BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) | March 31, 2024 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
CORPORATE BONDS & NOTES - 47.7% | ||||||||||||||||
COMMUNICATION SERVICES - 1.5% | ||||||||||||||||
Diversified Telecommunication Services - 0.2% | ||||||||||||||||
Altice Financing SA, Senior Secured Notes | 5.750 | % | 8/15/29 | 290,000 | $ | 232,644 | (a) | |||||||||
Consolidated Communications Inc., Senior Secured Notes | 5.000 | % | 10/1/28 | 1,065,000 | 888,672 | (a) | ||||||||||
|
| |||||||||||||||
Total Diversified Telecommunication Services | 1,121,316 | |||||||||||||||
|
| |||||||||||||||
Interactive Media & Services - 0.7% | ||||||||||||||||
TripAdvisor Inc., Senior Notes | 7.000 | % | 7/15/25 | 3,310,000 | 3,303,522 | (a) | ||||||||||
|
| |||||||||||||||
Media - 0.3% | ||||||||||||||||
Liberty Interactive LLC, Senior Notes | 8.250 | % | 2/1/30 | 250,000 | 153,347 | |||||||||||
Nexstar Media Inc., Senior Notes | 4.750 | % | 11/1/28 | 710,000 | 647,612 | (a) | ||||||||||
Univision Communications Inc., Senior Secured Notes | 6.625 | % | 6/1/27 | 600,000 | 587,352 | (a) | ||||||||||
|
| |||||||||||||||
Total Media | 1,388,311 | |||||||||||||||
|
| |||||||||||||||
Wireless Telecommunication Services - 0.3% | ||||||||||||||||
Vmed O2 UK Financing I PLC, Senior Secured Notes | 4.750 | % | 7/15/31 | 1,495,000 | 1,289,974 | (a) | ||||||||||
|
| |||||||||||||||
TOTAL COMMUNICATION SERVICES | 7,103,123 | |||||||||||||||
|
| |||||||||||||||
CONSUMER DISCRETIONARY - 3.0% | ||||||||||||||||
Hotels, Restaurants & Leisure - 3.0% | ||||||||||||||||
Affinity Interactive, Senior Secured Notes | 6.875 | % | 12/15/27 | 2,670,000 | 2,497,325 | (a) | ||||||||||
Allwyn Entertainment Financing UK PLC, Senior Secured Notes | 7.875 | % | 4/30/29 | 1,650,000 | 1,699,327 | (a) | ||||||||||
Grupo Posadas SAB de CV, Senior Secured Notes, Step bond (7.000% to 12/30/25 then 8.000%) | 7.000 | % | 12/30/27 | 3,780,000 | 3,501,225 | (b) | ||||||||||
IRB Holding Corp., Senior Secured Notes | 7.000 | % | 6/15/25 | 2,080,000 | 2,081,524 | (a) | ||||||||||
Mohegan Tribal Gaming Authority, Secured Notes | 8.000 | % | 2/1/26 | 3,380,000 | 3,310,254 | (a) | ||||||||||
Viking Cruises Ltd., Senior Notes | 6.250 | % | 5/15/25 | 1,250,000 | 1,251,385 | (a) | ||||||||||
|
| |||||||||||||||
TOTAL CONSUMER DISCRETIONARY | 14,341,040 | |||||||||||||||
|
| |||||||||||||||
CONSUMER STAPLES - 1.5% | ||||||||||||||||
Food Products - 0.8% | ||||||||||||||||
Minerva Luxembourg SA, Senior Notes | 4.375 | % | 3/18/31 | 355,000 | 297,018 | (a) | ||||||||||
Minerva Luxembourg SA, Senior Notes | 8.875 | % | 9/13/33 | 1,180,000 | 1,242,280 | (a) | ||||||||||
Pilgrim’s Pride Corp., Senior Notes | 4.250 | % | 4/15/31 | 2,400,000 | 2,165,894 | |||||||||||
|
| |||||||||||||||
Total Food Products | 3,705,192 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
1 |
BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) (cont’d) | March 31, 2024 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Tobacco - 0.7% | ||||||||||||||||
Turning Point Brands Inc., Senior Secured Notes | 5.625 | % | 2/15/26 | 1,570,000 | $ | 1,544,623 | (a) | |||||||||
Vector Group Ltd., Senior Secured Notes | 5.750 | % | 2/1/29 | 2,100,000 | 1,947,686 | (a) | ||||||||||
|
| |||||||||||||||
Total Tobacco | 3,492,309 | |||||||||||||||
|
| |||||||||||||||
TOTAL CONSUMER STAPLES | 7,197,501 | |||||||||||||||
|
| |||||||||||||||
ENERGY - 14.9% | ||||||||||||||||
Oil, Gas & Consumable Fuels - 14.9% | ||||||||||||||||
Aethon United BR LP/Aethon United | ||||||||||||||||
Finance Corp., Senior Notes | 8.250 | % | 2/15/26 | 960,000 | 971,951 | (a) | ||||||||||
Baytex Energy Corp., Senior Notes | 8.750 | % | 4/1/27 | 3,500,000 | 3,653,125 | (a) | ||||||||||
Baytex Energy Corp., Senior Notes | 8.500 | % | 4/30/30 | 3,210,000 | 3,354,685 | (a) | ||||||||||
Callon Petroleum Co., Senior Notes | 8.000 | % | 8/1/28 | 4,950,000 | 5,191,233 | (a) | ||||||||||
CITGO Petroleum Corp., Senior Secured Notes | 7.000 | % | 6/15/25 | 5,740,000 | 5,736,430 | (a) | ||||||||||
Civitas Resources Inc., Senior Notes | 8.375 | % | 7/1/28 | 1,740,000 | 1,833,894 | (a) | ||||||||||
Devon Energy Corp., Senior Notes | 5.600 | % | 7/15/41 | 2,480,000 | 2,392,822 | |||||||||||
Ecopetrol SA, Senior Notes | 8.875 | % | 1/13/33 | 590,000 | 624,431 | |||||||||||
Energean Israel Finance Ltd., Senior Secured Notes | 4.875 | % | 3/30/26 | 2,765,000 | 2,630,381 | (b) | ||||||||||
