WESTERN ASSET SHORT DURATION MUNICIPAL INCOME FUND
Schedule of investments (unaudited) | November 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
MUNICIPAL BONDS - 99.7% | ||||||||||||||||
Alabama - 1.4% | ||||||||||||||||
Southeast Alabama Gas Supply District, Gas Supply Revenue: | ||||||||||||||||
Project No 1, Series C (SIFMA Municipal Swap Index Yield + 0.650%) | 3.950 | % | 4/1/24 | $ | 5,000,000 | $ | 4,999,996 | (a)(b) | ||||||||
Project No 2, Series B (1 mo. Term SOFR x 0.670 + 0.114%) | 4.491 | % | 6/1/24 | 1,000,000 | 997,948 | (a)(b) | ||||||||||
|
| |||||||||||||||
Total Alabama | 5,997,944 | |||||||||||||||
|
| |||||||||||||||
Arizona - 4.2% | ||||||||||||||||
Chandler, AZ, IDA Revenue: | ||||||||||||||||
Intel Corp. Project | 5.000 | % | 6/3/24 | 12,170,000 | 12,207,190 | (a)(b)(c) | ||||||||||
Intel Corp. Project | 5.000 | % | 9/1/27 | 1,250,000 | 1,290,866 | (a)(b)(c) | ||||||||||
Coconino County, AZ, Pollution Control Corp. Revenue, Nevada Power Company Project, Series A, Refunding | 4.125 | % | 3/31/26 | 1,000,000 | 1,000,235 | (a)(b)(c) | ||||||||||
Maricopa County, AZ, IDA Revenue, Banner Health Obligation Group, Series A, Refunding | 5.000 | % | 1/1/31 | 1,750,000 | 1,831,053 | |||||||||||
Maricopa County, AZ, Pollution Control Corp. Revenue, Public Service Company of New Mexico Palo Verde Project, Series A, Refunding | 0.875 | % | 10/1/26 | 2,000,000 | 1,786,381 | (a)(b) | ||||||||||
|
| |||||||||||||||
Total Arizona | 18,115,725 | |||||||||||||||
|
| |||||||||||||||
California - 4.7% | ||||||||||||||||
California State Community Choice Financing Authority Revenue, Clean Energy Project, Green Bonds, Climate Bond Certified, Series A | 4.000 | % | 12/1/27 | 2,400,000 | 2,384,632 | (a)(b) | ||||||||||
California State Infrastructure & Economic Development Bank Revenue, Los Angeles County Museum of Art, Series B, Refunding (SIFMA Municipal Swap Index Yield + 0.700%) | 4.000 | % | 6/1/26 | 1,500,000 | 1,460,749 | (a)(b) | ||||||||||
California State MFA Revenue: | ||||||||||||||||
Waste Management Inc. Project, Series A | 4.250 | % | 12/2/24 | 2,500,000 | 2,486,317 | (a)(b)(c) | ||||||||||
Waste Management Inc. Project, Series A | 1.300 | % | 2/3/25 | 1,600,000 | 1,545,696 | (a)(b)(d) | ||||||||||
California State Public Finance Authority, Senior Living Revenue, Enso Village Project, Green Bond, Series B-3, Refunding | 2.125 | % | 11/15/27 | 1,000,000 | 953,266 | (d) | ||||||||||
California State, GO, Various Purpose, Refunding | 5.000 | % | 10/1/27 | 3,750,000 | 4,074,657 |
See Notes to Schedule of Investments.
Western Asset Short Duration Municipal Income Fund 2023 Quarterly Report |
1 |
WESTERN ASSET SHORT DURATION MUNICIPAL INCOME FUND
Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
California - continued | ||||||||||||||||
Los Angeles, CA, Department of Airports Revenue, Subordinated, Los Angeles International Airport, Series D | 5.000 | % | 5/15/25 | $ | 6,000,000 | $ | 6,126,185 | (c) | ||||||||
Rio, CA, Elementary School District, Ventura County, GO, Anticipation Notes, BAM | 0.000 | % | 7/1/28 | 1,000,000 | 851,878 | |||||||||||
|
| |||||||||||||||
Total California | 19,883,380 | |||||||||||||||
|
| |||||||||||||||
Colorado - 3.0% | ||||||||||||||||
City & County of Denver, CO, Airport System Revenue: | ||||||||||||||||
Series A | 5.000 | % | 12/1/25 | 2,000,000 | 2,048,102 | (c) | ||||||||||
Series A | 5.000 | % | 11/15/26 | 2,405,000 | 2,508,369 | (c) | ||||||||||
Series A | 5.000 | % | 11/15/29 | 2,500,000 | 2,713,556 | (c) | ||||||||||
Series B | 5.000 | % | 11/15/27 | 3,500,000 | 3,694,919 | (c) | ||||||||||
University of Colorado Revenue, Green Bond, Series C, Refunding | 2.000 | % | 10/15/24 | 2,060,000 | 2,025,190 | (a)(b) | ||||||||||
|
| |||||||||||||||
Total Colorado | 12,990,136 | |||||||||||||||
|
| |||||||||||||||
Connecticut - 6.6% | ||||||||||||||||
Connecticut State Housing Finance Authority | ||||||||||||||||
Revenue, Housing Mortgage Finance Program, | ||||||||||||||||
Series A-3 | 0.600 | % | 11/15/26 | 850,000 | 759,456 | |||||||||||
Connecticut State, GO: | ||||||||||||||||
Series A | 5.000 | % | 1/15/27 | 180,000 | 192,074 | |||||||||||
Series A | 5.000 | % | 4/15/29 | 4,275,000 | 4,570,984 | |||||||||||
Series D | 4.000 | % | 8/15/30 | 7,250,000 | 7,397,931 | |||||||||||
Series E | 5.000 | % | 10/15/28 | 5,000,000 | 5,284,596 | |||||||||||
Connecticut State, Special Tax Revenue: | ||||||||||||||||
Transportation Infrastructure Purpose, Series A | 5.000 | % | 9/1/29 | 5,270,000 | 5,546,269 | |||||||||||
Transportation Infrastructure Purpose, Series B, Refunding | 5.000 | % | 7/1/26 | 1,250,000 | 1,317,311 | |||||||||||
Transportation Infrastructure Purpose, Series B, Refunding | 5.000 | % | 7/1/27 | 1,750,000 | 1,886,000 | |||||||||||
New Haven, CT, GO, Series A, AGM | 5.000 | % | 8/1/25 | 1,200,000 | 1,233,493 | |||||||||||
|
| |||||||||||||||
Total Connecticut | 28,188,114 | |||||||||||||||
|
| |||||||||||||||
Delaware - 0.2% | ||||||||||||||||
Delaware State EDA Revenue, Delmarva Power & Light Co. Project, Series A, Refunding | 1.050 | % | 7/1/25 | 1,000,000 | 954,852 | (a)(b) | ||||||||||
|
| |||||||||||||||
District of Columbia - 1.6% | ||||||||||||||||
District of Columbia Revenue, Children’s Hospital Obligated Group Issue, Refunding | 5.000 | % | 7/15/28 | 2,495,000 | 2,573,746 |
See Notes to Schedule of Investments.
