WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
CORPORATE BONDS & NOTES - 65.4% | ||||||||||||||||
COMMUNICATION SERVICES - 6.9% | ||||||||||||||||
Diversified Telecommunication Services - 0.8% | ||||||||||||||||
Altice France Holding SA, Senior Secured Notes | 10.500 | % | 5/15/27 | 2,500,000 | $ | 1,362,176 | (a) | |||||||||
Altice France SA, Senior Secured Notes | 5.500 | % | 1/15/28 | 2,670,000 | 1,986,379 | (a) | ||||||||||
|
| |||||||||||||||
Total Diversified Telecommunication Services |
| 3,348,555 | ||||||||||||||
|
| |||||||||||||||
Entertainment - 0.8% | ||||||||||||||||
Allen Media LLC/Allen Media Co-Issuer Inc., Senior Notes | 10.500 | % | 2/15/28 | 1,730,000 | 902,628 | (a) | ||||||||||
AMC Entertainment Holdings Inc., Senior Secured Notes | 7.500 | % | 2/15/29 | 2,010,000 | 1,409,873 | (a) | ||||||||||
Banijay Entertainment SASU, Senior Secured Notes | 8.125 | % | 5/1/29 | 1,050,000 | 1,024,645 | (a) | ||||||||||
|
| |||||||||||||||
Total Entertainment | 3,337,146 | |||||||||||||||
|
| |||||||||||||||
Interactive Media & Services - 0.1% | ||||||||||||||||
Match Group Holdings II LLC, Senior Notes | 5.000 | % | 12/15/27 | 370,000 | 341,619 | (a) | ||||||||||
|
| |||||||||||||||
Media - 3.9% | ||||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.750 | % | 3/1/30 | 3,500,000 | 2,892,235 | (a) | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.500 | % | 8/15/30 | 1,600,000 | 1,285,064 | (a) | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.250 | % | 1/15/34 | 180,000 | 130,165 | (a) | ||||||||||
DirecTV Financing LLC/DirecTV Financing Co-Obligor Inc., Senior Secured Notes | 5.875 | % | 8/15/27 | 3,170,000 | 2,780,629 | (a) | ||||||||||
DISH DBS Corp., Senior Notes | 5.875 | % | 11/15/24 | 3,470,000 | 3,188,395 | |||||||||||
DISH DBS Corp., Senior Notes | 7.750 | % | 7/1/26 | 2,615,000 | 1,755,426 | |||||||||||
DISH DBS Corp., Senior Secured Notes | 5.250 | % | 12/1/26 | 1,340,000 | 1,083,424 | (a) | ||||||||||
DISH DBS Corp., Senior Secured Notes | 5.750 | % | 12/1/28 | 1,200,000 | 873,750 | (a) | ||||||||||
Univision Communications Inc., Senior Secured Notes | 8.000 | % | 8/15/28 | 850,000 | 803,366 | (a) | ||||||||||
Urban One Inc., Senior Secured Notes | 7.375 | % | 2/1/28 | 600,000 | 493,899 | (a) | ||||||||||
|
| |||||||||||||||
Total Media | 15,286,353 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
Western Asset Short Duration High Income Fund 2023 Quarterly Report |
1 |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Wireless Telecommunication Services - 1.3% | ||||||||||||||||
CSC Holdings LLC, Senior Notes | 5.375 | % | 2/1/28 | 2,800,000 | $ | 2,232,371 | (a) | |||||||||
CSC Holdings LLC, Senior Notes | 11.250 | % | 5/15/28 | 1,080,000 | 1,031,335 | (a) | ||||||||||
CSC Holdings LLC, Senior Notes | 5.000 | % | 11/15/31 | 640,000 | 327,763 | (a) | ||||||||||
Sprint Capital Corp., Senior Notes | 6.875 | % | 11/15/28 | 450,000 | 462,155 | |||||||||||
Sprint LLC, Senior Notes | 7.125 | % | 6/15/24 | 1,010,000 | 1,016,308 | |||||||||||
|
| |||||||||||||||
Total Wireless Telecommunication Services |
| 5,069,932 | ||||||||||||||
|
| |||||||||||||||
TOTAL COMMUNICATION SERVICES | 27,383,605 | |||||||||||||||
|
| |||||||||||||||
CONSUMER DISCRETIONARY - 17.4% | ||||||||||||||||
Automobile Components - 0.6% | ||||||||||||||||
American Axle & Manufacturing Inc., Senior Notes | 6.250 | % | 3/15/26 | 237,000 | 229,994 | |||||||||||
ZF North America Capital Inc., Senior Notes | 6.875 | % | 4/14/28 | 1,940,000 | 1,882,097 | (a) | ||||||||||
ZF North America Capital Inc., Senior Notes | 7.125 | % | 4/14/30 | 200,000 | 194,260 | (b) | ||||||||||
|
| |||||||||||||||
Total Automobile Components | 2,306,351 | |||||||||||||||
|
| |||||||||||||||
Automobiles - 3.2% | ||||||||||||||||
Ford Motor Credit Co. LLC, Senior Notes | 2.700 | % | 8/10/26 | 3,300,000 | 2,961,175 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes | 4.125 | % | 8/17/27 | 4,300,000 | 3,908,562 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes | 7.350 | % | 11/4/27 | 1,890,000 | 1,917,732 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes | 7.350 | % | 3/6/30 | 1,900,000 | 1,910,359 | |||||||||||
PM General Purchaser LLC, Senior Secured Notes | 9.500 | % | 10/1/28 | 2,020,000 | 1,900,769 | (a) | ||||||||||
|
| |||||||||||||||
Total Automobiles | 12,598,597 | |||||||||||||||
|
| |||||||||||||||
Distributors - 1.0% | ||||||||||||||||
Accelerate360 Holdings LLC, Secured Notes | 8.000 | % | 3/1/28 | 1,425,000 | 1,478,872 | (a) | ||||||||||
American News Co. LLC, Secured Notes (8.500% Cash or 10.000% PIK) | 8.500 | % | 9/1/26 | 1,269,249 | 1,426,319 | (a)(c) | ||||||||||
Ritchie Bros Holdings Inc., Senior Secured Notes | 6.750 | % | 3/15/28 | 1,330,000 | 1,305,033 | (a) | ||||||||||
|
| |||||||||||||||
Total Distributors | 4,210,224 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
2 | Western Asset Short Duration High Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Diversified Consumer Services - 0.7% | ||||||||||||||||
Adtalem Global Education Inc., Senior Secured Notes | 5.500 | % | 3/1/28 | 782,000 | $ | 712,965 | (a) | |||||||||
Prime Security Services Borrower LLC/Prime Finance Inc., Senior Secured Notes | 5.750 | % | 4/15/26 | 2,268,000 | 2,202,427 | (a) | ||||||||||
|
| |||||||||||||||
Total Diversified Consumer Services | 2,915,392 | |||||||||||||||
|
| |||||||||||||||
Hotels, Restaurants & Leisure - 9.5% | ||||||||||||||||
Caesars Entertainment Inc., Senior Notes | 8.125 | % | 7/1/27 | 2,610,000 | 2,588,282 | (a) | ||||||||||
Carnival Corp., Senior Notes | 5.750 | % | 3/1/27 | 930,000 | 830,989 | (a) | ||||||||||
Carnival Corp., Senior Notes | 6.000 | % | 5/1/29 | 2,220,000 | 1,877,269 | (a) | ||||||||||
Carnival Holdings Bermuda Ltd., Senior Notes | 10.375 | % | 5/1/28 | 3,510,000 | 3,745,465 | (a) | ||||||||||
Full House Resorts Inc., Senior Secured Notes | 8.250 | % | 2/15/28 | 2,310,000 | 1,947,076 | (a) | ||||||||||
Las Vegas Sands Corp., Senior Notes | 3.500 | % | 8/18/26 | 2,000,000 | 1,832,131 | |||||||||||
Light & Wonder International Inc., Senior Notes | 7.000 | % | 5/15/28 | 270,000 | 263,449 | (a) | ||||||||||
Melco Resorts Finance Ltd., Senior Notes | 4.875 | % | 6/6/25 | 1,000,000 | 945,780 | (a) | ||||||||||
Melco Resorts Finance Ltd., Senior Notes | 5.250 | % | 4/26/26 | 1,565,000 | 1,433,060 | (a) | ||||||||||
MGM Resorts International, Senior Notes | 5.500 | % | 4/15/27 | 1,730,000 | 1,615,616 | |||||||||||
Mohegan Tribal Gaming Authority, Secured Notes | 8.000 | % | 2/1/26 | 180,000 | 165,583 | (a) | ||||||||||
Mohegan Tribal Gaming Authority, Senior Notes | 13.250 | % | 12/15/27 | 1,050,000 | 1,113,793 | (a) | ||||||||||
NCL Corp. Ltd., Senior Notes | 7.750 | % | 2/15/29 | 1,200,000 | 1,048,290 | (a) | ||||||||||
NCL Corp. Ltd., Senior Secured Notes | 5.875 | % | 2/15/27 | 4,860,000 | 4,478,364 | (a) | ||||||||||
NCL Corp. Ltd., Senior Secured Notes | 8.375 | % | 2/1/28 | 470,000 | 466,012 | (a) | ||||||||||
NCL Corp. Ltd., Senior Secured Notes | 8.125 | % | 1/15/29 | 1,630,000 | 1,594,244 | (a) | ||||||||||
Royal Caribbean Cruises Ltd., Senior Notes | 5.375 | % | 7/15/27 | 1,250,000 | 1,153,220 | (a) | ||||||||||
Royal Caribbean Cruises Ltd., Senior Notes | 11.625 | % | 8/15/27 | 3,810,000 | 4,135,907 | (a) | ||||||||||
Sands China Ltd., Senior Notes | 4.300 | % | 1/8/26 | 400,000 | 371,336 |
See Notes to Schedule of Investments.