Energean Israel Finance Ltd., Senior Secured Notes | 5.375 | % | 3/30/28 | 4,620,000 | 4,232,705 | (b) | ||||||||||
Geopark Ltd., Senior Notes | 5.500 | % | 1/17/27 | 650,000 | 590,882 | (a) | ||||||||||
Leviathan Bond Ltd., Senior Secured Notes | 6.125 | % | 6/30/25 | 2,380,000 | 2,346,133 | (b) | ||||||||||
Leviathan Bond Ltd., Senior Secured Notes | 6.500 | % | 6/30/27 | 3,470,000 | 3,359,980 | (b) | ||||||||||
Leviathan Bond Ltd., Senior Secured Notes | 6.750 | % | 6/30/30 | 1,075,000 | 999,948 | (b) | ||||||||||
Magnolia Oil & Gas Operating LLC/ Magnolia Oil & Gas Finance Corp., Senior Notes | 6.000 | % | 8/1/26 | 2,310,000 | 2,273,942 | (a) | ||||||||||
New Fortress Energy Inc., Senior Secured Notes | 6.500 | % | 9/30/26 | 3,230,000 | 3,111,993 | (a) | ||||||||||
New Fortress Energy Inc., Senior Secured Notes | 8.750 | % | 3/15/29 | 1,070,000 | 1,066,863 | (a) | ||||||||||
PDC Energy Inc., Senior Notes | 5.750 | % | 5/15/26 | 1,090,000 | 1,088,852 | |||||||||||
Petroleos Mexicanos, Senior Notes | 5.350 | % | 2/12/28 | 12,500,000 | 11,082,678 | |||||||||||
Teine Energy Ltd., Senior Notes | 6.875 | % | 4/15/29 | 3,100,000 | 3,027,583 | (a) | ||||||||||
Venture Global LNG Inc., Senior Secured Notes | 8.125 | % | 6/1/28 | 4,760,000 | 4,859,060 | (a) | ||||||||||
YPF SA, Senior Notes | 8.500 | % | 7/28/25 | 2,665,000 | 2,612,412 | (b) |
See Notes to Schedule of Investments.
2 | BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) (cont’d) | March 31, 2024 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | value | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) | ||||||||||||||||
YPF SA, Senior Secured Notes | 9.000 | % | 2/12/26 | 1,993,846 | $ | 2,009,239 | (b) | |||||||||
YPF SA, Senior Secured Notes | 9.500 | % | 1/17/31 | 1,970,000 | 2,014,881 | (a) | ||||||||||
|
| |||||||||||||||
TOTAL ENERGY | 71,066,103 | |||||||||||||||
|
| |||||||||||||||
FINANCIALS - 13.7% | ||||||||||||||||
Banks - 1.2% | ||||||||||||||||
KeyBank NA, Senior Notes (SOFR + 0.320%) | 5.682 | % | 6/14/24 | 4,470,000 | 4,467,022 | (c) | ||||||||||
NatWest Group PLC, Junior Subordinated Notes (4.600% to 12/28/31 then 5 year Treasury Constant Maturity Rate + 3.100%) | 4.600 | % | 6/28/31 | 340,000 | 265,294 | (c)(d) | ||||||||||
Texas Capital Bancshares Inc., Subordinated Notes (4.000% to 5/6/26 then 5 year Treasury Constant Maturity Rate + 3.150%) | 4.000 | % | 5/6/31 | 1,080,000 | 932,542 | (c) | ||||||||||
|
| |||||||||||||||
Total Banks | 5,664,858 | |||||||||||||||
|
| |||||||||||||||
Capital Markets - 6.4% | ||||||||||||||||
Antares Holdings LP, Senior Notes | 2.750 | % | 1/15/27 | 645,000 | 578,211 | (a) | ||||||||||
Antares Holdings LP, Senior Notes | 7.950 | % | 8/11/28 | 2,640,000 | 2,745,778 | (a) | ||||||||||
Ares Capital Corp., Senior Notes | 3.250 | % | 7/15/25 | 745,000 | 719,893 | |||||||||||
Ares Capital Corp., Senior Notes | 7.000 | % | 1/15/27 | 2,930,000 | 3,015,433 | |||||||||||
Ares Capital Corp., Senior Notes | 2.875 | % | 6/15/28 | 300,000 | 267,520 | |||||||||||
Bain Capital Specialty Finance Inc., Senior Notes | 2.950 | % | 3/10/26 | 1,105,000 | 1,038,143 | |||||||||||
Blackstone Secured Lending Fund, Senior Notes | 3.625 | % | 1/15/26 | 3,480,000 | 3,330,778 | |||||||||||
Blackstone Secured Lending Fund, Senior Notes | 2.125 | % | 2/15/27 | 480,000 | 433,130 | |||||||||||
Blackstone Secured Lending Fund, Senior Notes | 2.850 | % | 9/30/28 | 250,000 | 220,570 | |||||||||||
Blue Owl Capital Corp., Senior Notes | 4.000 | % | 3/30/25 | 560,000 | 549,223 | |||||||||||
Blue Owl Capital Corp., Senior Notes | 2.625 | % | 1/15/27 | 365,000 | 333,567 | |||||||||||
Blue Owl Credit Income Corp., Senior Notes | 3.125 | % | 9/23/26 | 1,300,000 | 1,193,367 | |||||||||||
Blue Owl Credit Income Corp., Senior Notes | 7.750 | % | 9/16/27 | 510,000 | 522,793 | |||||||||||
Blue Owl Finance LLC, Senior Notes | 3.125 | % | 6/10/31 | 1,035,000 | 867,203 | (a) | ||||||||||
Blue Owl Technology Finance Corp., Senior Notes | 4.750 | % | 12/15/25 | 685,000 | 658,951 | (a) | ||||||||||
Blue Owl Technology Finance Corp., Senior Notes | 3.750 | % | 6/17/26 | 835,000 | 773,886 | (a) | ||||||||||
FS KKR Capital Corp., Senior Notes | 3.125 | % | 10/12/28 | 725,000 | 633,791 | |||||||||||
Golub Capital BDC Inc., Senior Notes | 2.500 | % | 8/24/26 | 1,080,000 | 992,715 | |||||||||||
Golub Capital BDC Inc., Senior Notes | 2.050 | % | 2/15/27 | 65,000 | 57,917 | |||||||||||
Golub Capital BDC Inc., Senior Notes | 7.050 | % | 12/5/28 | 2,200,000 | 2,253,969 |
See Notes to Schedule of Investments.
BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
3 |
BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) (cont’d) | March 31, 2024 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Capital Markets - (continued) | ||||||||||||||||
Golub Capital BDC Inc., Senior Notes | 6.000 | % | 7/15/29 | 1,320,000 | $ | 1,297,412 | ||||||||||
Hercules Capital Inc., Senior Notes | 2.625 | % | 9/16/26 | 1,868,000 | 1,698,272 | |||||||||||
Main Street Capital Corp., Senior Notes | 3.000 | % | 7/14/26 | 1,215,000 | 1,133,249 | |||||||||||
Main Street Capital Corp., Senior Notes | 6.950 | % | 3/1/29 | 940,000 | 955,610 | |||||||||||
UBS Group AG, Senior Notes (6.537% to 8/12/32 then SOFR + 3.920%) | 6.537 | % | 8/12/33 | 4,140,000 | 4,367,603 | (a)(c) | ||||||||||
|
| |||||||||||||||
Total Capital Markets | 30,638,984 | |||||||||||||||
|
| |||||||||||||||
Consumer Finance - 4.2% | ||||||||||||||||
Ally Financial Inc., Junior Subordinated Notes (4.700% to 5/15/26 then 5 year Treasury Constant Maturity Rate + 3.868%) | 4.700 | % | 5/15/26 | 2,530,000 | 2,176,965 | (c)(d) | ||||||||||
Ally Financial Inc., Junior Subordinated Notes (4.700% to 5/15/28 then 7 year Treasury Constant Maturity Rate + 3.481%) | 4.700 | % | 5/15/28 | 3,165,000 | 2,517,139 | (c)(d) | ||||||||||
Capital One Financial Corp., Senior Notes (7.624% to 10/30/30 then SOFR + 3.070%) | 7.624 | % | 10/30/31 | 1,060,000 | 1,171,513 | (c) | ||||||||||
Credit Acceptance Corp., Senior Notes | 9.250 | % | 12/15/28 | 2,700,000 | 2,907,444 | (a) | ||||||||||
goeasy Ltd., Senior Notes | 9.250 | % | 12/1/28 | 4,000,000 | 4,270,052 | (a) | ||||||||||
PRA Group Inc., Senior Notes | 5.000 | % | 10/1/29 | 3,040,000 | 2,564,675 | (a) | ||||||||||
Synchrony Financial, Subordinated Notes | 7.250 | % | 2/2/33 | 2,460,000 | 2,444,896 | |||||||||||
World Acceptance Corp., Senior Notes | 7.000 | % | 11/1/26 | 2,000,000 | 1,862,469 | (a) | ||||||||||
|
| |||||||||||||||
Total Consumer Finance | 19,915,153 | |||||||||||||||
|
| |||||||||||||||
Financial Services - 1.5% | ||||||||||||||||
Burford Capital Global Finance LLC, Senior Notes | 6.250 | % | 4/15/28 | 1,798,000 | 1,752,882 | (a) | ||||||||||
Freedom Mortgage Corp., Senior Notes | 7.625 | % | 5/1/26 | 2,115,000 | 2,113,606 | (a) | ||||||||||
GGAM Finance Ltd., Senior Notes | 7.750 | % | 5/15/26 | 3,300,000 | 3,370,079 | (a) | ||||||||||
|
| |||||||||||||||
Total Financial Services | 7,236,567 | |||||||||||||||
|
| |||||||||||||||
Insurance - 0.4% | ||||||||||||||||
Panther Escrow Issuer LLC, Senior Secured Notes | 7.125 | % | 6/1/31 | 1,050,000 | 1,068,386 | (a)(e) | ||||||||||
RenaissanceRe Holdings Ltd., Senior Notes | 5.750 | % | 6/5/33 | 860,000 | 867,760 | |||||||||||
|
| |||||||||||||||
Total Insurance | 1,936,146 | |||||||||||||||
|
| |||||||||||||||
TOTAL FINANCIALS | 65,391,708 | |||||||||||||||
|
| |||||||||||||||
HEALTH CARE - 1.1% | ||||||||||||||||
Health Care Providers & Services - 0.3% | ||||||||||||||||
CHS/Community Health Systems Inc., Senior Secured Notes | 8.000 | % | 3/15/26 | 474,000 | 473,408 | (a) | ||||||||||
Star Parent Inc., Senior Secured Notes | 9.000 | % | 10/1/30 | 1,120,000 | 1,186,702 | (a) | ||||||||||
|
| |||||||||||||||
Total Health Care Providers & Services | 1,660,110 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
4 | BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) (cont’d) | March 31, 2024 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Pharmaceuticals - 0.8% | ||||||||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 7.125 | % | 1/31/25 | 3,810,000 | $ | 3,834,270 | ||||||||||
|
| |||||||||||||||
TOTAL HEALTH CARE | 5,494,380 | |||||||||||||||
|
| |||||||||||||||
INDUSTRIALS - 5.2% | ||||||||||||||||
Building Products - 0.2% | ||||||||||||||||
AmeriTex HoldCo Intermediate LLC, Senior Secured Notes | 10.250 | % | 10/15/28 | 930,000 | 999,662 | (a) | ||||||||||
|
| |||||||||||||||
Commercial Services & Supplies - 0.5% | ||||||||||||||||