2 | Western Asset Short Duration Municipal Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION MUNICIPAL INCOME FUND
Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
District of Columbia - continued | ||||||||||||||||
District of Columbia, GO, Series D | 5.000 | % | 6/1/32 | $ | 2,665,000 | $ | 2,812,820 | |||||||||
Metropolitan Washington, DC, Airports Authority Aviation Revenue, Series A, Refunding | 5.000 | % | 10/1/27 | 1,500,000 | 1,586,094 | (c) | ||||||||||
|
| |||||||||||||||
Total District of Columbia | 6,972,660 | |||||||||||||||
|
| |||||||||||||||
Florida - 2.9% | ||||||||||||||||
Central Florida Expressway Authority Revenue, Senior Lien, Series A, Refunding | 5.000 | % | 7/1/29 | 1,645,000 | 1,709,912 | |||||||||||
Citizens Property Insurance Corp., Coastal Account Revenue, Senior Secured Bonds, Series A-1 | 5.000 | % | 6/1/25 | 900,000 | 912,961 | |||||||||||
Florida State Insurance Assistance Interlocal Agency Inc., Insurance Assessment Revenue, Series A-1 | 5.000 | % | 9/1/28 | 4,500,000 | 4,704,508 | |||||||||||
Jacksonville, FL, Revenue, Series 2014, Refunding | 5.000 | % | 10/1/27 | 1,000,000 | 1,011,446 | |||||||||||
Miami-Dade County, FL, IDA Revenue, Waste Management Inc. Project, Series B (SIFMA Municipal Swap Index Yield + 0.375%) | 3.675 | % | 7/1/24 | 1,500,000 | 1,490,965 | (a)(b)(c) | ||||||||||
Miami-Dade County, FL, Seaport Revenue, Series A, Refunding | 5.000 | % | 10/1/27 | 2,225,000 | 2,352,706 | (c) | ||||||||||
Palm Beach County, FL, Health Facilities Authority Revenue, Toby & Leon Cooperman Sinai Residences of Boca Raton Expansion, Refunding | 4.000 | % | 6/1/26 | 230,000 | 224,989 | |||||||||||
|
| |||||||||||||||
Total Florida | 12,407,487 | |||||||||||||||
|
| |||||||||||||||
Georgia - 1.5% | ||||||||||||||||
Atlanta, GA, Airport Passenger Facility Charge, General Revenue, Subordinate Lien, Series D | 5.000 | % | 7/1/26 | 5,000,000 | 5,180,958 | (c) | ||||||||||
Monroe County, GA, Development Authority, PCR, Georgia Power Co. Plant Scherer Project | 2.250 | % | 7/1/25 | 1,150,000 | 1,103,033 | |||||||||||
|
| |||||||||||||||
Total Georgia | 6,283,991 | |||||||||||||||
|
| |||||||||||||||
Illinois - 4.6% | ||||||||||||||||
Chicago, IL, O’Hare International Airport Revenue: | ||||||||||||||||
General, Senior Lien, Series A, Refunding | 5.000 | % | 1/1/27 | 3,000,000 | 3,021,731 | (c) | ||||||||||
General, Senior Lien, Series B, Refunding | 5.000 | % | 1/1/26 | 1,520,000 | 1,582,196 | |||||||||||
Cook County, IL, School District No 87 Berkeley, GO, AGM | 5.000 | % | 12/1/25 | 500,000 | 518,549 | |||||||||||
Illinois State Finance Authority Revenue, The Carle Foundation, Series A, Refunding | 5.000 | % | 8/15/25 | 2,090,000 | 2,146,726 |
See Notes to Schedule of Investments.