| ||||
Western Asset Short Duration High Income Fund 2023 Quarterly Report |
3 |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Hotels, Restaurants & Leisure - (continued) | ||||||||||||||||
Sizzling Platter LLC/Sizzling Platter Finance Corp., Senior Secured Notes | 8.500 | % | 11/28/25 | 780,000 | $ | 778,064 | (a) | |||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Senior Secured Notes | 5.875 | % | 5/15/25 | 540,000 | 517,512 | (a) | ||||||||||
Viking Cruises Ltd., Senior Notes | 7.000 | % | 2/15/29 | 2,000,000 | 1,811,690 | (a) | ||||||||||
VOC Escrow Ltd., Senior Secured Notes | 5.000 | % | 2/15/28 | 100,000 | 89,938 | (a) | ||||||||||
Wynn Macau Ltd., Senior Notes | 4.875 | % | 10/1/24 | 2,090,000 | 2,032,360 | (a) | ||||||||||
Wynn Macau Ltd., Senior Notes | 5.500 | % | 1/15/26 | 200,000 | 185,953 | (a) | ||||||||||
Wynn Macau Ltd., Senior Notes | 5.500 | % | 10/1/27 | 700,000 | 609,701 | (a) | ||||||||||
|
| |||||||||||||||
Total Hotels, Restaurants & Leisure | 37,631,084 | |||||||||||||||
|
| |||||||||||||||
Household Durables - 0.3% | ||||||||||||||||
Dream Finders Homes Inc., Senior Notes | 8.250 | % | 8/15/28 | 1,250,000 | 1,237,906 | (a) | ||||||||||
|
| |||||||||||||||
Specialty Retail - 2.1% | ||||||||||||||||
Abercrombie & Fitch Management Co., Senior Secured Notes | 8.750 | % | 7/15/25 | 400,000 | 405,509 | (a) | ||||||||||
Academy Ltd., Senior Secured Notes | 6.000 | % | 11/15/27 | 440,000 | 414,722 | (a) | ||||||||||
Acushnet Co., Senior Notes | 7.375 | % | 10/15/28 | 1,320,000 | 1,323,676 | (a) | ||||||||||
Bath & Body Works Inc., Senior Notes | 9.375 | % | 7/1/25 | 630,000 | 649,450 | (a) | ||||||||||
Bath & Body Works Inc., Senior Notes | 5.250 | % | 2/1/28 | 1,500,000 | 1,377,027 | |||||||||||
Doman Building Materials Group Ltd., Senior Notes | 5.250 | % | 5/15/26 | 570,000 | CAD | 373,012 | (a) | |||||||||
Gannett Holdings LLC, Senior Secured Notes | 6.000 | % | 11/1/26 | 1,180,000 | 997,124 | (a) | ||||||||||
Michaels Cos. Inc., Senior Secured Notes | 5.250 | % | 5/1/28 | 2,260,000 | 1,639,630 | (a) | ||||||||||
NMG Holding Co. Inc./Neiman Marcus Group LLC, Senior Secured Notes | 7.125 | % | 4/1/26 | 540,000 | 505,612 | (a) |
See Notes to Schedule of Investments.
| ||||
4 | Western Asset Short Duration High Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Specialty Retail - (continued) | ||||||||||||||||
PetSmart Inc./PetSmart Finance Corp., Senior Notes | 7.750 | % | 2/15/29 | 250,000 | $ | 230,402 | (a) | |||||||||
Upbound Group Inc., Senior Notes | 6.375 | % | 2/15/29 | 390,000 | 335,802 | (a) | ||||||||||
|
| |||||||||||||||
Total Specialty Retail | 8,251,966 | |||||||||||||||
|
| |||||||||||||||
TOTAL CONSUMER DISCRETIONARY | 69,151,520 | |||||||||||||||
|
| |||||||||||||||
CONSUMER STAPLES - 0.2% | ||||||||||||||||
Beverages - 0.2% | ||||||||||||||||
Triton Water Holdings Inc., Senior Notes | 6.250 | % | 4/1/29 | 1,130,000 | 932,306 | (a) | ||||||||||
|
| |||||||||||||||
ENERGY - 11.3% | ||||||||||||||||
Energy Equipment & Services - 1.3% | ||||||||||||||||
Nabors Industries Ltd., Senior Notes | 7.250 | % | 1/15/26 | 1,330,000 | 1,250,512 | (a) | ||||||||||
Shelf Drilling Holdings Ltd., Senior Secured Notes | 9.625 | % | 4/15/29 | 1,430,000 | 1,360,900 | (a) | ||||||||||
Sunnova Energy Corp., Senior Notes | 5.875 | % | 9/1/26 | 2,550,000 | 2,067,795 | (a) | ||||||||||
Sunnova Energy Corp., Senior Notes | 11.750 | % | 10/1/28 | 570,000 | 486,677 | (a) | ||||||||||
|
| |||||||||||||||
Total Energy Equipment & Services | 5,165,884 | |||||||||||||||
|
| |||||||||||||||
Oil, Gas & Consumable Fuels - 10.0% | ||||||||||||||||
Berry Petroleum Co. LLC, Senior Notes | 7.000 | % | 2/15/26 | 3,637,000 | 3,494,611 | (a) | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes | 7.625 | % | 12/15/25 | 1,970,000 | 1,974,604 | (a) | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes | 6.625 | % | 7/15/26 | 630,000 | 618,632 | (a) | ||||||||||
Chesapeake Energy Corp., Senior Notes | 5.500 | % | 2/1/26 | 300,000 | 291,529 | (a) | ||||||||||
Chord Energy Corp., Senior Notes | 6.375 | % | 6/1/26 | 2,720,000 | 2,673,066 | (a) | ||||||||||
Continental Resources Inc., Senior Notes | 4.375 | % | 1/15/28 | 1,230,000 | 1,133,744 | |||||||||||
Crescent Energy Finance LLC, Senior Notes | 9.250 | % | 2/15/28 | 2,020,000 | 2,036,445 | (a) | ||||||||||
Earthstone Energy Holdings LLC, Senior Notes | 8.000 | % | 4/15/27 | 510,000 | 517,872 | (a) | ||||||||||
Endeavor Energy Resources LP/EER Finance Inc., Senior Notes | 5.750 | % | 1/30/28 | 2,000,000 | 1,920,600 | (a) | ||||||||||
EQM Midstream Partners LP, Senior Notes | 4.000 | % | 8/1/24 | 400,000 | 389,341 | |||||||||||
EQM Midstream Partners LP, Senior Notes | 6.000 | % | 7/1/25 | 440,000 | 430,715 | (a) |
See Notes to Schedule of Investments.
| ||||
Western Asset Short Duration High Income Fund 2023 Quarterly Report |
5 |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) | ||||||||||||||||
EQM Midstream Partners LP, Senior Notes | 4.125 | % | 12/1/26 | 1,270,000 | $ | 1,179,340 | ||||||||||
EQM Midstream Partners LP, Senior Notes | 7.500 | % | 6/1/27 | 1,210,000 | 1,199,600 | (a) | ||||||||||
EQM Midstream Partners LP, Senior Notes | 6.500 | % | 7/1/27 | 1,290,000 | 1,255,137 | (a) | ||||||||||
Holly Energy Partners LP/Holly Energy Finance Corp., Senior Notes | 6.375 | % | 4/15/27 | 1,380,000 | 1,337,383 | (a) | ||||||||||
Howard Midstream Energy Partners LLC, Senior Notes | 6.750 | % | 1/15/27 | 1,270,000 | 1,201,406 | (a) | ||||||||||
Howard Midstream Energy Partners LLC, Senior Notes | 8.875 | % | 7/15/28 | 850,000 | 855,233 | (a) | ||||||||||
MEG Energy Corp., Senior Notes | 7.125 | % | 2/1/27 | 2,690,000 | 2,711,792 | (a) | ||||||||||
Neptune Energy Bondco PLC, Senior Notes | 6.625 | % | 5/15/25 | 720,000 | 713,465 | (a) | ||||||||||
Northern Oil and Gas Inc., Senior Notes | 8.125 | % | 3/1/28 | 1,630,000 | 1,610,978 | (a) | ||||||||||
Occidental Petroleum Corp., Senior Notes | 3.400 | % | 4/15/26 | 340,000 | 317,761 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 3.000 | % | 2/15/27 | 130,000 | 117,122 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 6.375 | % | 9/1/28 | 2,500,000 | 2,518,239 | |||||||||||
Permian Resources Operating LLC, Senior Notes | 7.750 | % | 2/15/26 | 1,200,000 | 1,200,219 | (a) | ||||||||||
Range Resources Corp., Senior Notes | 4.875 | % | 5/15/25 | 420,000 | 408,855 | |||||||||||
Range Resources Corp., Senior Notes | 8.250 | % | 1/15/29 | 2,000,000 | 2,044,477 | |||||||||||
Southwestern Energy Co., Senior Notes | 8.375 | % | 9/15/28 | 2,000,000 | 2,066,970 | |||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., Secured Notes | 9.000 | % | 10/15/26 | 840,000 | 807,227 | (a) | ||||||||||
Western Midstream Operating LP, Senior Notes | 3.100 | % | 2/1/25 | 2,860,000 | 2,750,427 | |||||||||||
Western Midstream Operating LP, Senior Notes | 3.950 | % | 6/1/25 | 100,000 | 96,265 | |||||||||||
|
| |||||||||||||||
Total Oil, Gas & Consumable Fuels | 39,873,055 | |||||||||||||||
|
| |||||||||||||||
TOTAL ENERGY | 45,038,939 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
6 | Western Asset Short Duration High Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
FINANCIALS - 7.0% | ||||||||||||||||
Banks - 1.9% | ||||||||||||||||
Bank of America Corp., Junior Subordinated Notes (5.875% to 3/15/28 then 3 mo. Term SOFR + 3.193%) | 5.875 | % | 3/15/28 | 690,000 | $ | 594,952 | (d)(e) | |||||||||
Barclays PLC, Junior Subordinated Notes (8.000% to 6/15/24 then 5 year Treasury Constant Maturity Rate + 5.672%) | 8.000 | % | 6/15/24 | 1,850,000 | 1,814,007 | (d)(e) | ||||||||||
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 | 1,140,000 | 1,059,828 | (a)(d)(e) | ||||||||||
Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year ICE Swap Rate + 6.185%) | 8.125 | % | 12/23/25 | 1,760,000 | 1,743,500 | (a)(d)(e) | ||||||||||
Lloyds Banking Group PLC, Junior Subordinated Notes (8.000% to 3/27/30 then 5 year Treasury Constant Maturity Rate + 3.913%) | 8.000 | % | 9/27/29 | 1,480,000 | 1,303,299 | (d)(e) | ||||||||||
Toronto-Dominion Bank, Junior Subordinated Notes (8.125% to 10/31/27 then 5 year Treasury Constant Maturity Rate + 4.075%) | 8.125 | % | 10/31/82 | 1,150,000 | 1,131,096 | (e) | ||||||||||