Ambipar Lux Sarl, Senior Notes | 9.875 | % | 2/6/31 | 1,980,000 | 1,985,108 | (a) | ||||||||||
Enviri Corp., Senior Notes | 5.750 | % | 7/31/27 | 395,000 | 372,270 | (a) | ||||||||||
|
| |||||||||||||||
Total Commercial Services & Supplies | 2,357,378 | |||||||||||||||
|
| |||||||||||||||
Construction & Engineering - 0.6% | ||||||||||||||||
ATP Tower Holdings LLC/Andean Tower Partners Colombia SAS/Andean Telecom Par, Senior Secured Notes | 4.050 | % | 4/27/26 | 1,390,000 | 1,317,865 | (a) | ||||||||||
MasTec Inc., Senior Notes | 4.500 | % | 8/15/28 | 1,763,000 | 1,677,839 | (a) | ||||||||||
|
| |||||||||||||||
Total Construction & Engineering | 2,995,704 | |||||||||||||||
|
| |||||||||||||||
Electrical Equipment - 0.2% | ||||||||||||||||
Regal Rexnord Corp., Senior Notes | 6.300 | % | 2/15/30 | 310,000 | 317,601 | (a) | ||||||||||
Regal Rexnord Corp., Senior Notes | 6.400 | % | 4/15/33 | 310,000 | 321,819 | (a) | ||||||||||
|
| |||||||||||||||
Total Electrical Equipment | 639,420 | |||||||||||||||
|
| |||||||||||||||
Ground Transportation - 0.4% | ||||||||||||||||
Uber Technologies Inc., Senior Notes | 8.000 | % | 11/1/26 | 1,760,000 | 1,782,403 | (a) | ||||||||||
|
| |||||||||||||||
Passenger Airlines - 2.8% | ||||||||||||||||
Air Canada, Senior Secured Notes | 3.875 | % | 8/15/26 | 2,030,000 | 1,939,565 | (a) | ||||||||||
Air Canada Pass-Through Trust | 3.600 | % | 3/15/27 | 2,812,367 | 2,668,894 | (a) | ||||||||||
Air Canada Pass-Through Trust | 5.250 | % | 4/1/29 | 953,022 | 937,954 | (a) | ||||||||||
Air Canada Pass-Through Trust | 3.300 | % | 1/15/30 | 287,360 | 260,673 | (a) | ||||||||||
Allegiant Travel Co., Senior Secured Notes | 7.250 | % | 8/15/27 | 2,260,000 | 2,250,283 | (a) | ||||||||||
Continental Airlines Pass-Through Trust | 4.000 | % | 10/29/24 | 1,694,425 | 1,674,114 | |||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes | 6.500 | % | 6/20/27 | 997,750 | 1,004,042 | (a) | ||||||||||
United Airlines Pass-Through Trust | 4.875 | % | 1/15/26 | 2,780,000 | 2,737,095 | |||||||||||
|
| |||||||||||||||
Total Passenger Airlines | 13,472,620 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
5 |
BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) (cont’d) | March 31, 2024 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Trading Companies & Distributors - 0.5% | ||||||||||||||||
AerCap Holdings NV, Senior Notes (5.875% to 10/10/24 then 5 year Treasury Constant Maturity Rate + 4.535%) | 5.875 | % | 10/10/79 | 2,385,000 | $ | 2,369,753 | (c) | |||||||||
|
| |||||||||||||||
TOTAL INDUSTRIALS | 24,616,940 | |||||||||||||||
|
| |||||||||||||||
INFORMATION TECHNOLOGY - 1.1% | ||||||||||||||||
Communications Equipment - 0.9% | ||||||||||||||||
Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes | 6.750 | % | 10/1/26 | 2,100,000 | 2,060,006 | (a) | ||||||||||
Viasat Inc., Senior Secured Notes | 5.625 | % | 4/15/27 | 2,430,000 | 2,302,766 | (a) | ||||||||||
|
| |||||||||||||||
Total Communications Equipment | 4,362,772 | |||||||||||||||
|
| |||||||||||||||
Technology Hardware, Storage & Peripherals - 0.2% | ||||||||||||||||
Seagate HDD Cayman, Senior Notes | 4.125 | % | 1/15/31 | 1,000,000 | 886,810 | |||||||||||
|
| |||||||||||||||
TOTAL INFORMATION TECHNOLOGY | 5,249,582 | |||||||||||||||
|
| |||||||||||||||
MATERIALS - 5.3% | ||||||||||||||||
Chemicals - 1.4% | ||||||||||||||||
Braskem Idesa SAPI, Senior Secured Notes | 7.450 | % | 11/15/29 | 1,080,000 | 884,143 | (a) | ||||||||||
Braskem Idesa SAPI, Senior Secured Notes | 6.990 | % | 2/20/32 | 1,095,000 | 851,119 | (b) | ||||||||||
Braskem Netherlands Finance BV, Senior Notes | 8.500 | % | 1/12/31 | 2,310,000 | 2,396,907 | (a) | ||||||||||
Mativ Holdings Inc., Senior Notes | 6.875 | % | 10/1/26 | 2,445,000 | 2,435,764 | (a) | ||||||||||
|
| |||||||||||||||
Total Chemicals | 6,567,933 | |||||||||||||||
|
| |||||||||||||||
Containers & Packaging - 0.2% | ||||||||||||||||