Western Asset Short Duration Municipal Income Fund 2023 Quarterly Report |
3 |
WESTERN ASSET SHORT DURATION MUNICIPAL INCOME FUND
Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Illinois - continued | ||||||||||||||||
Illinois State, GO: | ||||||||||||||||
Series A | 5.000 | % | 3/1/28 | $ | 1,875,000 | $ | 1,994,263 | |||||||||
Series D | 5.000 | % | 11/1/27 | 3,090,000 | 3,274,065 | |||||||||||
Series of October 2016, Refunding | 5.000 | % | 2/1/28 | 1,890,000 | 1,981,035 | |||||||||||
Metropolitan Pier & Exposition Authority, IL, Revenue, Mccormick Place Expansion Project, Series A, Refunding | 3.000 | % | 6/15/24 | 2,500,000 | 2,482,981 | |||||||||||
Sales Tax Securitization Corp. Revenue, Series A | 5.000 | % | 1/1/25 | 2,450,000 | 2,493,553 | |||||||||||
|
| |||||||||||||||
Total Illinois | 19,495,099 | |||||||||||||||
|
| |||||||||||||||
Indiana - 2.9% | ||||||||||||||||
Indiana State Finance Authority: | ||||||||||||||||
Environmental Facilities Revenue, Indianapolis Power & Light Company Project, Series B, Refunding | 0.650 | % | 8/1/25 | 1,000,000 | 931,748 | |||||||||||
Environmental Improvement Revenue, United States Steel Corp. Project, Series A, Refunding | 4.125 | % | 12/1/26 | 1,500,000 | 1,470,454 | |||||||||||
Health System Revenue, Indiana University Health, Series B | 2.250 | % | 7/1/25 | 1,320,000 | 1,290,820 | (a)(b) | ||||||||||
Indiana State Finance Authority Revenue, Wastewater Utility, First Lien, CWA Authority Project, Series A, Refunding | 5.000 | % | 10/1/29 | 1,275,000 | 1,369,265 | (e) | ||||||||||
Indianapolis, IN, Local Public Improvement Bond Bank, Indianapolis Airport Authority Project, Series 2019D, Refunding | 5.000 | % | 1/1/29 | 7,030,000 | 7,528,181 | (c) | ||||||||||
|
| |||||||||||||||
Total Indiana | 12,590,468 | |||||||||||||||
|
| |||||||||||||||
Iowa - 0.7% | ||||||||||||||||
Iowa State Finance Authority, Solid Waste Facility Revenue, Iowa Renewable Natural Gas Project, Green Bond, LOC - Citibank N.A. | 1.500 | % | 4/1/24 | 2,405,000 | 2,380,911 | (a)(b)(c) | ||||||||||
Iowa Tobacco Settlement Authority Revenue, Asset Backed Senior Bonds, Class 1, Series A-2, Refunding | 5.000 | % | 6/1/28 | 500,000 | 524,560 | |||||||||||
|
| |||||||||||||||
Total Iowa | 2,905,471 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
4 | Western Asset Short Duration Municipal Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION MUNICIPAL INCOME FUND
Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Kansas - 1.1% | ||||||||||||||||
Kansas State Department of Transportation Highway Revenue: | ||||||||||||||||
Series B | 5.000 | % | 9/1/26 | $ | 2,600,000 | $ | 2,688,381 | |||||||||
Series C-4 (1 mo. USD LIBOR x 0.700 + 0.500%) | 4.304 | % | 9/1/24 | 2,000,000 | 1,996,289 | (b) | ||||||||||
|
| |||||||||||||||
Total Kansas | 4,684,670 | |||||||||||||||
|
| |||||||||||||||
Kentucky - 5.7% | ||||||||||||||||
Ashland, KY, Ashland Hospital Corp., Revenue, Refunding | 5.000 | % | 2/1/24 | 575,000 | 575,851 | |||||||||||
Kentucky State PEA, Gas Supply Revenue: | ||||||||||||||||
Series B | 4.000 | % | 1/1/25 | 2,050,000 | 2,035,202 | (a)(b) | ||||||||||
Series C | 4.000 | % | 6/1/25 | 15,130,000 | 15,064,274 | (a)(b) | ||||||||||
Louisville/Jefferson County, KY, Metropolitan Government Health System Revenue, Norton Healthcare Inc., Series A | 5.000 | % | 10/1/25 | 1,550,000 | 1,596,224 | |||||||||||
Trimble County, KY, Environmental Facility Revenue, Louisville Gas and Electric Company Project, Series A | 4.700 | % | 6/1/27 | 2,000,000 | 2,011,315 | (a)(b)(c)(e) | ||||||||||
Trimble County, KY, Revenue, Pollution Control Bonds, Louisville Gas and Electric Company Project, Series A | 0.625 | % | 9/1/26 | 3,250,000 | 2,959,769 | |||||||||||
|
| |||||||||||||||
Total Kentucky | 24,242,635 | |||||||||||||||
|
| |||||||||||||||
Louisiana - 3.9% | ||||||||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority Revenue, East Baton Rouge Sewerage Commission Project, Series B, Refunding | 0.875 | % | 2/1/25 | 4,000,000 | 3,855,539 | (a)(b) | ||||||||||
Louisiana State Offshore Terminal Authority Revenue: | ||||||||||||||||
Deep Water Port Bonds, Series A | 4.150 | % | 9/1/27 | 4,000,000 | 4,049,300 | (e) | ||||||||||
Deep Water Port Bonds, Series C | 1.650 | % | 12/1/23 | 3,150,000 | 3,150,000 | (a)(b) | ||||||||||
St. John the Baptist Parish, LA, State Revenue: | ||||||||||||||||
Marathon Oil Corp. Project, Series B-1, Refunding | 2.125 | % | 7/1/24 | 1,750,000 | 1,719,869 | (a)(b) | ||||||||||
Marathon Oil Corp. Project, Series B-2, Refunding | 2.375 | % | 7/1/26 | 3,900,000 | 3,706,908 | (a)(b) | ||||||||||
|
| |||||||||||||||
Total Louisiana | 16,481,616 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Short Duration Municipal Income Fund 2023 Quarterly Report |
5 |
WESTERN ASSET SHORT DURATION MUNICIPAL INCOME FUND
Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Maryland - 0.7% | ||||||||||||||||
