WESTERN ASSET SHORT DURATION INCOME ETF
Schedules of investments (unaudited) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
CORPORATE BONDS & NOTES - 89.1% | ||||||||||||||||
COMMUNICATION SERVICES - 4.7% | ||||||||||||||||
Diversified Telecommunication Services - 1.4% | ||||||||||||||||
AT&T Inc., Senior Notes | 4.250 | % | 3/1/27 | $ | 20,000 | $ | 19,443 | |||||||||
AT&T Inc., Senior Notes | 1.650 | % | 2/1/28 | 20,000 | 17,188 | |||||||||||
NTT Finance Corp., Senior Notes | 1.162 | % | 4/3/26 | 200,000 | 178,994 | (a) | ||||||||||
Verizon Communications Inc., Senior Notes | 2.550 | % | 3/21/31 | 60,000 | 50,096 | |||||||||||
|
| |||||||||||||||
Total Diversified Telecommunication Services | 265,721 | |||||||||||||||
|
| |||||||||||||||
Entertainment - 0.5% | ||||||||||||||||
Warnermedia Holdings Inc., Senior Notes | 3.428 | % | 3/15/24 | 50,000 | 49,091 | |||||||||||
Warnermedia Holdings Inc., Senior Notes | 6.412 | % | 3/15/26 | 20,000 | 20,016 | |||||||||||
Warnermedia Holdings Inc., Senior Notes | 3.755 | % | 3/15/27 | 30,000 | 27,983 | |||||||||||
|
| |||||||||||||||
Total Entertainment | 97,090 | |||||||||||||||
|
| |||||||||||||||
Interactive Media & Services - 0.2% | ||||||||||||||||
Meta Platforms Inc., Senior Notes | 3.850 | % | 8/15/32 | 30,000 | 27,865 | |||||||||||
|
| |||||||||||||||
Media - 1.7% | ||||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.908 | % | 7/23/25 | 30,000 | 29,420 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 5.050 | % | 3/30/29 | 150,000 | 143,035 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.400 | % | 4/1/33 | 30,000 | 26,333 | |||||||||||
Comcast Corp., Senior Notes | 3.400 | % | 4/1/30 | 80,000 | 73,504 | |||||||||||
Discovery Communications LLC., Senior Notes | 4.900 | % | 3/11/26 | 40,000 | 39,197 | |||||||||||
|
| |||||||||||||||
Total Media | 311,489 | |||||||||||||||
|
| |||||||||||||||
Wireless Telecommunication Services - 0.9% | ||||||||||||||||
Sprint LLC, Senior Notes | 7.125 | % | 6/15/24 | 80,000 | 80,715 | |||||||||||
T-Mobile USA Inc., Senior Notes | 3.500 | % | 4/15/25 | 20,000 | 19,229 | |||||||||||
T-Mobile USA Inc., Senior Notes | 2.050 | % | 2/15/28 | 30,000 | 26,013 | |||||||||||
T-Mobile USA Inc., Senior Notes | 2.250 | % | 11/15/31 | 50,000 | 40,002 | |||||||||||
|
| |||||||||||||||
Total Wireless Telecommunication Services | 165,959 | |||||||||||||||
|
| |||||||||||||||
TOTAL COMMUNICATION SERVICES | 868,124 | |||||||||||||||
|
| |||||||||||||||
CONSUMER DISCRETIONARY - 10.7% | ||||||||||||||||
Automobile Components - 1.0% | ||||||||||||||||
ZF North America Capital Inc., Senior Notes | 4.750 | % | 4/29/25 | 200,000 | 194,980 | (a) | ||||||||||
|
| |||||||||||||||
Automobiles - 5.4% | ||||||||||||||||
Ford Motor Credit Co. LLC, Senior Notes | 3.664 | % | 9/8/24 | 200,000 | 193,265 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes | 2.700 | % | 8/10/26 | 200,000 | 178,555 | |||||||||||
General Motors Co., Senior Notes | 6.125 | % | 10/1/25 | 160,000 | 161,093 | |||||||||||
General Motors Co., Senior Notes | 5.600 | % | 10/15/32 | 20,000 | 19,350 | |||||||||||
Hyundai Capital America, Senior Notes | 0.800 | % | 1/8/24 | 60,000 | 58,426 | (a) | ||||||||||
Nissan Motor Acceptance Co. LLC, Senior Notes | 1.050 | % | 3/8/24 | 10,000 | 9,604 | (a) | ||||||||||
Nissan Motor Co. Ltd., Senior Notes | 3.043 | % | 9/15/23 | 200,000 | 198,585 | (a) | ||||||||||
Nissan Motor Co. Ltd., Senior Notes | 3.522 | % | 9/17/25 | 200,000 | 186,063 | (a) | ||||||||||
|
| |||||||||||||||
Total Automobiles | 1,004,941 | |||||||||||||||
|
|
See Notes to Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
1 |
WESTERN ASSET SHORT DURATION INCOME ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Broadline Retail - 0.5% | ||||||||||||||||
Amazon.com Inc., Senior Notes | 1.200 | % | 6/3/27 | $ | 70,000 | $ | 61,418 | |||||||||
Nordstrom Inc., Senior Notes | 2.300 | % | 4/8/24 | 40,000 | 38,489 | |||||||||||
|
| |||||||||||||||
Total Broadline Retail | 99,907 | |||||||||||||||
|
| |||||||||||||||
Hotels, Restaurants & Leisure - 2.8% | ||||||||||||||||
Genting New York LLC/GENNY Capital Inc., Senior Notes | 3.300 | % | 2/15/26 | 200,000 | 178,134 | (a) | ||||||||||
Las Vegas Sands Corp., Senior Notes | 3.200 | % | 8/8/24 | 90,000 | 87,171 | |||||||||||
Las Vegas Sands Corp., Senior Notes | 2.900 | % | 6/25/25 | 250,000 | 234,906 | |||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Senior Notes | 5.500 | % | 3/1/25 | 20,000 | 19,677 | (a) | ||||||||||
|
| |||||||||||||||
Total Hotels, Restaurants & Leisure | 519,888 | |||||||||||||||
|
| |||||||||||||||
Household Durables - 0.6% | ||||||||||||||||
DR Horton Inc., Senior Notes | 2.500 | % | 10/15/24 | 70,000 | 66,932 | |||||||||||
MDC Holdings Inc., Senior Notes | 2.500 | % | 1/15/31 | 10,000 | 7,856 | |||||||||||
Newell Brands Inc., Senior Notes | 4.000 | % | 12/1/24 | 30,000 | 28,766 | |||||||||||
|
| |||||||||||||||
Total Household Durables | 103,554 | |||||||||||||||
|
| |||||||||||||||
Specialty Retail - 0.4% | ||||||||||||||||
Lowe’s Cos. Inc., Senior Notes | 1.300 | % | 4/15/28 | 80,000 | 67,563 | |||||||||||
|
| |||||||||||||||
TOTAL CONSUMER DISCRETIONARY | 1,990,833 | |||||||||||||||
|
| |||||||||||||||
CONSUMER STAPLES - 2.5% | ||||||||||||||||
Beverages - 0.5% | ||||||||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes (3 mo. USD LIBOR + 0.740%) | 5.938 | % | 1/12/24 | 90,000 | 90,179 | (b) | ||||||||||
|
| |||||||||||||||
Food Products - 0.1% | ||||||||||||||||
Hershey Co., Senior Notes | 1.700 | % | 6/1/30 | 10,000 | 8,295 | |||||||||||
Mondelez International Inc., Senior Notes | 1.500 | % | 2/4/31 | 20,000 | 15,708 | |||||||||||
|
| |||||||||||||||
Total Food Products | 24,003 | |||||||||||||||
|
| |||||||||||||||
Personal Care Products - 0.7% | ||||||||||||||||
Kenvue Inc., Senior Notes | 5.350 | % | 3/22/26 | 60,000 | 60,462 | (a) | ||||||||||
Kenvue Inc., Senior Notes | 5.050 | % | 3/22/28 | 70,000 | 70,555 | (a) | ||||||||||
|
| |||||||||||||||
Total Personal Care Products | 131,017 | |||||||||||||||
|
| |||||||||||||||
Tobacco - 1.2% | ||||||||||||||||
Altria Group Inc., Senior Notes | 2.625 | % | 9/16/26 | 30,000 | 27,770 | |||||||||||
Altria Group Inc., Senior Notes | 4.800 | % | 2/14/29 | 80,000 | 77,804 | |||||||||||
BAT International Finance PLC, Senior Notes | 1.668 | % | 3/25/26 | 100,000 | 89,907 | |||||||||||
Philip Morris International Inc., Senior Notes | 5.125 | % | 11/17/27 | 30,000 | 30,092 | |||||||||||
|
| |||||||||||||||
Total Tobacco | 225,573 | |||||||||||||||
|
| |||||||||||||||
TOTAL CONSUMER STAPLES | 470,772 | |||||||||||||||
|
| |||||||||||||||
ENERGY - 10.6% | ||||||||||||||||
Oil, Gas & Consumable Fuels - 10.6% | ||||||||||||||||
Apache Corp., Senior Notes | 7.950 | % | 4/15/26 | 20,000 | 20,600 | |||||||||||
Chesapeake Energy Corp., Senior Notes | 5.500 | % | 2/1/26 | 40,000 | 38,998 | (a) | ||||||||||
Cimarex Energy Co., Senior Notes | 4.375 | % | 3/15/29 | 20,000 | 16,921 | |||||||||||
Continental Resources Inc., Senior Notes | 3.800 | % | 6/1/24 | 40,000 | 39,208 | |||||||||||
Continental Resources Inc., Senior Notes | 2.268 | % | 11/15/26 | 30,000 | 26,706 | (a) | ||||||||||
Coterra Energy Inc., Senior Notes | 3.900 | % | 5/15/27 | 90,000 | 84,831 | |||||||||||
Coterra Energy Inc., Senior Notes | 4.375 | % | 3/15/29 | 50,000 | 46,652 | |||||||||||
DCP Midstream Operating LP, Senior Notes | 3.250 | % | 2/15/32 | 40,000 | 33,856 |
See Notes to Schedules of Investments.
2 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION INCOME ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) | ||||||||||||||||
Devon Energy Corp., Senior Notes | 5.850 | % | 12/15/25 | $ | 60,000 | $ | 60,455 | |||||||||
Devon Energy Corp., Senior Notes | 5.250 | % | 10/15/27 | 46,000 | 45,306 | |||||||||||
Devon Energy Corp., Senior Notes | 5.875 | % | 6/15/28 | 12,000 | 11,959 | |||||||||||
Devon Energy Corp., Senior Notes | 4.500 | % | 1/15/30 | 140,000 | 131,785 | |||||||||||
Devon OEI Operating LLC, Senior Notes | 7.500 | % | 9/15/27 | 20,000 | 21,011 | |||||||||||
Diamondback Energy Inc., Senior Notes | 3.250 | % | 12/1/26 | 70,000 | 65,768 | |||||||||||
Ecopetrol SA, Senior Notes | 5.875 | % | 9/18/23 | 180,000 | 179,503 | |||||||||||
Ecopetrol SA, Senior Notes | 4.625 | % | 11/2/31 | 40,000 | 30,877 | |||||||||||
El Paso Natural Gas Co. LLC, Senior Notes | 7.500 | % | 11/15/26 | 60,000 | 63,350 | |||||||||||
Energy Transfer LP, Senior Notes | 2.900 | % | 5/15/25 | 60,000 | 56,849 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 3.950 | % | 2/15/27 | 30,000 | 28,956 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 2.800 | % | 1/31/30 | 30,000 | 26,264 | |||||||||||
Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. Term SOFR + 2.832%) | 5.375 | % | 2/15/78 | 100,000 | 82,727 | (b) | ||||||||||
EOG Resources Inc., Senior Notes | 4.375 | % | 4/15/30 | 20,000 | 19,557 | |||||||||||
EQM Midstream Partners LP, Senior Notes | 7.500 | % | 6/1/27 | 20,000 | 20,191 | (a) | ||||||||||
EQT Corp., Senior Notes | 3.125 | % | 5/15/26 | 90,000 | 82,747 | (a) | ||||||||||
EQT Corp., Senior Notes | 3.900 | % | 10/1/27 | 10,000 | 9,245 | |||||||||||
Exxon Mobil Corp., Senior Notes | 3.482 | % | 3/19/30 | 20,000 | 18,758 | |||||||||||
Florida Gas Transmission Co. LLC, Senior Notes | 2.300 | % | 10/1/31 | 70,000 | 55,673 | (a) | ||||||||||
Kinder Morgan Energy Partners LP, Senior Notes | 7.300 | % | 8/15/33 | 10,000 | 10,891 | |||||||||||
MEG Energy Corp., Senior Notes | 7.125 | % | 2/1/27 | 70,000 | 71,126 | (a) | ||||||||||
MPLX LP, Senior Notes | 1.750 | % | 3/1/26 | 120,000 | 108,927 | |||||||||||
MPLX LP, Senior Notes | 5.000 | % | 3/1/33 | 60,000 | 57,473 | |||||||||||
Northwest Pipeline LLC, Senior Notes | 7.125 | % | 12/1/25 | 20,000 | 20,397 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 6.950 | % | 7/1/24 | 6,000 | 6,052 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 3.400 | % | 4/15/26 | 20,000 | 18,506 | |||||||||||
Ovintiv Inc., Senior Notes | 6.250 | % | 7/15/33 | 30,000 | 29,590 | |||||||||||
Parsley Energy LLC/Parsley Finance Corp., Senior Notes | 4.125 | % | 2/15/28 | 10,000 | 9,286 | (a) | ||||||||||
Pioneer Natural Resources Co., Senior Notes | 5.100 | % | 3/29/26 | 20,000 | 19,880 | |||||||||||
Southwestern Energy Co., Senior Notes | 8.375 | % | 9/15/28 | 30,000 | 31,231 | |||||||||||
Southwestern Energy Co., Senior Notes | 4.750 | % | 2/1/32 | 10,000 | 8,813 | |||||||||||
Targa Resources Corp., Senior Notes | 5.200 | % | 7/1/27 | 30,000 | 29,453 | |||||||||||
Targa Resources Corp., Senior Notes | 4.200 | % | 2/1/33 | 50,000 | 44,257 | |||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes | 6.875 | % | 1/15/29 | 20,000 | 20,400 | |||||||||||
Tennessee Gas Pipeline Co. LLC, Senior Notes | 7.000 | % | 10/15/28 | 50,000 | 52,781 | |||||||||||
Transcontinental Gas Pipe Line Co. LLC, Senior Notes | 3.250 | % | 5/15/30 | 10,000 | 8,888 | |||||||||||
Western Midstream Operating LP, Senior Notes | 3.350 | % | 2/1/25 | 30,000 | 28,676 | |||||||||||
Western Midstream Operating LP, Senior Notes | 3.950 | % | 6/1/25 | 40,000 | 38,423 | |||||||||||
Western Midstream Operating LP, Senior Notes | 4.300 | % | 2/1/30 | 20,000 | 17,957 | |||||||||||
Western Midstream Operating LP, Senior Notes | 6.150 | % | 4/1/33 | 30,000 | 30,237 | |||||||||||
|
| |||||||||||||||
TOTAL ENERGY | 1,981,997 | |||||||||||||||
|
| |||||||||||||||
FINANCIALS - 30.0% | ||||||||||||||||
Banks - 17.5% | ||||||||||||||||
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 | 200,000 | 187,221 | (b) |
See Notes to Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
3 |
WESTERN ASSET SHORT DURATION INCOME ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Banks - (continued) | ||||||||||||||||
Bank of America Corp., Senior Notes (1.530% to 12/6/24 then SOFR + 0.650%) | 1.530 | % | 12/6/25 | $ | 20,000 | $ | 18,696 | (b) | ||||||||
Bank of America Corp., Senior Notes (1.734% to 7/22/26 then SOFR + 0.960%) | 1.734 | % | 7/22/27 | 250,000 | 223,191 | (b) | ||||||||||
Bank of America Corp., Senior Notes (2.299% to 7/21/31 then SOFR + 1.220%) | 2.299 | % | 7/21/32 | 30,000 | 23,993 | (b) | ||||||||||
Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%) | 2.572 | % | 10/20/32 | 100,000 | 81,450 | (b) | ||||||||||
Bank of America Corp., Senior Notes (2.592% to 4/29/30 then SOFR + 2.150%) | 2.592 | % | 4/29/31 | 80,000 | 67,163 | (b) | ||||||||||
Bank of America Corp., Senior Notes (2.972% to 2/4/32 then SOFR + 1.330%) | 2.972 | % | 2/4/33 | 130,000 | 108,371 | (b) | ||||||||||
BNP Paribas SA, Junior Subordinated Notes (7.750% to 8/16/29 then 5 year Treasury Constant Maturity Rate + 4.899%) | 7.750 | % | 8/16/29 | 200,000 | 193,580 | (a)(b)(c) | ||||||||||
BNP Paribas SA, Senior Notes (1.675% to 6/30/26 then SOFR + 0.912%) | 1.675 | % | 6/30/27 | 200,000 | 176,289 | (a)(b) | ||||||||||
Citigroup Inc., Senior Notes (0.981% to 5/1/24 then SOFR + 0.669%) | 0.981 | % | 5/1/25 | 20,000 | 19,138 | (b) | ||||||||||
Citigroup Inc., Senior Notes (1.281% to 11/3/24 then SOFR + 0.528%) | 1.281 | % | 11/3/25 | 60,000 | 56,206 | (b) | ||||||||||
Citigroup Inc., Senior Notes (1.462% to 6/9/26 then SOFR + 0.770%) | 1.462 | % | 6/9/27 | 140,000 | 124,331 | (b) | ||||||||||
Citigroup Inc., Senior Notes (3.057% to 1/25/32 then SOFR + 1.351%) | 3.057 | % | 1/25/33 | 110,000 | 91,836 | (b) | ||||||||||
Citigroup Inc., Subordinated Notes (6.174% to 5/25/33 then SOFR + 2.661%) | 6.174 | % | 5/25/34 | 40,000 | 40,349 | (b) | ||||||||||
Credit Agricole SA, Senior Notes | 5.589 | % | 7/5/26 | 250,000 | 249,635 | (a)(d) | ||||||||||
Danske Bank A/S, Senior Notes (0.976% to 9/10/24 then 1 year Treasury Constant Maturity Rate + 0.550%) | 0.976 | % | 9/10/25 | 200,000 | 186,604 | (a)(b) | ||||||||||
Danske Bank A/S, Senior Notes (3.244% to 12/20/24 then 3 mo. USD LIBOR + 1.591%) | 3.244 | % | 12/20/25 | 200,000 | 189,864 | (a)(b) | ||||||||||
Danske Bank A/S, Senior Notes (6.466% to 1/9/25 then 1 year Treasury Constant Maturity Rate + 2.100%) | 6.466 | % | 1/9/26 | 210,000 | 209,499 | (a)(b) | ||||||||||
HSBC Holdings PLC, Senior Notes (0.976% to 5/24/24 then SOFR + 0.708%) | 0.976 | % | 5/24/25 | 200,000 | 190,270 | (b) | ||||||||||
HSBC Holdings PLC, Senior Notes (6.161% to 3/9/28 then SOFR + 1.970%) | 6.161 | % | 3/9/29 | 200,000 | 201,702 | (b) | ||||||||||
HSBC Holdings PLC, Subordinated Notes | 7.625 | % | 5/17/32 | 10,000 | 10,635 | |||||||||||
JPMorgan Chase & Co., Senior Notes (1.578% to 4/22/26 then SOFR + 0.885%) | 1.578 | % | 4/22/27 | 110,000 | 98,804 | (b) | ||||||||||
JPMorgan Chase & Co., Subordinated Notes (2.956% to 5/13/30 then 3 mo. Term SOFR + 2.515%) | 2.956 | % | 5/13/31 | 120,000 | 102,894 | (b) | ||||||||||
PNC Financial Services Group Inc., Senior Notes (5.582% to 6/12/28 then SOFR + 1.841%) | 5.582 | % | 6/12/29 | 30,000 | 29,859 | (b) | ||||||||||
PNC Financial Services Group Inc., Senior Notes (5.812% to 6/12/25 then SOFR + 1.322%) | 5.812 | % | 6/12/26 | 10,000 | 9,939 | (b) | ||||||||||
Truist Bank, Senior Notes | 4.050 | % | 11/3/25 | 70,000 | 66,764 | |||||||||||
Truist Financial Corp., Senior Notes (5.867% to 6/8/33 then SOFR + 2.361%) | 5.867 | % | 6/8/34 | 20,000 | 20,008 | (b) | ||||||||||
Truist Financial Corp., Senior Notes (6.047% to 6/8/26 then SOFR + 2.050%) | 6.047 | % | 6/8/27 | 40,000 | 40,017 | (b) | ||||||||||
US Bancorp, Senior Notes (5.775% to 6/12/28 then SOFR + 2.020%) | 5.775 | % | 6/12/29 | 30,000 | 29,991 | (b) | ||||||||||
US Bancorp, Senior Notes (5.836% to 6/10/33 then SOFR + 2.260%) | 5.836 | % | 6/12/34 | 20,000 | 20,145 | (b) | ||||||||||
Wells Fargo & Co., Senior Notes | 3.000 | % | 10/23/26 | 100,000 | 92,826 | |||||||||||
Wells Fargo & Co., Senior Notes (3.350% to 3/2/32 then SOFR + 1.500%) | 3.350 | % | 3/2/33 | 50,000 | 42,793 | (b) | ||||||||||
Wells Fargo & Co., Senior Notes (5.389% to 4/24/33 then SOFR + 2.020%) | 5.389 | % | 4/24/34 | 51,000 | 50,674 | (b) | ||||||||||
|
| |||||||||||||||
Total Banks | 3,254,737 | |||||||||||||||
|
| |||||||||||||||
Capital Markets - 7.3% | ||||||||||||||||
Ameriprise Financial Inc., Senior Notes | 5.150 | % | 5/15/33 | 50,000 | 49,644 | |||||||||||
Charles Schwab Corp., Senior Notes | 1.150 | % | 5/13/26 | 160,000 | 141,592 | |||||||||||
Charles Schwab Corp., Senior Notes (5.643% to 5/19/28 then SOFR + 2.210%) | 5.643 | % | 5/19/29 | 30,000 | 29,964 | (b) | ||||||||||
Charles Schwab Corp., Senior Notes (5.853% to 5/19/33 then SOFR + 2.500%) | 5.853 | % | 5/19/34 | 10,000 | 10,149 | (b) | ||||||||||
Credit Suisse Group AG, Junior Subordinated Notes (9.750% to 12/23/27 then 5 year Treasury Constant Maturity Rate + 6.383%) | 9.750 | % | 6/23/27 | 200,000 | 7,466 | *(a)(c)(e) |
See Notes to Schedules of Investments.