Graham Packaging Co. Inc., Senior Notes | 7.125 | % | 8/15/28 | 1,030,000 | 935,084 | (a) | ||||||||||
|
| |||||||||||||||
Metals & Mining - 3.7% | ||||||||||||||||
Corp. Nacional del Cobre de Chile, Senior Notes | 6.440 | % | 1/26/36 | 820,000 | 847,220 | (a) | ||||||||||
Corp. Nacional del Cobre de Chile, Senior Notes | 6.300 | % | 9/8/53 | 1,170,000 | 1,171,851 | (a) | ||||||||||
CSN Resources SA, Senior Notes | 8.875 | % | 12/5/30 | 2,045,000 | 2,111,129 | (a) | ||||||||||
ERO Copper Corp., Senior Notes | 6.500 | % | 2/15/30 | 2,095,000 | 1,995,703 | (a) | ||||||||||
First Quantum Minerals Ltd., Senior Notes | 6.875 | % | 10/15/27 | 2,705,000 | 2,596,584 | (a) | ||||||||||
Mineral Resources Ltd., Senior Notes | 8.125 | % | 5/1/27 | 690,000 | 698,572 | (a) | ||||||||||
Mineral Resources Ltd., Senior Notes | 9.250 | % | 10/1/28 | 3,450,000 | 3,637,851 | (a) | ||||||||||
Taseko Mines Ltd., Senior Secured Notes | 7.000 | % | 2/15/26 | 4,705,000 | 4,729,094 | (a) | ||||||||||
|
| |||||||||||||||
Total Metals & Mining | 17,788,004 | |||||||||||||||
|
| |||||||||||||||
TOTAL MATERIALS | 25,291,021 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
6 | BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) (cont’d) | March 31, 2024 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
REAL ESTATE - 0.3% | ||||||||||||||||
Diversified REITs - 0.3% | ||||||||||||||||
Trust Fibra Uno, Senior Notes | 4.869 | % | 1/15/30 | 1,030,000 | $ | 909,462 | (b) | |||||||||
VICI Properties LP/VICI Note Co. Inc., Senior Notes | 4.625 | % | 6/15/25 | 460,000 | 453,341 | (a) | ||||||||||
|
| |||||||||||||||
TOTAL REAL ESTATE | 1,362,803 | |||||||||||||||
|
| |||||||||||||||
UTILITIES - 0.1% | ||||||||||||||||
Electric Utilities - 0.1% | ||||||||||||||||
AES Panama Generation Holdings SRL, Senior Secured Notes | 4.375 | % | 5/31/30 | 839,691 | 729,213 | (a) | ||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $225,114,384) | 227,843,414 | |||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS - 27.0% | ||||||||||||||||
Brazil - 3.2% | ||||||||||||||||
Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000 | % | 1/1/27 | 54,390,000 | BRL | 10,798,509 | ||||||||||
Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000 | % | 1/1/29 | 23,580,000 | BRL | 4,596,323 | ||||||||||
|
| |||||||||||||||
Total Brazil | 15,394,832 | |||||||||||||||
|
| |||||||||||||||
Colombia - 5.8% | ||||||||||||||||
Colombian TES, Bonds | 7.000 | % | 3/26/31 | 84,200,000,000 | COP | 18,775,045 | ||||||||||
Colombian TES, Bonds | 7.250 | % | 10/26/50 | 49,388,000,000 | COP | 9,011,059 | ||||||||||
|
| |||||||||||||||
Total Colombia | 27,786,104 | |||||||||||||||
|
| |||||||||||||||
Mexico - 5.5% | ||||||||||||||||
Mexican Bonos, Bonds | 7.500 | % | 5/26/33 | 313,500,000 | MXN | 16,802,974 | ||||||||||
Mexican Bonos, Bonds | 8.000 | % | 7/31/53 | 182,600,000 | MXN | 9,396,082 | ||||||||||
|
| |||||||||||||||
Total Mexico | 26,199,056 | |||||||||||||||
|
| |||||||||||||||
Panama - 2.1% | ||||||||||||||||
Panama Government International Bond, Senior Notes | 3.870 | % | 7/23/60 | 8,280,000 | 4,822,852 | |||||||||||
Panama Government International Bond, Senior Notes | 4.500 | % | 1/19/63 | 7,815,000 | 5,027,588 | |||||||||||
|
| |||||||||||||||
Total Panama | 9,850,440 | |||||||||||||||
|
| |||||||||||||||
Spain - 2.8% | ||||||||||||||||
Spain Government Bond, Senior Notes | 1.900 | % | 10/31/52 | 18,120,000 | EUR | 13,419,588 | (b) | |||||||||
|
| |||||||||||||||
United Kingdom - 7.6% | ||||||||||||||||
United Kingdom Gilt, Senior Notes | 3.750 | % | 10/22/53 | 32,210,000 | GBP | 36,275,269 | (b) | |||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS | 128,925,289 | |||||||||||||||
|
| |||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (f) -14.3% | ||||||||||||||||
Bellemeade Re Ltd., 2023-1 M1B (30 Day Average SOFR + 4.250%) | 9.570 | % | 10/25/33 | 1,680,000 | 1,742,357 | (a)(c) |
See Notes to Schedule of Investments.
BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
7 |
BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) (cont’d) | March 31, 2024 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (f) - (continued) | ||||||||||||||||
BX Commercial Mortgage Trust, 2021-VOLT F (1 mo. Term SOFR + 2.514%) | 7.840 | % | 9/15/36 | 260,000 | $ | 257,813 | (a)(c) | |||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-HQA4 B1 (30 Day Average SOFR + 5.364%) | 10.685 | % | 9/25/50 | 575,118 | 634,508 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA5 B1 (30 Day Average SOFR + 3.050%) | 8.370 | % | 1/25/34 | 1,935,000 | 2,048,695 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA3 M1B (30 Day Average SOFR + 2.900%) | 8.220 | % | 4/25/42 | 1,800,000 | 1,863,719 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA3 M2 (30 Day Average SOFR + 4.350%) | 9.670 | % | 4/25/42 | 1,950,000 | 2,093,226 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA4 M1B (30 Day Average SOFR + 3.350%) | 8.670 | % | 5/25/42 | 1,500,000 | 1,569,547 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA4 M2 (30 Day Average SOFR + 5.250%) | 10.570 | % | 5/25/42 | 4,750,000 | 5,190,992 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA5 M2 (30 Day Average SOFR + 6.750%) | 12.070 | % | 6/25/42 | 5,230,000 | 5,939,565 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA6 M2 (30 Day Average SOFR + 5.750%) | 11.070 | % | 9/25/42 | 1,860,000 | 2,095,321 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA7 M1B (30 Day Average SOFR + 5.000%) | 10.320 | % | 3/25/52 | 1,890,000 | 2,078,595 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-HQA2 M2 (30 Day Average SOFR + 6.000%) | 11.320 | % | 7/25/42 | 990,000 | 1,103,980 | (a)(c) |
See Notes to Schedule of Investments.
8 | BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) (cont’d) | March 31, 2024 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (f) - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2023-DNA1 B1 (30 Day Average SOFR + 8.150%) | 13.470 | % | 3/25/43 | 2,940,000 | $ | 3,398,507 | (a)(c) | |||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2023-HQA3 M2 (30 Day Average SOFR + 3.350%) | 8.670 | % | 11/25/43 | 2,560,000 | 2,684,723 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2024-HQA1 A1 (30 Day Average SOFR + 1.250%) | 6.569 | % | 3/25/44 | 2,100,000 | 2,103,566 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HQA2 M2B (30 Day Average SOFR + 2.414%) | 7.735 | % | 10/25/48 | 4,700,000 | 4,860,451 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP2 B1 (30 Day Average SOFR + 4.314%) | 9.635 | % | 2/25/47 | 2,810,000 | 3,123,801 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-HQA5 B1 (30 Day Average SOFR + 4.000%) | 9.320 | % | 11/25/50 | 1,500,000 | 1,687,325 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-HQA1 M2 (30 Day Average SOFR + 2.250%) | 7.570 | % | 8/25/33 | 2,191,947 | 2,243,204 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA5 M1B (30 Day Average SOFR + 4.500%) | 9.820 | % | 6/25/42 | 2,740,000 | 2,967,440 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2017-C02 2M2C (30 Day Average SOFR + 3.764%) | 9.085 | % | 9/25/29 | 845,000 | 890,527 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2017-C06 2M2 (30 Day Average SOFR + 2.914%) | 8.235 | % | 2/25/30 | 545,031 | 565,060 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2019-R01 2B1 (30 Day Average SOFR + 4.464%) | 9.785 | % | 7/25/31 | 60,000 | 64,449 | (a)(c) |
See Notes to Schedule of Investments.
BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
9 |
BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) (cont’d) | March 31, 2024 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (f) - (continued) | ||||||||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2019-R05 1B1 (30 Day Average SOFR + 4.214%) | 9.535 | % | 7/25/39 | 593,456 | $ | 618,531 | (a)(c) | |||||||||
Federal National Mortgage Association (FNMA) - CAS, 2019-R07 1B1 (30 Day Average SOFR + 3.514%) | 8.835 | % | 10/25/39 | 112,931 | 116,318 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1B1 (30 Day Average SOFR + 3.364%) | 8.685 | % | 1/25/40 | 1,450,000 | 1,503,377 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2020-R02 2M2 (30 Day Average SOFR + 2.114%) | 7.435 | % | 1/25/40 | 2,667,381 | 2,696,745 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2021-R02 2B1 (30 Day Average SOFR + 3.300%) | 8.620 | % | 11/25/41 | 2,260,000 | 2,334,639 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2022-R02 2B1 (30 Day Average SOFR + 4.500%) | 9.820 | % | 1/25/42 | 870,000 | 916,007 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2023-R02 1B1 (30 Day Average SOFR + 5.550%) | 10.870 | % | 1/25/43 | 1,640,000 | 1,812,398 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2023-R04 1B1 (30 Day Average SOFR + 5.350%) | 10.671 | % | 5/25/43 | 2,200,000 | 2,420,553 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2023-R07 2B1 (30 Day Average SOFR + 4.500%) | 9.821 | % | 9/25/43 | 4,340,000 | 4,600,743 | (a)(c) | ||||||||||
|
| |||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $67,247,596) | 68,226,682 | |||||||||||||||
|
| |||||||||||||||
SENIOR LOANS - 1.8% | ||||||||||||||||
ENERGY - 0.8% | ||||||||||||||||
Oil, Gas & Consumable Fuels - 0.8% | ||||||||||||||||
New Fortress Energy Inc., Initial Term Loan (3 mo. Term SOFR + 5.000%) | 10.317 | % | 10/30/28 | 3,990,000 | 4,007,875 | (c)(g)(h) | ||||||||||
|
| |||||||||||||||
HEALTH CARE - 0.2% | ||||||||||||||||
Health Care Providers & Services - 0.2% | ||||||||||||||||
Star Parent Inc., Term Loan B (3 mo. Term SOFR + 4.000%) | 9.309 | % | 9/27/30 | 1,150,000 | 1,144,325 | (c)(g)(h) | ||||||||||
|
| |||||||||||||||
INDUSTRIALS - 0.5% | ||||||||||||||||
Passenger Airlines - 0.5% | ||||||||||||||||
WestJet Loyalty LP, Initial Term Loan | — | 2/14/31 | 2,300,000 | 2,302,875 | (i) | |||||||||||
|
|
See Notes to Schedule of Investments.