|
| |||||||||||||||
Total Banks | 7,646,682 | |||||||||||||||
|
| |||||||||||||||
Capital Markets - 0.6% | ||||||||||||||||
Coinbase Global Inc., Senior Notes | 3.375 | % | 10/1/28 | 1,100,000 | 808,680 | (a) | ||||||||||
Credit Suisse AG AT1 Claim | — | — | 1,010,000 | 111,100 | *(f) | |||||||||||
StoneX Group Inc., Senior Secured Notes | 8.625 | % | 6/15/25 | 490,000 | 492,088 | (a) | ||||||||||
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 | 1,130,000 | 1,123,316 | (a)(d)(e) | ||||||||||
|
| |||||||||||||||
Total Capital Markets | 2,535,184 | |||||||||||||||
|
| |||||||||||||||
Consumer Finance - 0.3% | ||||||||||||||||
Midcap Financial Issuer Trust, Senior Notes | 6.500 | % | 5/1/28 | 1,180,000 | 1,001,277 | (a) | ||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
Western Asset Short Duration High Income Fund 2023 Quarterly Report |
7 |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Financial Services - 2.4% | ||||||||||||||||
Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) | 6.500 | % | 9/15/24 | 3,814,456 | $ | 3,452,083 | (a)(c) | |||||||||
Jane Street Group/JSG Finance Inc., Senior Secured Notes | 4.500 | % | 11/15/29 | 660,000 | 563,161 | (a) | ||||||||||
NMI Holdings Inc., Senior Secured Notes | 7.375 | % | 6/1/25 | 1,190,000 | 1,192,843 | (a) | ||||||||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes | 2.875 | % | 10/15/26 | 2,980,000 | 2,597,696 | (a) | ||||||||||
VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Notes | 7.875 | % | 5/1/27 | 140,000 | 107,823 | (a) | ||||||||||
VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Notes | 9.500 | % | 6/1/28 | 2,200,000 | 1,687,965 | (a) | ||||||||||
|
| |||||||||||||||
Total Financial Services | 9,601,571 | |||||||||||||||
|
| |||||||||||||||
Insurance - 0.5% | ||||||||||||||||
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer Inc., Senior Secured Notes (7.625% Cash or 8.375% PIK) | 7.625 | % | 10/15/25 | 1,856,062 | 1,810,533 | (a)(c) | ||||||||||
|
| |||||||||||||||
Mortgage Real Estate Investment Trusts (REITs) - 1.3% |
| |||||||||||||||
Apollo Commercial Real Estate Finance Inc., Senior Secured Notes | 4.625 | % | 6/15/29 | 470,000 | 360,283 | (a) | ||||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Senior Notes | 4.250 | % | 2/1/27 | 870,000 | 760,894 | (a) | ||||||||||
Starwood Property Trust Inc., Senior Notes | 3.750 | % | 12/31/24 | 2,230,000 | 2,109,524 | (a) | ||||||||||
Starwood Property Trust Inc., Senior Notes | 3.625 | % | 7/15/26 | 2,090,000 | 1,847,748 | (a) | ||||||||||
|
| |||||||||||||||
Total Mortgage Real Estate Investment Trusts (REITs) |
| 5,078,449 | ||||||||||||||
|
| |||||||||||||||
TOTAL FINANCIALS | 27,673,696 | |||||||||||||||
|
| |||||||||||||||
HEALTH CARE - 4.1% | ||||||||||||||||
Health Care Equipment & Supplies - 0.1% | ||||||||||||||||
Bausch & Lomb Escrow Corp., Senior Secured Notes | 8.375 | % | 10/1/28 | 590,000 | 586,755 | (a) | ||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
8 | Western Asset Short Duration High Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Health Care Providers & Services - 1.0% | ||||||||||||||||
Akumin Inc., Senior Secured Notes | 7.000 | % | 11/1/25 | 1,310,000 | $ | 1,108,181 | *(a)(g) | |||||||||
CHS/Community Health Systems Inc., Senior Secured Notes | 8.000 | % | 3/15/26 | 1,940,000 | 1,775,926 | (a) | ||||||||||
Tenet Healthcare Corp., Senior Secured Notes | 4.875 | % | 1/1/26 | 500,000 | 479,662 | |||||||||||
U.S. Renal Care Inc., Senior Secured Notes | 10.625 | % | 6/28/28 | 693,000 | 427,928 | (a) | ||||||||||
|
| |||||||||||||||
Total Health Care Providers & Services | 3,791,697 | |||||||||||||||
|
| |||||||||||||||
Pharmaceuticals - 3.0% | ||||||||||||||||
AdaptHealth LLC, Senior Notes | 6.125 | % | 8/1/28 | 1,500,000 | 1,232,961 | (a) | ||||||||||
Bausch Health Americas Inc., Senior Notes | 9.250 | % | 4/1/26 | 80,000 | 70,189 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Notes | 6.250 | % | 2/15/29 | 1,820,000 | 666,875 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Notes | 5.250 | % | 1/30/30 | 1,260,000 | 437,636 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Secured Notes | 5.500 | % | 11/1/25 | 1,000,000 | 863,280 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Secured Notes | 6.125 | % | 2/1/27 | 360,000 | 201,211 | (a) | ||||||||||
Par Pharmaceutical Inc., Senior Secured Notes | 7.500 | % | 4/1/27 | 1,580,000 | 1,072,907 | *(a)(g) | ||||||||||
Teva Pharmaceutical Finance | ||||||||||||||||
Netherlands III BV, Senior Notes | 4.750 | % | 5/9/27 | 4,890,000 | 4,445,932 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 6.750 | % | 3/1/28 | 250,000 | 239,294 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 7.875 | % | 9/15/29 | 2,540,000 | 2,507,864 | |||||||||||
|
| |||||||||||||||
Total Pharmaceuticals | 11,738,149 | |||||||||||||||
|
| |||||||||||||||
TOTAL HEALTH CARE | 16,116,601 | |||||||||||||||
|
| |||||||||||||||
INDUSTRIALS - 10.7% | ||||||||||||||||
Aerospace & Defense - 1.2% | ||||||||||||||||
Bombardier Inc., Senior Notes | 7.875 | % | 4/15/27 | 1,800,000 | 1,734,027 | (a) | ||||||||||
Bombardier Inc., Senior Notes | 7.500 | % | 2/1/29 | 680,000 | 630,565 | (a) | ||||||||||
TransDigm Inc., Senior Secured Notes | 6.750 | % | 8/15/28 | 2,410,000 | 2,343,082 | (a) | ||||||||||
|
| |||||||||||||||
Total Aerospace & Defense | 4,707,674 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
Western Asset Short Duration High Income Fund 2023 Quarterly Report |
9 |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Commercial Services & Supplies - 2.7% | ||||||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp., Senior Secured Notes | 6.625 | % | 7/15/26 | 1,280,000 | $ | 1,199,776 | (a) | |||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, Senior Secured Notes | 4.625 | % | 6/1/28 | 1,470,000 | 1,199,295 | (a) | ||||||||||
CoreCivic Inc., Senior Notes | 8.250 | % | 4/15/26 | 1,940,000 | 1,965,858 | |||||||||||
GEO Group Inc., Secured Notes | 10.500 | % | 6/30/28 | 2,744,000 | 2,739,472 | |||||||||||
GFL Environmental Inc., Senior Secured Notes | 5.125 | % | 12/15/26 | 1,200,000 | 1,139,999 | (a) | ||||||||||
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer Inc., Senior Secured Notes | 5.000 | % | 2/1/26 | 2,330,000 | 2,224,220 | (a) | ||||||||||
Madison IAQ LLC, Senior Secured Notes | 4.125 | % | 6/30/28 | 300,000 | 250,901 | (a) | ||||||||||
|
| |||||||||||||||
Total Commercial Services & Supplies | 10,719,521 | |||||||||||||||
|
| |||||||||||||||
Construction & Engineering - 0.5% | ||||||||||||||||
Brundage-Bone Concrete Pumping | ||||||||||||||||
Holdings Inc., Secured Notes | 6.000 | % | 2/1/26 | 1,150,000 | 1,088,509 | (a) | ||||||||||
Empire Communities Corp., Senior Notes | 7.000 | % | 12/15/25 | 1,160,000 | 1,079,252 | (a) | ||||||||||
|
| |||||||||||||||
Total Construction & Engineering | 2,167,761 | |||||||||||||||
|
| |||||||||||||||
Ground Transportation - 0.7% | ||||||||||||||||
XPO Escrow Sub LLC, Senior Notes | 7.500 | % | 11/15/27 | 1,480,000 | 1,481,340 | (a) | ||||||||||
XPO Inc., Senior Notes | 6.250 | % | 5/1/25 | 1,266,000 | 1,252,130 | (a) | ||||||||||
|
| |||||||||||||||
Total Ground Transportation | 2,733,470 | |||||||||||||||
|
| |||||||||||||||
Machinery - 0.5% | ||||||||||||||||
TK Elevator US Newco Inc., Senior Secured Notes | 5.250 | % | 7/15/27 | 830,000 | 756,509 | (a) | ||||||||||
Vertiv Group Corp., Senior Secured Notes | 4.125 | % | 11/15/28 | 1,300,000 | 1,137,578 | (a) | ||||||||||
|
| |||||||||||||||
Total Machinery | 1,894,087 | |||||||||||||||
|
| |||||||||||||||
Passenger Airlines - 3.4% | ||||||||||||||||
Air Canada, Senior Secured Notes | 3.875 | % | 8/15/26 | 1,500,000 | 1,366,271 | (a) | ||||||||||
American Airlines Inc., Senior Secured Notes | 11.750 | % | 7/15/25 | 3,090,000 | 3,277,745 | (a) | ||||||||||
American Airlines Inc., Senior Secured Notes | 7.250 | % | 2/15/28 | 950,000 | 884,471 | (a) | ||||||||||
American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes | 5.750 | % | 4/20/29 | 2,060,000 | 1,860,241 | (a) | ||||||||||
Delta Air Lines Inc., Senior Notes | 7.375 | % | 1/15/26 | 860,000 | 869,447 |
See Notes to Schedule of Investments.
