
|
|
|||||||||||||||
| ENERGY - 0.5% | ||||||||||||||||
| Oil, Gas & Consumable Fuels - 0.5% |
||||||||||||||||
| EOG Resources Inc., Senior Notes |
3.900 | % | 4/1/35 | 2,210,000 | 1,940,561 | |||||||||||
| EQT Corp., Senior Notes |
7.000 | % | 2/1/30 | 5,000,000 | 5,250,150 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
7,190,711 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 0.6% | ||||||||||||||||
| Banks - 0.4% |
||||||||||||||||
| BAC Capital Trust XIV, Ltd. GTD (3 mo. Term SOFR + 0.662%) |
6.071 | % | 12/18/23 | 200,000 | 149,124 | (c)(f) | ||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series M Fund 2023 Quarterly Report |
13 |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Banks - (continued) |
||||||||||||||||
| Banco Santander SA, Senior Notes (4.175% to 3/24/27 then 1 year Treasury Constant Maturity Rate + 2.000%) |
4.175 | % | 3/24/28 | $ | 800,000 | $ | 754,692 | (c) | ||||||||
| Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year Treasury Constant Maturity Rate + 2.050%) |
4.588 | % | 5/4/37 | 4,420,000 | 3,760,312 | (c) | ||||||||||
| Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year Treasury Constant Maturity Rate + 1.420%) |
3.758 | % | 4/6/33 | 880,000 | 757,835 | (b)(c) | ||||||||||
|
|
|
|||||||||||||||
| Total Banks |
5,421,963 | |||||||||||||||
|
|
|
|||||||||||||||
| Capital Markets - 0.2% |
||||||||||||||||
| Credit Suisse AG, Senior Notes |
3.700 | % | 2/21/25 | 2,250,000 | 2,184,856 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
7,606,819 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 1.4% | ||||||||||||||||
| Air Freight & Logistics - 1.4% |
||||||||||||||||
| DP World Ltd., Senior Notes |
5.625 | % | 9/25/48 | 20,510,000 | 18,233,636 | (b) | ||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 0.2% | ||||||||||||||||
| Chemicals - 0.1% |
||||||||||||||||
| OCP SA, Senior Notes |
4.500 | % | 10/22/25 | 1,980,000 | 1,916,888 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Metals & Mining - 0.1% |
||||||||||||||||
| Freeport-McMoRan Inc., Senior Notes |
5.450 | % | 3/15/43 | 1,550,000 | 1,391,781 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
3,308,669 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES |
|
49,450,280 | ||||||||||||||
|
|
|
|||||||||||||||
| SOVEREIGN BONDS - 0.7% | ||||||||||||||||
| Mexico - 0.6% |
||||||||||||||||
| Mexico Government International Bond, Senior Notes |
4.600 | % | 2/10/48 | 6,810,000 | 5,298,484 | |||||||||||
| Mexico Government International Bond, Senior Notes |
5.750 | % | 10/12/2110 | 3,430,000 | 2,873,736 | |||||||||||
|
|
|
|||||||||||||||
| Total Mexico |
8,172,220 | |||||||||||||||
|
|
|
|||||||||||||||
| Qatar - 0.1% |
||||||||||||||||
| Qatar Government International Bond, Senior Notes |
4.817 | % | 3/14/49 | 1,880,000 | 1,677,928 | (b) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL SOVEREIGN BONDS |
9,850,148 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
|
1,261,568,431 | ||||||||||||||
|
|
|
|||||||||||||||
| SHORT-TERM INVESTMENTS - 16.8% | ||||||||||||||||
| U.S. TREASURY BILLS - 13.0% | ||||||||||||||||
| U.S. Treasury Bills |
4.703 | % | 12/7/23 | 14,540,000 | 14,527,226 | (g) | ||||||||||
| U.S. Treasury Bills |
5.217 | % | 12/19/23 | 36,320,000 | 36,224,233 | (g) | ||||||||||
See Notes to Schedule of Investments.