4 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION INCOME ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Capital Markets - (continued) | ||||||||||||||||
Goldman Sachs Group Inc., Senior Notes (0.855% to 2/12/25 then SOFR + 0.609%) | 0.855 | % | 2/12/26 | $ | 40,000 | $ | 36,858 | (b) | ||||||||
Goldman Sachs Group Inc., Senior Notes (1.093% to 12/9/25 then SOFR + 0.789%) | 1.093 | % | 12/9/26 | 120,000 | 106,936 | (b) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (1.948% to 10/21/26 then SOFR + 0.913%) | 1.948 | % | 10/21/27 | 80,000 | 71,162 | (b) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (3.102% to 2/24/32 then SOFR + 1.410%) | 3.102 | % | 2/24/33 | 110,000 | 92,923 | (b) | ||||||||||
Intercontinental Exchange Inc., Senior Notes | 4.600 | % | 3/15/33 | 30,000 | 29,064 | |||||||||||
Morgan Stanley, Senior Notes (0.985% to 12/10/25 then SOFR + 0.720%) | 0.985 | % | 12/10/26 | 40,000 | 35,664 | (b) | ||||||||||
Morgan Stanley, Senior Notes (1.512% to 7/20/26 then SOFR + 0.858%) | 1.512 | % | 7/20/27 | 20,000 | 17,720 | (b) | ||||||||||
Morgan Stanley, Senior Notes (1.593% to 5/4/26 then SOFR + 0.879%) | 1.593 | % | 5/4/27 | 120,000 | 107,426 | (b) | ||||||||||
Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%) | 2.188 | % | 4/28/26 | 70,000 | 65,710 | (b) | ||||||||||
Morgan Stanley, Senior Notes (2.511% to 10/20/31 then SOFR + 1.200%) | 2.511 | % | 10/20/32 | 80,000 | 64,617 | (b) | ||||||||||
Morgan Stanley, Senior Notes (5.123% to 2/1/28 then SOFR + 1.730%) | 5.123 | % | 2/1/29 | 60,000 | 59,174 | (b) | ||||||||||
S&P Global Inc., Senior Notes | 1.250 | % | 8/15/30 | 10,000 | 7,875 | |||||||||||
UBS AG, Senior Notes | 1.250 | % | 6/1/26 | 200,000 | 175,936 | (a) | ||||||||||
UBS Group AG, Senior Notes (2.193% to 6/5/25 then SOFR + 2.044%) | 2.193 | % | 6/5/26 | 280,000 | 256,751 | (a)(b) | ||||||||||
|
| |||||||||||||||
Total Capital Markets | 1,366,631 | |||||||||||||||
|
| |||||||||||||||
Consumer Finance - 0.1% | ||||||||||||||||
Capital One Financial Corp., Senior Notes (5.817% to 2/1/33 then SOFR + 2.600%) | 5.817 | % | 2/1/34 | 20,000 | 19,082 | (b) | ||||||||||
|
| |||||||||||||||
Financial Services - 2.5% | ||||||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | 2.450 | % | 10/29/26 | 150,000 | 133,972 | |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | 3.300 | % | 1/30/32 | 200,000 | 163,620 | |||||||||||
Element Fleet Management Corp., Senior Notes | 1.600 | % | 4/6/24 | 10,000 | 9,643 | (a) | ||||||||||
GA Global Funding Trust, Secured Notes | 1.000 | % | 4/8/24 | 20,000 | 19,073 | (a) | ||||||||||
Mastercard Inc., Senior Notes | 3.300 | % | 3/26/27 | 100,000 | 95,521 | |||||||||||
PayPal Holdings Inc., Senior Notes | 2.300 | % | 6/1/30 | 30,000 | 25,433 | |||||||||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes | 2.875 | % | 10/15/26 | 20,000 | 17,700 | (a) | ||||||||||
|
| |||||||||||||||
Total Financial Services | 464,962 | |||||||||||||||
|
| |||||||||||||||
Insurance - 2.2% | ||||||||||||||||
AmFam Holdings Inc., Senior Notes | 2.805 | % | 3/11/31 | 150,000 | 111,998 | (a) | ||||||||||
National General Holdings Corp., Senior Notes | 6.750 | % | 5/15/24 | 40,000 | 39,964 | (a) | ||||||||||
New York Life Global Funding, Secured Notes | 4.550 | % | 1/28/33 | 20,000 | 19,265 | (a) | ||||||||||
New York Life Global Funding, Senior Secured Notes | 0.950 | % | 6/24/25 | 60,000 | 54,796 | (a) | ||||||||||
Prudential Financial Inc., Senior Notes | 1.500 | % | 3/10/26 | 10,000 | 9,133 | |||||||||||
Reliance Standard Life Global Funding II, Secured Notes | 2.500 | % | 10/30/24 | 100,000 | 94,710 | (a) | ||||||||||
Reliance Standard Life Global Funding II, Secured Notes | 2.750 | % | 1/21/27 | 50,000 | 44,671 | (a) | ||||||||||
RenaissanceRe Holdings Ltd., Senior Notes | 5.750 | % | 6/5/33 | 30,000 | 29,382 | |||||||||||
|
| |||||||||||||||
Total Insurance | 403,919 | |||||||||||||||
|
| |||||||||||||||
Mortgage Real Estate Investment Trusts (REITs) - 0.4% | ||||||||||||||||
Blackstone Holdings Finance Co. LLC, Senior Notes | 6.200 | % | 4/22/33 | 80,000 | 81,711 | (a) | ||||||||||
|
| |||||||||||||||
TOTAL FINANCIALS | 5,591,042 | |||||||||||||||
|
| |||||||||||||||
HEALTH CARE - 6.6% | ||||||||||||||||
Biotechnology - 0.8% | ||||||||||||||||
AbbVie Inc., Senior Notes | 2.600 | % | 11/21/24 | 10,000 | 9,594 | |||||||||||
Amgen Inc., Senior Notes | 5.507 | % | 3/2/26 | 50,000 | 49,900 | |||||||||||
Amgen Inc., Senior Notes | 5.150 | % | 3/2/28 | 50,000 | 49,955 |
See Notes to Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
5 |
WESTERN ASSET SHORT DURATION INCOME ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Biotechnology - (continued) | ||||||||||||||||
Amgen Inc., Senior Notes | 5.250 | % | 3/2/30 | $ | 20,000 | $ | 20,040 | |||||||||
Amgen Inc., Senior Notes | 5.250 | % | 3/2/33 | 10,000 | 10,013 | |||||||||||
|
| |||||||||||||||
Total Biotechnology | 139,502 | |||||||||||||||
|
| |||||||||||||||
Health Care Providers & Services - 3.9% | ||||||||||||||||
Bon Secours Mercy Health Inc., Secured Notes | 3.464 | % | 6/1/30 | 10,000 | 8,979 | |||||||||||
Centene Corp., Senior Notes | 4.625 | % | 12/15/29 | 30,000 | 27,613 | |||||||||||
Centene Corp., Senior Notes | 3.375 | % | 2/15/30 | 40,000 | 34,378 | |||||||||||
Cigna Group, Senior Notes | 4.125 | % | 11/15/25 | 40,000 | 38,940 | |||||||||||
Cigna Group, Senior Notes | 2.400 | % | 3/15/30 | 80,000 | 67,970 | |||||||||||
CommonSpirit Health, Senior Secured Notes | 2.782 | % | 10/1/30 | 10,000 | 8,407 | |||||||||||
CSL Finance PLC, Senior Notes | 3.850 | % | 4/27/27 | 10,000 | 9,544 | (a) | ||||||||||
CSL Finance PLC, Senior Notes | 4.050 | % | 4/27/29 | 30,000 | 28,465 | (a) | ||||||||||
CVS Health Corp., Senior Notes | 2.625 | % | 8/15/24 | 20,000 | 19,342 | |||||||||||
CVS Health Corp., Senior Notes | 2.875 | % | 6/1/26 | 40,000 | 37,595 | |||||||||||
CVS Health Corp., Senior Notes | 1.300 | % | 8/21/27 | 50,000 | 43,029 | |||||||||||
CVS Health Corp., Senior Notes | 5.250 | % | 1/30/31 | 40,000 | 39,874 | |||||||||||
Elevance Health Inc., Senior Notes | 4.100 | % | 5/15/32 | 10,000 | 9,318 | |||||||||||
Elevance Health Inc., Senior Notes | 5.500 | % | 10/15/32 | 30,000 | 30,840 | |||||||||||
HCA Inc., Senior Notes | 5.200 | % | 6/1/28 | 100,000 | 99,187 | |||||||||||
McKesson Corp., Senior Notes | 4.900 | % | 7/15/28 | 60,000 | 59,605 | |||||||||||
McKesson Corp., Senior Notes | 5.100 | % | 7/15/33 | 20,000 | 20,071 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 1.150 | % | 5/15/26 | 30,000 | 27,129 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 5.350 | % | 2/15/33 | 110,000 | 114,302 | |||||||||||
|
| |||||||||||||||
Total Health Care Providers & Services | 724,588 | |||||||||||||||
|
| |||||||||||||||
Pharmaceuticals - 1.9% | ||||||||||||||||
Pfizer Investment Enterprises Pte Ltd., Senior Notes | 4.450 | % | 5/19/28 | 20,000 | 19,658 | |||||||||||
Pfizer Investment Enterprises Pte Ltd., Senior Notes | 4.650 | % | 5/19/30 | 50,000 | 49,403 | |||||||||||
Pfizer Investment Enterprises Pte Ltd., Senior Notes | 4.750 | % | 5/19/33 | 80,000 | 79,699 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 8.125 | % | 9/15/31 | 200,000 | 209,616 | |||||||||||
|
| |||||||||||||||
Total Pharmaceuticals | 358,376 | |||||||||||||||
|
| |||||||||||||||
TOTAL HEALTH CARE | 1,222,466 | |||||||||||||||
|
| |||||||||||||||
INDUSTRIALS - 10.7% | ||||||||||||||||
Aerospace & Defense - 2.1% | ||||||||||||||||
Boeing Co., Senior Notes | 4.875 | % | 5/1/25 | 50,000 | 49,290 | |||||||||||
Boeing Co., Senior Notes | 2.196 | % | 2/4/26 | 170,000 | 156,027 | |||||||||||
Howmet Aerospace Inc., Senior Notes | 6.875 | % | 5/1/25 | 40,000 | 40,636 | |||||||||||
Northrop Grumman Corp., Senior Notes | 4.700 | % | 3/15/33 | 110,000 | 107,955 | |||||||||||
Raytheon Technologies Corp., Senior Notes | 5.150 | % | 2/27/33 | 30,000 | 30,410 | |||||||||||
|
| |||||||||||||||
Total Aerospace & Defense | 384,318 | |||||||||||||||
|
| |||||||||||||||
Commercial Services & Supplies - 0.3% | ||||||||||||||||
Waste Connections Inc., Senior Notes | 4.200 | % | 1/15/33 | 60,000 | 56,391 | |||||||||||
|
| |||||||||||||||
Electrical Equipment - 0.7% | ||||||||||||||||
Regal Rexnord Corp., Senior Notes | 6.050 | % | 2/15/26 | 120,000 | 120,152 | (a) | ||||||||||
|
| |||||||||||||||
Ground Transportation - 0.3% | ||||||||||||||||
Canadian Pacific Railway Co., Senior Notes | 1.750 | % | 12/2/26 | 70,000 | 62,921 | |||||||||||
|
|
See Notes to Schedules of Investments.