| ||||
10 | Western Asset Short Duration High Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Passenger Airlines - (continued) | ||||||||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes | 6.500 | % | 6/20/27 | 697,500 | $ | 689,582 | (a) | |||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | 8.000 | % | 9/20/25 | 1,024,000 | 756,613 | (a) | ||||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | 8.000 | % | 9/20/25 | 2,250,000 | 1,662,480 | (a) | ||||||||||
United Airlines Inc., Senior Secured Notes | 4.375 | % | 4/15/26 | 1,960,000 | 1,820,075 | (a) | ||||||||||
United Airlines Pass-Through Trust | 4.875 | % | 1/15/26 | 316,160 | 303,197 | |||||||||||
|
| |||||||||||||||
Total Passenger Airlines | 13,490,122 | |||||||||||||||
|
| |||||||||||||||
Professional Services - 0.2% | ||||||||||||||||
RR Donnelley & Sons Co., Secured Notes | 9.750 | % | 7/31/28 | 810,000 | 794,889 | (a) | ||||||||||
|
| |||||||||||||||
Trading Companies & Distributors - 1.5% | ||||||||||||||||
Alta Equipment Group Inc., Secured Notes | 5.625 | % | 4/15/26 | 1,680,000 | 1,504,581 | (a) | ||||||||||
Beacon Roofing Supply Inc., Senior Secured Notes | 6.500 | % | 8/1/30 | 610,000 | 583,059 | (a) | ||||||||||
H&E Equipment Services Inc., Senior Notes | 3.875 | % | 12/15/28 | 440,000 | 373,175 | (a) | ||||||||||
United Rentals North America Inc., Senior Notes | 5.250 | % | 1/15/30 | 1,000,000 | 914,194 | |||||||||||
United Rentals North America Inc., Senior Secured Notes | 6.000 | % | 12/15/29 | 2,500,000 | 2,407,343 | (a) | ||||||||||
|
| |||||||||||||||
Total Trading Companies & Distributors | 5,782,352 | |||||||||||||||
|
| |||||||||||||||
TOTAL INDUSTRIALS | 42,289,876 | |||||||||||||||
|
| |||||||||||||||
INFORMATION TECHNOLOGY - 2.8% | ||||||||||||||||
Communications Equipment - 0.6% | ||||||||||||||||
CommScope Inc., Senior Secured Notes | 6.000 | % | 3/1/26 | 500,000 | 420,665 | (a) | ||||||||||
CommScope Inc., Senior Secured Notes | 4.750 | % | 9/1/29 | 2,110,000 | 1,443,092 | (a) | ||||||||||
CommScope Technologies LLC, Senior Notes | 6.000 | % | 6/15/25 | 356,000 | 214,136 | (a) | ||||||||||
CommScope Technologies LLC, Senior Notes | 5.000 | % | 3/15/27 | 1,180,000 | 435,438 | (a) | ||||||||||
|
| |||||||||||||||
Total Communications Equipment | 2,513,331 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
Western Asset Short Duration High Income Fund 2023 Quarterly Report |
11 |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Electronic Equipment, Instruments & Components - 0.3% | ||||||||||||||||
NCR Atleos Escrow Corp., Senior Secured Notes | 9.500 | % | 4/1/29 | 1,350,000 | $ | 1,324,742 | (a) | |||||||||
|
| |||||||||||||||
IT Services - 0.4% | ||||||||||||||||
CDW LLC/CDW Finance Corp., Senior Notes | 4.125 | % | 5/1/25 | 400,000 | 386,380 | |||||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub Inc., Senior Notes | 4.625 | % | 11/1/26 | 1,180,000 | 1,091,382 | (a) | ||||||||||
|
| |||||||||||||||
Total IT Services | 1,477,762 | |||||||||||||||
|
| |||||||||||||||
Software - 1.0% | ||||||||||||||||
Consensus Cloud Solutions Inc., Senior Notes | 6.000 | % | 10/15/26 | 1,800,000 | 1,668,983 | (a) | ||||||||||
Gen Digital Inc., Senior Notes | 6.750 | % | 9/30/27 | 1,310,000 | 1,276,636 | (a) | ||||||||||
Open Text Corp., Senior Secured Notes | 6.900 | % | 12/1/27 | 800,000 | 796,968 | (a) | ||||||||||
|
| |||||||||||||||
Total Software | 3,742,587 | |||||||||||||||
|
| |||||||||||||||
Technology Hardware, Storage & Peripherals - 0.5% |
| |||||||||||||||
CA Magnum Holdings, Senior Secured Notes | 5.375 | % | 10/31/26 | 840,000 | 736,456 | (a) | ||||||||||
Vericast Corp., Senior Secured Notes | 11.000 | % | 9/15/26 | 1,190,000 | 1,262,887 | (a) | ||||||||||
|
| |||||||||||||||
Total Technology Hardware, Storage & Peripherals |
| 1,999,343 | ||||||||||||||
|
| |||||||||||||||
TOTAL INFORMATION TECHNOLOGY | 11,057,765 | |||||||||||||||
|
| |||||||||||||||
MATERIALS - 2.6% | ||||||||||||||||
Chemicals - 0.0%†† | ||||||||||||||||
Anagram International Inc./Anagram Holdings LLC, Secured Notes (5.000% Cash and 5.000% PIK or 10.000% Cash or 10.000% PIK) | 10.000 | % | 8/15/26 | 158,861 | 110,409 | (a)(c) | ||||||||||
|
| |||||||||||||||
Construction Materials - 0.2% | ||||||||||||||||
Summit Materials LLC/Summit Materials Finance Corp., Senior Notes | 5.250 | % | 1/15/29 | 660,000 | 598,280 | (a) | ||||||||||
|
| |||||||||||||||
Containers & Packaging - 1.1% | ||||||||||||||||
ARD Finance SA, Senior Secured Notes (6.500% Cash or 7.250% PIK) | 6.500 | % | 6/30/27 | 2,150,000 | 1,255,825 | (a)(c) | ||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, Senior Secured Notes | 6.000 | % | 6/15/27 | 1,630,000 | 1,542,393 | (a) |
See Notes to Schedule of Investments.
| ||||
12 | Western Asset Short Duration High Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Containers & Packaging - (continued) | ||||||||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, Senior Secured Notes | 3.250 | % | 9/1/28 | 830,000 | $ | 676,964 | (a) | |||||||||
Canpack SA/Canpack US LLC, Senior Notes | 3.125 | % | 11/1/25 | 850,000 | 780,189 | (a) | ||||||||||
|
| |||||||||||||||
Total Containers & Packaging | 4,255,371 | |||||||||||||||
|
| |||||||||||||||
Metals & Mining - 1.2% | ||||||||||||||||
First Quantum Minerals Ltd., Senior Notes | 7.500 | % | 4/1/25 | 300,000 | 281,862 | (a) | ||||||||||
First Quantum Minerals Ltd., Senior Notes | 6.875 | % | 10/15/27 | 3,253,000 | 2,775,576 | (a) | ||||||||||
First Quantum Minerals Ltd., Senior Notes | 8.625 | % | 6/1/31 | 570,000 | 481,850 | (a) | ||||||||||
Hudbay Minerals Inc., Senior Notes | 4.500 | % | 4/1/26 | 1,420,000 | 1,323,084 | (a) | ||||||||||
|
| |||||||||||||||
Total Metals & Mining | 4,862,372 | |||||||||||||||
|
| |||||||||||||||
Paper & Forest Products - 0.1% | ||||||||||||||||
Mercer International Inc., Senior Notes | 5.125 | % | 2/1/29 | 430,000 | 337,680 | |||||||||||
|
| |||||||||||||||
TOTAL MATERIALS | 10,164,112 | |||||||||||||||
|
| |||||||||||||||
REAL ESTATE - 2.1% | ||||||||||||||||
Diversified REITs - 1.1% | ||||||||||||||||
IIP Operating Partnership LP, Senior Notes | 5.500 | % | 5/25/26 | 1,480,000 | 1,310,147 | |||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes | 5.000 | % | 10/15/27 | 750,000 | 580,130 | |||||||||||
RLJ Lodging Trust LP, Senior Secured Notes | 3.750 | % | 7/1/26 | 1,900,000 | 1,711,798 | (a) | ||||||||||
VICI Properties LP/VICI Note Co. Inc., Senior Notes | 3.750 | % | 2/15/27 | 850,000 | 765,638 | (a) | ||||||||||
|
| |||||||||||||||
Total Diversified REITs | 4,367,713 | |||||||||||||||
|
| |||||||||||||||
Health Care REITs - 0.2% | ||||||||||||||||
Diversified Healthcare Trust, Senior Notes | 9.750 | % | 6/15/25 | 344,000 | 334,006 | |||||||||||
Diversified Healthcare Trust, Senior Notes | 4.750 | % | 2/15/28 | 430,000 | 312,332 | |||||||||||
|
| |||||||||||||||
Total Health Care REITs | 646,338 | |||||||||||||||
|
| |||||||||||||||
Hotel & Resort REITs - 0.2% | ||||||||||||||||
Service Properties Trust, Senior Notes | 4.650 | % | 3/15/24 | 852,000 | 842,727 | |||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
Western Asset Short Duration High Income Fund 2023 Quarterly Report |
13 |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Real Estate Management & Development - 0.6% | ||||||||||||||||
Five Point Operating Co. LP/Five Point Capital Corp., Senior Notes | 7.875 | % | 11/15/25 | 1,800,000 | $ | 1,692,140 | (a) | |||||||||
Forestar Group Inc., Senior Notes | 3.850 | % | 5/15/26 | 1,010,000 | 900,063 | (a) | ||||||||||
|
| |||||||||||||||
Total Real Estate Management & Development |
| 2,592,203 | ||||||||||||||
|
| |||||||||||||||
TOTAL REAL ESTATE | 8,448,981 | |||||||||||||||
|
| |||||||||||||||
UTILITIES - 0.3% | ||||||||||||||||
Gas Utilities - 0.3% | ||||||||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp., Senior Notes | 5.875 | % | 8/20/26 | 1,260,000 | 1,182,441 | |||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS & NOTES |
| 259,439,842 | ||||||||||||||
|
| |||||||||||||||
SENIOR LOANS - 21.9% | ||||||||||||||||
COMMUNICATION SERVICES - 2.2% | ||||||||||||||||
Entertainment - 0.6% | ||||||||||||||||
Cinemark USA Inc., Term Loan | 9.074-9.140 | % | 5/24/30 | 1,910,400 | 1,910,878 | (e)(h)(i) | ||||||||||
UFC Holdings LLC, Term Loan B3 (3 mo. Term SOFR + 3.012%) | 8.399 | % | 4/29/26 | 373,196 | 373,271 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Entertainment | 2,284,149 | |||||||||||||||
|
| |||||||||||||||
Media - 1.6% | ||||||||||||||||
CB Poly US Holdings Inc., Initial Term Loan (1 mo. Term SOFR + 5.500%) | 10.824 | % | 5/18/29 | 1,603,800 | 1,532,431 | (e)(h)(i) | ||||||||||
Century DE Buyer LLC, Initial Term Loan | — | 10/30/30 | 1,920,000 | 1,909,200 | (j) | |||||||||||
Learfield Communications LLC, 2023 Term Loan | — | 6/30/28 | 1,280,000 | 1,224,537 | (j) | |||||||||||
Virgin Media Bristol LLC, Term Loan Facility Y (3 mo. Term SOFR + 3.350%) | 8.790 | % | 3/31/31 | 1,760,000 | 1,725,073 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Media | 6,391,241 | |||||||||||||||
|
| |||||||||||||||