|
14 |
Western Asset SMASh Series M Fund 2023 Quarterly Report |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| U.S. TREASURY BILLS - (continued) | ||||||||||||||||
| U.S. Treasury Bills |
5.375 | % | 1/9/24 | $ | 13,700,000 | $ | 13,621,834 | (g) | ||||||||
| U.S. Treasury Bills |
5.414 | % | 1/23/24 | 18,820,000 | 18,674,156 | (g) | ||||||||||
| U.S. Treasury Bills |
5.437 | % | 1/30/24 | 34,550,000 | 34,246,501 | (g) | ||||||||||
| U.S. Treasury Bills |
5.442 | % | 2/22/24 | 35,930,000 | 35,495,636 | (g) | ||||||||||
| U.S. Treasury Bills |
5.418 | % | 5/16/24 | 22,060,000 | 21,532,128 | (g) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL U.S. TREASURY BILLS |
|
174,321,714 | ||||||||||||||
|
|
|
|||||||||||||||
| REPURCHASE AGREEMENTS - 1.9% | ||||||||||||||||
| Goldman Sachs & Co. repurchase agreement dated 11/30/23; Proceeds at maturity - $25,003,660; (Fully
collateralized by U.S. government obligations, 2.375% due 5/15/51; Market value - $25,000,000) |
5.270 | % | 12/1/23 | 25,000,000 | 25,000,000 | |||||||||||
|
|
|
|||||||||||||||
| U.S. GOVERNMENT AGENCIES - 1.1% | ||||||||||||||||
| Federal Home Loan Bank (FHLB), Discount Notes |
5.164 | % | 1/2/24 | 4,560,000 | 4,539,345 | (g) | ||||||||||
| Federal Home Loan Bank (FHLB), Discount Notes |
5.238 | % | 1/29/24 | 4,560,000 | 4,521,991 | (g) | ||||||||||
| Federal Home Loan Bank (FHLB), Discount Notes |
4.980 | % | 8/14/24 | 5,440,000 | 5,256,783 | (g) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL U.S. GOVERNMENT AGENCIES |
|
14,318,119 | ||||||||||||||
|
|
|
|||||||||||||||
| SHARES | ||||||||||||||||
| OVERNIGHT DEPOSITS - 0.8% | ||||||||||||||||
| BNY Mellon Cash Reserve Fund |
2.250 | % | 11,198,060 | 11,198,060 | (h) | |||||||||||
|
|
|
|||||||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
224,837,893 | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS - 111.1% |
|
1,486,406,324 | ||||||||||||||
| Liabilities in Excess of Other Assets - (11.1)% |
(148,073,537 | ) | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 1,338,332,787 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series M Fund 2023 Quarterly Report |
15 |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
| (a) | 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. |
| (b) | 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. |
| (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) | Securities traded on a when-issued or delayed delivery basis. |
| (e) | This security is traded on a to-be-announced (“TBA”) basis. At November 30, 2023, the Fund held TBA securities with a total cost of $104,812,325. |
| (f) | Security has no maturity date. The date shown represents the next call date. |
| (g) | Rate shown represents yield-to-maturity. |
| (h) | Rate shown is one-day yield as of the end of the reporting period. |
Abbreviation(s) used in this schedule:
| ACES | — Alternative Credit Enhancement Securities | |
| CAS | — Connecticut Avenue Securities | |
| CMT | — Constant Maturity Treasury | |
| GTD | — Guaranteed | |
| IBOR | — Interbank Offered Rate | |
| IO | — Interest Only | |
| PAC | — Planned Amortization Class | |
| PO | — Principal Only | |
| REMIC | — Real Estate Mortgage Investment Conduit | |
| SOFR | — Secured Overnight Financing Rate | |
| STRIPS | — Separate Trading of Registered Interest and Principal Securities | |
| USD | — United States Dollar |
At November 30, 2023, the Fund had the following open futures contracts:
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| U.S. Treasury 2-Year Notes |
2,068 | 3/24 | $ | 421,452,617 | $ | 422,825,220 | $ | 1,372,603 | ||||||||||||
| U.S. Treasury 5-Year Notes |
14,022 | 3/24 | 1,490,974,647 | 1,498,272,574 | 7,297,927 | |||||||||||||||
| U.S. Treasury 10-Year Notes |
265 | 3/24 | 28,913,147 | 29,096,173 | 183,026 | |||||||||||||||
| U.S. Treasury Long- Term Bonds |
38 | 3/24 | 4,387,018 | 4,424,625 | 37,607 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 8,891,163 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
See Notes to Schedule of Investments.