Maryland State, GO, State And Local Facilities Loan: | ||||||||||||||||
Series A | 4.000 | % | 3/15/30 | $ | 1,760,000 | $ | 1,817,493 | |||||||||
Series A | 5.000 | % | 3/15/31 | 1,040,000 | 1,136,424 | |||||||||||
|
| |||||||||||||||
Total Maryland | 2,953,917 | |||||||||||||||
|
| |||||||||||||||
Massachusetts - 1.0% | ||||||||||||||||
Massachusetts State Port Authority Revenue, Series C | 5.000 | % | 7/1/25 | 4,105,000 | 4,201,808 | (c) | ||||||||||
|
| |||||||||||||||
Michigan - 3.2% | ||||||||||||||||
Hazel School District, MI, GO: | ||||||||||||||||
Refunding, Q-SBLF | 4.000 | % | 5/1/26 | 1,405,000 | 1,430,666 | |||||||||||
Refunding, Q-SBLF | 4.000 | % | 5/1/27 | 1,460,000 | 1,500,915 | |||||||||||
Refunding, Q-SBLF | 4.000 | % | 5/1/29 | 1,580,000 | 1,651,190 | |||||||||||
Michigan State Finance Authority Revenue, | ||||||||||||||||
Mclaren Health Care, Series D-1, Refunding | 1.100 | % | 10/15/27 | 1,325,000 | 1,224,002 | |||||||||||
Michigan State HDA Revenue, Series A | 1.500 | % | 6/1/29 | 1,730,000 | 1,479,974 | |||||||||||
Michigan State Strategic Fund Limited | ||||||||||||||||
Obligation Revenue: | ||||||||||||||||
Consumers Energy Company Project, Remarketing | 0.875 | % | 10/8/26 | 1,335,000 | 1,175,802 | (a)(b)(c) | ||||||||||
Graphic Packaging International, LLC Coated Recycled Machine Project, Green Bonds | 4.000 | % | 10/1/26 | 2,000,000 | 1,959,638 | (a)(b)(c) | ||||||||||
Wayne County, MI, Airport Authority Revenue, Series F, Refunding | 5.000 | % | 12/1/27 | 3,380,000 | 3,436,022 | (c) | ||||||||||
|
| |||||||||||||||
Total Michigan | 13,858,209 | |||||||||||||||
|
| |||||||||||||||
Mississippi - 0.1% | ||||||||||||||||
Mississippi State Development Bank Revenue, Jackson Infrastructure Project | 5.000 | % | 9/1/25 | 590,000 | 598,380 | |||||||||||
|
| |||||||||||||||
Missouri - 0.5% | ||||||||||||||||
Missouri State Environmental Improvement & Energy Resources Authority Revenue, Kansas | ||||||||||||||||
City Power & Light Co. Project | 3.500 | % | 7/1/25 | 1,000,000 | 989,161 | (a)(b)(c) | ||||||||||
Missouri State HEFA Revenue, Saint Luke’s Health System, Inc. | 5.000 | % | 11/15/26 | 1,015,000 | 1,053,509 | |||||||||||
|
| |||||||||||||||
Total Missouri | 2,042,670 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
6 | Western Asset Short Duration Municipal Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION MUNICIPAL INCOME FUND
Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Nebraska - 1.0% | ||||||||||||||||
Central Plains, NE, Energy Project, Gas Supply Revenue, Refunding, LIQ - Royal Bank of Canada | 4.000 | % | 8/1/25 | $ | 3,115,000 | $ | 3,114,690 | (a)(b) | ||||||||
Washington County, NE, Wastewater and Solid Waste Disposal Facilities Revenue, Cargill Incorporated Project, Refunding | 0.900 | % | 9/1/25 | 1,200,000 | 1,147,276 | (a)(b)(c) | ||||||||||
|
| |||||||||||||||
Total Nebraska | 4,261,966 | |||||||||||||||
|
| |||||||||||||||
New Jersey - 7.6% | ||||||||||||||||
Gloucester County, NJ, Improvement Authority Revenue, Rowan University Student Center Projects | 0.600 | % | 3/1/24 | 2,250,000 | 2,225,523 | |||||||||||
New Jersey State EDA Revenue: | ||||||||||||||||
Motor Vehicle Surcharges Subordinate, Series A, BAM, Refunding | 5.000 | % | 7/1/27 | 445,000 | 472,895 | |||||||||||
Motor Vehicle Surcharges Subordinate, Series A, BAM, Refunding | 5.000 | % | 7/1/28 | 5,005,000 | 5,314,099 | |||||||||||
Natural Gas Facilities Revenue, Series C, Refunding | 2.450 | % | 4/1/26 | 2,250,000 | 2,186,911 | (a)(b)(c) | ||||||||||
School Facilities Construction, Series SSS, Refunding | 5.000 | % | 6/15/26 | 2,000,000 | 2,054,419 | (e) | ||||||||||
New Jersey State Transportation Trust Fund Authority Revenue: | ||||||||||||||||
Transportation System, CAB, Series A, BAM | 0.000 | % | 12/15/27 | 5,035,000 | 4,415,543 | |||||||||||
Transportation System, CAB, Series C, AGM | 0.000 | % | 12/15/29 | 2,250,000 | 1,836,780 | |||||||||||
Transportation System, CAB, Series C, AGM | 0.000 | % | 12/15/32 | 1,375,000 | 1,002,788 | |||||||||||
New Jersey State Turnpike Authority Revenue, | ||||||||||||||||
Series D-1, Refunding (1 mo. Term SOFR x 0.700 + 0.114%) | 4.504 | % | 1/1/24 | 9,785,000 | 9,785,283 | (b) | ||||||||||
New Jersey State, GO, COVID-19 Emergency Bonds, Series A | 5.000 | % | 6/1/29 | 1,865,000 | 2,067,301 | |||||||||||
Trenton, NJ, GO, Series 2020, AGM, State Aid Withholding | 2.000 | % | 7/15/31 | 1,455,000 | 1,271,914 | |||||||||||
|
| |||||||||||||||
Total New Jersey | 32,633,456 | |||||||||||||||
|
| |||||||||||||||
New York - 10.8% | ||||||||||||||||
Long Island, NY, Power Authority: | ||||||||||||||||
Electric System Revenue, Series B, Refunding | 1.500 | % | 9/1/26 | 4,580,000 | 4,284,449 | (a)(b) | ||||||||||
Electric System Revenue, Series B, Refunding | 5.000 | % | 9/1/27 | 7,625,000 | 8,039,696 | (a)(b) |
See Notes to Schedule of Investments.