TOTAL COMMUNICATION SERVICES | 8,675,390 | |||||||||||||||
|
| |||||||||||||||
CONSUMER DISCRETIONARY - 4.2% | ||||||||||||||||
Automobile Components - 0.7% | ||||||||||||||||
Clarios Global LP, 2023 Term Loan (1 mo. Term SOFR + 3.750%) | 9.074 | % | 5/6/30 | 780,000 | 779,805 | (e)(h)(i) | ||||||||||
First Brands Group LLC, 2021 First Lien Term Loan (3 mo. Term SOFR + 5.000%) | 10.881 | % | 3/30/27 | 2,028,000 | 2,004,333 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Automobile Components | 2,784,138 | |||||||||||||||
|
| |||||||||||||||
Broadline Retail - 0.2% | ||||||||||||||||
Peer Holding III BV, Term Loan | — | 10/19/30 | 960,000 | 955,502 | (j) | |||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
14 | Western Asset Short Duration High Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Hotels, Restaurants & Leisure - 1.3% | ||||||||||||||||
Caesars Entertainment Inc., Term Loan B (1 mo. Term SOFR + 3.350%) | 8.674 | % | 2/6/30 | 1,492,500 | $ | 1,488,978 | (e)(h)(i) | |||||||||
Carnival Corp., Initial Advance Term Loan (1 mo. Term SOFR + 3.000%) | 8.336 | % | 8/9/27 | 1,246,875 | 1,226,613 | (e)(h)(i) | ||||||||||
Equinox Holdings Inc., Term Loan B2 (3 mo. USD LIBOR + 9.000%) | 14.731 | % | 3/8/24 | 657,900 | 638,577 | (e)(h)(i) | ||||||||||
Pacific Bells LLC, Initial Term Loan (3 mo. Term SOFR + 4.762%) | 10.152 | % | 11/10/28 | 1,365,711 | 1,346,086 | (e)(h)(i) | ||||||||||
PCI Gaming Authority, Term Loan Facility B (1 mo. Term SOFR + 2.614%) | 7.939 | % | 5/29/26 | 500,000 | 500,220 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Hotels, Restaurants & Leisure | 5,200,474 | |||||||||||||||
|
| |||||||||||||||
Leisure Products - 1.1% | ||||||||||||||||
19th Holdings Golf LLC, Initial Term Loan (1 mo. Term SOFR + 3.350%) | 8.678 | % | 2/7/29 | 2,913,125 | 2,767,469 | (e)(h)(i)(k) | ||||||||||
Hayward Industries Inc., First Lien Initial Term Loan (1 mo. Term SOFR + 2.864%) | 8.189 | % | 5/30/28 | 1,422,039 | 1,400,452 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Leisure Products | 4,167,921 | |||||||||||||||
|
| |||||||||||||||
Specialty Retail - 0.9% | ||||||||||||||||
Great Outdoors Group LLC, Term Loan B2 (3 mo. Term SOFR + 4.012%) | 9.402 | % | 3/6/28 | 583,590 | 580,246 | (e)(h)(i) | ||||||||||
PECF USS Intermediate Holding III Corp., Initial Term Loan | 9.689-9.895 | % | 12/15/28 | 991,677 | 753,556 | (e)(h)(i) | ||||||||||
Rent-A-Center Inc., Term Loan B2 (3 mo. Term SOFR + 3.512%) | 8.952 | % | 2/17/28 | 964,433 | 954,789 | (e)(h)(i)(k) | ||||||||||
Spencer Spirit IH LLC, Initial Term Loan (1 mo. Term SOFR + 6.100%) | 11.416 | % | 6/19/26 | 1,151,420 | 1,146,388 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Specialty Retail | 3,434,979 | |||||||||||||||
|
| |||||||||||||||
TOTAL CONSUMER DISCRETIONARY | 16,543,014 | |||||||||||||||
|
| |||||||||||||||
CONSUMER STAPLES - 0.1% | ||||||||||||||||
Household Products - 0.1% | ||||||||||||||||
Knight Health Holdings LLC, Term Loan B (1 mo. Term SOFR + 5.364%) | 10.689 | % | 12/23/28 | 943,200 | 237,370 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
ENERGY - 0.4% | ||||||||||||||||
Oil, Gas & Consumable Fuels - 0.4% | ||||||||||||||||
Traverse Midstream Partners LLC, Advance Term Loan | — | 2/16/28 | 1,580,000 | 1,579,012 | (j) | |||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
Western Asset Short Duration High Income Fund 2023 Quarterly Report |
15 |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
FINANCIALS - 3.2% | ||||||||||||||||
Capital Markets - 0.5% | ||||||||||||||||
Cardinal Parent Inc., First Lien Initial Term Loan (3 mo. Term SOFR + 4.650%) | 10.040 | % | 11/12/27 | 636,919 | $ | 581,188 | (e)(h)(i) | |||||||||
Gip Pilot Acquisition Partners LP, Initial Term Loan (3 mo. Term SOFR + 3.000%) | 8.388 | % | 10/4/30 | 1,270,000 | 1,270,000 | (e)(h)(i)(k) | ||||||||||
|
| |||||||||||||||
Total Capital Markets | 1,851,188 | |||||||||||||||
|
| |||||||||||||||
Financial Services - 1.0% | ||||||||||||||||
Deerfield Dakota Holding LLC, 2021 Replacement Term Loan (3 mo. Term SOFR + 7.012%) | 12.402 | % | 4/7/28 | 340,000 | 321,727 | (e)(h)(i) | ||||||||||
Deerfield Dakota Holding LLC, First Lien Initial Dollar Term Loan (3 mo. Term SOFR + 3.750%) | 9.140 | % | 4/9/27 | 592,347 | 572,850 | (e)(h)(i) | ||||||||||
GTCR W Merger Sub LLC, USD Term Loan B | — | 9/20/30 | 1,920,000 | 1,908,797 | (j) | |||||||||||
Jane Street Group LLC, Dollar Term Loan (1 mo. Term SOFR + 2.864%) | 8.189 | % | 1/26/28 | 1,070,180 | 1,068,976 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Financial Services | 3,872,350 | |||||||||||||||
|
| |||||||||||||||
Insurance - 1.7% | ||||||||||||||||
Accession Risk Management Group Inc., 2023 Delayed Draw Term Loan 2 (3 mo. Term SOFR + 6.150%) | 11.576 | % | 10/30/26 | 930,000 | 923,025 | (e)(h)(i)(k)(l) | ||||||||||
Acrisure LLC, 2020 Term Loan B (1 mo. USD LIBOR + 3.500%) | 8.939 | % | 2/15/27 | 791,300 | 772,507 | (e)(h)(i) | ||||||||||
Asurion LLC, New Term Loan B9 (1 mo. Term SOFR + 3.364%) | 8.689 | % | 7/31/27 | 858,000 | 821,535 | (e)(h)(i) | ||||||||||
Asurion LLC, New Term Loan B10 (1 mo. Term SOFR + 4.100%) | 9.424 | % | 8/19/28 | 831,600 | 795,392 | (e)(h)(i) | ||||||||||
Baldwin Risk Partners LLC, Term Loan B1 (1 mo. Term SOFR + 3.614%) | 8.953 | % | 10/14/27 | 1,069,874 | 1,060,068 | (e)(h)(i) | ||||||||||
HIG Finance 2 Ltd., 2023 Term Loan (1 mo. Term SOFR + 4.000%) | 9.324 | % | 4/18/30 | 766,150 | 766,391 | (e)(h)(i) | ||||||||||
HUB International Ltd., Term Loan | 9.662 | % | 6/20/30 | 1,850,000 | 1,851,240 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Insurance | 6,990,158 | |||||||||||||||
|
| |||||||||||||||
TOTAL FINANCIALS | 12,713,696 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
16 | Western Asset Short Duration High Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
HEALTH CARE - 2.3% | ||||||||||||||||
Health Care Equipment & Supplies - 0.7% | ||||||||||||||||
Medline Borrower LP, Initial Dollar Term Loan (1 mo. Term SOFR + 3.364%) | 8.689 | % | 10/23/28 | 2,905,750 | $ | 2,890,320 | (e)(h)(i) | |||||||||
|
| |||||||||||||||
Health Care Providers & Services - 0.9% | ||||||||||||||||
EyeCare Partners LLC, First Lien Amendment No. 2 Term Loan (3 mo. Term SOFR + 4.600%) | 9.983 | % | 11/15/28 | 813,850 | 482,206 | (e)(h)(i) | ||||||||||
EyeCare Partners LLC, First Lien Initial Term Loan (3 mo. Term SOFR + 4.012%) | 9.395 | % | 2/18/27 | 1,652,862 | 915,281 | (e)(h)(i) | ||||||||||
Global Medical Response Inc., 2020 Term Loan (3 mo. Term SOFR + 4.512%) | 9.934 | % | 10/2/25 | 1,184,772 | 775,042 | (e)(h)(i) | ||||||||||
LifePoint Health Inc., Term Loan B (3 mo. Term SOFR + 5.762%) | 11.168 | % | 11/16/28 | 703,337 | 665,972 | (e)(h)(i) | ||||||||||
Sotera Health Holdings LLC, Term Loan (3 mo. Term SOFR + 3.012%) | 8.395 | % | 12/11/26 | 820,000 | 814,465 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Health Care Providers & Services | 3,652,966 | |||||||||||||||
|
| |||||||||||||||
Life Sciences Tools & Services - 0.2% | ||||||||||||||||
Precision Medicine Group LLC, Initial Term Loan (3 mo. Term SOFR + 3.100%) | 8.490 | % | 11/18/27 | 769,613 | 759,993 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Pharmaceuticals - 0.5% | ||||||||||||||||
Agiliti Health Inc., 2023 Term Loan B (3 mo. Term SOFR + 3.000%) | 8.395 | % | 5/1/30 | 460,000 | 454,250 | (e)(h)(i) | ||||||||||
Gainwell Acquisition Corp., Term Loan B (3 mo. Term SOFR + 4.100%) | 9.490 | % | 10/1/27 | 972,500 | 931,981 | (e)(h)(i) | ||||||||||
Jazz Financing Lux Sarl, Initial Dollar Term Loan (1 mo. Term SOFR + 3.614%) | 8.939 | % | 5/5/28 | 533,773 | 534,216 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Pharmaceuticals | 1,920,447 | |||||||||||||||
|
| |||||||||||||||
TOTAL HEALTH CARE | 9,223,726 | |||||||||||||||
|
| |||||||||||||||
INDUSTRIALS - 5.0% | ||||||||||||||||
Aerospace & Defense - 0.1% | ||||||||||||||||
TransDigm Inc., Term Loan I (3 mo. Term SOFR + 3.250%) | 8.640 | % | 8/24/28 | 424,358 | 424,358 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Air Freight & Logistics - 0.4% | ||||||||||||||||
WWEX Uni Topco Holdings LLC, First Lien Initial Term Loan (3 mo. Term SOFR + 4.262%) | 9.652 | % | 7/26/28 | 1,621,125 | 1,555,267 | (e)(h)(i) | ||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
Western Asset Short Duration High Income Fund 2023 Quarterly Report |
17 |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
Building Products - 0.9% | ||||||||||||||||
Hunter Douglas Holding BV, Term Loan B1 (3 mo. Term SOFR + 3.500%) | 8.891 | % | 2/26/29 | 1,786,278 | $ | 1,690,274 | (e)(h)(i) | |||||||||
Quikrete Holdings Inc., Term Loan B1 (1 mo. Term SOFR + 2.864%) | 8.189 | % | 3/18/29 | 1,901,050 | 1,902,343 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Building Products | 3,592,617 | |||||||||||||||
|
| |||||||||||||||
Commercial Services & Supplies - 1.6% |
| |||||||||||||||
DS Parent Inc., Term Loan B (6 mo. Term SOFR + 6.000%) | 11.337 | % | 12/8/28 | 1,557,974 | 1,543,687 | (e)(h)(i) | ||||||||||