6 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION INCOME ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Industrial Conglomerates - 0.3% | ||||||||||||||||
Honeywell International Inc., Senior Notes | 1.950 | % | 6/1/30 | $ | 20,000 | $ | 16,807 | |||||||||
Honeywell International Inc., Senior Notes | 5.000 | % | 2/15/33 | 40,000 | 40,788 | |||||||||||
|
| |||||||||||||||
Total Industrial Conglomerates | 57,595 | |||||||||||||||
|
| |||||||||||||||
Passenger Airlines - 4.0% | ||||||||||||||||
Air Canada Pass-Through Trust | 5.000 | % | 12/15/23 | 34,667 | 34,475 | (a) | ||||||||||
Air Canada Pass-Through Trust | 4.750 | % | 5/15/25 | 39,040 | 36,077 | (a) | ||||||||||
Alaska Airlines Inc. Pass-Through Trust | 4.800 | % | 8/15/27 | 8,040 | 7,722 | (a) | ||||||||||
American Airlines Group Inc. Pass-Through Trust | 4.950 | % | 2/15/25 | 51,728 | 49,399 | |||||||||||
American Airlines Inc., Senior Secured Notes | 11.750 | % | 7/15/25 | 60,000 | 65,792 | (a) | ||||||||||
American Airlines Inc., Senior Secured Notes | 7.250 | % | 2/15/28 | 80,000 | 79,523 | (a) | ||||||||||
American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes | 5.500 | % | 4/20/26 | 60,000 | 59,441 | (a) | ||||||||||
Continental Airlines Pass-Through Trust | 4.000 | % | 10/29/24 | 31,625 | 30,617 | |||||||||||
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | 4.500 | % | 10/20/25 | 80,000 | 78,255 | (a) | ||||||||||
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | 4.750 | % | 10/20/28 | 40,000 | 38,828 | (a) | ||||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes | 5.750 | % | 1/20/26 | 60,000 | 56,792 | (a) | ||||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | 8.000 | % | 9/20/25 | 40,000 | 40,299 | (a) | ||||||||||
United Airlines Pass-Through Trust | 4.875 | % | 1/15/26 | 54,800 | 52,304 | |||||||||||
United Airlines Pass-Through Trust | 5.800 | % | 1/15/36 | 60,000 | 61,144 | |||||||||||
US Airways Pass-Through Trust | 4.625 | % | 6/3/25 | 20,392 | 19,111 | |||||||||||
US Airways Pass-Through Trust | 3.950 | % | 11/15/25 | 41,102 | 38,334 | |||||||||||
|
| |||||||||||||||
Total Passenger Airlines | 748,113 | |||||||||||||||
|
| |||||||||||||||
Professional Services - 0.1% | ||||||||||||||||
Equifax Inc., Senior Notes | 2.350 | % | 9/15/31 | 30,000 | 23,920 | |||||||||||
|
| |||||||||||||||
Trading Companies & Distributors - 2.9% | ||||||||||||||||
Air Lease Corp., Senior Notes | 3.000 | % | 9/15/23 | 130,000 | 129,214 | |||||||||||
Air Lease Corp., Senior Notes | 5.850 | % | 12/15/27 | 60,000 | 59,919 | |||||||||||
Air Lease Corp., Senior Notes | 5.300 | % | 2/1/28 | 20,000 | 19,625 | |||||||||||
Aviation Capital Group LLC, Senior Notes | 4.125 | % | 8/1/25 | 350,000 | 326,928 | (a) | ||||||||||
|
| |||||||||||||||
Total Trading Companies & Distributors | 535,686 | |||||||||||||||
|
| |||||||||||||||
TOTAL INDUSTRIALS | 1,989,096 | |||||||||||||||
|
| |||||||||||||||
INFORMATION TECHNOLOGY - 3.4% | ||||||||||||||||
Electronic Equipment, Instruments & Components - 0.8% | ||||||||||||||||
Jabil Inc., Senior Notes | 5.450 | % | 2/1/29 | 20,000 | 19,846 | |||||||||||
TD SYNNEX Corp., Senior Notes | 1.250 | % | 8/9/24 | 100,000 | 94,585 | |||||||||||
Vontier Corp., Senior Notes | 1.800 | % | 4/1/26 | 40,000 | 35,514 | |||||||||||
|
| |||||||||||||||
Total Electronic Equipment, Instruments & Components | 149,945 | |||||||||||||||
|
| |||||||||||||||
Semiconductors & Semiconductor Equipment - 0.9% | ||||||||||||||||
Broadcom Inc., Senior Notes | 3.150 | % | 11/15/25 | 10,000 | 9,500 | |||||||||||
KLA Corp., Senior Notes | 4.650 | % | 7/15/32 | 10,000 | 9,965 | |||||||||||
Lam Research corp., Senior Notes | 1.900 | % | 6/15/30 | 40,000 | 33,328 | |||||||||||
Micron Technology Inc., Senior Notes | 6.750 | % | 11/1/29 | 40,000 | 41,580 | |||||||||||
QUALCOMM Inc., Senior Notes | 4.250 | % | 5/20/32 | 20,000 | 19,476 | |||||||||||
Texas Instruments Inc., Senior Notes | 4.600 | % | 2/15/28 | 30,000 | 30,054 | |||||||||||
Texas Instruments Inc., Senior Notes | 3.650 | % | 8/16/32 | 30,000 | 27,851 | |||||||||||
|
| |||||||||||||||
Total Semiconductors & Semiconductor Equipment | 171,754 | |||||||||||||||
|
|
See Notes to Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
7 |
WESTERN ASSET SHORT DURATION INCOME ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Software - 1.4% | ||||||||||||||||
Adobe Inc., Senior Notes | 2.300 | % | 2/1/30 | $ | 30,000 | $ | 26,316 | |||||||||
Fortinet Inc., Senior Notes | 1.000 | % | 3/15/26 | 70,000 | 62,437 | |||||||||||
Oracle Corp., Senior Notes | 6.150 | % | 11/9/29 | 100,000 | 104,157 | |||||||||||
Salesforce Inc., Senior Notes | 1.500 | % | 7/15/28 | 90,000 | 77,534 | |||||||||||
|
| |||||||||||||||
Total Software | 270,444 | |||||||||||||||
|
| |||||||||||||||
Technology Hardware, Storage & Peripherals - 0.3% | ||||||||||||||||
Apple Inc., Senior Notes | 1.400 | % | 8/5/28 | 60,000 | 51,789 | |||||||||||
|
| |||||||||||||||
TOTAL INFORMATION TECHNOLOGY | 643,932 | |||||||||||||||
|
| |||||||||||||||
MATERIALS - 3.8% | ||||||||||||||||
Containers & Packaging - 0.1% | ||||||||||||||||
Graphic Packaging International LLC, Senior Secured Notes | 1.512 | % | 4/15/26 | 10,000 | 8,911 | (a) | ||||||||||
|
| |||||||||||||||
Metals & Mining - 3.6% | ||||||||||||||||
Alcoa Nederland Holding BV, Senior Notes | 5.500 | % | 12/15/27 | 200,000 | 193,424 | (a) | ||||||||||
Anglo American Capital PLC, Senior Notes | 3.625 | % | 9/11/24 | 200,000 | 194,374 | (a) | ||||||||||
ArcelorMittal SA, Senior Notes | 6.550 | % | 11/29/27 | 20,000 | 20,513 | |||||||||||
Freeport-McMoRan Inc., Senior Notes | 4.375 | % | 8/1/28 | 90,000 | 84,912 | |||||||||||
Glencore Funding LLC, Senior Notes | 1.625 | % | 9/1/25 | 80,000 | 73,435 | (a) | ||||||||||
Glencore Funding LLC, Senior Notes | 5.400 | % | 5/8/28 | 30,000 | 29,705 | (a) | ||||||||||
Yamana Gold Inc., Senior Notes | 4.625 | % | 12/15/27 | 70,000 | 66,030 | |||||||||||
Yamana Gold Inc., Senior Notes | 2.630 | % | 8/15/31 | 10,000 | 7,789 | |||||||||||
|
| |||||||||||||||
Total Metals & Mining | 670,182 | |||||||||||||||
|
| |||||||||||||||
Paper & Forest Products - 0.1% | ||||||||||||||||
Suzano Austria GmbH, Senior Notes | 3.125 | % | 1/15/32 | 30,000 | 24,012 | |||||||||||
|
| |||||||||||||||
TOTAL MATERIALS | 703,105 | |||||||||||||||
|
| |||||||||||||||
REAL ESTATE - 1.8% | ||||||||||||||||
Diversified REITs - 0.4% | ||||||||||||||||
VICI Properties LP, Senior Notes | 4.750 | % | 2/15/28 | 70,000 | 66,278 | |||||||||||
|
| |||||||||||||||
Health Care REITs - 0.1% | ||||||||||||||||
Diversified Healthcare Trust, Senior Notes | 4.750 | % | 5/1/24 | 20,000 | 18,624 | |||||||||||
Welltower OP LLC, Senior Notes | 3.850 | % | 6/15/32 | 10,000 | 8,809 | |||||||||||
|
| |||||||||||||||
Total Health Care REITs | 27,433 | |||||||||||||||
|
| |||||||||||||||
Office REITs - 0.0%†† | ||||||||||||||||
Alexandria Real Estate Equities Inc., Senior Notes | 2.000 | % | 5/18/32 | 10,000 | 7,550 | |||||||||||
|
| |||||||||||||||
Retail REITs - 1.2% | ||||||||||||||||
Kimco Realty OP LLC, Senior Notes | 2.250 | % | 12/1/31 | 20,000 | 15,564 | |||||||||||
Simon Property Group LP, Senior Notes | 3.500 | % | 9/1/25 | 10,000 | 9,581 | |||||||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC, Senior Notes | 3.750 | % | 9/17/24 | 200,000 | 188,863 | (a) | ||||||||||
|
| |||||||||||||||
Total Retail REITs | 214,008 | |||||||||||||||
|
| |||||||||||||||
Specialized REITs - 0.1% | ||||||||||||||||
Extra Space Storage LP, Senior Notes | 3.900 | % | 4/1/29 | 20,000 | 18,218 | |||||||||||
|
| |||||||||||||||
TOTAL REAL ESTATE | 333,487 | |||||||||||||||
|
| |||||||||||||||
UTILITIES - 4.3% | ||||||||||||||||
Electric Utilities - 4.3% | ||||||||||||||||
CenterPoint Energy Houston Electric LLC, Senior Secured Bonds | 4.950 | % | 4/1/33 | 20,000 | 19,964 | |||||||||||
DTE Electric Co., First Mortgage Bonds | 2.625 | % | 3/1/31 | 20,000 | 17,096 |
See Notes to Schedules of Investments.
8 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION INCOME ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Electric Utilities - (continued) | ||||||||||||||||
Duke Energy Carolinas LLC, First Mortgage Bonds | 4.950 | % | 1/15/33 | $ | 30,000 | $ | 29,778 | |||||||||
Duke Energy Ohio Inc., First Mortgage Bonds | 2.125 | % | 6/1/30 | 10,000 | 8,284 | |||||||||||
Edison International, Senior Notes | 4.950 | % | 4/15/25 | 70,000 | 68,515 | |||||||||||
Electricite de France SA, Senior Notes | 5.700 | % | 5/23/28 | 200,000 | 199,698 | (a) | ||||||||||
Enel Finance International NV, Senior Notes | 6.800 | % | 10/14/25 | 200,000 | 203,725 | (a) | ||||||||||
Entergy Mississippi LLC, First Mortgage Bonds | 5.000 | % | 9/1/33 | 20,000 | 19,614 | |||||||||||
Metropolitan Edison Co., Senior Notes | 5.200 | % | 4/1/28 | 30,000 | 29,694 | (a) | ||||||||||
NextEra Energy Capital Holdings Inc., Senior Notes | 6.051 | % | 3/1/25 | 30,000 | 30,113 | |||||||||||
NRG Energy Inc., Senior Secured Notes | 2.450 | % | 12/2/27 | 110,000 | 92,698 | (a) | ||||||||||
Ohio Edison Co., Senior Notes | 5.500 | % | 1/15/33 | 10,000 | 10,014 | (a) | ||||||||||
Pacific Gas and Electric Co., First Mortgage Bonds | 2.100 | % | 8/1/27 | 20,000 | 17,084 | |||||||||||
Pacific Gas and Electric Co., First Mortgage Bonds | 3.000 | % | 6/15/28 | 10,000 | 8,619 | |||||||||||
Pennsylvania Electric Co., Senior Notes | 5.150 | % | 3/30/26 | 10,000 | 9,848 | (a) | ||||||||||
SCE Recovery Funding LLC, Senior Secured Notes | 4.697 | % | 6/15/40 | 40,000 | 38,921 | |||||||||||
Toledo Edison Co., First Mortgage Bonds | 2.650 | % | 5/1/28 | 8,000 | 7,066 | (a) | ||||||||||
|
| |||||||||||||||
TOTAL UTILITIES | 810,731 | |||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS & NOTES | 16,605,585 | |||||||||||||||
|
| |||||||||||||||
ASSET-BACKED SECURITIES - 4.5% | ||||||||||||||||
ABPCI Direct Lending Fund LLC, 2020-9A A1R (3 mo. USD LIBOR + 1.400%) | 6.692 | % | 11/18/31 | 270,000 | 266,091 | (a)(b) | ||||||||||
AGL CLO Ltd., 2020-6A AR (3 mo. USD LIBOR + 1.200%) | 6.450 | % | 7/20/34 | 100,000 | 98,470 | (a)(b) | ||||||||||
Halcyon Loan Advisors Funding Ltd., 2017-2A A2 (3 mo. USD LIBOR + 1.700%) | 6.960 | % | 1/17/30 | 250,000 | 245,940 | (a)(b) | ||||||||||
Navient Private Education Refi Loan Trust, 2020-DA A | 1.690 | % | 5/15/69 | 29,079 | 26,104 | (a) | ||||||||||
Neuberger Berman Loan Advisers CLO Ltd., 2021-42A A (3 mo. USD LIBOR + 1.100%) | 6.360 | % | 7/16/35 | 210,000 | 206,352 | (a)(b) | ||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES | 842,957 | |||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.5% | ||||||||||||||||
U.S. Government Obligations - 0.5% | ||||||||||||||||
U.S. Treasury Bonds | 3.375 | % | 8/15/42 | 20,000 | 18,154 | |||||||||||
U.S. Treasury Notes | 4.250 | % | 5/31/25 | 10,000 | 9,874 | |||||||||||
U.S. Treasury Notes | 4.125 | % | 6/15/26 | 20,000 | 19,798 | |||||||||||
U.S. Treasury Notes | 3.375 | % | 5/15/33 | 40,000 | 38,575 | |||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $88,183) | 86,401 | |||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS - 0.3% | ||||||||||||||||
Argentina - 0.3% | ||||||||||||||||
Argentine Republic Government International Bond, Senior Notes | 1.000 | % | 7/9/29 | 4,718 | 1,527 | |||||||||||
Argentine Republic Government International Bond, Senior Notes, Step bond (0.500% to 7/9/23, 0.750% to 7/9/27 then 1.750%) | 0.500 | % | 7/9/30 | 103,800 | 34,469 | |||||||||||
Provincia de Buenos Aires/Government Bonds, Senior Notes, Step bond (5.250% to 9/1/23, 6.375% to 9/1/24 then 6.625%) | 5.250 | % | 9/1/37 | 18,600 | 7,068 | (a) | ||||||||||
Provincia de Buenos Aires/Government Bonds, Senior Notes, Step bond (5.250% to 9/1/23, 6.375% to 9/1/24 then 6.625%) | 5.250 | % | 9/1/37 | 10,000 | 3,800 | (f) | ||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS (Cost - $79,024) | 46,864 | |||||||||||||||
|
|
See Notes to Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
9 |
WESTERN ASSET SHORT DURATION INCOME ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
MUNICIPAL BONDS - 0.2% | ||||||||||||||||
California - 0.2% | ||||||||||||||||
Regents of the University of California, CA, Medical Center Pooled Revenue, Taxable Bonds, Series Q (Cost - $30,000) | 4.132 | % | 5/15/32 | $ | 30,000 | $ | 28,508 | |||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS (Cost - $30,000) | 28,508 | |||||||||||||||
|
| |||||||||||||||
SENIOR LOANS - 0.0%†† | ||||||||||||||||
INDUSTRIALS - 0.0%†† | ||||||||||||||||
Passenger Airlines - 0.0%†† | ||||||||||||||||
Delta Air Lines Inc., Initial Term Loan (3 mo. Term SOFR + 3.750%) (Cost - $8,941) | 8.798 | % | 10/20/27 | 9,000 | 9,340 | (b)(g)(h) | ||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $18,764,247) |
| 17,619,655 | ||||||||||||||
|
| |||||||||||||||
SHARES | ||||||||||||||||
SHORT-TERM INVESTMENTS - 4.9% | ||||||||||||||||
BNY Mellon Cash Reserve Fund | 2.250 | % | 912,798 | 912,798 | (i) | |||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS - 99.5% | 18,532,453 | |||||||||||||||
Other Assets in Excess of Liabilities - 0.5% | 96,555 | |||||||||||||||
|
| |||||||||||||||
TOTAL NET ASSETS - 100.0% | $ | 18,629,008 | ||||||||||||||
|
|
†† | Represents less than 0.1%. |
* | Non-income producing security. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
(b) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(c) | Security has no maturity date. The date shown represents the next call date. |
(d) | Securities traded on a when-issued or delayed delivery basis. |
(e) | The coupon payment on this security is currently in default as of June 30, 2023. |
(f) | 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. |
(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) | Rate shown is one-day yield as of the end of the reporting period. |
Abbreviation(s) used in this schedule:
CLO | — Collateralized Loan Obligation | |
LIBOR | — London Interbank Offered Rate | |
SOFR | — Secured Overnight Financing Rate | |
USD | — United States Dollar |
See Notes to Schedules of Investments.
10 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION INCOME ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 |
At June 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 | 25 | 9/23 | $ | 5,142,508 | $ | 5,083,594 | $ | (58,914 | ) | |||||||||||
U.S. Treasury 5-Year Notes | 123 | 9/23 | $ | 13,503,447 | $ | 13,172,531 | $ | (330,916 | ) | |||||||||||
|
| |||||||||||||||||||
(389,830 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
U.S. Treasury 10-Year Notes | 81 | 9/23 | 9,283,885 | 9,093,516 | 190,369 | |||||||||||||||
U.S. Treasury Long-Term Bonds | 6 | 9/23 | 762,685 | 761,437 | 1,248 | |||||||||||||||
U.S. Treasury Ultra Long-Term Bonds | 1 | 9/23 | 134,967 | 136,219 | (1,252 | ) | ||||||||||||||
|
| |||||||||||||||||||
190,365 | ||||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized depreciation on open futures contracts | $ | (199,465 | ) | |||||||||||||||||
|
|
At June 30, 2023, the Fund had the following open swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION1 | ||||||||||||||||||||||
REFERENCE ENTITY | NOTIONAL AMOUNT2 | TERMINATION DATE | PERIODIC PAYMENTS MADE BY THE FUND† | MARKET VALUE3 | UPFRONT PREMIUMS PAID (RECEIVED) | UNREALIZED DEPRECIATION | ||||||||||||||||
MARKIT CDX.NA.HY.40 Index | $ | 180,000 | 6/20/28 | 5.000% quarterly | $ | (5,027 | ) | $ | 627 | $ | (5,654 | ) | ||||||||||
MARKIT CDX.NA.IG.40 Index | 658,000 | 6/20/28 | 1.000% quarterly | (9,844 | ) | (4,199 | ) | (5,645 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 838,000 | $ | (14,871 | ) | $ | (3,572 | ) | $ | (11,299 | ) | |||||||||||
|
|
|
|
|
|
|
|
1 | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index. |
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. |
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 Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
11 |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
CORPORATE BONDS & NOTES - 33.8% | ||||||||||||||||
COMMUNICATION SERVICES - 3.5% | ||||||||||||||||
Diversified Telecommunication Services - 1.3% | ||||||||||||||||
AT&T Inc., Senior Notes | 2.550 | % | 12/1/33 | 30,000 | $ | 23,564 | ||||||||||
AT&T Inc., Senior Notes | 5.350 | % | 9/1/40 | 10,000 | 9,666 | |||||||||||
AT&T Inc., Senior Notes | 5.550 | % | 8/15/41 | 10,000 | 9,869 | |||||||||||
AT&T Inc., Senior Notes | 4.350 | % | 6/15/45 | 19,000 | 15,922 | |||||||||||
AT&T Inc., Senior Notes | 3.500 | % | 9/15/53 | 70,000 | 49,554 | |||||||||||
AT&T Inc., Senior Notes | 3.550 | % | 9/15/55 | 7,000 | 4,901 | |||||||||||
AT&T Inc., Senior Notes | 3.650 | % | 9/15/59 | 20,000 | 13,924 | |||||||||||
Verizon Communications Inc., Senior Notes | 3.150 | % | 3/22/30 | 20,000 | 17,772 | |||||||||||
Verizon Communications Inc., Senior Notes | 1.750 | % | 1/20/31 | 60,000 | 47,336 | |||||||||||
Verizon Communications Inc., Senior Notes | 2.550 | % | 3/21/31 | 40,000 | 33,397 | |||||||||||
Verizon Communications Inc., Senior Notes | 2.355 | % | 3/15/32 | 194,000 | 156,031 | |||||||||||
Verizon Communications Inc., Senior Notes | 4.500 | % | 8/10/33 | 60,000 | 56,619 | |||||||||||
Verizon Communications Inc., Senior Notes | 5.250 | % | 3/16/37 | 30,000 | 29,707 | |||||||||||
Verizon Communications Inc., Senior Notes | 3.400 | % | 3/22/41 | 30,000 | 23,154 | |||||||||||
|
| |||||||||||||||
Total Diversified Telecommunication Services | 491,416 | |||||||||||||||
|
| |||||||||||||||
Entertainment - 0.4% | ||||||||||||||||
Warnermedia Holdings Inc., Senior Notes | 6.412 | % | 3/15/26 | 10,000 | 10,008 | |||||||||||
Warnermedia Holdings Inc., Senior Notes | 3.755 | % | 3/15/27 | 60,000 | 55,966 | |||||||||||
Warnermedia Holdings Inc., Senior Notes | 4.054 | % | 3/15/29 | 10,000 | 9,141 | |||||||||||
Warnermedia Holdings Inc., Senior Notes | 4.279 | % | 3/15/32 | 10,000 | 8,869 | |||||||||||
Warnermedia Holdings Inc., Senior Notes | 5.050 | % | 3/15/42 | 10,000 | 8,429 | |||||||||||
Warnermedia Holdings Inc., Senior Notes | 5.141 | % | 3/15/52 | 80,000 | 65,140 | |||||||||||
|
| |||||||||||||||
Total Entertainment | 157,553 | |||||||||||||||
|
| |||||||||||||||
Media - 1.5% | ||||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.500 | % | 8/15/30 | 40,000 | 33,308 | (a) | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.250 | % | 2/1/31 | 28,000 | 22,651 | (a) | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.908 | % | 7/23/25 | 120,000 | 117,677 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 5.050 | % | 3/30/29 | 50,000 | 47,678 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 2.800 | % | 4/1/31 | 50,000 | 40,233 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 5.375 | % | 4/1/38 | 20,000 | 17,038 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 3.500 | % | 3/1/42 | 40,000 | 26,756 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.800 | % | 3/1/50 | 40,000 | 30,180 | |||||||||||
Comcast Corp., Senior Notes | 3.750 | % | 4/1/40 | 50,000 | 42,127 | |||||||||||
Comcast Corp., Senior Notes | 4.000 | % | 8/15/47 | 10,000 | 8,333 | |||||||||||
Comcast Corp., Senior Notes | 3.969 | % | 11/1/47 | 20,000 | 16,564 | |||||||||||
Comcast Corp., Senior Notes | 3.450 | % | 2/1/50 | 10,000 | 7,611 | |||||||||||
Comcast Corp., Senior Notes | 2.800 | % | 1/15/51 | 20,000 | 13,239 | |||||||||||
Comcast Corp., Senior Notes | 2.887 | % | 11/1/51 | 20,000 | 13,409 |
See Notes to Schedules of Investments.