Western Asset Short Duration Municipal Income Fund 2023 Quarterly Report |
7 |
WESTERN ASSET SHORT DURATION MUNICIPAL INCOME FUND
Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
Security | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
New York - continued | ||||||||||||||||
Long Island, NY, Power Authority Electric System Revenue: | ||||||||||||||||
Series B, Refunding | 1.650 | % | 9/1/24 | $ | 5,500,000 | $ | 5,413,089 | (a)(b) | ||||||||
Series B, Refunding | 0.850 | % | 9/1/25 | 4,900,000 | 4,652,032 | (a)(b) | ||||||||||
New York City, NY, HDC, MFH Revenue: | ||||||||||||||||
Green Bond, Series F-2, FHA | 0.600 | % | 7/1/25 | 8,845,000 | 8,316,241 | (a)(b) | ||||||||||
Green Bond, Series G, FHA | 0.600 | % | 11/1/26 | 1,075,000 | 961,586 | |||||||||||
New York City, NY, Municipal Water Finance | ||||||||||||||||
Authority, Water & Sewer System Revenue, Second General Resolution Fiscal 2015, Series FF, Refunding | 5.000 | % | 6/15/30 | 2,770,000 | 2,846,437 | |||||||||||
New York City, NY, Transportation Development Corp. Revenue, American Airlines Inc., John F. Kennedy International Airport Project | 2.250 | % | 8/1/26 | 1,850,000 | 1,752,862 | (c) | ||||||||||
Port Authority of New York & New Jersey Revenue: | ||||||||||||||||
Consolidated Series 207 | 5.000 | % | 9/15/32 | 300,000 | 315,502 | (c) | ||||||||||
Consolidated Series 226 | 5.000 | % | 10/15/25 | 2,000,000 | 2,057,087 | (c) | ||||||||||
Triborough Bridge & Tunnel Authority, NY, | ||||||||||||||||
Revenue, Senior Lien-MTA Bridges & Tunnels: | ||||||||||||||||
Green Bonds, Series A, Refunding | 5.000 | % | 11/15/27 | 2,500,000 | 2,725,897 | |||||||||||
Green Bonds, Series B, Refunding | 5.000 | % | 11/15/30 | 4,000,000 | 4,566,243 | |||||||||||
|
| |||||||||||||||
Total New York | 45,931,121 | |||||||||||||||
|
| |||||||||||||||
North Carolina - 0.4% | ||||||||||||||||
Charlotte-Mecklenburg Hospital Authority, NC, Health Care System Revenue, Atrium Health, Series E, Remarketing | 0.800 | % | 10/31/25 | 2,000,000 | 1,896,614 | (a)(b) | ||||||||||
|
| |||||||||||||||
Ohio - 4.1% | ||||||||||||||||
American Municipal Power Inc., OH, Revenue, Combined Hydroelectric Project, Subseries A-2, Refunding | 1.000 | % | 8/15/24 | 3,130,000 | 3,065,540 | (a)(b) | ||||||||||
Cleveland, OH, Airport System Revenue, Series A, Refunding | 5.000 | % | 1/1/25 | 1,250,000 | 1,264,818 | (c) | ||||||||||
Lancaster, OH, Port Authority, Gas Supply Revenue, Series A, Refunding, LIQ - Royal Bank of Canada | 5.000 | % | 2/1/25 | 6,100,000 | 6,159,535 | (a)(b) |
See Notes to Schedule of Investments.
8 | Western Asset Short Duration Municipal Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION MUNICIPAL INCOME FUND
Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Ohio - continued | ||||||||||||||||
Ohio State Air Quality Development Authority Revenue, American Electric Co. Project, Series D, Refunding | 2.100 | % | 10/1/24 | $ | 3,500,000 | $ | 3,401,630 | (a)(b)(c) | ||||||||
Ohio State Hospital Revenue, Cleveland Clinic Health System Obligated Group, Series A, Refunding | 5.000 | % | 1/1/30 | 3,350,000 | 3,620,521 | |||||||||||
|
| |||||||||||||||
Total Ohio | 17,512,044 | |||||||||||||||
|
| |||||||||||||||
Oregon - 1.1% | ||||||||||||||||
Lane County, OR, School District No 1, Pleasant Hill, GO, CAB, Series B | 0.000 | % | 6/15/27 | 1,320,000 | 1,164,922 | |||||||||||
Salem-Keizer School District No 24J, OR: | ||||||||||||||||
GO, Series B | 0.000 | % | 6/15/28 | 845,000 | 726,367 | |||||||||||
GO, Series B | 0.000 | % | 6/15/30 | 1,050,000 | 836,546 | |||||||||||
Marion and Polk Counties, GO, Series 2018 | 5.000 | % | 6/15/31 | 2,000,000 | 2,183,673 | |||||||||||
|
| |||||||||||||||
Total Oregon | 4,911,508 | |||||||||||||||
|
| |||||||||||||||
Pennsylvania - 5.5% | ||||||||||||||||
Commonwealth of Pennsylvania: | ||||||||||||||||
GO, Series 2016 | 5.000 | % | 9/15/28 | 2,465,000 | 2,597,162 | |||||||||||
GO, Series 2017, Refunding | 5.000 | % | 1/1/28 | 4,900,000 | 5,210,059 | |||||||||||
General Authority of Southcentral Pennsylvania, Series B (SIFMA Municipal Swap Index Yield + 0.600%) | 3.900 | % | 6/1/24 | 1,500,000 | 1,493,963 | (a)(b) | ||||||||||
Pennsylvania State Economic Development Financing Authority Revenue: | ||||||||||||||||
Sewage Sludge Disposal, Philadelphia Biosolids Facility Project | 3.000 | % | 1/1/24 | 865,000 | 864,127 | |||||||||||
Sewage Sludge Disposal, Philadelphia Biosolids Facility Project | 4.000 | % | 1/1/26 | 1,220,000 | 1,214,416 | |||||||||||
Solid Waste Disposal, Waste Management Inc. Project | 2.150 | % | 7/1/24 | 1,450,000 | 1,432,297 | (a)(b)(c) | ||||||||||
Solid Waste Disposal, Waste Management Inc. Project, Series A (SIFMA Municipal Swap Index Yield + 0.400%) | 3.700 | % | 6/3/24 | 1,500,000 | 1,492,104 | (a)(b)(c) | ||||||||||
Solid Waste Disposal, Waste Management Inc. Project, Series A | 1.750 | % | 8/1/24 | 3,250,000 | 3,206,612 | (a)(b)(c) | ||||||||||
Pennsylvania State Higher EFA Revenue, University of Pennsylvania Health System: | ||||||||||||||||
Series B, Refunding | 5.000 | % | 8/15/25 | 900,000 | 926,682 | |||||||||||
Series B, Refunding | 5.000 | % | 8/15/26 | 1,000,000 | 1,052,854 |
See Notes to Schedule of Investments.