LRS Holdings LLC, Term Loan B (1 mo. Term SOFR + 4.364%) | 9.689 | % | 8/31/28 | 1,375,500 | 1,351,429 | (e)(h)(i)(k) | ||||||||||
Neptune Bidco US Inc., Term Loan B (3 mo. Term SOFR + 5.100%) | 10.507 | % | 4/11/29 | 467,650 | 410,218 | (e)(h)(i) | ||||||||||
Thermostat Purchaser III Inc., Initial Term Loan | 9.924-10.072 | % | 8/31/28 | 2,490,228 | 2,465,326 | (e)(h)(i)(k) | ||||||||||
Verscend Holding Corp., New Term Loan B (1 mo. Term SOFR + 4.114%) | 9.439 | % | 8/27/25 | 691,161 | 691,666 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Commercial Services & Supplies |
| 6,462,326 | ||||||||||||||
|
| |||||||||||||||
Machinery - 0.3% | ||||||||||||||||
SPX Flow Inc., Term Loan (1 mo. Term SOFR + 4.600%) | 9.924 | % | 4/5/29 | 1,246,121 | 1,236,856 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Passenger Airlines - 1.4% | ||||||||||||||||
Air Canada, Term Loan (3 mo. Term SOFR + 3.762%) | 9.128 | % | 8/11/28 | 1,866,375 | 1,866,842 | (e)(h)(i) | ||||||||||
Delta Air Lines Inc., Initial Term Loan (3 mo. Term SOFR + 3.750%) | 9.166 | % | 10/20/27 | 1,432,000 | 1,468,924 | (e)(h)(i) | ||||||||||
Mileage Plus Holdings LLC, Initial Term Loan (3 mo. Term SOFR + 5.400%) | 10.798 | % | 6/21/27 | 607,500 | 627,068 | (e)(h)(i) | ||||||||||
United Airlines Inc., Term Loan B (1 mo. Term SOFR + 3.864%) | 9.189 | % | 4/21/28 | 1,458,918 | 1,458,006 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Passenger Airlines | 5,420,840 | |||||||||||||||
|
| |||||||||||||||
Professional Services - 0.3% | ||||||||||||||||
RR Donnelley & Sons Co., 2023 Replacement Term Loan (1 mo. Term SOFR + 7.350%) | 12.674 | % | 3/17/28 | 1,292,665 | 1,294,604 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
TOTAL INDUSTRIALS | 19,986,868 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
18 | Western Asset Short Duration High Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
INFORMATION TECHNOLOGY - 4.1% | ||||||||||||||||
Communications Equipment - 0.7% | ||||||||||||||||
CommScope Inc., Initial Term Loan (1 mo. Term SOFR + 3.364%) | 8.689 | % | 4/6/26 | 1,916,554 | $ | 1,649,032 | (e)(h)(i) | |||||||||
Global Tel Link Corp., First Lien Term Loan (3 mo. Term SOFR + 4.400%) | 9.783 | % | 11/29/25 | 1,054,782 | 1,021,424 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Communications Equipment | 2,670,456 | |||||||||||||||
|
| |||||||||||||||
IT Services - 1.7% | ||||||||||||||||
Amentum Government Services Holdings LLC, Term Loan 3 (1 mo. Term SOFR + 4.000%) | 9.335 | % | 2/15/29 | 1,930,538 | 1,893,742 | (e)(h)(i) | ||||||||||
Project Alpha Intermediate Holding Inc., Initial Term Loan (1 mo. Term SOFR + 4.750%) | 10.075 | % | 10/28/30 | 1,290,000 | 1,254,931 | (e)(h)(i) | ||||||||||
UST Global Inc., Initial Term Loan (1 mo. Term SOFR + 3.614%) | 8.929 | % | 11/20/28 | 2,181,150 | 2,174,334 | (e)(h)(i) | ||||||||||
VT Topco Inc., Initial Term Loan (3 mo. Term SOFR + 4.250%) | 9.661 | % | 8/9/30 | 1,570,000 | 1,569,513 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total IT Services | 6,892,520 | |||||||||||||||
|
| |||||||||||||||
Software - 1.7% | ||||||||||||||||
Cloudera Inc., Term Loan (1 mo. Term SOFR + 3.850%) | 9.174 | % | 10/8/28 | 2,475,900 | 2,386,656 | (e)(h)(i) | ||||||||||
DCert Buyer Inc., First Lien Initial Term Loan (1 mo. Term SOFR + 4.000%) | 9.324 | % | 10/16/26 | 1,804,550 | 1,775,226 | (e)(h)(i) | ||||||||||
DCert Buyer Inc., Second Lien Initial Term Loan (1 mo. Term SOFR + 7.000%) | 12.324 | % | 2/19/29 | 1,450,000 | 1,307,422 | (e)(h)(i) | ||||||||||
Magenta Buyer LLC, First Lien Initial Term Loan (3 mo. Term SOFR + 5.262%) | 10.645 | % | 7/27/28 | 442,191 | 313,819 | (e)(h)(i) | ||||||||||
MRI Software LLC, Second Amendment Term Loan (3 mo. Term SOFR + 5.600%) | 10.990 | % | 2/10/26 | 141,051 | 138,583 | (e)(h)(i)(k) | ||||||||||
MRI Software LLC, Term Loan B (3 mo. Term SOFR + 5.600%) | 10.990 | % | 2/10/26 | 245,255 | 240,963 | (e)(h)(i)(k) | ||||||||||
Peraton Corp., First Lien Term Loan B (1 mo. Term SOFR + 3.850%) | 9.174 | % | 2/1/28 | 725,302 | 712,950 | (e)(h)(i) | ||||||||||
|
| |||||||||||||||
Total Software | 6,875,619 | |||||||||||||||
|
| |||||||||||||||
TOTAL INFORMATION TECHNOLOGY | 16,438,595 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
Western Asset Short Duration High Income Fund 2023 Quarterly Report |
19 |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
MATERIALS - 0.2% | ||||||||||||||||
Metals & Mining - 0.2% | ||||||||||||||||
Arctic Canadian Diamond Co. Ltd., Second Lien Term Loan | 10.000 | % | 12/31/27 | 861,037 | $ | 736,775 | (f)(h)(i)(k) | |||||||||
|
| |||||||||||||||
REAL ESTATE - 0.2% | ||||||||||||||||
Real Estate Management & Development - 0.2% |
| |||||||||||||||
Cushman & Wakefield US Borrower LLC, 2023 Refinancing Term Loan 2 (1 mo. Term SOFR + 4.000%) | 9.324 | % | 1/31/30 | 640,000 | 616,000 | (e)(h)(i)(k) | ||||||||||
|
| |||||||||||||||
TOTAL SENIOR LOANS | 86,750,446 | |||||||||||||||
|
| |||||||||||||||
ASSET-BACKED SECURITIES - 6.3% | ||||||||||||||||
AIMCO CLO, 2015-AA DR2 (3 mo. Term SOFR + 3.312%) | 8.714 | % | 10/17/34 | 1,000,000 | 966,424 | (a)(e) | ||||||||||
Alinea CLO Ltd., 2018-1A D (3 mo. Term SOFR + 3.362%) | 8.777 | % | 7/20/31 | 1,000,000 | 964,945 | (a)(e) | ||||||||||
Ameriquest Mortgage Securities Inc., 2002-C M1 (1 mo. Term SOFR + 3.489%) | 8.814 | % | 11/25/32 | 893,687 | 872,571 | (e) | ||||||||||
Apex Credit CLO Ltd., 2022-1A D (3 mo. Term SOFR + 4.400%) | 9.812 | % | 4/22/33 | 250,000 | 240,076 | (a)(e) | ||||||||||
Ares CLO Ltd., 2015-4A CR (3 mo. Term SOFR + 2.912%) | 8.305 | % | 10/15/30 | 1,050,000 | 1,007,257 | (a)(e) | ||||||||||
Ares CLO Ltd., 2020-55A DR (3 mo. Term SOFR + 3.412%) | 8.805 | % | 7/15/34 | 1,250,000 | 1,199,375 | (a)(e) | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, 2019-3A B | 2.650 | % | 3/20/26 | 450,000 | 428,828 | (a) | ||||||||||
Bain Capital Credit CLO Ltd., 2021-4A D (3 mo. Term SOFR + 3.362%) | 8.777 | % | 10/20/34 | 400,000 | 371,105 | (a)(e) | ||||||||||
Balboa Bay Loan Funding Ltd., 2020-1A ER (3 mo. Term SOFR + 6.662%) | 12.074 | % | 1/20/32 | 1,000,000 | 941,681 | (a)(e) | ||||||||||
Ballyrock CLO Ltd., 2022-19A D (3 mo. Term SOFR + 7.110%) | 12.526 | % | 4/20/35 | 1,350,000 | 1,320,010 | (a)(e) | ||||||||||
Barings CLO Ltd., 2023-3A D (3 mo. Term SOFR + 4.500%) | 9.907 | % | 10/15/36 | 500,000 | 499,804 | (a)(e) | ||||||||||
BlueMountain CLO Ltd., 2016-2A DR (3 mo. Term SOFR + 8.052%) | 13.431 | % | 8/20/32 | 700,000 | 618,107 | (a)(e) | ||||||||||
BlueMountain CLO Ltd., 2021-31A E (3 mo. Term SOFR + 6.792%) | 12.188 | % | 4/19/34 | 160,000 | 145,834 | (a)(e) |
See Notes to Schedule of Investments.
| ||||
20 | Western Asset Short Duration High Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
Canyon Capital CLO Ltd., 2020-1A ER (3 mo. Term SOFR + 6.612%) | 12.005 | % | 7/15/34 | 530,000 | $ | 483,321 | (a)(e) | |||||||||
Cook Park CLO Ltd., 2018-1A E (3 mo. Term SOFR + 5.662%) | 11.064 | % | 4/17/30 | 750,000 | 620,307 | (a)(e) | ||||||||||
Dryden CLO Ltd., 2018-64A D (3 mo. Term SOFR + 2.912%) | 8.307 | % | 4/18/31 | 500,000 | 479,611 | (a)(e) | ||||||||||
Gilbert Park CLO Ltd., 2017-1A D (3 mo. Term SOFR + 3.212%) | 8.605 | % | 10/15/30 | 250,000 | 244,560 | (a)(e) | ||||||||||
Goldentree Loan Management US CLO Ltd., 2018-3A D (3 mo. Term SOFR + 3.112%) | 8.527 | % | 4/20/30 | 250,000 | 247,869 | (a)(e) | ||||||||||
Great Lakes CLO Ltd., 2014-1A CR (3 mo. Term SOFR + 2.962%) | 8.355 | % | 10/15/29 | 900,000 | 891,149 | (a)(e) | ||||||||||
Greenwood Park CLO Ltd., 2018-1A D (3 mo. Term SOFR + 2.762%) | 8.155 | % | 4/15/31 | 700,000 | 651,400 | (a)(e) | ||||||||||
Greenwood Park CLO Ltd., 2018-1A E (3 mo. Term SOFR + 5.212%) | 10.605 | % | 4/15/31 | 480,000 | 401,376 | (a)(e) | ||||||||||
GSAA Home Equity Trust, 2006-5 2A3 (1 mo. Term SOFR + 0.654%) | 5.979 | % | 3/25/36 | 1,652,318 | 813,851 | (e) | ||||||||||
Halsey Point CLO Ltd., 2019-1A E (3 mo. Term SOFR + 7.962%) | 13.377 | % | 1/20/33 | 920,000 | 890,701 | (a)(e) | ||||||||||
Harriman Park CLO Ltd., 2020-1A ER (3 mo. Term SOFR + 6.662%) | 12.077 | % | 4/20/34 | 500,000 | 479,755 | (a)(e) | ||||||||||
Magnetite Ltd., 2012-7A DR2 (3 mo. Term SOFR + 4.762%) | 10.155 | % | 1/15/28 | 1,250,000 | 1,232,387 | (a)(e) | ||||||||||
Magnetite Ltd., 2015-12A ER (3 mo. Term SOFR + 5.942%) | 11.335 | % | 10/15/31 | 290,000 | 273,847 | (a)(e) | ||||||||||
Mercury Financial Credit Card Master Trust, 2022-1A B | 3.200 | % | 9/21/26 | 550,000 | 511,958 | (a) | ||||||||||
Midocean Credit CLO, 2017-7A D (3 mo. Term SOFR + 4.142%) | 9.535 | % | 7/15/29 | 500,000 | 471,775 | (a)(e) | ||||||||||
Morgan Stanley ABS Capital Inc. Trust, 2005-NC2 M4 (1 mo. Term SOFR + 1.029%) | 6.354 | % | 3/25/35 | 266,174 | 264,147 | (e) | ||||||||||
Mountain View CLO Ltd., 2015-9A CR (3 mo. Term SOFR + 3.382%) | 8.775 | % | 7/15/31 | 440,000 | 394,513 | (a)(e) | ||||||||||
MVW LLC, 2021-1WA C | 1.940 | % | 1/22/41 | 399,278 | 360,579 | (a) | ||||||||||
Neuberger Berman CLO Ltd., 2017-16SA DR (3 mo. Term SOFR + 3.162%) | 8.555 | % | 4/15/34 | 750,000 | 718,379 | (a)(e) |
See Notes to Schedule of Investments.