12 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Media - (continued) | ||||||||||||||||
DISH DBS Corp., Senior Notes | 5.875 | % | 11/15/24 | 120,000 | $ | 104,954 | ||||||||||
Time Warner Cable LLC, Senior Secured Notes | 6.550 | % | 5/1/37 | 10,000 | 9,587 | |||||||||||
|
| |||||||||||||||
Total Media | 551,345 | |||||||||||||||
|
| |||||||||||||||
Wireless Telecommunication Services - 0.3% | ||||||||||||||||
T-Mobile USA Inc., Senior Notes | 2.250 | % | 2/15/26 | 10,000 | 9,189 | |||||||||||
T-Mobile USA Inc., Senior Notes | 3.750 | % | 4/15/27 | 50,000 | 47,330 | |||||||||||
T-Mobile USA Inc., Senior Notes | 3.875 | % | 4/15/30 | 50,000 | 46,064 | |||||||||||
T-Mobile USA Inc., Senior Notes | 2.550 | % | 2/15/31 | 40,000 | 33,248 | |||||||||||
|
| |||||||||||||||
Total Wireless Telecommunication Services | 135,831 | |||||||||||||||
|
| |||||||||||||||
TOTAL COMMUNICATION SERVICES | 1,336,145 | |||||||||||||||
|
| |||||||||||||||
CONSUMER DISCRETIONARY - 3.9% | ||||||||||||||||
Automobiles - 1.3% | ||||||||||||||||
Ford Motor Co., Senior Notes | 3.250 | % | 2/12/32 | 70,000 | 55,068 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes | 4.000 | % | 11/13/30 | 200,000 | 170,917 | |||||||||||
General Motors Co., Senior Notes | 6.125 | % | 10/1/25 | 10,000 | 10,068 | |||||||||||
General Motors Co., Senior Notes | 5.600 | % | 10/15/32 | 20,000 | 19,350 | |||||||||||
General Motors Co., Senior Notes | 5.950 | % | 4/1/49 | 10,000 | 9,344 | |||||||||||
Nissan Motor Co. Ltd., Senior Notes | 4.345 | % | 9/17/27 | 240,000 | 218,281 | (a) | ||||||||||
|
| |||||||||||||||
Total Automobiles | 483,028 | |||||||||||||||
|
| |||||||||||||||
Broadline Retail - 0.7% | ||||||||||||||||
Amazon.com Inc., Senior Notes | 3.600 | % | 4/13/32 | 20,000 | 18,647 | |||||||||||
Amazon.com Inc., Senior Notes | 3.875 | % | 8/22/37 | 50,000 | 45,657 | |||||||||||
Amazon.com Inc., Senior Notes | 4.050 | % | 8/22/47 | 30,000 | 26,909 | |||||||||||
Amazon.com Inc., Senior Notes | 3.100 | % | 5/12/51 | 80,000 | 59,669 | |||||||||||
Prosus NV, Senior Notes | 3.832 | % | 2/8/51 | 200,000 | 122,876 | (a) | ||||||||||
|
| |||||||||||||||
Total Broadline Retail | 273,758 | |||||||||||||||
|
| |||||||||||||||
Hotels, Restaurants & Leisure - 1.7% | ||||||||||||||||
Las Vegas Sands Corp., Senior Notes | 3.200 | % | 8/8/24 | 20,000 | 19,371 | |||||||||||
Las Vegas Sands Corp., Senior Notes | 2.900 | % | 6/25/25 | 60,000 | 56,377 | |||||||||||
McDonald’s Corp., Senior Notes | 4.450 | % | 9/1/48 | 20,000 | 17,961 | |||||||||||
McDonald’s Corp., Senior Notes | 4.200 | % | 4/1/50 | 50,000 | 43,248 | |||||||||||
NCL Corp. Ltd., Senior Notes | 5.875 | % | 3/15/26 | 130,000 | 121,623 | (a) | ||||||||||
Sands China Ltd., Senior Notes | 5.625 | % | 8/8/25 | 200,000 | 195,124 | |||||||||||
Sands China Ltd., Senior Notes | 2.800 | % | 3/8/27 | 200,000 | 173,595 | |||||||||||
VOC Escrow Ltd., Senior Secured Notes | 5.000 | % | 2/15/28 | 20,000 | 18,350 | (a) | ||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Notes | 7.125 | % | 2/15/31 | 10,000 | 9,939 | (a) | ||||||||||
|
| |||||||||||||||
Total Hotels, Restaurants & Leisure | 655,588 | |||||||||||||||
|
| |||||||||||||||
Household Durables - 0.1% | ||||||||||||||||
Lennar Corp., Senior Notes | 4.500 | % | 4/30/24 | 10,000 | 9,915 | |||||||||||
MDC Holdings Inc., Senior Notes | 6.000 | % | 1/15/43 | 10,000 | 9,019 | |||||||||||
|
| |||||||||||||||
Total Household Durables | 18,934 | |||||||||||||||
|
| |||||||||||||||
Specialty Retail - 0.1% | ||||||||||||||||
Home Depot Inc., Senior Notes | 3.350 | % | 4/15/50 | 40,000 | 30,525 | |||||||||||
|
| |||||||||||||||
TOTAL CONSUMER DISCRETIONARY | 1,461,833 | |||||||||||||||
|
|
See Notes to Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
13 |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
CONSUMER STAPLES - 1.1% | ||||||||||||||||
Beverages - 0.3% | ||||||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes | 3.650 | % | 2/1/26 | 10,000 | $ | 9,686 | ||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.750 | % | 1/23/29 | 10,000 | 9,956 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.600 | % | 4/15/48 | 8,000 | 7,426 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.439 | % | 10/6/48 | 40,000 | 35,995 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 5.550 | % | 1/23/49 | 30,000 | 31,620 | |||||||||||
Constellation Brands Inc., Senior Notes | 4.350 | % | 5/9/27 | 10,000 | 9,751 | |||||||||||
|
| |||||||||||||||
Total Beverages | 104,434 | |||||||||||||||
|
| |||||||||||||||
Food Products - 0.2% | ||||||||||||||||
Kraft Heinz Foods Co., Senior Notes | 4.375 | % | 6/1/46 | 40,000 | 33,994 | |||||||||||
Kraft Heinz Foods Co., Senior Notes | 4.875 | % | 10/1/49 | 30,000 | 27,374 | |||||||||||
Mars Inc., Senior Notes | 3.200 | % | 4/1/30 | 20,000 | 18,142 | (a) | ||||||||||
Mars Inc., Senior Notes | 3.200 | % | 4/1/30 | 10,000 | 9,071 | (b) | ||||||||||
|
| |||||||||||||||
Total Food Products | 88,581 | |||||||||||||||
|
| |||||||||||||||
Personal Care Products - 0.1% | ||||||||||||||||
Kenvue Inc., Senior Notes | 4.900 | % | 3/22/33 | 20,000 | 20,237 | (a) | ||||||||||
|
| |||||||||||||||
Tobacco - 0.5% | ||||||||||||||||
Altria Group Inc., Senior Notes | 2.450 | % | 2/4/32 | 10,000 | 7,799 | |||||||||||
Altria Group Inc., Senior Notes | 5.375 | % | 1/31/44 | 10,000 | 9,402 | |||||||||||
Altria Group Inc., Senior Notes | 3.875 | % | 9/16/46 | 30,000 | 21,027 | |||||||||||
Altria Group Inc., Senior Notes | 5.950 | % | 2/14/49 | 70,000 | 66,454 | |||||||||||
Altria Group Inc., Senior Notes | 6.200 | % | 2/14/59 | 4,000 | 3,861 | |||||||||||
BAT Capital Corp., Senior Notes | 3.557 | % | 8/15/27 | 60,000 | 55,174 | |||||||||||
BAT Capital Corp., Senior Notes | 3.734 | % | 9/25/40 | 30,000 | 21,344 | |||||||||||
BAT Capital Corp., Senior Notes | 4.540 | % | 8/15/47 | 20,000 | 14,717 | |||||||||||
|
| |||||||||||||||
Total Tobacco | 199,778 | |||||||||||||||
|
| |||||||||||||||
TOTAL CONSUMER STAPLES | 413,030 | |||||||||||||||
|
| |||||||||||||||
ENERGY - 5.2% | ||||||||||||||||
Oil, Gas & Consumable Fuels - 5.2% | ||||||||||||||||
BP Capital Markets America Inc., Senior Notes | 3.633 | % | 4/6/30 | 30,000 | 27,880 | |||||||||||
Cameron LNG LLC, Senior Secured Notes | 2.902 | % | 7/15/31 | 30,000 | 25,834 | (a) | ||||||||||
Cameron LNG LLC, Senior Secured Notes | 3.302 | % | 1/15/35 | 30,000 | 25,008 | (a) | ||||||||||
Cheniere Energy Inc., Senior Secured Notes | 4.625 | % | 10/15/28 | 20,000 | 18,676 | |||||||||||
Cheniere Energy Partners LP, Senior Notes | 3.250 | % | 1/31/32 | 10,000 | 8,227 | |||||||||||
Continental Resources Inc., Senior Notes | 2.268 | % | 11/15/26 | 20,000 | 17,804 | (a) | ||||||||||
Continental Resources Inc., Senior Notes | 5.750 | % | 1/15/31 | 20,000 | 19,013 | (a) | ||||||||||
Continental Resources Inc., Senior Notes | 4.900 | % | 6/1/44 | 30,000 | 23,313 | |||||||||||
Coterra Energy Inc., Senior Notes | 3.900 | % | 5/15/27 | 60,000 | 56,554 | |||||||||||
Coterra Energy Inc., Senior Notes | 4.375 | % | 3/15/29 | 40,000 | 37,322 | |||||||||||
Devon Energy Corp., Senior Notes | 5.000 | % | 6/15/45 | 80,000 | 69,362 | |||||||||||
Diamondback Energy Inc., Senior Notes | 3.500 | % | 12/1/29 | 50,000 | 45,006 | |||||||||||
Ecopetrol SA, Senior Notes | 5.875 | % | 5/28/45 | 170,000 | 116,473 | |||||||||||
Energy Transfer LP, Junior Subordinated Notes (3 mo. USD LIBOR + 4.028%) | 9.349 | % | 7/17/23 | 10,000 | 8,975 | (c)(d) | ||||||||||
Energy Transfer LP, Junior Subordinated Notes (6.500% to 11/15/26 then 5 year Treasury Constant Maturity Rate + 5.694%) | 6.500 | % | 11/15/26 | 20,000 | 18,166 | (c)(d) |
See Notes to Schedules of Investments.
14 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) | ||||||||||||||||
Energy Transfer LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%) | 6.750 | % | 5/15/25 | 110,000 | $ | 97,902 | (c)(d) | |||||||||
Energy Transfer LP, Senior Notes | 2.900 | % | 5/15/25 | 20,000 | 18,950 | |||||||||||
Energy Transfer LP, Senior Notes | 4.950 | % | 6/15/28 | 10,000 | 9,700 | |||||||||||
Energy Transfer LP, Senior Notes | 5.250 | % | 4/15/29 | 70,000 | 68,337 | |||||||||||
Energy Transfer LP, Senior Notes | 3.750 | % | 5/15/30 | 30,000 | 27,069 | |||||||||||
Energy Transfer LP, Senior Notes | 6.250 | % | 4/15/49 | 30,000 | 29,300 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 4.150 | % | 10/16/28 | 50,000 | 47,801 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 2.800 | % | 1/31/30 | 50,000 | 43,774 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 3.700 | % | 1/31/51 | 30,000 | 22,951 | |||||||||||
Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. Term SOFR + 2.832%) | 5.375 | % | 2/15/78 | 10,000 | 8,273 | (d) | ||||||||||
EOG Resources Inc., Senior Notes | 3.900 | % | 4/1/35 | 10,000 | 8,969 | |||||||||||
EOG Resources Inc., Senior Notes | 4.950 | % | 4/15/50 | 20,000 | 19,737 | |||||||||||
EQM Midstream Partners LP, Senior Notes | 6.000 | % | 7/1/25 | 70,000 | 69,227 | (a) | ||||||||||
EQT Corp., Senior Notes | 3.900 | % | 10/1/27 | 75,000 | 69,339 | |||||||||||
EQT Corp., Senior Notes | 5.000 | % | 1/15/29 | 20,000 | 18,830 | |||||||||||
EQT Corp., Senior Notes | 3.625 | % | 5/15/31 | 40,000 | 34,404 | (a) | ||||||||||
Kinder Morgan Inc., Senior Notes | 4.300 | % | 3/1/28 | 10,000 | 9,557 | |||||||||||
Kinder Morgan Inc., Senior Notes | 5.050 | % | 2/15/46 | 20,000 | 17,087 | |||||||||||
Kinder Morgan Inc., Senior Notes | 5.200 | % | 3/1/48 | 20,000 | 17,512 | |||||||||||
MPLX LP, Senior Notes | 4.875 | % | 6/1/25 | 20,000 | 19,624 | |||||||||||
MPLX LP, Senior Notes | 4.800 | % | 2/15/29 | 30,000 | 28,931 | |||||||||||
MPLX LP, Senior Notes | 4.500 | % | 4/15/38 | 20,000 | 17,215 | |||||||||||
MPLX LP, Senior Notes | 5.500 | % | 2/15/49 | 20,000 | 18,124 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 6.600 | % | 3/15/46 | 30,000 | 30,886 | |||||||||||
Parsley Energy LLC/Parsley Finance Corp., Senior Notes | 4.125 | % | 2/15/28 | 10,000 | 9,286 | (a) | ||||||||||
Pioneer Natural Resources Co., Senior Notes | 2.150 | % | 1/15/31 | 30,000 | 24,558 | |||||||||||
Shell International Finance BV, Senior Notes | 4.375 | % | 5/11/45 | 10,000 | 9,013 | |||||||||||
Southwestern Energy Co., Senior Notes | 5.375 | % | 3/15/30 | 50,000 | 46,660 | |||||||||||
Southwestern Energy Co., Senior Notes | 4.750 | % | 2/1/32 | 80,000 | 70,507 | |||||||||||
Targa Resources Corp., Senior Notes | 5.200 | % | 7/1/27 | 50,000 | 49,089 | |||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes | 5.000 | % | 1/15/28 | 10,000 | 9,543 | |||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes | 6.875 | % | 1/15/29 | 20,000 | 20,400 | |||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes | 4.875 | % | 2/1/31 | 100,000 | 92,414 | |||||||||||
Tennessee Gas Pipeline Co. LLC, Senior Notes | 2.900 | % | 3/1/30 | 40,000 | 34,159 | (a) | ||||||||||
Transcontinental Gas Pipe Line Co. LLC, Senior Notes | 7.850 | % | 2/1/26 | 40,000 | 41,881 | |||||||||||
Transcontinental Gas Pipe Line Co. LLC, Senior Notes | 3.250 | % | 5/15/30 | 20,000 | 17,775 | |||||||||||
Western Midstream Operating LP, Senior Notes | 3.350 | % | 2/1/25 | 30,000 | 28,676 | |||||||||||
Western Midstream Operating LP, Senior Notes | 4.500 | % | 3/1/28 | 10,000 | 9,430 | |||||||||||
Western Midstream Operating LP, Senior Notes | 4.300 | % | 2/1/30 | 90,000 | 80,806 | |||||||||||
Western Midstream Operating LP, Senior Notes | 5.500 | % | 8/15/48 | 60,000 | 50,176 |
See Notes to Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
15 |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) | ||||||||||||||||
Williams Cos. Inc., Senior Notes | 7.750 | % | 6/15/31 | 30,000 | $ | 33,188 | ||||||||||
Williams Cos. Inc., Senior Notes | 8.750 | % | 3/15/32 | 40,000 | 47,486 | |||||||||||
|
| |||||||||||||||
TOTAL ENERGY | 1,946,159 | |||||||||||||||
|
| |||||||||||||||
FINANCIALS - 11.8% | ||||||||||||||||
Banks - 7.7% | ||||||||||||||||
Bank of America Corp., Senior Notes | 5.000 | % | 1/21/44 | 50,000 | 47,917 | |||||||||||
Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%) | 2.572 | % | 10/20/32 | 50,000 | 40,725 | (d) | ||||||||||
Bank of America Corp., Senior Notes (2.687% to 4/22/31 then SOFR + 1.320%) | 2.687 | % | 4/22/32 | 50,000 | 41,437 | (d) | ||||||||||
Bank of America Corp., Senior Notes (2.972% to 2/4/32 then SOFR + 1.330%) | 2.972 | % | 2/4/33 | 280,000 | 233,415 | (d) | ||||||||||
Bank of America Corp., Senior Notes (4.376% to 4/27/27 then SOFR + 1.580%) | 4.376 | % | 4/27/28 | 170,000 | 163,197 | (d) | ||||||||||
Bank of America Corp., Subordinated Notes | 4.200 | % | 8/26/24 | 70,000 | 68,687 | |||||||||||
Bank of Montreal, Senior Notes | 1.850 | % | 5/1/25 | 20,000 | 18,683 | |||||||||||
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 | 20,000 | 17,234 | (d) | ||||||||||
BNP Paribas SA, Senior Notes (5.198% to 1/10/29 then 3 mo. USD LIBOR + 2.567%) | 5.198 | % | 1/10/30 | 200,000 | 193,285 | (a)(d) | ||||||||||
Citigroup Inc., Senior Notes | 8.125 | % | 7/15/39 | 50,000 | 63,974 | |||||||||||
Citigroup Inc., Senior Notes (2.520% to 11/3/31 then SOFR + 1.177%) | 2.520 | % | 11/3/32 | 50,000 | 40,286 | (d) | ||||||||||
Citigroup Inc., Senior Notes (3.785% to 3/17/32 then SOFR + 1.939%) | 3.785 | % | 3/17/33 | 20,000 | 17,670 | (d) | ||||||||||
Citigroup Inc., Senior Notes (3.980% to 3/20/29 then 3 mo. Term SOFR + 1.600%) | 3.980 | % | 3/20/30 | 90,000 | 83,217 | (d) | ||||||||||
Citigroup Inc., Senior Notes (4.412% to 3/31/30 then SOFR + 3.914%) | 4.412 | % | 3/31/31 | 10,000 | 9,403 | (d) | ||||||||||
Citigroup Inc., Senior Notes (4.658% to 5/24/27 then SOFR + 1.887%) | 4.658 | % | 5/24/28 | 30,000 | 29,252 | (d) | ||||||||||
Citigroup Inc., Senior Notes (4.910% to 5/24/32 then SOFR + 2.086%) | 4.910 | % | 5/24/33 | 160,000 | 154,825 | (d) | ||||||||||
Citigroup Inc., Subordinated Notes | 5.500 | % | 9/13/25 | 40,000 | 39,769 | |||||||||||
Cooperatieve Rabobank UA, Senior Notes (1.339% to 6/24/25 then 1 year Treasury Constant Maturity Rate + 1.000%) | 1.339 | % | 6/24/26 | 250,000 | 228,612 | (a)(d) | ||||||||||
Danske Bank A/S, Senior Notes (3.773% to 3/28/24 then 1 year Treasury Constant Maturity Rate + 1.450%) | 3.773 | % | 3/28/25 | 250,000 | 244,350 | (a)(d) | ||||||||||
HSBC Holdings PLC, Senior Notes (2.099% to 6/4/25 then SOFR + 1.929%) | 2.099 | % | 6/4/26 | 200,000 | 185,071 | (d) | ||||||||||
JPMorgan Chase & Co., Senior Notes (2.083% to 4/22/25 then SOFR + 1.850%) | 2.083 | % | 4/22/26 | 30,000 | 28,095 | (d) | ||||||||||
JPMorgan Chase & Co., Senior Notes (2.545% to 11/8/31 then SOFR + 1.180%) | 2.545 | % | 11/8/32 | 10,000 | 8,193 | (d) | ||||||||||
JPMorgan Chase & Co., Senior Notes (2.580% to 4/22/31 then 3 mo. Term SOFR + 1.250%) | 2.580 | % | 4/22/32 | 40,000 | 33,225 | (d) | ||||||||||
JPMorgan Chase & Co., Senior Notes (2.739% to 10/15/29 then 3 mo. Term SOFR + 1.510%) | 2.739 | % | 10/15/30 | 40,000 | 34,457 | (d) | ||||||||||
JPMorgan Chase & Co., Senior Notes (4.023% to 12/5/23 then 3 mo. Term SOFR + 1.262%) | 4.023 | % | 12/5/24 | 40,000 | 39,654 | (d) | ||||||||||
JPMorgan Chase & Co., Senior Notes (4.452% to 12/5/28 then 3 mo. Term SOFR + 1.592%) | 4.452 | % | 12/5/29 | 170,000 | 162,909 | (d) | ||||||||||
JPMorgan Chase & Co., Subordinated Notes | 4.950 | % | 6/1/45 | 30,000 | 28,003 |
See Notes to Schedules of Investments.