Western Asset Short Duration Municipal Income Fund 2023 Quarterly Report |
9 |
WESTERN ASSET SHORT DURATION MUNICIPAL INCOME FUND
Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Pennsylvania - continued | ||||||||||||||||
Pennsylvania State Turnpike Commission Revenue: | ||||||||||||||||
Series A, Refunding | 4.000 | % | 12/1/26 | $ | 635,000 | $ | 654,031 | |||||||||
Series C, Refunding | 5.000 | % | 12/1/26 | 1,300,000 | 1,379,376 | |||||||||||
Philadelphia, PA, Airport Revenue, Series B, Refunding | 5.000 | % | 7/1/25 | 1,975,000 | 2,014,575 | (c) | ||||||||||
|
| |||||||||||||||
Total Pennsylvania | 23,538,258 | |||||||||||||||
|
| |||||||||||||||
South Carolina - 1.4% | ||||||||||||||||
Patriots Energy Group Financing Agency Gas Supply Revenue, Subseries B-2, Refunding (SOFR x 0.670 + 1.900%) | 5.464 | % | 3/1/31 | 2,000,000 | 2,018,013 | (a)(b) | ||||||||||
South Carolina State Ports Authority Revenue, Series 2018 | 5.000 | % | 7/1/27 | 3,600,000 | 3,773,206 | (c) | ||||||||||
|
| |||||||||||||||
Total South Carolina | 5,791,219 | |||||||||||||||
|
| |||||||||||||||
Tennessee - 2.2% | ||||||||||||||||
Tennessee State Energy Acquisition Corp., Natural Gas Revenue, Series 2018 | 4.000 | % | 11/1/25 | 9,445,000 | 9,385,882 | (a)(b) | ||||||||||
|
| |||||||||||||||
Texas - 12.1% | ||||||||||||||||
Corpus Christi, TX, Utility System Revenue, Junior Lien Improvement Bonds, Series A | 5.000 | % | 7/15/27 | 1,500,000 | 1,536,613 | |||||||||||
Cypress-Fairbanks, TX, ISD, GO, Series B-1, PSF - GTD | 0.280 | % | 8/15/24 | 6,120,000 | 5,977,085 | (a)(b) | ||||||||||
DeSoto, TX, ISD, GO, Refunding, PSF - GTD | 0.000 | % | 8/15/26 | 580,000 | 522,265 | |||||||||||
Fort Bend, TX, ISD: | ||||||||||||||||
GO, Series B, Refunding, PSF - GTD | 0.875 | % | 8/1/25 | 1,155,000 | 1,103,782 | (a)(b) | ||||||||||
GO, Series B, Refunding, PSF - GTD | 0.720 | % | 8/1/26 | 840,000 | 784,611 | (a)(b) | ||||||||||
Goose Creek, TX, Consolidated ISD, GO, Series B, PSF - GTD | 0.600 | % | 8/17/26 | 1,040,000 | 970,396 | (a)(b) | ||||||||||
Grapevine-Colleyville, TX, ISD, GO, PSF - GTD | 5.000 | % | 8/15/28 | 2,000,000 | 2,059,725 | |||||||||||
Harris County, TX, Cultural Education Facilities Finance Corp. Revenue: | ||||||||||||||||
Hospital, Memorial Hermann Health System, Refunding | 5.000 | % | 12/1/25 | 1,000,000 | 1,030,840 | |||||||||||
Hospital, Memorial Hermann Health System, Series A | 5.000 | % | 12/1/27 | 2,555,000 | 2,588,424 | |||||||||||
North Texas Tollway Authority Revenue: | ||||||||||||||||
First Tier, Series D, Refunding, AGC | 0.000 | % | 1/1/30 | 2,540,000 | 2,055,562 | |||||||||||
First Tier, Series D, Refunding, AGC | 0.000 | % | 1/1/31 | 2,340,000 | 1,820,708 | |||||||||||
Northside, TX, ISD, GO, Refunding, PSF - GTD | 1.600 | % | 8/1/24 | 3,005,000 | 2,964,137 | (a)(b) | ||||||||||
Pasadena, TX, ISD, GO, Series B, PSF - GTD | 1.500 | % | 8/15/24 | 5,275,000 | 5,195,642 | (a)(b) |
See Notes to Schedule of Investments.