| ||||
Western Asset Short Duration High Income Fund 2023 Quarterly Report |
21 |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
Ocean Trails CLO, 2014-5A DRR (3 mo. Term SOFR + 3.712%) | 9.105 | % | 10/13/31 | 510,000 | $ | 445,257 | (a)(e) | |||||||||
Palmer Square Loan Funding Ltd., 2022-3A C (3 mo. Term SOFR + 5.400%) | 10.794 | % | 4/15/31 | 830,000 | 833,441 | (a)(e) | ||||||||||
Sculptor CLO Ltd., 26A E (3 mo. Term SOFR + 7.512%) | 12.927 | % | 7/20/34 | 520,000 | 489,991 | (a)(e) | ||||||||||
Structured Asset Securities Corp. Trust, 2005-SC1 1A2 | 7.027 | % | 5/25/31 | 1,153,741 | 877,161 | (a)(e) | ||||||||||
THL Credit Wind River CLO Ltd., 2017-3A ER (3 mo. Term SOFR + 7.312%) | 12.705 | % | 4/15/35 | 900,000 | 830,056 | (a)(e) | ||||||||||
Venture CLO Ltd., 2014-17A DRR (3 mo. Term SOFR + 3.082%) | 8.475 | % | 4/15/27 | 700,000 | 690,595 | (a)(e) | ||||||||||
Voya CLO Ltd., 2017-3A DR (3 mo. Term SOFR + 7.212%) | 12.627 | % | 4/20/34 | 300,000 | 278,993 | (a)(e) | ||||||||||
Voya CLO Ltd., 2020-3A DR (3 mo. Term SOFR + 3.512%) | 8.927 | % | 10/20/34 | 500,000 | 482,656 | (a)(e) | ||||||||||
Whitehorse Ltd., 2018-12A D (3 mo. Term SOFR + 3.912%) | 9.305 | % | 10/15/31 | 250,000 | 234,162 | (a)(e) | ||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES (Cost - $26,607,269) |
| 25,169,814 | ||||||||||||||
|
| |||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(m) - 2.0% |
| |||||||||||||||
Banc of America Funding Trust, 2015-R4 2A1 (1 mo. Term SOFR + 0.319%) | 5.639 | % | 2/25/37 | 459,505 | 447,725 | (a)(e) | ||||||||||
CSMC Trust, 2015-2R 7A2 | 4.569 | % | 8/27/36 | 2,138,942 | 1,647,031 | (a)(e) | ||||||||||
CSMC Trust, 2019-ICE4 A (1 mo. Term SOFR + 1.027%) | 6.362 | % | 5/15/36 | 997,518 | 993,945 | (a)(e) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA1 B1 (30 Day Average SOFR + 2.414%) | 7.735 | % | 1/25/50 | 290,000 | 291,696 | (a)(e) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA5 M2 (30 Day Average SOFR + 2.800%) | 8.121 | % | 10/25/50 | 225,506 | 228,555 | (a)(e) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA5 B1 (30 Day Average SOFR + 3.050%) | 8.371 | % | 1/25/34 | 790,000 | 791,714 | (a)(e) |
See Notes to Schedule of Investments.
| ||||
22 | Western Asset Short Duration High Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE | VALUE | ||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(m) - (continued) | ||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA5 M2 (30 Day Average SOFR + 1.650%) | 6.971 | % | 1/25/34 | 98,199 | $ | 98,272 | (a)(e) | |||||||
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2019-1 M | 4.750 | % | 7/25/58 | 880,000 | 773,780 | (a)(e) | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2020-1 M | 4.250 | % | 8/25/59 | 960,000 | 809,748 | (a)(e) | ||||||||
Federal National Mortgage Association (FNMA) - CAS, 2019-R05 1B1 (30 Day Average SOFR + 4.214%) | 9.535 | % | 7/25/39 | 228,112 | 235,836 | (a)(e) | ||||||||
Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1B1 (30 Day Average SOFR + 3.364%) | 8.685 | % | 1/25/40 | 260,000 | 263,278 | (a)(e) | ||||||||
Federal National Mortgage Association (FNMA) - CAS, 2021-R01 1B1 (30 Day Average SOFR + 3.100%) | 8.421 | % | 10/25/41 | 520,000 | 519,459 | (a)(e) | ||||||||
LSTAR Securities Investment Ltd., 2023-1 A1 (SOFR + 3.500%) | 8.810 | % | 1/1/28 | 809,928 | 812,072 | (a)(e) | ||||||||
|
| |||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $8,350,933) |
| 7,913,111 | ||||||||||||
|
| |||||||||||||
CONVERTIBLE BONDS & NOTES - 0.7% | ||||||||||||||
COMMUNICATION SERVICES - 0.1% | ||||||||||||||
Media - 0.1% | ||||||||||||||
DISH Network Corp., Senior Notes | 3.375 | % | 8/15/26 | 1,070,000 | 553,725 | |||||||||
|
| |||||||||||||
CONSUMER DISCRETIONARY - 0.2% | ||||||||||||||
Hotels, Restaurants & Leisure - 0.2% | ||||||||||||||
DraftKings Holdings Inc., Senior Notes | 0.000 | % | 3/15/28 | 1,020,000 | 768,060 | |||||||||
|
| |||||||||||||
FINANCIALS - 0.2% | ||||||||||||||
Mortgage Real Estate Investment Trusts (REITs) - 0.2% |
| |||||||||||||
Two Harbors Investment Corp., Senior Notes | 6.250 | % | 1/15/26 | 990,000 | 891,495 | |||||||||
|
|
See Notes to Schedule of Investments.
| ||||
Western Asset Short Duration High Income Fund 2023 Quarterly Report |
23 |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT† | VALUE | ||||||||||||
INDUSTRIALS - 0.1% | ||||||||||||||||
Passenger Airlines - 0.1% | ||||||||||||||||
Spirit Airlines Inc., Senior Notes | 1.000 | % | 5/15/26 | 500,000 | $ | 292,935 | ||||||||||
|
| |||||||||||||||
UTILITIES - 0.1% | ||||||||||||||||
Independent Power and Renewable Electricity Producers - 0.1% |
| |||||||||||||||
NextEra Energy Partners LP, Senior Notes | 2.500 | % | 6/15/26 | 410,000 | 355,470 | (a) | ||||||||||
|
| |||||||||||||||
TOTAL CONVERTIBLE BONDS & NOTES (Cost - $3,772,323) |
| 2,861,685 | ||||||||||||||
|
| |||||||||||||||
SOVEREIGN BONDS - 0.2% | ||||||||||||||||
Argentina - 0.2% | ||||||||||||||||
Argentine Republic Government International Bond, Senior Notes | 1.000 | % | 7/9/29 | 124,419 | 33,728 | |||||||||||
Argentine Republic Government International Bond, Senior Notes, Step bond (0.750% to 7/9/27 then 1.750%) | 0.750 | % | 7/9/30 | 1,820,408 | 509,916 | |||||||||||
Argentine Republic Government International Bond, Senior Notes, Step bond (3.625% to 7/9/24 then 4.125%) | 3.625 | % | 7/9/35 | 953,791 | 238,075 | |||||||||||
|
| |||||||||||||||
TOTAL SOVEREIGN BONDS (Cost - $1,773,899) | 781,719 | |||||||||||||||
|
| |||||||||||||||
SHARES/UNITS | ||||||||||||||||
COMMON STOCKS - 0.0%†† | ||||||||||||||||
ENERGY - 0.0%†† | ||||||||||||||||
Energy Equipment & Services - 0.0%†† | ||||||||||||||||
KCAD Holdings I Ltd. | 282,728,964 | 0 | *(f)(k)(n) | |||||||||||||
|
| |||||||||||||||
Oil, Gas & Consumable Fuels - 0.0%†† | ||||||||||||||||
Berry Corp. | 362 | 3,023 | ||||||||||||||
Permian Production Partners LLC | 37,916 | 24,645 | (f)(k) | |||||||||||||
|
| |||||||||||||||
Total Oil, Gas & Consumable Fuels | 27,668 | |||||||||||||||
|
| |||||||||||||||
TOTAL ENERGY | 27,668 | |||||||||||||||
|
| |||||||||||||||
MATERIALS - 0.0%†† | ||||||||||||||||
Metals & Mining - 0.0%†† | ||||||||||||||||
Arctic Canadian Diamond Co. Ltd. | 871 | 110,674 | *(f)(k) | |||||||||||||
|
| |||||||||||||||
TOTAL COMMON STOCKS (Cost - $2,316,805) |
| 138,342 | ||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
24 | Western Asset Short Duration High Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | EXPIRATION DATE | WARRANTS | VALUE | |||||||||||||
WARRANTS - 0.0%†† | ||||||||||||||||
FINANCIALS - 0.0%†† | ||||||||||||||||
Capital Markets - 0.0%†† | ||||||||||||||||
EG Acquisition Corp., Class A Shares | 5/28/28 | 13,613 | $ | 1,361 | * | |||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $411,843,316) | 383,056,320 | |||||||||||||||
|
| |||||||||||||||
RATE | SHARES | |||||||||||||||
SHORT-TERM INVESTMENTS - 4.2% | ||||||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost - $16,667,424) | 5.291 | % | 16,667,424 | 16,667,424 | (o)(p) | |||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS - 100.7% (Cost - $428,510,740) | 399,723,744 | |||||||||||||||
Liabilities in Excess of Other Assets - (0.7)% | (2,719,258 | ) | ||||||||||||||
|
| |||||||||||||||
TOTAL NET ASSETS - 100.0% | $ | 397,004,486 | ||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
Western Asset Short Duration High Income Fund 2023 Quarterly Report |
25 |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
† | Face 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) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities. |
(d) | Security has no maturity date. The date shown represents the next call date. |
(e) | 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. |
(f) | Security is valued in good faith in accordance with procedures approved by the Board of Trustees (Note 1). |
(g) | The coupon payment on this security is currently in default as of October 31, 2023. |
(h) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
(i) | 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. |
(j) | All or a portion of this loan has not settled as of October 31, 2023. Interest rates are not effective until settlement date. Interest rates shown, if any, are for the settled portion of the loan. |
(k) | Security is valued using significant unobservable inputs (Note 1). |
(l) | All or a portion of this loan is unfunded as of October 31, 2023. The interest rate for fully unfunded term loans is to be determined. At October 31, 2023, the total principal amount and market value of unfunded commitments totaled $855,600 and $849,183, respectively. |
(m) | 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. |
(n) | Value is less than $1. |
(o) | Rate shown is one-day yield as of the end of the reporting period. |
(p) | In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At October 31, 2023, the total market value of investments in Affiliated Companies was $16,667,424 and the cost was $16,667,424 (Note 2). |
See Notes to Schedule of Investments.