16 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Banks - (continued) | ||||||||||||||||
PNC Financial Services Group Inc., Senior Notes (5.582% to 6/12/28 then SOFR + 1.841%) | 5.582 | % | 6/12/29 | 40,000 | $ | 39,812 | (d) | |||||||||
PNC Financial Services Group Inc., Senior Notes (5.812% to 6/12/25 then SOFR + 1.322%) | 5.812 | % | 6/12/26 | 10,000 | 9,939 | (d) | ||||||||||
Royal Bank of Canada, Senior Notes | 1.150 | % | 6/10/25 | 60,000 | 55,386 | |||||||||||
Truist Financial Corp., Senior Notes (6.047% to 6/8/26 then SOFR + 2.050%) | 6.047 | % | 6/8/27 | 20,000 | 20,008 | (d) | ||||||||||
US Bancorp, Senior Notes | 1.450 | % | 5/12/25 | 30,000 | 27,976 | |||||||||||
US Bancorp, Senior Notes (5.775% to 6/12/28 then SOFR + 2.020%) | 5.775 | % | 6/12/29 | 30,000 | 29,991 | (d) | ||||||||||
US Bancorp, Senior Notes (5.836% to 6/10/33 then SOFR + 2.260%) | 5.836 | % | 6/12/34 | 10,000 | 10,072 | (d) | ||||||||||
Wells Fargo & Co., Senior Notes | 3.000 | % | 10/23/26 | 160,000 | 148,522 | |||||||||||
Wells Fargo & Co., Senior Notes | 4.150 | % | 1/24/29 | 50,000 | 47,386 | |||||||||||
Wells Fargo & Co., Senior Notes (2.188% to 4/30/25 then SOFR + 2.000%) | 2.188 | % | 4/30/26 | 30,000 | 28,108 | (d) | ||||||||||
Wells Fargo & Co., Senior Notes (3.350% to 3/2/32 then SOFR + 1.500%) | 3.350 | % | 3/2/33 | 30,000 | 25,676 | (d) | ||||||||||
Wells Fargo & Co., Senior Notes (3.584% to 5/22/27 then 3 mo. Term SOFR + 1.572%) | 3.584 | % | 5/22/28 | 50,000 | 46,567 | (d) | ||||||||||
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. Term SOFR + 4.502%) | 5.013 | % | 4/4/51 | 140,000 | 130,397 | (d) | ||||||||||
Wells Fargo & Co., Subordinated Notes | 4.750 | % | 12/7/46 | 50,000 | 42,559 | |||||||||||
|
| |||||||||||||||
Total Banks | 2,917,944 | |||||||||||||||
|
| |||||||||||||||
Capital Markets - 3.2% | ||||||||||||||||
Bank of New York Mellon Corp., Senior Notes | 1.600 | % | 4/24/25 | 10,000 | 9,370 | |||||||||||
Goldman Sachs Group Inc., Senior Notes | 3.850 | % | 7/8/24 | 70,000 | 68,645 | |||||||||||
Goldman Sachs Group Inc., Senior Notes | 3.500 | % | 4/1/25 | 140,000 | 134,483 | |||||||||||
Goldman Sachs Group Inc., Senior Notes (2.650% to 10/21/31 then SOFR + 1.264%) | 2.650 | % | 10/21/32 | 190,000 | 154,874 | (d) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (3.615% to 3/15/27 then SOFR + 1.846%) | 3.615 | % | 3/15/28 | 20,000 | 18,765 | (d) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (4.223% to 5/1/28 then 3 mo. Term SOFR + 1.563%) | 4.223 | % | 5/1/29 | 80,000 | 75,559 | (d) | ||||||||||
Goldman Sachs Group Inc., Subordinated Notes | 5.150 | % | 5/22/45 | 40,000 | 37,346 | |||||||||||
Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%) | 2.188 | % | 4/28/26 | 150,000 | 140,806 | (d) | ||||||||||
Morgan Stanley, Senior Notes (2.511% to 10/20/31 then SOFR + 1.200%) | 2.511 | % | 10/20/32 | 120,000 | 96,926 | (d) | ||||||||||
Morgan Stanley, Senior Notes (4.431% to 1/23/29 then 3 mo. Term SOFR + 1.890%) | 4.431 | % | 1/23/30 | 30,000 | 28,543 | (d) | ||||||||||
Morgan Stanley, Subordinated Notes (2.484% to 9/16/31 then SOFR + 1.360%) | 2.484 | % | 9/16/36 | 30,000 | 22,762 | (d) | ||||||||||
UBS Group AG, Junior Subordinated Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%) | 7.000 | % | 1/31/24 | 200,000 | 193,130 | (a)(c)(d) | ||||||||||
UBS Group AG, Senior Notes (2.193% to 6/5/25 then SOFR + 2.044%) | 2.193 | % | 6/5/26 | 250,000 | 229,242 | (a)(d) | ||||||||||
|
| |||||||||||||||
Total Capital Markets | 1,210,451 | |||||||||||||||
|
| |||||||||||||||
Consumer Finance - 0.1% | ||||||||||||||||
American Express Co., Senior Notes | 4.050 | % | 5/3/29 | 20,000 | 19,040 | |||||||||||
|
| |||||||||||||||
Financial Services - 0.8% | ||||||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | 2.450 | % | 10/29/26 | 200,000 | 178,630 | |||||||||||
Berkshire Hathaway Finance Corp., Senior Notes | 4.250 | % | 1/15/49 | 40,000 | 36,426 |
See Notes to Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
17 |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Financial Services - (continued) | ||||||||||||||||
Park Aerospace Holdings Ltd., Senior Notes | 5.500 | % | 2/15/24 | 50,000 | $ | 49,431 | (a) | |||||||||
PayPal Holdings Inc., Senior Notes | 2.300 | % | 6/1/30 | 30,000 | 25,433 | |||||||||||
|
| |||||||||||||||
Total Financial Services | 289,920 | |||||||||||||||
|
| |||||||||||||||
Insurance - 0.0%†† | ||||||||||||||||
Guardian Life Global Funding, Secured Notes | 1.100 | % | 6/23/25 | 20,000 | 18,190 | (a) | ||||||||||
|
| |||||||||||||||
TOTAL FINANCIALS | 4,455,545 | |||||||||||||||
|
| |||||||||||||||
HEALTH CARE - 2.0% | ||||||||||||||||
Biotechnology - 0.4% | ||||||||||||||||
AbbVie Inc., Senior Notes | 3.750 | % | 11/14/23 | 10,000 | 9,929 | |||||||||||
AbbVie Inc., Senior Notes | 3.200 | % | 11/21/29 | 50,000 | 45,214 | |||||||||||
AbbVie Inc., Senior Notes | 4.750 | % | 3/15/45 | 30,000 | 27,430 | |||||||||||
AbbVie Inc., Senior Notes | 4.875 | % | 11/14/48 | 10,000 | 9,450 | |||||||||||
AbbVie Inc., Senior Notes | 4.250 | % | 11/21/49 | 80,000 | 69,050 | |||||||||||
|
| |||||||||||||||
Total Biotechnology | 161,073 | |||||||||||||||
|
| |||||||||||||||
Health Care Providers & Services - 0.9% | ||||||||||||||||
Cigna Group, Senior Notes | 3.750 | % | 7/15/23 | 4,000 | 3,996 | |||||||||||
Cigna Group, Senior Notes | 4.375 | % | 10/15/28 | 30,000 | 29,009 | |||||||||||
Cigna Group, Senior Notes | 4.900 | % | 12/15/48 | 20,000 | 18,613 | |||||||||||
CVS Health Corp., Senior Notes | 1.875 | % | 2/28/31 | 10,000 | 7,943 | |||||||||||
CVS Health Corp., Senior Notes | 2.125 | % | 9/15/31 | 20,000 | 16,060 | |||||||||||
CVS Health Corp., Senior Notes | 2.700 | % | 8/21/40 | 30,000 | 20,941 | |||||||||||
CVS Health Corp., Senior Notes | 5.050 | % | 3/25/48 | 70,000 | 64,522 | |||||||||||
Elevance Health Inc., Senior Notes | 4.550 | % | 5/15/52 | 10,000 | 8,932 | |||||||||||
HCA Inc., Senior Notes | 5.625 | % | 9/1/28 | 40,000 | 40,031 | |||||||||||
HCA Inc., Senior Notes | 3.500 | % | 9/1/30 | 40,000 | 35,062 | |||||||||||
Humana Inc., Senior Notes | 3.125 | % | 8/15/29 | 20,000 | 17,654 | |||||||||||
Humana Inc., Senior Notes | 2.150 | % | 2/3/32 | 10,000 | 7,878 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 4.200 | % | 5/15/32 | 30,000 | 28,640 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 5.700 | % | 10/15/40 | 10,000 | 10,546 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 2.900 | % | 5/15/50 | 20,000 | 13,940 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 3.250 | % | 5/15/51 | 30,000 | 22,377 | |||||||||||
|
| |||||||||||||||
Total Health Care Providers & Services | 346,144 | |||||||||||||||
|
| |||||||||||||||
Pharmaceuticals - 0.7% | ||||||||||||||||
Bristol-Myers Squibb Co., Senior Notes | 4.250 | % | 10/26/49 | 20,000 | 17,729 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 3.150 | % | 10/1/26 | 250,000 | 224,012 | |||||||||||
|
| |||||||||||||||
Total Pharmaceuticals | 241,741 | |||||||||||||||
|
| |||||||||||||||
TOTAL HEALTH CARE | 748,958 | |||||||||||||||
|
| |||||||||||||||
INDUSTRIALS - 3.4% | ||||||||||||||||
Aerospace & Defense - 1.3% | ||||||||||||||||
Boeing Co., Senior Notes | 1.433 | % | 2/4/24 | 10,000 | 9,734 | |||||||||||
Boeing Co., Senior Notes | 4.875 | % | 5/1/25 | 30,000 | 29,574 | |||||||||||
Boeing Co., Senior Notes | 2.196 | % | 2/4/26 | 100,000 | 91,781 | |||||||||||
Boeing Co., Senior Notes | 3.200 | % | 3/1/29 | 20,000 | 17,882 | |||||||||||
Boeing Co., Senior Notes | 5.150 | % | 5/1/30 | 30,000 | 29,711 | |||||||||||
Boeing Co., Senior Notes | 3.250 | % | 2/1/35 | 50,000 | 40,542 |
See Notes to Schedules of Investments.
18 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Aerospace & Defense - (continued) | ||||||||||||||||
Boeing Co., Senior Notes | 3.550 | % | 3/1/38 | 10,000 | $ | 7,779 | ||||||||||
Boeing Co., Senior Notes | 5.705 | % | 5/1/40 | 10,000 | 9,975 | |||||||||||
Boeing Co., Senior Notes | 5.805 | % | 5/1/50 | 60,000 | 59,781 | |||||||||||
Boeing Co., Senior Notes | 5.930 | % | 5/1/60 | 10,000 | 9,904 | |||||||||||
L3Harris Technologies Inc., Senior Notes | 4.854 | % | 4/27/35 | 10,000 | 9,603 | |||||||||||
Lockheed Martin Corp., Senior Notes | 4.150 | % | 6/15/53 | 40,000 | 35,214 | |||||||||||
Northrop Grumman Corp., Senior Notes | 3.250 | % | 1/15/28 | 30,000 | 27,977 | |||||||||||
Northrop Grumman Corp., Senior Notes | 5.250 | % | 5/1/50 | 50,000 | 50,814 | |||||||||||
Raytheon Technologies Corp., Senior Notes | 2.250 | % | 7/1/30 | 50,000 | 42,174 | |||||||||||
|
| |||||||||||||||
Total Aerospace & Defense | 472,445 | |||||||||||||||
|
| |||||||||||||||
Building Products - 0.0%†† | ||||||||||||||||
Carrier Global Corp., Senior Notes | 2.722 | % | 2/15/30 | 10,000 | 8,607 | |||||||||||
|
| |||||||||||||||
Ground Transportation - 0.1% | ||||||||||||||||
Canadian Pacific Railway Co., Senior Notes | 3.100 | % | 12/2/51 | 10,000 | 7,088 | |||||||||||
Union Pacific Corp., Senior Notes | 2.891 | % | 4/6/36 | 20,000 | 15,946 | |||||||||||
Union Pacific Corp., Senior Notes | 3.839 | % | 3/20/60 | 10,000 | 7,954 | |||||||||||
Union Pacific Corp., Senior Notes | 3.750 | % | 2/5/70 | 20,000 | 15,127 | |||||||||||
|
| |||||||||||||||
Total Ground Transportation | 46,115 | |||||||||||||||
|
| |||||||||||||||
Industrial Conglomerates - 0.1% | ||||||||||||||||
3M Co., Senior Notes | 3.050 | % | 4/15/30 | 20,000 | 18,020 | |||||||||||
3M Co., Senior Notes | 3.700 | % | 4/15/50 | 30,000 | 23,741 | |||||||||||
|
| |||||||||||||||
Total Industrial Conglomerates | 41,761 | |||||||||||||||
|
| |||||||||||||||
Machinery - 0.0%†† | ||||||||||||||||
Vertiv Group Corp., Senior Secured Notes | 4.125 | % | 11/15/28 | 10,000 | 9,010 | (a) | ||||||||||
|
| |||||||||||||||
Passenger Airlines - 1.1% | ||||||||||||||||
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | 4.750 | % | 10/20/28 | 80,000 | 77,655 | (a) | ||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes | 6.500 | % | 6/20/27 | 24,000 | 24,060 | (a) | ||||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | 8.000 | % | 9/20/25 | 82,000 | 82,619 | (a) | ||||||||||
United Airlines Inc., Senior Secured Notes | 4.625 | % | 4/15/29 | 240,000 | 218,680 | (a) | ||||||||||
|
| |||||||||||||||
Total Passenger Airlines | 403,014 | |||||||||||||||
|
| |||||||||||||||
Trading Companies & Distributors - 0.8% | ||||||||||||||||
Air Lease Corp., Senior Notes | 3.375 | % | 7/1/25 | 40,000 | 37,911 | |||||||||||
Air Lease Corp., Senior Notes | 5.300 | % | 2/1/28 | 20,000 | 19,625 | |||||||||||
H&E Equipment Services Inc., Senior Notes | 3.875 | % | 12/15/28 | 120,000 | 103,894 | (a) | ||||||||||
United Rentals North America Inc., Senior Notes | 3.875 | % | 2/15/31 | 160,000 | 138,528 | |||||||||||
|
| |||||||||||||||
Total Trading Companies & Distributors | 299,958 | |||||||||||||||
|
| |||||||||||||||
TOTAL INDUSTRIALS | 1,280,910 | |||||||||||||||
|
| |||||||||||||||
INFORMATION TECHNOLOGY - 0.7% | ||||||||||||||||
Semiconductors & Semiconductor Equipment - 0.4% | ||||||||||||||||
Broadcom Inc., Senior Notes | 3.137 | % | 11/15/35 | 60,000 | 46,023 | (a) | ||||||||||
Intel Corp., Senior Notes | 4.750 | % | 3/25/50 | 30,000 | 27,116 | |||||||||||
Intel Corp., Senior Notes | 3.050 | % | 8/12/51 | 10,000 | 6,701 | |||||||||||
Micron Technology Inc., Senior Notes | 5.875 | % | 2/9/33 | 50,000 | 49,750 |
See Notes to Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
19 |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Semiconductors & Semiconductor Equipment - (continued) | ||||||||||||||||
NVIDIA Corp., Senior Notes | 3.500 | % | 4/1/40 | 20,000 | $ | 17,122 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA Inc., Senior Notes | 2.700 | % | 5/1/25 | 20,000 | 18,955 | |||||||||||
|
| |||||||||||||||
Total Semiconductors & Semiconductor Equipment | 165,667 | |||||||||||||||
|
| |||||||||||||||
Software - 0.3% | ||||||||||||||||
Microsoft Corp., Senior Notes | 2.921 | % | 3/17/52 | 10,000 | 7,440 | |||||||||||
Oracle Corp., Senior Notes | 1.650 | % | 3/25/26 | 50,000 | 45,377 | |||||||||||
Oracle Corp., Senior Notes | 4.650 | % | 5/6/30 | 10,000 | 9,662 | |||||||||||
Oracle Corp., Senior Notes | 2.875 | % | 3/25/31 | 60,000 | 51,223 | |||||||||||
|
| |||||||||||||||
Total Software | 113,702 | |||||||||||||||
|
| |||||||||||||||
TOTAL INFORMATION TECHNOLOGY | 279,369 | |||||||||||||||
|
| |||||||||||||||
MATERIALS - 1.9% | ||||||||||||||||
Metals & Mining - 1.2% | ||||||||||||||||
Anglo American Capital PLC, Senior Notes | 4.000 | % | 9/11/27 | 200,000 | 188,000 | (a) | ||||||||||
Barrick North America Finance LLC, Senior Notes | 5.750 | % | 5/1/43 | 10,000 | 10,272 | |||||||||||
BHP Billiton Finance USA Ltd., Senior Notes | 5.000 | % | 9/30/43 | 10,000 | 10,003 | |||||||||||
Freeport-McMoRan Inc., Senior Notes | 4.625 | % | 8/1/30 | 40,000 | 37,690 | |||||||||||
Freeport-McMoRan Inc., Senior Notes | 5.450 | % | 3/15/43 | 75,000 | 69,933 | |||||||||||
Glencore Funding LLC, Senior Notes | 4.125 | % | 3/12/24 | 10,000 | 9,879 | (a) | ||||||||||
Glencore Funding LLC, Senior Notes | 4.000 | % | 3/27/27 | 100,000 | 95,310 | (a) | ||||||||||
Glencore Funding LLC, Senior Notes | 3.875 | % | 10/27/27 | 30,000 | 28,000 | (a) | ||||||||||
|
| |||||||||||||||
Total Metals & Mining | 449,087 | |||||||||||||||
|
| |||||||||||||||
Paper & Forest Products - 0.7% | ||||||||||||||||
Suzano Austria GmbH, Senior Notes | 3.125 | % | 1/15/32 | 330,000 | 264,126 | |||||||||||
|
| |||||||||||||||
TOTAL MATERIALS | 713,213 | |||||||||||||||
|
| |||||||||||||||
UTILITIES - 0.3% | ||||||||||||||||
Electric Utilities - 0.3% | ||||||||||||||||
American Transmission Systems Inc., Senior Notes | 2.650 | % | 1/15/32 | 130,000 | 107,501 | (a) | ||||||||||
Duke Energy Ohio Inc., First Mortgage Bonds | 3.650 | % | 2/1/29 | 20,000 | 18,576 | |||||||||||
|
| |||||||||||||||
TOTAL UTILITIES | 126,077 | |||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $13,758,772) | 12,761,239 | |||||||||||||||
|
| |||||||||||||||
MORTGAGE-BACKED SECURITIES - 31.2% | ||||||||||||||||
FHLMC - 6.0% | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 3.500 | % | 1/1/38-4/1/52 | 290,043 | 268,483 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 1.500 | % | 5/1/41-10/1/41 | 204,923 | 166,379 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 4.500 | % | 5/1/47-7/1/49 | 71,744 | 70,297 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 2.872 | % | 11/1/47 | 57,242 | 54,155 | (d) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 3.005 | % | 11/1/48 | 128,955 | 120,781 | (d) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 5.000 | % | 11/1/49 | 88,288 | 87,543 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 3.098 | % | 2/1/50 | 69,060 | 65,434 | (d) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 2.500 | % | 7/1/50-4/1/52 | 1,477,992 | 1,261,902 |
See Notes to Schedules of Investments.