10 | Western Asset Short Duration Municipal Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION MUNICIPAL INCOME FUND
Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Texas - continued | ||||||||||||||||
San Antonio, TX, Electric and Gas Revenue, Junior Lien | 1.750 | % | 12/1/25 | $ | 4,100,000 | $ | 3,920,871 | (a)(b) | ||||||||
Texas State: | ||||||||||||||||
Municipal Gas Acquisition & Supply Corp. I, Gas Supply Revenue, Senior Lien, Series B (3 mo. Term SOFR x 0.670 + 0.262%) | 4.500 | % | 12/15/26 | 3,835,000 | 3,805,199 | (b) | ||||||||||
Municipal Gas Acquisition & Supply Corp. III, Gas Supply Revenue, Refunding | 5.000 | % | 12/15/27 | 3,750,000 | 3,853,983 | |||||||||||
Municipal Gas Acquisition & Supply Corp. | ||||||||||||||||
IV, Gas Supply Revenue, Series B | 5.250 | % | 1/1/26 | 1,200,000 | 1,225,194 | |||||||||||
Municipal Gas Acquisition & Supply Corp. IV, Gas Supply Revenue, Series B | 5.250 | % | 1/1/27 | 1,250,000 | 1,290,364 | |||||||||||
Texas State Transportation Commission Revenue, Highway Fund, First Tier Revenue, Series B, Remarketing | 0.560 | % | 4/1/26 | 1,500,000 | 1,381,802 | |||||||||||
Texas State Transportation Commission, Mobility Fund, GO, Series B | 0.650 | % | 4/1/26 | 2,500,000 | 2,302,780 | (a)(b) | ||||||||||
Texas State Water Financial Assistance Revenue, GO, Series B, Refunding | 5.000 | % | 8/1/31 | 2,500,000 | 2,657,031 | |||||||||||
Troy, TX, ISD, GO, Refunding, PSF - GTD | 0.000 | % | 8/1/29 | 925,000 | 757,325 | |||||||||||
University of Houston System Revenue, Consolidated Series A, Refunding | 5.000 | % | 2/15/30 | 2,000,000 | 2,077,602 | |||||||||||
|
| |||||||||||||||
Total Texas | 51,881,941 | |||||||||||||||
|
| |||||||||||||||
Utah - 0.8% | ||||||||||||||||
Salt Lake City, UT, Airport Revenue: | ||||||||||||||||
Series A | 5.000 | % | 7/1/29 | 2,500,000 | 2,685,038 | (c) | ||||||||||
Series A | 5.000 | % | 7/1/32 | 505,000 | 528,853 | (c) | ||||||||||
|
| |||||||||||||||
Total Utah | 3,213,891 | |||||||||||||||
|
| |||||||||||||||
Virginia - 0.6% | ||||||||||||||||
Wise County, VA, IDA, Solid Waste & Sewage Disposal Revenue, Virginia Electric & Power Co., Series A | 0.750 | % | 9/2/25 | 2,650,000 | 2,469,407 | (a)(b) | ||||||||||
|
| |||||||||||||||
Washington - 1.6% | ||||||||||||||||
Central Puget Sound Regional Transit Authority Revenue, Sales Tax & Motor Vehicle Excise Tax Improvement Bonds, Series S-2A, Green Bonds (SIFMA Municipal Swap Index Yield + 0.200%) | 3.500 | % | 11/1/26 | 2,000,000 | 1,965,914 | (a)(b) | ||||||||||
King County, WA, Issaquah School District No 411, GO | 5.000 | % | 12/1/32 | 2,000,000 | 2,111,521 |
See Notes to Schedule of Investments.
Western Asset Short Duration Municipal Income Fund 2023 Quarterly Report |
11 |
WESTERN ASSET SHORT DURATION MUNICIPAL INCOME FUND
Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Washington - continued | ||||||||||||||||
Port of Seattle, WA, Special Facility Revenue, Intermediate Lien, Series C | 5.000 | % | 5/1/25 | $ | 1,625,000 | $ | 1,657,002 | (c) | ||||||||
Seattle, WA, Municipal Light & Power Revenue, Series B, Refunding (SIFMA Municipal Swap Index Yield + 0.250%) | 3.550 | % | 11/1/26 | 1,000,000 | 972,273 | (a)(b) | ||||||||||
|
| |||||||||||||||
Total Washington | 6,706,710 | |||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS | 425,983,249 | |||||||||||||||
|
| |||||||||||||||
SHORT-TERM INVESTMENTS - 1.8% | ||||||||||||||||
MUNICIPAL BONDS - 1.8% | ||||||||||||||||
California - 0.0%†† | ||||||||||||||||
California Statewide CDA, MFH Revenue, David Avenue Apartments, Series WW, LIQ - FHLMC | 3.500 | % | 12/1/42 | 100,000 | 100,000 | (c)(f)(g) | ||||||||||
|
| |||||||||||||||
Delaware - 0.5% | ||||||||||||||||
University of Delaware, Revenue, Series C, Refunding, SPA - TD Bank N.A. | 3.200 | % | 11/1/37 | 2,250,000 | 2,250,000 | (f)(g) | ||||||||||
|
| |||||||||||||||
Georgia - 0.1% | ||||||||||||||||
Bartow County, GA, Development Authority Revenue, Solid Waste Disposal Facility, Georgia Power Company Plant Bowen Project | 3.750 | % | 11/1/62 | 500,000 | 500,000 | (c)(f)(g) | ||||||||||
|
| |||||||||||||||
Indiana - 0.3% | ||||||||||||||||
Indiana State Finance Authority Hospital Revenue, Parkview Health System Obligated Group, Series B, Refunding, LOC - Wells Fargo Bank N.A. | 3.400 | % | 11/1/39 | 1,000,000 | 1,000,000 | (f)(g) | ||||||||||
|
| |||||||||||||||
Michigan - 0.0%†† | ||||||||||||||||
Regents of the University of Michigan General Revenue, Series D-1 | 3.350 | % | 12/1/24 | 100,000 | 100,000 | (f)(g) | ||||||||||
|
| |||||||||||||||
Mississippi - 0.4% | ||||||||||||||||
Mississippi State Business Finance Corp., Gulf Opportunity Zone, IDR, Chevron USA Inc. Project, Series E | 3.400 | % | 12/1/30 | 1,400,000 | 1,400,000 | (f)(g) | ||||||||||
|
| |||||||||||||||
Missouri - 0.1% | ||||||||||||||||
Missouri State HEFA Revenue, Educational Facilities, Saint Louis University, Series B-2, LOC - Wells Fargo Bank N.A. | 3.350 | % | 10/1/35 | 470,000 | 470,000 | (f)(g) | ||||||||||
|
| |||||||||||||||
New Jersey - 0.1% | ||||||||||||||||
New Jersey State Health Care Facilities Financing Authority Revenue, Hospital Capital Asset Financing Program, Series B, Refunding, LOC - TD Bank N.A. | 3.250 | % | 7/1/35 | 400,000 | 400,000 | (f)(g) | ||||||||||
|
|
See Notes to Schedule of Investments.