|
16 |
Western Asset SMASh Series M Fund 2023 Quarterly Report |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| U.S. Treasury Ultra 10-Year Notes |
19 | 3/24 | $ | 2,141,342 | $ | 2,156,797 | $ | (15,455 | ) | |||||||||||
| U.S. Treasury Ultra Long-Term Bonds |
301 | 3/24 | 36,321,715 | 37,023,000 | (701,285 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (716,740 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation on open futures contracts |
|
$ | 8,174,423 | |||||||||||||||||
|
|
|
|||||||||||||||||||
At November 30, 2023, the Fund had the following open swap contracts:
| CENTRALLY CLEARED INTEREST RATE SWAPS |
||||||||||||||||||||||||||||
| NOTIONAL AMOUNT |
TERMINATION DATE |
PAYMENTS MADE BY THE FUND† |
PAYMENTS RECEIVED BY THE FUND† |
MARKET VALUE |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED DEPRECIATION |
||||||||||||||||||||||
| $ | 338,333,000 | 1/31/24 | 5.410%** | |
Daily U.S. Federal Funds Intraday Effective Rate** |
|
$ | (25,783 | ) | — | $ | (25,783 | ) | |||||||||||||||
| 599,710,000 | 2/29/28 | Daily SOFR Compound annually | 4.000% annually | (1,453,052 | ) | $ | (104,243 | ) | (1,348,809 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 938,043,000 | $ | (1,478,835 | ) | $ | (104,243 | ) | $ | (1,374,592 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1 |
||||||||||||||||||||||
| REFERENCE ENTITY |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
PERIODIC PAYMENTS RECEIVED BY THE FUND† |
MARKET VALUE3 |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION |
||||||||||||||||
| Markit CDX.NA.IG.41 Index |
$ | 153,924,400 | 12/20/28 | 1.000% quarterly | $ | 2,584,811 | $ | 1,962,565 | $ | 622,246 | ||||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series M Fund 2023 Quarterly Report |
17 |
WESTERN ASSET SMASH SERIES M FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
| 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 | 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 entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| † | Percentage shown is an annual percentage rate. |
| ** | One time payment made at termination date. |
Reference rate(s) and their value(s) as of period end used in this table:
| Reference Index |
Reference Rate |
|||
| Daily SOFR Compound |
5.320 | % | ||
| Daily U.S. Federal Funds |
5.330 | % | ||
Abbreviation(s) used in this table:
| SOFR | — Secured Overnight Financing Rate |
This Schedule of Investments is unaudited and is intended to provide information about the 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.
|
18 |
Western Asset SMASh Series M Fund 2023 Quarterly Report |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset SMASh Series M Fund (the “Fund”) is a separate diversified investment series of Legg Mason Partners Institutional 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.
Shares of the Fund may be purchased only by or on behalf of separately managed account clients where the Fund’s subadviser or an affiliate of the subadviser (each a “Managed Account Adviser”) has an agreement with the managed account program sponsor (the “Program Sponsor”) (typically, a registered investment adviser or broker/dealer), or directly with the client, to provide management or advisory services to the managed account. Shareholders of the Fund pay fees to their separately managed account sponsor, some of which are paid to affiliates of Franklin Templeton Fund Adviser, LLC (“FTFA”) (formerly known as Legg Mason Partners Fund Advisor, LLC prior to November 30, 2023). FTFA and the subadvisers do not charge investment management fees to the Fund.
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
|
19 |
Notes to Schedule of Investments (unaudited) (continued)
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.
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.
|
20 |
Notes to Schedule of Investments (unaudited) (continued)
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.
The following is a summary of the inputs used in valuing the Fund’s 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†: |
||||||||||||||||
| Collateralized Mortgage Obligations |
— | $ | 518,528,840 | — | $ | 518,528,840 | ||||||||||
| Mortgage-Backed Securities |
— | 486,892,010 | — | 486,892,010 | ||||||||||||
| Asset-Backed Securities |
— | 196,847,153 | — | 196,847,153 | ||||||||||||
| Corporate Bonds & Notes |
— | 49,450,280 | — | 49,450,280 | ||||||||||||
| Sovereign Bonds |
— | 9,850,148 | — | 9,850,148 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long-Term Investments |
— | 1,261,568,431 | — | 1,261,568,431 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments†: |
||||||||||||||||
| U.S. Treasury Bills |
— | 174,321,714 | — | 174,321,714 | ||||||||||||
| Repurchase Agreements |
— | 25,000,000 | — | 25,000,000 | ||||||||||||
| U.S. Government Agencies |
— | 14,318,119 | — | 14,318,119 | ||||||||||||
| Overnight Deposits |
— | 11,198,060 | — | 11,198,060 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
— | 224,837,893 | — | 224,837,893 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
— | $ | 1,486,406,324 | — | $ | 1,486,406,324 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts†† |
$ | 8,891,163 | — | — | $ | 8,891,163 | ||||||||||
| Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection†† |
— | $ | 622,246 | — | 622,246 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments |
$ | 8,891,163 | $ | 622,246 | — | $ | 9,513,409 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 8,891,163 | $ | 1,487,028,570 | — | $ | 1,495,919,733 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
21 |
Notes to Schedule of Investments (unaudited) (continued)
| LIABILITIES |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts†† |
$ | 716,740 | — | — | $ | 716,740 | ||||||||||
| Centrally Cleared Interest Rate Swaps†† |
— | $ | 1,374,592 | — | 1,374,592 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 716,740 | $ | 1,374,592 | — | $ | 2,091,332 | |||||||||
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|
|
|
|
|
|
|
|
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| † | See Schedule of Investments for additional detailed categorizations. |
| †† | Reflects the unrealized appreciation (depreciation) of the instruments. |
|
22 |