20 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
FHLMC - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 2.000 | % | 11/1/51 | 91,773 | $ | 74,964 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 6.000 | % | 3/1/53 | 97,390 | 98,243 | |||||||||||
|
| |||||||||||||||
Total FHLMC | 2,268,181 | |||||||||||||||
|
| |||||||||||||||
FNMA - 16.9% | ||||||||||||||||
Federal National Mortgage Association (FNMA) | 3.160 | % | 5/1/29 | 9,450 | 8,748 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.930 | % | 6/1/30 | 18,843 | 17,345 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.149 | % | 2/1/32 | 19,905 | 16,576 | (d) | ||||||||||
Federal National Mortgage Association (FNMA) | 3.500 | % | 12/1/34-6/1/49 | 415,490 | 385,164 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.789 | % | 1/1/35 | 49,024 | 41,865 | (d) | ||||||||||
Federal National Mortgage Association (FNMA) | 3.000 | % | 7/1/35-2/1/52 | 565,473 | 508,034 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.500 | % | 9/1/36-7/1/61 | 851,625 | 727,081 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.000 | % | 3/1/41-4/1/51 | 1,871,102 | 1,537,977 | |||||||||||
Federal National Mortgage Association (FNMA) | 4.500 | % | 2/1/48-1/1/59 | 62,573 | 60,741 | |||||||||||
Federal National Mortgage Association (FNMA) | 4.000 | % | 9/1/48-1/1/49 | 386,807 | 368,109 | |||||||||||
Federal National Mortgage Association (FNMA) | 3.000 | % | 7/1/51 | 900,000 | 792,035 | (e) | ||||||||||
Federal National Mortgage Association (FNMA) | 3.500 | % | 7/1/51 | 300,000 | 273,363 | (e) | ||||||||||
Federal National Mortgage Association (FNMA) | 4.000 | % | 7/1/51 | 300,000 | 281,520 | (e) | ||||||||||
Federal National Mortgage Association (FNMA) | 4.500 | % | 7/1/51 | 500,000 | 480,703 | (e) | ||||||||||
Federal National Mortgage Association (FNMA) | 5.000 | % | 7/1/51 | 300,000 | 293,953 | (e) | ||||||||||
Federal National Mortgage Association (FNMA) | 5.500 | % | 7/1/51 | 200,000 | 199,031 | (e) | ||||||||||
Federal National Mortgage Association (FNMA) | 6.000 | % | 7/1/51 | 100,000 | 100,883 | (e) | ||||||||||
Federal National Mortgage Association (FNMA) | 6.500 | % | 7/1/51 | 200,000 | 204,203 | (e) | ||||||||||
Federal National Mortgage Association (FNMA) | 1.500 | % | 7/15/53 | 100,000 | 77,262 | (e) | ||||||||||
|
| |||||||||||||||
Total FNMA | 6,374,593 | |||||||||||||||
|
| |||||||||||||||
GNMA - 8.3% | ||||||||||||||||
Government National Mortgage Association (GNMA) | 3.000 | % | 10/15/42 | 44,012 | 40,081 | |||||||||||
Government National Mortgage Association (GNMA) II | 3.500 | % | 2/20/46-4/20/52 | 381,916 | 356,660 | |||||||||||
Government National Mortgage Association (GNMA) II | 4.500 | % | 4/20/48-4/20/50 | 166,499 | 162,711 | |||||||||||
Government National Mortgage Association (GNMA) II | 5.000 | % | 11/20/48 | 24,102 | 24,049 | |||||||||||
Government National Mortgage Association (GNMA) II | 3.000 | % | 1/20/50-2/20/50 | 468,844 | 419,327 | |||||||||||
Government National Mortgage Association (GNMA) II | 4.000 | % | 4/20/50 | 32,611 | 31,111 | |||||||||||
Government National Mortgage Association (GNMA) II | 2.500 | % | 3/20/51-12/20/51 | 671,335 | 583,030 | |||||||||||
Government National Mortgage Association (GNMA) II | 2.000 | % | 7/1/51 | 300,000 | 252,129 | (e) | ||||||||||
Government National Mortgage Association (GNMA) II | 2.500 | % | 7/1/51 | 100,000 | 86,586 | (e) | ||||||||||
Government National Mortgage Association (GNMA) II | 3.500 | % | 7/1/51 | 100,000 | 92,293 | (e) | ||||||||||
Government National Mortgage Association (GNMA) II | 4.000 | % | 7/1/51 | 300,000 | 283,863 | (e) | ||||||||||
Government National Mortgage Association (GNMA) II | 4.500 | % | 7/1/51 | 200,000 | 193,031 | (e) |
See Notes to Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
21 |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
GNMA - (continued) | ||||||||||||||||
Government National Mortgage Association (GNMA) II | 5.000 | % | 7/1/51 | 300,000 | $ | 294,797 | (e) | |||||||||
Government National Mortgage Association (GNMA) II | 5.500 | % | 7/1/51 | 200,000 | 199,062 | (e) | ||||||||||
Government National Mortgage Association (GNMA) II | 6.000 | % | 7/1/51 | 100,000 | 100,664 | (e) | ||||||||||
|
| |||||||||||||||
Total GNMA | 3,119,394 | |||||||||||||||
|
| |||||||||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost - $12,210,485) | 11,762,168 | |||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 9.6% | ||||||||||||||||
U.S. Government Obligations - 9.6% | ||||||||||||||||
U.S. Treasury Bonds | 3.875 | % | 2/15/43 | 10,000 | 9,750 | |||||||||||
U.S. Treasury Bonds | 3.625 | % | 8/15/43 | 30,000 | 28,159 | |||||||||||
U.S. Treasury Bonds | 3.000 | % | 8/15/52 | 270,000 | 229,563 | |||||||||||
U.S. Treasury Bonds | 3.625 | % | 2/15/53 | 1,600,000 | 1,535,500 | |||||||||||
U.S. Treasury Notes | 3.625 | % | 3/31/28 | 20,000 | 19,534 | |||||||||||
U.S. Treasury Notes | 3.625 | % | 4/30/28 | 890,000 | 864,830 | |||||||||||
U.S. Treasury Notes | 3.625 | % | 5/31/28 | 90,000 | 88,031 | |||||||||||
U.S. Treasury Notes | 3.750 | % | 5/31/30 | 160,000 | 157,775 | |||||||||||
U.S. Treasury Notes | 3.500 | % | 2/15/33 | 700,000 | 681,844 | |||||||||||
U.S. Treasury Notes | 3.375 | % | 5/15/33 | 10,000 | 9,644 | |||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $3,682,621) |
| 3,624,630 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS - 9.1% | ||||||||||||||||
Argentina - 0.1% | ||||||||||||||||
Argentine Republic Government International Bond, Senior Notes | 1.000 | % | 7/9/29 | 4,443 | 1,438 | |||||||||||
Argentine Republic Government International Bond, Senior Notes, Step bond (0.500% to 7/9/23, 0.750% to 7/9/27 then 1.750%) | 0.500 | % | 7/9/30 | 113,500 | 37,690 | |||||||||||
Provincia de Buenos Aires/Government Bonds, Senior Notes, Step bond (5.250% to 9/1/23, 6.375% to 9/1/24 then 6.625%) | 5.250 | % | 9/1/37 | 18,600 | 7,068 | (a) | ||||||||||
Provincia de Buenos Aires/Government Bonds, Senior Notes, Step bond (5.250% to 9/1/23, 6.375% to 9/1/24 then 6.625%) | 5.250 | % | 9/1/37 | 10,000 | 3,800 | (b) | ||||||||||
|
| |||||||||||||||
Total Argentina | 49,996 | |||||||||||||||
|
| |||||||||||||||
Brazil - 2.1% | ||||||||||||||||
Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000 | % | 1/1/27 | 1,684,000 | BRL | 346,992 | ||||||||||
Brazilian Government International Bond, Senior Notes | 5.000 | % | 1/27/45 | 550,000 | 428,137 | |||||||||||
|
| |||||||||||||||
Total Brazil | 775,129 | |||||||||||||||
|
| |||||||||||||||
Colombia - 0.6% | ||||||||||||||||
Colombia Government International Bond, Senior Notes | 5.000 | % | 6/15/45 | 330,000 | 229,117 | |||||||||||
|
| |||||||||||||||
Indonesia - 1.7% | ||||||||||||||||
Indonesia Treasury Bond | 6.500 | % | 2/15/31 | 8,109,000,000 | IDR | 544,950 | ||||||||||
Indonesia Treasury Bond | 6.375 | % | 4/15/32 | 959,000,000 | IDR | 64,146 | ||||||||||
Indonesia Treasury Bond | 7.500 | % | 6/15/35 | 330,000,000 | IDR | 23,835 | ||||||||||
|
| |||||||||||||||
Total Indonesia | 632,931 | |||||||||||||||
|
| |||||||||||||||
Mexico - 3.7% | ||||||||||||||||
Mexican Bonos, Senior Notes | 7.750 | % | 11/13/42 | 16,730,000 | MXN | 874,870 | ||||||||||
Mexico Government International Bond, Senior Notes | 4.750 | % | 3/8/44 | 610,000 | 520,974 | |||||||||||
|
| |||||||||||||||
Total Mexico | 1,395,844 | |||||||||||||||
|
|
See Notes to Schedules of Investments.
22 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Russia - 0.3% | ||||||||||||||||
Russian Federal Bond - OFZ | 6.000 | % | 10/6/27 | 1,190,000 | RUB | $ | 665 | *(f)(g) | ||||||||
Russian Federal Bond - OFZ | 7.650 | % | 4/10/30 | 34,430,000 | RUB | 128,872 | *(f)(g) | |||||||||
Russian Federal Bond - OFZ | 7.250 | % | 5/10/34 | 240,000 | RUB | 898 | *(f)(g) | |||||||||
|
| |||||||||||||||
Total Russia | 130,435 | |||||||||||||||
|
| |||||||||||||||
South Africa - 0.6% | ||||||||||||||||
Republic of South Africa Government Bond, Senior Notes | 6.250 | % | 3/31/36 | 6,310,000 | ZAR | 213,003 | ||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS (Cost - $4,144,085) | 3,426,455 | |||||||||||||||
|
| |||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(h) - 9.0% | ||||||||||||||||
Alternative Loan Trust, 2005-81 A1 (1 mo. USD LIBOR + 0.560%) | 5.710 | % | 2/25/37 | 131,399 | 108,170 | (d) | ||||||||||
BANK, 2023-BNK45 A5 | 5.203 | % | 2/15/56 | 100,000 | 99,370 | |||||||||||
BLP Commercial Mortgage Trust, 2023-IND A (1 mo. Term SOFR + 1.692%) | 6.839 | % | 3/15/40 | 100,000 | 98,509 | (a)(d) | ||||||||||
BRAVO Residential Funding Trust, 2023-NQM4 A1 | 6.435 | % | 5/25/63 | 100,000 | 99,704 | (a) | ||||||||||
BWAY Mortgage Trust, 2015-1740 E | 4.806 | % | 1/10/35 | 500,000 | 150,355 | (a)(d)(i) | ||||||||||
BX Commercial Mortgage Trust, 2023-VLT2 A (1 mo. Term SOFR + 2.281%) | 7.428 | % | 6/15/40 | 100,000 | 99,624 | (a)(d) | ||||||||||
BX Trust, 2021-RISE A (1 mo. USD LIBOR + 0.748%) | 5.941 | % | 11/15/36 | 100,000 | 97,303 | (a)(d) | ||||||||||
BX Trust, 2022-PSB A (1 mo. Term SOFR + 2.451%) | 7.598 | % | 8/15/39 | 98,188 | 97,915 | (a)(d) | ||||||||||
BX Trust, 2023-DELC A (1 mo. Term SOFR + 2.690%) | 7.690 | % | 5/15/38 | 100,000 | 99,749 | (a)(d) | ||||||||||
CSMC Trust, 2021-NQM6 A3 | 1.585 | % | 7/25/66 | 187,994 | 146,141 | (a)(d) | ||||||||||
Deephaven Residential Mortgage Trust, 2022-1 A2 | 2.961 | % | 1/25/67 | 240,000 | 182,128 | (a)(d) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K153 X1, IO | 0.600 | % | 12/25/32 | 3,000,000 | 108,958 | (d) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5010 IK, IO | 2.500 | % | 9/25/50 | 66,716 | 9,696 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5010 JI, IO | 2.500 | % | 9/25/50 | 80,303 | 12,495 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5018 MI, IO | 2.000 | % | 10/25/50 | 84,399 | 11,112 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5140 NI, IO | 2.500 | % | 5/25/49 | 88,890 | 12,292 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA3 M1A (30 Day Average SOFR + 2.000%) | 7.067 | % | 4/25/42 | 82,269 | 82,500 | (a)(d) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2014-C01 M2 (1 mo. USD LIBOR + 4.400%) | 9.550 | % | 1/25/24 | 38,056 | 38,723 | (d) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2014-C02 1M2 (1 mo. USD LIBOR + 2.600%) | 7.750 | % | 5/25/24 | 81,380 | 81,787 | (d) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2015-C03 1M2 (1 mo. USD LIBOR + 5.000%) | 10.150 | % | 7/25/25 | 15,733 | 16,513 | (a)(d) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2019-R07 1M2 (1 mo. USD LIBOR + 2.100%) | 7.250 | % | 10/25/39 | 15,080 | 15,104 | (a)(d) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2022-R07 1M1 (30 Day Average SOFR + 2.950%) | 8.017 | % | 6/25/42 | 88,927 | 91,030 | (a)(d) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2018-M9 APT2 | 3.209 | % | 4/25/28 | 82,491 | 77,208 | (d) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-74 EI, IO | 2.500 | % | 10/25/50 | 76,087 | 12,046 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-89 DI, IO | 2.500 | % | 12/25/50 | 227,829 | 33,400 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-1 IG, IO | 2.500 | % | 2/25/51 | 171,245 | 27,979 | |||||||||||
Government National Mortgage Association (GNMA), 2013-50 IO, IO | 0.062 | % | 10/16/48 | 4,546,140 | 6,135 | (d) | ||||||||||
Government National Mortgage Association (GNMA), 2014-17 AM | 3.537 | % | 6/16/48 | 46,841 | 44,058 | (d) | ||||||||||
Government National Mortgage Association (GNMA), 2016-14 H | 2.850 | % | 3/16/57 | 252,529 | 216,346 | |||||||||||
Government National Mortgage Association (GNMA), 2020-103 AD | 1.450 | % | 1/16/63 | 58,737 | 44,993 | |||||||||||
Government National Mortgage Association (GNMA), 2020-123 NI, IO | 2.500 | % | 8/20/50 | 77,884 | 10,732 | |||||||||||
Government National Mortgage Association (GNMA), 2020-160 YI, IO | 2.500 | % | 10/20/50 | 159,560 | 21,088 |
See Notes to Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
23 |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(h) - (continued) | ||||||||||||||||
Government National Mortgage Association (GNMA), 2020-181 WI, IO | 2.000 | % | 12/20/50 | 379,382 | $ | 40,177 | ||||||||||
Government National Mortgage Association (GNMA), 2020-H13 FM (1 mo. USD LIBOR + 0.400%) | 5.494 | % | 8/20/70 | 140,194 | 138,835 | (d) | ||||||||||
Government National Mortgage Association (GNMA), 2022-3 IO, IO | 0.640 | % | 2/16/61 | 97,399 | 4,802 | (d) | ||||||||||
Government National Mortgage Association (GNMA), 2022-63 LM | 3.500 | % | 10/20/50 | 100,000 | 84,190 | |||||||||||
GS Mortgage Securities Corp. Trust, 2018-SRP5 C (1 mo. USD LIBOR + 4.250%) | 9.443 | % | 9/15/31 | 360,040 | 133,327 | (a)(d) | ||||||||||
Impac CMB Trust, 2005-7 A1 (1 mo. USD LIBOR + 0.520%) | 5.670 | % | 11/25/35 | 117,642 | 100,935 | (d) | ||||||||||
IndyMac INDX Mortgage Loan Trust, 2005-AR10 A1 (1 mo. USD LIBOR + 0.520%) | 5.670 | % | 6/25/35 | 165,224 | 131,630 | (d) | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, 2016-C30 A4 | 2.600 | % | 9/15/49 | 98,216 | 89,929 | |||||||||||
NADG NNN Operating LP, 2019-1 A | 3.368 | % | 12/28/49 | 146,047 | 136,094 | (a) | ||||||||||
New Residential Mortgage Loan Trust, 2019-RPL3 A1 | 2.750 | % | 7/25/59 | 116,696 | 107,568 | (a)(d) | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR8 2A1A (1 mo. USD LIBOR + 0.580%) | 5.730 | % | 7/25/45 | 44,445 | 41,187 | (d) | ||||||||||
Wells Fargo Commercial Mortgage Trust, 2017-C38 A4 | 3.190 | % | 7/15/50 | 103,436 | 94,423 | |||||||||||
Wells Fargo Commercial Mortgage Trust, 2017-C41 B | 4.188 | % | 11/15/50 | 70,000 | 57,812 | (d) | ||||||||||
|
| |||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $4,360,055) | 3,414,072 | |||||||||||||||
|
| |||||||||||||||
ASSET-BACKED SECURITIES - 5.1% | ||||||||||||||||
Allegany Park CLO Ltd., 2019-1A CR (3 mo. Term SOFR + 2.050%) | 7.098 | % | 1/20/35 | 250,000 | 232,133 | (a)(d) | ||||||||||
ECMC Group Student Loan Trust, 2020-2A A (1 mo. USD LIBOR + 1.150%) | 6.300 | % | 11/25/69 | 125,896 | 124,099 | (a)(d) | ||||||||||
Grippen Park CLO Ltd., 2017-1A E (3 mo. USD LIBOR + 5.700%) | 10.950 | % | 1/20/30 | 250,000 | 218,331 | (a)(d) | ||||||||||
Halsey Point CLO Ltd., 2019-1A E (3 mo. USD LIBOR + 7.700%) | 12.950 | % | 1/20/33 | 300,000 | 276,925 | (a)(d) | ||||||||||
Hildene Community Funding CDO Ltd., 2015-1A ARR | 2.600 | % | 11/1/35 | 127,057 | 102,181 | (a) | ||||||||||
Loanpal Solar Loan Ltd., 2021-2GS A | 2.220 | % | 3/20/48 | 226,467 | 164,097 | (a) | ||||||||||
MF1 LLC, 2022-FL10 A (1 mo. Term SOFR + 2.635%) | 7.711 | % | 9/17/37 | 100,000 | 100,062 | (a)(d) | ||||||||||
Morgan Stanley ABS Capital Inc. Trust, 2004-NC7 M1 (1 mo. USD LIBOR + 0.855%) | 6.005 | % | 7/25/34 | 59,964 | 55,990 | (d) | ||||||||||
Morgan Stanley ABS Capital Inc. Trust, 2004-NC8 M1 (1 mo. USD LIBOR + 0.915%) | 6.065 | % | 9/25/34 | 144,798 | 138,774 | (d) | ||||||||||
Nelnet Student Loan Trust, 2013-1A A (1 mo. USD LIBOR + 0.600%) | 5.750 | % | 6/25/41 | 37,694 | 36,863 | (a)(d) | ||||||||||
Sierra Timeshare Receivables Funding LLC, 2021-2A A | 1.350 | % | 9/20/38 | 86,164 | 79,373 | (a) | ||||||||||
SMB Private Education Loan Trust, 2018-C A2A | 3.630 | % | 11/15/35 | 50,543 | 48,119 | (a) | ||||||||||
SMB Private Education Loan Trust, 2018-C A2B (1 mo. USD LIBOR + 0.750%) | 5.943 | % | 11/15/35 | 106,182 | 104,866 | (a)(d) | ||||||||||
SMB Private Education Loan Trust, 2019-B A2B (1 mo. USD LIBOR + 1.000%) | 6.193 | % | 6/15/37 | 50,844 | 50,218 | (a)(d) | ||||||||||
Structured Asset Investment Loan Trust, 2005-HE1 M2 (1 mo. USD LIBOR + 0.720%) | 5.870 | % | 7/25/35 | 199,619 | 185,832 | (d) | ||||||||||
United States Small Business Administration, 2019-20D 1 | 2.980 | % | 4/1/39 | 20,506 | 18,651 | |||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES (Cost - $2,120,924) | 1,936,514 | |||||||||||||||
|
| |||||||||||||||
SENIOR LOANS - 2.1% | ||||||||||||||||
COMMUNICATION SERVICES - 0.3% | ||||||||||||||||
Entertainment - 0.1% | ||||||||||||||||
UFC Holdings LLC, Term Loan B3 (3 mo. USD LIBOR + 2.750%) | 8.050 | % | 4/29/26 | 49,840 | 49,750 | (d)(j)(k) | ||||||||||
|
|
See Notes to Schedules of Investments.