12 | Western Asset Short Duration Municipal Income Fund 2023 Quarterly Report |
WESTERN ASSET SHORT DURATION MUNICIPAL INCOME FUND
Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
New York - 0.0%†† | ||||||||||||||||
New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue, Second General Resolution Fiscal 2014, Series AA-3, Refunding, SPA - TD Bank N.A. | 3.200 | % | 6/15/49 | $ | 100,000 | $ | 100,000 | (f)(g) | ||||||||
|
| |||||||||||||||
Pennsylvania - 0.1% | ||||||||||||||||
Pennsylvania State Turnpike Commission Revenue, Second Series, Refunding, LOC - TD Bank N.A. | 3.250 | % | 12/1/38 | 400,000 | 400,000 | (f)(g) | ||||||||||
|
| |||||||||||||||
Texas - 0.2% | ||||||||||||||||
Harris County, TX, Cultural Education Facilities Finance Corp. Revenue, Houston Methodist Hospital, Series B, Refunding | 3.200 | % | 12/1/59 | 500,000 | 500,000 | (f)(g) | ||||||||||
Lower Neches Valley Authority, TX, Industrial Development Corp. Revenue, ExxonMobil Corp., Series B, Refunding | 3.450 | % | 11/1/29 | 300,000 | 300,000 | (c)(f)(g) | ||||||||||
|
| |||||||||||||||
Total Texas | 800,000 | |||||||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | 7,520,000 | |||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS - 101.5% | 433,503,249 | |||||||||||||||
Liabilities in Excess of Other Assets - (1.5)% | (6,442,556 | ) | ||||||||||||||
|
| |||||||||||||||
TOTAL NET ASSETS - 100.0% | $ | 427,060,693 | ||||||||||||||
|
|
†† | Represents less than 0.1%. |
(a) | Maturity date shown represents the mandatory tender date. |
(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) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (“AMT”). |
(d) | 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. |
(e) | Securities traded on a when-issued or delayed delivery basis. |
(f) | Variable rate demand obligations (“VRDOs”) have a demand feature under which the Fund can tender them back to the issuer or liquidity provider on no more than 7 days notice. The interest rate generally resets on a daily or weekly basis and is determined on the specific interest rate reset date by the remarketing agent, pursuant to a formula specified in official documents for the VRDO, or set at the highest rate allowable as specified in official documents for the VRDO. VRDOs are benchmarked to the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index. The SIFMA Municipal Swap Index is compiled from weekly interest rate resets of tax-exempt VRDOs reported to the Municipal Securities Rulemaking Board’s Short-term Obligation Rate Transparency System. |
(g) | Maturity date shown is the final maturity date. The security may be sold back to the issuer before final maturity. |
See Notes to Schedule of Investments.
Western Asset Short Duration Municipal Income Fund 2023 Quarterly Report |
13 |
WESTERN ASSET SHORT DURATION MUNICIPAL INCOME FUND
Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
Abbreviation(s) used in this schedule:
AGC | — Assured Guaranty Corporation — Insured Bonds | |
AGM | — Assured Guaranty Municipal Corporation — Insured Bonds | |
BAM | — Build America Mutual — Insured Bonds | |
CAB | — Capital Appreciation Bonds | |
CDA | — Communities Development Authority | |
CWA | — Clean Water Act | |
EDA | — Economic Development Authority | |
EFA | — Educational Facilities Authority | |
FHA | — Federal Housing Administration — Insured Bonds | |
FHLMC | — Federal Home Loan Mortgage Corporation | |
GO | — General Obligation | |
GTD | — Guaranteed | |
HDA | — Housing Development Authority | |
HDC | — Housing Development Corporation | |
HEFA | — Health & Educational Facilities Authority | |
IDA | — Industrial Development Authority | |
IDR | — Industrial Development Revenue | |
ISD | — Independent School District | |
LIBOR | — London Interbank Offered Rate | |
LIQ | — Liquidity Facility | |
LOC | — Letter of Credit | |
MFA | — Municipal Finance Authority | |
MFH | — Multi— Family Housing | |
MTA | — Metropolitan Transportation Authority | |
PCR | — Pollution Control Revenue | |
PEA | — Public Energy Authority | |
PSF | — Permanent School Fund | |
Q-SBLF | — Qualified School Board Loan Fund | |
SIFMA | — Securities Industry and Financial Markets Association | |
SOFR | — Secured Overnight Financing Rate | |
SPA | — Standby Bond Purchase Agreement — Insured Bonds | |
USD | — Unified School District |
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.
14 | Western Asset Short Duration Municipal Income Fund 2023 Quarterly Report |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Short Duration Municipal 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. 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.
15 |
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.
16 |
Notes to Schedule of Investments (unaudited) (continued)
The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:
ASSETS | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Municipal Bonds† | — | $ | 425,983,249 | — | $ | 425,983,249 | ||||||||||
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Short-Term Investments† | — | 7,520,000 | — | 7,520,000 | ||||||||||||
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Total Investments | — | $ | 433,503,249 | — | $ | 433,503,249 | ||||||||||
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† | See Schedule of Investments for additional detailed categorizations. |
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