26 | Western Asset Short Duration High Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
Abbreviation(s) used in this schedule:
CAD | — Canadian Dollar | |
CAS | — Connecticut Avenue Securities | |
CLO | — Collateralized Loan Obligation | |
ICE | — Intercontinental Exchange | |
LIBOR | — London Interbank Offered Rate | |
PIK | — Payment-In-Kind | |
REMIC | — Real Estate Mortgage Investment Conduit | |
SOFR | — Secured Overnight Financing Rate | |
USD | — United States Dollar |
At October 31, 2023, the Fund had the following open forward foreign currency contracts:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
USD | 107,229 | CAD | 146,072 | Bank of America N.A. | 1/19/24 | $ | 1,744 | |||||||||||||||
AUD | 809,439 | USD | 515,101 | BNP Paribas SA | 1/19/24 | (272 | ) | |||||||||||||||
EUR | 63,126 | USD | 66,926 | BNP Paribas SA | 1/19/24 | 123 | ||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation on open forward foreign currency contracts | $ | 1,595 | ||||||||||||||||||||
|
|
Abbreviation(s) used in this table:
AUD | — Australian Dollar | |
CAD | — Canadian Dollar | |
EUR | — Euro | |
USD | — United States Dollar |
At October 31, 2023, the Fund had the following open swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION1 | ||||||||||||||||||||||||
REFERENCE ENTITY | NOTIONAL AMOUNT2 | TERMINATION DATE | IMPLIED CREDIT SPREAD AT OCTOBER 31, 20233 | PERIODIC PAYMENTS RECEIVED BY THE FUND† | MARKET VALUE | UPFRONT PREMIUMS PAID (RECEIVED) | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Ford Motor Co., 4.346%, due 12/8/26 | $ | 1,400,000 | 12/20/26 | 1.775% | 5.000% quarterly | $ | 127,793 | $ | 129,389 | $ | (1,596 | ) | ||||||||||||
Occidental Petroleum Corp., 5.550%, due 3/15/26 | 1,360,000 | 6/20/26 | 0.584% | 1.000% quarterly | 13,957 | (32,959 | ) | 46,916 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 2,760,000 | $ | 141,750 | $ | 96,430 | $ | 45,320 | ||||||||||||||||
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
Western Asset Short Duration High Income Fund 2023 Quarterly Report |
27 |
WESTERN ASSET SHORT DURATION HIGH INCOME FUND
Schedule of investments (unaudited) (cont’d) | October 31, 2023 |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION4 | ||||||||||||||||||||||||||||
REFERENCE ENTITY | NOTIONAL AMOUNT2 | TERMINATION DATE | IMPLIED CREDIT SPREAD AT OCTOBER 31, 20233 | PERIODIC PAYMENTS MADE BY THE FUND† | MARKET VALUE | UPFRONT PREMIUMS PAID (RECEIVED) | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||||||
Goodyear Tire & Rubber Co., 5.000%, due 5/31/26 | $ | 950,000 | 6/20/27 | 3.005% | 5.000% quarterly | $ | (59,971 | ) | $ | (12,501 | ) | $ | (47,470 | ) | ||||||||||||||
NOVA Chemicals Corp., 4.875%, due 6/1/24 | 724,000 | 6/20/27 | 4.544% | 5.000% quarterly | (10,048 | ) | (13,171 | ) | 3,123 | |||||||||||||||||||
Xerox Corp., 3.800%, due 5/15/24 | 376,000 | 6/20/27 | 3.934% | 1.000% quarterly | 33,965 | 38,736 | (4,771 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 2,050,000 | $ | (36,054 | ) | $ | 13,064 | $ | (49,118 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
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. |
† | 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 Schedule of Investments.
28 | Western Asset Short Duration High Income Fund 2023 Quarterly Report |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Short Duration High Income Fund (the “Fund”) is a separate diversified investment series of Legg Mason Partners Income Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
29 |
Notes to Schedule of Investments (unaudited) (continued)
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
• | Level 1 – unadjusted quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
30 |
Notes to Schedule of Investments (unaudited) (continued)
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:
ASSETS | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Long-Term Investments†: | ||||||||||||||||
Corporate Bonds & Notes | — | $ | 259,439,842 | — | $ | 259,439,842 | ||||||||||
Senior Loans: | ||||||||||||||||
Consumer Discretionary | — | 12,820,756 | $ | 3,722,258 | 16,543,014 | |||||||||||
Financials | — | 10,520,671 | 2,193,025 | 12,713,696 | ||||||||||||
Industrials | — | 16,170,113 | 3,816,755 | 19,986,868 | ||||||||||||
Information Technology | — | 16,059,049 | 379,546 | 16,438,595 | ||||||||||||
Materials | — | — | 736,775 | 736,775 | ||||||||||||
Real Estate | — | — | 616,000 | 616,000 | ||||||||||||
Other Senior Loans | — | 19,715,498 | — | 19,715,498 | ||||||||||||
Asset-Backed Securities | — | 25,169,814 | — | 25,169,814 | ||||||||||||
Collateralized Mortgage Obligations | — | 7,913,111 | — | 7,913,111 | ||||||||||||
Convertible Bonds & Notes | — | 2,861,685 | — | 2,861,685 | ||||||||||||
Sovereign Bonds | — | 781,719 | — | 781,719 | ||||||||||||
Common Stocks: | ||||||||||||||||
Energy | $ | 3,023 | — | 24,645 | 27,668 | |||||||||||
Materials | — | — | 110,674 | 110,674 | ||||||||||||
Warrants | 1,361 | — | — | 1,361 | �� | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long-Term Investments | 4,384 | 371,452,258 | 11,599,678 | 383,056,320 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments† | 16,667,424 | — | — | 16,667,424 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 16,671,808 | $ | 371,452,258 | $ | 11,599,678 | $ | 399,723,744 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Contracts†† | — | $ | 1,867 | — | $ | 1,867 | ||||||||||
Centrally Cleared Credit Default Swaps on Corporate Issues - Sell Protection†† | — | 46,916 | — | 46,916 | ||||||||||||
Centrally Cleared Credit Default Swaps on Corporate Issues - Buy Protection†† | — | 3,123 | — | 3,123 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | — | $ | 51,906 | — | $ | 51,906 | ||||||||||
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|
|
|
|
|
|
| |||||||||
Total | $ | 16,671,808 | $ | 371,504,164 | $ | 11,599,678 | $ | 399,775,650 | ||||||||
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|
|
|
|
|
|
|
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31 |
Notes to Schedule of Investments (unaudited) (continued)
LIABILITIES | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Contracts†† | — | $ | 272 | — | $ | 272 | ||||||||||
Centrally Cleared Credit Default Swaps on Corporate Issues - Sell Protection†† | — | 1,596 | — | 1,596 | ||||||||||||
Centrally Cleared Credit Default Swaps on Corporate Issues - Buy Protection†† | — | 52,241 | — | 52,241 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total | — | $ | 54,109 | — | $ | 54,109 | ||||||||||
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|
|
|
|
|
|
|
† | See Schedule of Investments for additional detailed categorizations. |
†† | Reflects the unrealized appreciation (depreciation) of the instruments. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
Investments in Securities | Balance as of July 31, 2023 | Accrued premiums/ discounts | Realized gain (loss) | Change in unrealized appreciation (depreciation)1 | Purchases | |||||||||||||||
Senior Loans: | ||||||||||||||||||||
Consumer Discretionary | $ | 3,864,415 | $ | 592 | $ | 39 | $ | (132,820 | ) | — | ||||||||||
Financials | 920,700 | 1,135 | — | 7,540 | $ | 1,263,650 | ||||||||||||||
Health Care | 756,157 | 385 | 25 | 5,401 | — | |||||||||||||||
Industrials | 3,870,623 | 525 | 45 | 15,647 | 53,678 | |||||||||||||||
Information Technology | 380,527 | 763 | 21 | (767 | ) | — | ||||||||||||||
Materials | 751,066 | — | — | (14,291 | ) | — | ||||||||||||||
Real Estate | — | 159 | — | (8,159 | ) | 624,000 | ||||||||||||||
Common Stocks: | ||||||||||||||||||||
Energy | 0 | * | — | — | — | — | ||||||||||||||
Materials | 181,456 | — | — | (70,782 | ) | — | ||||||||||||||
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|
|
|
|
|
|
|
| |||||||||||
Total | $ | 10,724,944 | $ | 3,559 | $ | 130 | $ | (198,231 | ) | $ | 1,941,328 | |||||||||
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32 |
Notes to Schedule of Investments (unaudited) (continued)
Investments in Securities (cont’d) | Sales | Transfers into Level 32 | Transfers out of Level 33 | Balance as of October 31, 2023 | Net change in unrealized appreciation (depreciation) for investments in securities still held at October 31, 20231 | |||||||||||||||
Senior Loans: | ||||||||||||||||||||
Consumer Discretionary | $ | (9,968 | ) | — | — | $ | 3,722,258 | $ | (132,820 | ) | ||||||||||
Financials | — | — | — | 2,193,025 | 7,540 | |||||||||||||||
Health Care | (1,975 | ) | — | $ | (759,993 | ) | — | — | ||||||||||||
Industrials | (123,763 | ) | — | — | 3,816,755 | 13,368 | ||||||||||||||
Information Technology | (998 | ) | — | — | 379,546 | (767 | ) | |||||||||||||
Materials | — | — | — | 736,775 | (14,291 | ) | ||||||||||||||
Real Estate | — | — | — | 616,000 | (8,159 | ) | ||||||||||||||
Common Stocks: | ||||||||||||||||||||
Energy | — | $ | 24,645 | — | 24,645 | — | ||||||||||||||
Materials | — | — | — | 110,674 | (70,782 | ) | ||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (136,704 | ) | $ | 24,645 | $ | (759,993 | ) | $ | 11,599,678 | $ | (205,911 | ) | |||||||
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|
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|
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|
|
* | Amount represents less than $1. |
1 | Change in unrealized appreciation (depreciation) includes net unrealized appreciation (depreciation) resulting from changes in investment values during the reporting period and the reversal of previously recorded unrealized appreciation (depreciation) when gains or losses are realized. |
2 | Transferred into Level 3 as a result of the unavailability of a quoted price in an active market for an identical investment or the unavailability of other significant observable inputs in the valuation obtained from independent third party pricing services or broker/dealer quotations. |
3 | Transferred out of Level 3 as a result of the availability of a quoted price in an active market for an identical investment or the availability of other significant observable inputs. |
2. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended October 31, 2023. The following transactions were effected in such company for the period ended October 31, 2023.
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33 |
Notes to Schedule of Investments (unaudited) (continued)
Affiliate Value at July 31, 2023 | Purchased | Sold | ||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares | $ | 9,899,954 | $ | 34,014,803 | 34,014,803 | $ | 27,247,333 | 27,247,333 |
(cont’d) | Realized Gain (Loss) | Dividend Income | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at October 31, 2023 | ||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares | — | $ | 88,745 | — | $ | 16,667,424 |
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34 |