24 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d)
| June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Media - 0.2% | ||||||||||||||||
Nexstar Media Inc., Term Loan B4 (1 mo. Term SOFR + 2.500%) | 7.717 | % | 9/18/26 | 50,324 | $ | 50,234 | (d)(j)(k) | |||||||||
Virgin Media Bristol LLC, Term Loan Facility Q (1 mo. USD LIBOR + 3.250%) | 8.443 | % | 1/31/29 | 20,000 | 19,893 | (d)(j)(k) | ||||||||||
|
| |||||||||||||||
Total Media | 70,127 | |||||||||||||||
|
| |||||||||||||||
TOTAL COMMUNICATION SERVICES | 119,877 | |||||||||||||||
|
| |||||||||||||||
CONSUMER DISCRETIONARY - 0.2% | ||||||||||||||||
Automobile Components - 0.0%†† | ||||||||||||||||
Clarios Global LP, 2023 Term Loan (1 mo. Term SOFR + 3.750%) | 8.852 | % | 5/6/30 | 10,000 | 9,965 | (d)(j)(k) | ||||||||||
|
| |||||||||||||||
Hotels, Restaurants & Leisure - 0.0%†† | ||||||||||||||||
Caesars Entertainment, Inc., Term Loan B (1 mo. Term SOFR + 3.350%) | 8.452 | % | 2/6/30 | 9,975 | 9,966 | (d)(j)(k) | ||||||||||
|
| |||||||||||||||
Specialty Retail - 0.2% | ||||||||||||||||
Harbor Freight Tools USA Inc., 2021 Refinancing Term Loan (1 mo. Term SOFR + 2.750%) | 7.967 | % | 10/19/27 | 55,503 | 54,678 | (d)(j)(k) | ||||||||||
|
| |||||||||||||||
TOTAL CONSUMER DISCRETIONARY | 74,609 | |||||||||||||||
|
| |||||||||||||||
CONSUMER STAPLES - 0.1% | ||||||||||||||||
Household Products - 0.1% | ||||||||||||||||
Energizer Holdings Inc., Term Loan (1 mo. Term SOFR + 2.364%) | 7.442 | % | 12/22/27 | 15,512 | 15,405 | (d)(j)(k) | ||||||||||
|
| |||||||||||||||
FINANCIALS - 0.3% | ||||||||||||||||
Financial Services - 0.1% | ||||||||||||||||
Castlelake Aviation One Designated Activity Co., Initial Term Loan (3 mo. USD LIBOR + 2.750%) | 8.302 | % | 10/22/26 | 18,782 | 18,673 | (d)(j)(k) | ||||||||||
Citadel Securities LP, 2021 Term Loan (1 mo. Term SOFR + 2.614%) | 7.717 | % | 2/2/28 | 31,419 | 31,355 | (d)(j)(k) | ||||||||||
|
| |||||||||||||||
Total Financial Services | 50,028 | |||||||||||||||
|
| |||||||||||||||
Insurance - 0.0%†† | ||||||||||||||||
AmWINS Group Inc., 2023 Incremental Term Loan (1 mo. Term SOFR + 2.850%) | 7.952 | % | 2/19/28 | 9,950 | 9,915 | (d)(j)(k) | ||||||||||
|
| |||||||||||||||
Mortgage Real Estate Investment Trusts (REITs) - 0.2% | ||||||||||||||||
Apollo Commercial Real Estate Finance Inc., Initial Term Loan (1 mo. Term SOFR + 2.864%) | 7.967 | % | 5/15/26 | 55,698 | 52,217 | (d)(g)(j)(k) | ||||||||||
|
| |||||||||||||||
TOTAL FINANCIALS | 112,160 | |||||||||||||||
|
| |||||||||||||||
HEALTH CARE - 0.4% | ||||||||||||||||
Health Care Equipment & Supplies - 0.1% | ||||||||||||||||
Medline Borrower LP, Initial Dollar Term Loan (1 mo. Term SOFR + 3.250%) | 8.352 | % | 10/23/28 | 39,899 | 39,413 | (d)(j)(k) | ||||||||||
|
| |||||||||||||||
Health Care Providers & Services - 0.3% | ||||||||||||||||
Global Medical Response Inc., 2020 Term Loan (1 mo. USD LIBOR + 4.250%) | 9.439 | % | 10/2/25 | 87,750 | 48,877 | (d)(j)(k) | ||||||||||
Sotera Health Holdings LLC, Term Loan (3 mo. USD LIBOR + 2.750%) | 8.023 | % | 12/11/26 | 50,000 | 49,156 | (d)(j)(k) | ||||||||||
|
| |||||||||||||||
Total Health Care Providers & Services | 98,033 | |||||||||||||||
|
| |||||||||||||||
TOTAL HEALTH CARE | 137,446 | |||||||||||||||
|
| |||||||||||||||
INDUSTRIALS - 0.6% | ||||||||||||||||
Building Products - 0.1% | ||||||||||||||||
Quikrete Holdings Inc., Fourth Amendment Term Loan B1 (1 mo. Term SOFR + 3.000%) | 8.217 | % | 3/19/29 | 19,899 | 19,905 | (d)(j)(k) | ||||||||||
|
|
See Notes to Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
25 |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||||||
Commercial Services & Supplies - 0.2% |
| |||||||||||||||||||
Ali Group North America Corp., Initial Term Loan B (1 mo. Term SOFR + 2.114%) | 7.217 | % | 7/30/29 | 42,111 | $ | 42,080 | (d)(j)(k) | |||||||||||||
Mister Car Wash Holdings Inc., First Lien Initial Term Loan (3 mo. Term SOFR + 3.000%) | 8.325 | % | 5/14/26 | 51,586 | 51,481 | (d)(j)(k) | ||||||||||||||
|
| |||||||||||||||||||
Total Commercial Services & Supplies |
| 93,561 | ||||||||||||||||||
|
| |||||||||||||||||||
Construction & Engineering - 0.1% | ||||||||||||||||||||
KKR Apple Bidco LLC, Initial Term Loan (1 mo. Term SOFR + 2.750%) | 7.967 | % | 9/22/28 | 39,798 | 39,414 | (d)(j)(k) | ||||||||||||||
|
| |||||||||||||||||||
Passenger Airlines - 0.2% | ||||||||||||||||||||
Air Canada, Term Loan (3 mo. USD LIBOR + 3.500%) | 8.839 | % | 8/11/28 | 39,600 | 39,543 | (d)(j)(k) | ||||||||||||||
Delta Air Lines Inc., Initial Term Loan (3 mo. Term SOFR + 3.750%) | 8.798 | % | 10/20/27 | 45,000 | 46,698 | (d)(j)(k) | ||||||||||||||
|
| |||||||||||||||||||
Total Passenger Airlines | 86,241 | |||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INDUSTRIALS | 239,121 | |||||||||||||||||||
|
| |||||||||||||||||||
INFORMATION TECHNOLOGY - 0.2% | ||||||||||||||||||||
Electronic Equipment, Instruments & Components - 0.1% |
| |||||||||||||||||||
II-VI Inc., Term Loan B (1 mo. Term SOFR + 2.864%) | 7.967 | % | 7/2/29 | 45,833 | 45,661 | (d)(j)(k) | ||||||||||||||
|
| |||||||||||||||||||
Software - 0.1% | ||||||||||||||||||||
Cloudera Inc., Term Loan (1 mo. Term SOFR + 3.850%) | 8.952 | % | 10/8/28 | 35,510 | 34,578 | (d)(j)(k) | ||||||||||||||
|
| |||||||||||||||||||
TOTAL INFORMATION TECHNOLOGY |
| 80,239 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL SENIOR LOANS (Cost - $819,024) |
| 778,857 | ||||||||||||||||||
|
| |||||||||||||||||||
U.S. TREASURY INFLATION PROTECTED SECURITIES - 1.0% |
| |||||||||||||||||||
U.S. Treasury Notes, Inflation Indexed (Cost - $384,372) | 1.125 | % | 1/15/33 | 380,000 | 370,630 | |||||||||||||||
|
| |||||||||||||||||||
EXPIRATION DATE | CONTRACTS | NOTIONAL AMOUNT† | ||||||||||||||||||
PURCHASED OPTIONS - 0.2% | ||||||||||||||||||||
EXCHANGE-TRADED PURCHASED OPTIONS - 0.2% |
| |||||||||||||||||||
SOFR 1-Year Mid-Curve Futures, Call @ $96.750 | 9/15/23 | 36 | 90,000 | 5,400 | ||||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put @ $95.250 | 7/14/23 | 70 | 175,000 | 6,125 | ||||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put @ $95.375 | 7/14/23 | 16 | 40,000 | 2,400 | ||||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put @ $97.000 | 10/13/23 | 7 | 17,500 | 19,338 | ||||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put @ $95.875 | 12/15/23 | 6 | 15,000 | 6,263 | ||||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put @ $96.000 | 12/15/23 | 14 | 35,000 | 16,800 | ||||||||||||||||
U.S. Treasury 5-Year Notes Futures, Put @ $107.250 | 7/7/23 | 16 | 16,000 | 6,375 | ||||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call @ $115.000 | 7/21/23 | 30 | 30,000 | 2,344 | ||||||||||||||||
U.S. Treasury 10-Year Notes Futures, Put @ $111.500 | 7/21/23 | 30 | 30,000 | 11,719 | ||||||||||||||||
|
| |||||||||||||||||||
TOTAL EXCHANGE-TRADED PURCHASED OPTIONS (Cost - $58,591) |
| 76,764 | ||||||||||||||||||
|
| |||||||||||||||||||
COUNTERPARTY | ||||||||||||||||||||
OTC PURCHASED OPTIONS - 0.0%†† | ||||||||||||||||||||
Credit default swaption to sell protection on Markit CDX.NA.HY.38 Index, Call @ 102.000bps | BNP Paribas SA | 9/21/23 | 1,610,000 | 1,610,000 | 14,449 | |||||||||||||||
U.S. Dollar/Euro, Put @ $1.160 | | Goldman Sachs Group Inc. | | 9/1/23 | 620,000 | 620,000 | 111 | |||||||||||||
|
| |||||||||||||||||||
TOTAL OTC PURCHASED OPTIONS (Cost - $12,744) |
| 14,560 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL PURCHASED OPTIONS (Cost - $71,335) |
| 91,324 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $41,551,673) |
| 38,165,889 | ||||||||||||||||||
|
|
See Notes to Schedules of Investments.
26 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 | |
(Percentages shown based on Fund net assets) |
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||||||
SHORT-TERM INVESTMENTS - 11.6% | ||||||||||||||||||||
COMMERCIAL PAPER - 6.7% | ||||||||||||||||||||
Federal Home Loan Bank (FHLB), Discount Notes | 4.740 | % | 8/16/23 | 2,250,000 | $ | 2,236,622 | (l) | |||||||||||||
Federal Home Loan Bank (FHLB), Discount Notes | 4.959 | % | 9/29/23 | 110,000 | 108,681 | (l) | ||||||||||||||
Federal Home Loan Bank (FHLB), Discount Notes | 5.012 | % | 10/10/23 | 190,000 | 187,421 | (l) | ||||||||||||||
|
| |||||||||||||||||||
TOTAL COMMERCIAL PAPER (Cost - $2,531,351) | 2,532,724 | |||||||||||||||||||
|
| |||||||||||||||||||
U.S. TREASURY BILLS - 3.0% | ||||||||||||||||||||
U.S. Treasury Bills | 5.110 | % | 8/24/23 | 100,000 | 99,252 | (l) | ||||||||||||||
U.S. Treasury Bills | 5.240 | % | 10/3/23 | 560,000 | 552,605 | (l) | ||||||||||||||
U.S. Treasury Bills | 5.279 | % | 10/12/23 | 200,000 | 197,090 | (l) | ||||||||||||||
U.S. Treasury Bills | 5.325 | % | 10/24/23 | 290,000 | 285,257 | (l) | ||||||||||||||
|
| |||||||||||||||||||
TOTAL U.S. TREASURY BILLS (Cost - $1,133,589) | 1,134,204 | |||||||||||||||||||
|
| |||||||||||||||||||
SHARES | ||||||||||||||||||||
OVERNIGHT DEPOSITS - 1.9% | ||||||||||||||||||||
BNY Mellon Cash Reserve Fund (Cost - $694,695) |
| 2.250 | % |
| 694,695 |
|
| 694,695 | (m) | |||||||||||
|
| |||||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | 4,361,623 | |||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS - 112.7% | 42,527,512 | |||||||||||||||||||
Liabilities in Excess of Other Assets - (12.7)% | (4,789,687 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL NET ASSETS - 100.0% | $ | 37,737,825 | ||||||||||||||||||
|
|
† | Face amount/notional amount denominated in U.S. dollars, unless otherwise noted. |
†† | Represents less than 0.1%. |
* | Non-income producing security. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of 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) | Security has no maturity date. The date shown represents the next call date. |
(d) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(e) | This security is traded on a to-be-announced (“TBA”) basis. At June 30, 2023, the Fund held TBA securities with a total cost of $4,234,313. |
(f) | The coupon payment on this security is currently in default as of June 30, 2023. |
(g) | Security is valued using significant unobservable inputs (Note 1). |
(h) | 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. |
(i) | Security is valued in good faith in accordance with procedures approved by the Board of Trustees (Note 1). |
(j) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
(k) | 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. |
(l) | Rate shown represents yield-to-maturity. |
(m) | Rate shown is one-day yield as of the end of the reporting period. |
See Notes to Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
27 |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 |
Abbreviation(s) used in this schedule:
ACES | — Alternative Credit Enhancement Securities | |
bps | — basis point spread (100 basis points = 1.00%) | |
BRL | — Brazilian Real | |
CAS | — Connecticut Avenue Securities | |
CDO | — Collateralized Debt Obligation | |
CLO | — Collateralized Loan Obligation | |
ICE | — Intercontinental Exchange | |
IDR | — Indonesian Rupiah | |
IO | — Interest Only | |
LIBOR | — London Interbank Offered Rate | |
MXN | — Mexican Peso | |
OFZ | — Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation) | |
REMIC | — Real Estate Mortgage Investment Conduit | |
RUB | — Russian Ruble | |
SOFR | — Secured Overnight Financing Rate | |
USD | — United States Dollar | |
ZAR | — South African Rand |
At June 30, 2023, the Fund had the following written options contracts:
EXCHANGE-TRADED WRITTEN OPTIONS |
| |||||||||||||||||||||||
SECURITY | EXPIRATION DATE | STRIKE PRICE | CONTRACTS | NOTIONAL AMOUNT | VALUE | |||||||||||||||||||
3-Month SOFR Futures, Call | 9/15/23 | $ | 98.250 | 71 | $ | 177,500 | $ | (888 | ) | |||||||||||||||
3-Month SOFR Futures, Call | 9/15/23 | 98.750 | 215 | 537,500 | (1,344 | ) | ||||||||||||||||||
3-Month SOFR Futures, Call | 6/14/24 | 96.250 | 47 | 117,500 | (37,012 | ) | ||||||||||||||||||
3-Month SOFR Futures, Call | 6/14/24 | 97.500 | 95 | 237,500 | (31,469 | ) | ||||||||||||||||||
3-Month SOFR Futures, Call | 6/14/24 | 98.000 | 14 | 35,000 | (3,150 | ) | ||||||||||||||||||
3-Month SOFR Futures, Call | 9/13/24 | 97.000 | 12 | 30,000 | (8,475 | ) | ||||||||||||||||||
3-Month SOFR Futures, Put | 12/15/23 | 94.250 | 73 | 182,500 | (13,687 | ) | ||||||||||||||||||
3-Month SOFR Futures, Put | 6/14/24 | 94.500 | 46 | 115,000 | (28,462 | ) | ||||||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put | 10/13/23 | 96.250 | 7 | 17,500 | (9,450 | ) | ||||||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put | 10/13/23 | 96.500 | 7 | 17,500 | (12,425 | ) | ||||||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put | 12/15/23 | 95.250 | 12 | 30,000 | (5,400 | ) | ||||||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put | 12/15/23 | 95.375 | 28 | 70,000 | (15,225 | ) | ||||||||||||||||||
U.S. Treasury 5-Year Notes Futures, Call | 7/21/23 | 109.000 | 7 | 7,000 | (438 | ) | ||||||||||||||||||
U.S. Treasury 5-Year Notes Futures, Put | 7/21/23 | 108.000 | 7 | 7,000 | (7,766 | ) | ||||||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call | 7/21/23 | 114.000 | 7 | 7,000 | (1,203 | ) | ||||||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call | 8/25/23 | 116.000 | 30 | 30,000 | (6,562 | ) | ||||||||||||||||||
U.S. Treasury 10-Year Notes Futures, Put | 7/21/23 | 112.500 | 7 | 7,000 | (5,797 | ) | ||||||||||||||||||
U.S. Treasury 10-Year Notes Futures, Put | 8/25/23 | 110.500 | 30 | 30,000 | (16,875 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS |
| (205,628 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||
OTC WRITTEN OPTIONS |
| |||||||||||||||||||||||
COUNTERPARTY | ||||||||||||||||||||||||
Credit default swaption to sell protection on Markit CDX.NA.HY.38 Index, Call | | BNP Paribas SA | | 9/21/23 | 70.000 | bps | 8,050,000 | $ | 8,050,000 | ‡ | $ | (17,808 | ) | |||||||||||
Interest rate swaption, Put | | Morgan Stanley & Co. Inc. |
| 8/29/23 | 410.000 | bps | 615,000 | 615,000 | (1,035 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
TOTAL OTC WRITTEN OPTIONS |
| (18,843 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||
TOTAL WRITTEN OPTIONS |
| $ | (224,471 | ) | ||||||||||||||||||||
|
|
‡ | In the event an option is exercised and a credit event occurs as defined under the terms of the swap agreement, the notional amount is the maximum potential amount that could be required to be paid as a seller of credit protection or received as a buyer of credit protection. |
Abbreviation(s) used in this schedule:
bps | — basis point spread (100 basis points = 1.00%) | |
SOFR | — Secured Overnight Financing Rate |
See Notes to Schedules of Investments.