10 | BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) (cont’d) | March 31, 2024 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
INFORMATION TECHNOLOGY - 0.3% | ||||||||||||||||
IT Services - 0.3% | ||||||||||||||||
Sabre GLBL Inc., 2022 Term Loan B2 (1 mo. Term SOFR + 5.100%) | 10.430 | % | 6/30/28 | 1,426,476 | $ | 1,251,732 | (c)(g)(h) | |||||||||
|
| |||||||||||||||
TOTAL SENIOR LOANS | 8,706,807 | |||||||||||||||
|
| |||||||||||||||
CONVERTIBLE BONDS & NOTES - 0.9% | ||||||||||||||||
COMMUNICATION SERVICES - 0.5% | ||||||||||||||||
Media - 0.5% | ||||||||||||||||
DISH Network Corp., Senior Notes | 3.375 | % | 8/15/26 | 3,949,000 | 2,477,998 | |||||||||||
|
| |||||||||||||||
INDUSTRIALS - 0.4% | ||||||||||||||||
Air Freight & Logistics - 0.4% | ||||||||||||||||
Air Transport Services Group Inc., Senior Notes | 3.875 | % | 8/15/29 | 2,000,000 | 1,664,574 | (a) | ||||||||||
|
| |||||||||||||||
TOTAL CONVERTIBLE BONDS & NOTES | 4,142,572 | |||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS | 437,844,764 | |||||||||||||||
|
| |||||||||||||||
SHORT-TERM INVESTMENTS - 8.3% | ||||||||||||||||
SOVEREIGN BONDS - 3.1% | ||||||||||||||||
Egypt Treasury Bills | 27.355 | % | 12/17/24 | 412,800,000 | EGP | 7,329,469 | (j) | |||||||||
Egypt Treasury Bills | 27.704 | % | 3/11/25 | 450,000,000 | EGP | 7,539,148 | (j) | |||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS | 14,868,617 | |||||||||||||||
|
| |||||||||||||||
SHARES | ||||||||||||||||
MONEY MARKET FUNDS - 5.2% | ||||||||||||||||
Western Asset Premier Institutional U.S. Treasury Reserves, Premium Shares (Cost - $24,769,273) | 5.242 | % | 24,769,273 | 24,769,273 | (k)(l) | |||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | 39,637,890 | |||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS - 100.0% | 477,482,654 | |||||||||||||||
Liabilities in Excess of Other Assets - (0.0)%†† | (127,824 | ) | ||||||||||||||
|
| |||||||||||||||
TOTAL NET ASSETS - 100.0% | $ | 477,354,830 | ||||||||||||||
|
|
See Notes to Schedule of Investments.
BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
11 |
BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) (cont’d) | March 31, 2024 |
† | Face amount denominated in U.S. dollars, unless otherwise noted. |
†† | Represents less than 0.1%. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
(b) | 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 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) | Security has no maturity date. The date shown represents the next call date. |
(e) | Securities traded on a when-issued or delayed delivery basis. |
(f) | 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. |
(g) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
(h) | 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. |
(i) | All or a portion of this loan has not settled as of March 31, 2024. Interest rates are not effective until settlement date. Interest rates shown, if any, are for the settled portion of the loan. |
(j) | Rate shown represents yield-to-maturity. |
(k) | Rate shown is one-day yield as of the end of the reporting period. |
(l) | 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 March 31, 2024, the total market value of investments in Affiliated Companies was $24,769,273 and the cost was $24,769,273 (Note 2). |
Abbreviation(s) used in this schedule:
BRL | — Brazilian Real | |
CAS | — Connecticut Avenue Securities | |
COP | — Colombian Peso | |
EGP | — Egyptian Pound | |
EUR | — Euro | |
GBP | — British Pound | |
MXN | — Mexican Peso | |
REMIC | — Real Estate Mortgage Investment Conduit | |
SOFR | — Secured Overnight Financing Rate |
See Notes to Schedule of Investments.
12 | BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) (cont’d) | March 31, 2024 |
At March 31, 2024, the Fund had the following open futures contracts:
Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation | ||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
Euro-Buxl | 46 | 6/24 | $ | 6,602,483 | $ | 6,739,360 | $ | 136,877 | ||||||||||||
U.S. Treasury Ultra 10-Year Notes | 266 | 6/24 | 30,355,165 | 30,486,095 | 130,930 | |||||||||||||||
|
| |||||||||||||||||||
Net unrealized appreciation on open futures contracts |
| $ | 267,807 | |||||||||||||||||
|
|
Abbreviation(s) used in this table:
Buxl | — Ultra Long German Bond |
At March 31, 2024, the Fund had the following open forward foreign currency contracts:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
MXN | 23,800,000 | USD | 1,364,992 | Citibank N.A. | 4/29/24 | $ | 59,742 | |||||||||||||||
USD | 613,274 | EUR | 560,000 | Citibank N.A. | 5/7/24 | 8,171 | ||||||||||||||||
USD | 12,577,516 | EUR | 11,570,000 | JPMorgan Chase & Co. | 5/7/24 | 75,654 | ||||||||||||||||
USD | 24,773,169 | GBP | 19,640,000 | Citibank N.A. | 6/10/24 | (25,204 | ) | |||||||||||||||
USD | 807,518 | GBP | 630,000 | HSBC Securities Inc. | 6/10/24 | 12,051 | ||||||||||||||||
USD | 10,513,611 | GBP | 8,270,000 | HSBC Securities Inc. | 6/10/24 | 71,527 | ||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation on open forward foreign currency contracts | $ | 201,941 | ||||||||||||||||||||
|
|
Abbreviation(s) used in this table:
EUR | — Euro | |
GBP | — British Pound | |
MXN | — Mexican Peso | |
USD | — United States Dollar |
See Notes to Schedule of Investments.
BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
13 |
BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) (cont’d) | March 31, 2024 |
At March 31, 2024, the Fund had the following open swap contracts:
OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION1 | ||||||||||||||||||||||||||||
SWAP | NOTIONAL AMOUNT2 | TERMINATION DATE | IMPLIED CREDIT SPREAD AT MARCH 31, 20243 | PERIODIC PAYMENTS RECEIVED BY THE FUND† | MARKET VALUE | UPFRONT PREMIUMS PAID (RECEIVED) | UNREALIZED DEPRECIATION | |||||||||||||||||||||
Barclays Bank PLC (Panama Government International Bond, 8.875%, due 9/30/27) | $ | 2,940,000 | 12/20/28 | 1.670 | % | 1.000% quarterly | $ | (82,284 | ) | $ | (74,925 | ) | $ | (7,359 | ) | |||||||||||||
JPMorgan Chase & Co. (Panama Government International Bond, 8.875%, due 9/30/27) | 2,880,000 | 12/20/28 | 1.670 | % | 1.000% quarterly | (80,605 | ) | (74,850 | ) | (5,755 | ) | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 5,820,000 | $ | (162,889 | ) | $ | (149,775 | ) | $ | (13,114 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
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.34 Index | 14,685,000 | 6/20/25 | 1.000% quarterly | $ | 155,745 | $ | 38,242 | $ | 117,503 | |||||||||||||||
Markit iTraxx Europe Index | 295,000 | EUR | 12/20/24 | 1.000% quarterly | 2,146 | 13 | 2,133 | |||||||||||||||||
Markit iTraxx Europe Index | 5,150,000 | EUR | 6/20/25 | 1.000% quarterly | 60,280 | 37,815 | 22,465 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 218,171 | $ | 76,070 | $ | 142,101 | ||||||||||||||||||
|
|
|
|
|
|
See Notes to Schedule of Investments.
14 | BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
BRANDYWINEGLOBAL — FLEXIBLE BOND FUND
Schedule of investments (unaudited) (cont’d) | March 31, 2024 |
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 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. 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 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. |
* | Notional amount denominated in U.S. dollars, unless otherwise noted. |
Abbreviation(s) used in this table:
EUR | — Euro |
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.
BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
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Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
BrandywineGLOBAL — Flexible Bond Fund (the “Fund”) is a separate non-diversified investment series of Legg Mason Global Asset Management Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services –Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the 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.
16 | BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
Notes to Schedule of Investments (unaudited) (continued)
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
• | Level 1 – unadjusted quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
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Notes to Schedule of Investments (unaudited) (continued)
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 | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT | TOTAL | ||||||||
Long-Term Investments†: | ||||||||||||
Corporate Bonds & Notes | — | $ | 227,843,414 | — | $ | 227,843,414 | ||||||
Sovereign Bonds | — | 128,925,289 | — | 128,925,289 | ||||||||
Collateralized Mortgage | ||||||||||||
Obligations | — | 68,226,682 | — | 68,226,682 | ||||||||
Senior Loans | — | 8,706,807 | — | 8,706,807 | ||||||||
Convertible Bonds & Notes | — | 4,142,572 | — | 4,142,572 | ||||||||
|
|
|
|
|
| |||||||
Total Long-Term Investments | — | 437,844,764 | — | 437,844,764 | ||||||||
|
|
|
|
|
| |||||||
Short-Term Investments†: | ||||||||||||
Sovereign Bonds | — | 14,868,617 | — | 14,868,617 | ||||||||
Money Market Funds | $24,769,273 | — | — | 24,769,273 | ||||||||
|
|
|
|
|
| |||||||
Total Short-Term Investments | 24,769,273 | 14,868,617 | — | 39,637,890 | ||||||||
|
|
|
|
|
| |||||||
Total Investments | $24,769,273 | $ | 452,713,381 | — | $ | 477,482,654 | ||||||
|
|
|
|
|
| |||||||
Other Financial Instruments: | ||||||||||||
Futures Contracts†† | $267,807 | — | — | $ | 267,807 | |||||||
Forward Foreign Currency Contracts†† | — | $ | 227,145 | — | 227,145 | |||||||
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection†† | — | 142,101 | — | 142,101 | ||||||||
|
|
|
|
|
| |||||||
Total Other Financial Instruments | $267,807 | $ | 369,246 | — | $ | 637,053 | ||||||
|
|
|
|
|
| |||||||
Total | $25,037,080 | $ | 453,082,627 | — | $ | 478,119,707 | ||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
DESCRIPTION | QUOTED PRICES | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT | TOTAL | ||||||||
Other Financial Instruments: | ||||||||||||
Forward Foreign Currency Contracts†† | — | $ | 25,204 | — | $ | 25,204 | ||||||
OTC Credit Default Swaps on Corporate Issues - Sell Protection‡ | — | 162,889 | — | 162,889 | ||||||||
|
|
|
|
|
| |||||||
Total | — | $ | 188,093 | — | $ | 188,093 | ||||||
|
|
|
|
|
|
† | See Schedule of Investments for additional detailed categorizations. |
†† | Reflects the unrealized appreciation (depreciation) of the instruments. |
‡ | Value includes any premium paid or received with respect to swap contracts. |
18 | BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
Notes to Schedule of Investments (unaudited) (continued)
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 March 31, 2024. The following transactions were effected in such company for the period ended March 31, 2024.
Affiliate Value at December 31, 2023 | Purchased | Sold | Realized Gain (Loss) | Dividend Income | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at March 31, 2024 | ||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||
Western Asset Premier Institutional U.S. Treasury Reserves, Premium Shares | $ | 12,658,328 | $ | 113,618,113 | 113,618,113 | $ | 101,507,168 | 101,507,168 | — | $ | 236,617 | — | $ | 24,769,273 |
BrandywineGLOBAL — Flexible Bond Fund 2024 Quarterly Report |
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