28 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 |
At June 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: | ||||||||||||||||||||
3-Month SOFR | 13 | 9/23 | $ | 3,083,458 | $ | 3,080,350 | $ | (3,108 | ) | |||||||||||
3-Month SOFR | 13 | 12/23 | 3,128,802 | 3,074,500 | (54,302 | ) | ||||||||||||||
3-Month SOFR | 4 | 3/24 | 947,309 | 946,400 | (909 | ) | ||||||||||||||
3-Month SOFR | 8 | 3/25 | 1,926,943 | 1,919,500 | (7,443 | ) | ||||||||||||||
3-Month SOFR | 3 | 3/26 | 722,894 | 724,013 | 1,119 | |||||||||||||||
Australian 10-Year Bonds | 5 | 9/23 | 392,111 | 386,651 | (5,460 | ) | ||||||||||||||
EURO-Bobl | 2 | 9/23 | 250,223 | 252,479 | 2,256 | |||||||||||||||
Euro-OAT | 2 | 9/23 | 275,588 | 280,169 | 4,581 | |||||||||||||||
U.S. Treasury 2-Year Notes | 62 | 9/23 | 12,773,076 | 12,607,312 | (165,764 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes | 158 | 9/23 | 17,091,840 | 16,920,812 | (171,028 | ) | ||||||||||||||
U.S. Treasury Long-Term Bonds | 24 | 9/23 | 3,042,598 | 3,045,750 | 3,152 | |||||||||||||||
U.S. Treasury Ultra Long-Term Bonds | 18 | 9/23 | 2,426,743 | 2,451,937 | 25,194 | |||||||||||||||
|
| |||||||||||||||||||
(371,712 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
U.S. Treasury 10-Year Notes | 65 | 9/23 | 7,377,333 | 7,297,266 | 80,067 | |||||||||||||||
U.S. Treasury Ultra 10-Year Notes | 27 | 9/23 | 3,221,615 | 3,197,812 | 23,803 | |||||||||||||||
|
| |||||||||||||||||||
103,870 | ||||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized depreciation on open futures contracts | $ | (267,842 | ) | |||||||||||||||||
|
|
Abbreviation(s) used in this table:
Bobl | — Bundesobligation (Medium-term German Federal Government Bond) | |
OAT | — Obligations Assimilables du Trésor (French Treasury Bonds) | |
SOFR | — Secured Overnight Financing Rate |
At June 30, 2023, the Fund had the following open forward foreign currency contracts:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
EUR | 23,700 | USD | 26,091 | Bank of America N.A. | 7/18/23 | $ | (209 | ) | ||||||||||||||
USD | 363,342 | EUR | 331,240 | Bank of America N.A. | 7/18/23 | 1,608 | ||||||||||||||||
CAD | 70,144 | USD | 52,106 | BNP Paribas SA | 7/18/23 | 919 | ||||||||||||||||
CAD | 179,022 | USD | 133,122 | BNP Paribas SA | 7/18/23 | 2,208 | ||||||||||||||||
JPY | 5,466,710 | USD | 40,360 | Goldman Sachs Group Inc. | 7/18/23 | (2,424 | ) | |||||||||||||||
JPY | 11,020,000 | USD | 82,338 | Goldman Sachs Group Inc. | 7/18/23 | (5,865 | ) | |||||||||||||||
JPY | 14,660,000 | USD | 108,993 | Goldman Sachs Group Inc. | 7/18/23 | (7,261 | ) | |||||||||||||||
JPY | 17,537,304 | USD | 135,749 | Goldman Sachs Group Inc. | 7/18/23 | (14,050 | ) | |||||||||||||||
JPY | 15,781,722 | USD | 117,088 | JPMorgan Chase & Co. | 7/18/23 | (7,572 | ) | |||||||||||||||
NZD | 154,348 | USD | 97,005 | JPMorgan Chase & Co. | 7/18/23 | (2,451 | ) | |||||||||||||||
USD | 432,633 | IDR | 6,480,835,697 | JPMorgan Chase & Co. | 7/18/23 | 426 | ||||||||||||||||
AUD | 93,509 | USD | 62,776 | Morgan Stanley & Co. Inc. | 7/18/23 | (496 | ) | |||||||||||||||
AUD | 187,496 | USD | 126,066 | Morgan Stanley & Co. Inc. | 7/18/23 | (1,186 | ) | |||||||||||||||
EUR | 293,153 | NOK | 322,009 | Morgan Stanley & Co. Inc. | 7/18/23 | (1,868 | ) | |||||||||||||||
EUR | 322,009 | NOK | 3,345,671 | Morgan Stanley & Co. Inc. | 7/18/23 | 9,499 | ||||||||||||||||
INR | 4,259,495 | USD | 51,655 | Morgan Stanley & Co. Inc. | 7/18/23 | 231 | ||||||||||||||||
INR | 13,309,786 | USD | 160,960 | Morgan Stanley & Co. Inc. | 7/18/23 | 1,173 |
See Notes to Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
29 |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
NOK | 746,607 | EUR | 123,477 | Morgan Stanley & Co. Inc. | 7/18/23 | $ | (820 | ) | ||||||||||||||
NOK | 5,480,555 | USD | 533,608 | Morgan Stanley & Co. Inc. | 7/18/23 | (21,686 | ) | |||||||||||||||
USD | 281,390 | CNH | 1,924,991 | Morgan Stanley & Co. Inc. | 7/18/23 | 16,376 | ||||||||||||||||
USD | 52,090 | GBP | 41,771 | Morgan Stanley & Co. Inc. | 7/18/23 | (1,022 | ) | |||||||||||||||
USD | 634,061 | MXN | 11,712,377 | Morgan Stanley & Co. Inc. | 7/18/23 | (46,238 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Net unrealized depreciation on open forward foreign currency contracts | $ | (80,708 | ) | |||||||||||||||||||
|
|
Abbreviation(s) used in this table:
AUD | — Australian Dollar | |
CAD | — Canadian Dollar | |
CNH | — Chinese Offshore Yuan | |
EUR | — Euro | |
GBP | — British Pound | |
IDR | — Indonesian Rupiah | |
INR | — Indian Rupee | |
JPY | — Japanese Yen | |
MXN | — Mexican Peso | |
NOK | — Norwegian Krone | |
NZD | — New Zealand Dollar | |
USD | — United States Dollar |
At June 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 APPRECIATION (DEPRECIATION) | ||||||||||||||||||||||
$ | 9,371,000 | 3/10/26 | 4.100% annually | Daily SOFR annually | $ | (9,390 | ) | $ | 65,048 | $ | (74,438 | ) | ||||||||||||||||
932,000 | 4/30/29 | 3.270% annually | Daily SOFR annually | 26,105 | (2,687 | ) | 28,792 | |||||||||||||||||||||
3,128,000 | 5/15/32 | 3.220% annually | Daily SOFR annually | 88,734 | (10,198 | ) | 98,932 | |||||||||||||||||||||
2,095,000 | 3/10/34 | 3.400% annually | Daily SOFR annually | (2,904 | ) | (21,156 | ) | 18,252 | ||||||||||||||||||||
862,000 | 2/15/48 | 2.600% annually | Daily SOFR annually | 101,918 | 64,671 | 37,247 | ||||||||||||||||||||||
183,000 | 2/15/48 | 3.050% annually | Daily SOFR annually | 8,042 | 5,273 | 2,769 | ||||||||||||||||||||||
836,000 | 4/21/52 | 2.500% annually | Daily SOFR annually | 107,991 | 112,403 | (4,412 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 17,407,000 | $ | 320,496 | $ | 213,354 | $ | 107,142 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION1 | ||||||||||||||||||||||||
SWAP COUNTERPARTY (REFERENCE ENTITY) | NOTIONAL AMOUNT2 | TERMINATION DATE | IMPLIED CREDIT SPREAD AT JUNE 30, 20233 | PERIODIC PAYMENTS RECEIVED BY THE FUND† | MARKET VALUE | UPFRONT PREMIUMS PAID (RECEIVED) | UNREALIZED DEPRECIATION | |||||||||||||||||
BNP Paribas SA (Volkswagen International Finance NV, 0.875%, due 11/16/24) | 530,000 | EUR | 12/20/24 | 0.575% | 1.000% quarterly | $ | 3,537 | $ | 6,734 | $ | (3,197 | ) |
See Notes to Schedules of Investments.
30 | Western Asset ETFs 2023 Quarterly Report |
WESTERN ASSET TOTAL RETURN ETF
Schedules of investments (unaudited) (cont’d) | June 30, 2023 |
OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION4 | ||||||||||||||||||||||||
SWAP COUNTERPARTY (REFERENCE ENTITY) | NOTIONAL AMOUNT2 | TERMINATION DATE | IMPLIED CREDIT SPREAD AT JUNE 30, 20233 | PERIODIC PAYMENTS MADE BY THE FUND† | MARKET VALUE | UPFRONT PREMIUMS PAID (RECEIVED) | UNREALIZED DEPRECIATION | |||||||||||||||||
BNP Paribas SA (Daimler AG, 1.400%, due 1/12/24) | 530,000 | EUR | 12/20/24 | 0.299% | 1.000% quarterly | $ | (5,860 | ) | $ | (3,814 | ) | $ | (2,046 | ) |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1 | ||||||||||||||||||||||
REFERENCE ENTITY | NOTIONAL AMOUNT2 | TERMINATION DATE | PERIODIC PAYMENTS RECEIVED BY THE FUND† | MARKET VALUE5 | UPFRONT PREMIUMS PAID (RECEIVED) | UNREALIZED APPRECIATION | ||||||||||||||||
MARKIT CDX.NA.IG.40 Index | $ | 5,370,000 | 6/20/28 | 1.000% quarterly | $ | 80,339 | $ | 43,833 | $ | 36,506 | ||||||||||||
MARKIT CDX.NA.IG.40 Index | 1,498,000 | 6/20/33 | 1.000% quarterly | (5,236 | ) | (21,850 | ) | 16,614 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 6,868,000 | $ | 75,103 | $ | 21,983 | $ | 53,120 | ||||||||||||||
|
|
|
|
|
|
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION4 | ||||||||||||||||||||
REFERENCE ENTITY | NOTIONAL AMOUNT2 | TERMINATION DATE | PERIODIC PAYMENTS MADE BY THE FUND† | MARKET VALUE5 | UPFRONT PREMIUMS PAID (RECEIVED) | UNREALIZED DEPRECIATION | ||||||||||||||
MARKIT CDX.NA.HY.40 Index | $ | 872,000 | 6/20/28 | 5.000% quarterly | $(24,355) | $ | 2,618 | $ | (26,973 | ) |
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 | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index. |
5 | 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. |
Abbreviation(s) used in this table:
EUR | — Euro | |
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 Schedules of Investments.
Western Asset ETFs 2023 Quarterly Report |
31 |
Notes to Schedules of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Short Duration Income ETF (“Short Duration Income ETF”) and Western Asset Total Return ETF (“Total Return ETF” ) ( the “Funds”) are separate diversified investment series of Legg Mason ETF Investment 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 Funds are actively managed exchange-traded funds (“ETFs”). ETFs are funds that trade like other publicly-traded securities. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of the Funds may be directly purchased from and redeemed by the Funds at NAV solely by certain large institutional investors who have entered into agreements with the Funds’ distributor (“Authorized Participants”). Also unlike shares of a mutual fund, shares of the Funds are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day.
Shares of the Funds are listed and traded at market prices on NASDAQ. The market price for a Fund’s shares may be different from a Fund’s NAV. The Funds issue and redeem shares at NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only Authorized Participants may purchase or redeem Creation Units directly with the Funds at NAV. Creation Units are created and redeemed principally in-kind (although under some circumstances its shares are created and redeemed partially for cash). Except when aggregated in Creation Units, shares of the Funds are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from the Funds at NAV.
The Funds 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 Funds 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 Funds hold securities or other assets that are denominated in a foreign currency, the Funds will normally use the currency exchange rates, generally determined as of 4:00 p.m. (London 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 each Fund calculates its net asset value, the Funds value these securities as determined in accordance with procedures approved by the Funds’ Board of Trustees.
Pursuant to policies adopted by the Board of Trustees, the Funds’ manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Funds’ manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Funds’ pricing policies, and reporting to the Funds’ manager and the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Funds, 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
32 |
Notes to Schedules of Investments (unaudited) (cont’d)
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 Funds use valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
• | Level 1 — unadjusted quoted prices in active markets for identical investments |
• | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Funds’ assets and liabilities carried at fair value:
Short Duration Income ETF
ASSETS | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Long-Term Investments†: | ||||||||||||||||
Corporate Bonds & Notes | — | $ | 16,605,585 | — | $ | 16,605,585 | ||||||||||
Asset-Backed Securities | — | 842,957 | — | 842,957 | ||||||||||||
U.S. Government & Agency Obligations | — | 86,401 | — | 86,401 | ||||||||||||
Sovereign Bonds | — | 46,864 | — | 46,864 | ||||||||||||
Municipal Bonds | — | 28,508 | — | 28,508 | ||||||||||||
Senior Loans | — | 9,340 | — | 9,340 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long-Term Investments | — | 17,619,655 | — | 17,619,655 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments† | — | 912,798 | — | 912,798 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | — | $ | 18,532,453 | — | $ | 18,532,453 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts†† | $ | 191,617 | — | — | $ | 191,617 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 191,617 | $ | 18,532,453 | — | $ | 18,724,070 | |||||||||
|
|
|
|
|
|
|
|
33 |
Notes to Schedules of Investments (unaudited) (cont’d)
LIABILITIES | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts†† | $ | 391,082 | — | — | $ | 391,082 | ||||||||||
Centrally Cleared Credit Default Swaps on Credit Indices - Buy Protection†† | — | $ | 11,299 | — | 11,299 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 391,082 | $ | 11,299 | — | $ | 402,381 | |||||||||
|
|
|
|
|
|
|
|
† | See Schedule of Investments for additional detailed categorizations. |
†† | Reflects the unrealized appreciation (depreciation) of the instruments. |
Total Return ETF
ASSETS | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Long-Term Investments†: | ||||||||||||||||
Corporate Bonds & Notes | — | $ | 12,761,239 | — | $ | 12,761,239 | ||||||||||
Mortgage-Backed Securities | — | 11,762,168 | — | 11,762,168 | ||||||||||||
U.S. Government & Agency Obligations | — | 3,624,630 | — | 3,624,630 | ||||||||||||
Sovereign Bonds | — | 3,296,020 | $ | 130,435 | 3,426,455 | |||||||||||
Collateralized Mortgage Obligations | — | 3,414,072 | — | 3,414,072 | ||||||||||||
Asset-Backed Securities | — | 1,936,514 | — | 1,936,514 | ||||||||||||
Senior Loans: | ||||||||||||||||
Financials | — | 59,943 | 52,217 | 112,160 | ||||||||||||
Other Senior Loans | — | 666,697 | — | 666,697 | ||||||||||||
U.S. Treasury Inflation Protected Securities | — | 370,630 | — | 370,630 | ||||||||||||
Purchased Options: | ||||||||||||||||
Exchange-Traded Purchased Options | $ | 76,764 | — | — | 76,764 | |||||||||||
OTC Purchased Options | — | 14,560 | — | 14,560 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long-Term Investments | 76,764 | 37,906,473 | 182,652 | 38,165,889 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments†: | ||||||||||||||||
Commercial Paper | — | 2,532,724 | — | 2,532,724 | ||||||||||||
U.S. Treasury Bills | — | 1,134,204 | — | 1,134,204 | ||||||||||||
Overnight Deposits | — | 694,695 | — | 694,695 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 4,361,623 | — | 4,361,623 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 76,764 | $ | 42,268,096 | $ | 182,652 | $ | 42,527,512 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts†† | $ | 140,172 | — | — | $ | 140,172 | ||||||||||
Forward Foreign Currency Contracts†† | — | $ | 32,440 | — | 32,440 | |||||||||||
Centrally Cleared Interest Rate Swaps†† | — | 185,992 | — | 185,992 | ||||||||||||
OTC Credit Default Swaps on Corporate Issues - Sell Protection‡ | — | 3,537 | — | 3,537 | ||||||||||||
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection†† | — | 53,120 | — | 53,120 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 140,172 | $ | 275,089 | — | $ | 415,261 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 216,936 | $ | 42,543,185 | $ | 182,652 | $ | 42,942,773 | ||||||||
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Notes to Schedules of Investments (unaudited) (cont’d)
LIABILITIES | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Written Options: | ||||||||||||||||
Exchange-Traded Written Options | $ | 205,722 | — | — | $ | 205,722 | ||||||||||
OTC Written Options | — | $ | 18,843 | — | 18,843 | |||||||||||
Futures Contracts†† | 408,014 | — | — | 408,014 | ||||||||||||
Forward Foreign Currency Contracts†† | — | 113,148 | — | 113,148 | ||||||||||||
Centrally Cleared Interest Rate Swaps†† | — | 78,850 | — | 78,850 | ||||||||||||
OTC Credit Default Swaps on Corporate Issues - Buy Protection‡ | — | 5,860 | — | 5,860 | ||||||||||||
Centrally Cleared Credit Default Swaps on Credit Indices - Buy Protection†† | — | 26,973 | — | 26,973 | ||||||||||||
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Total | $ | 613,736 | $ | 243,674 | — | $ | 857,410 | |||||||||
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† | 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. |
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