WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
CORPORATE BONDS & NOTES - 53.0% | ||||||||||||||||
COMMUNICATION SERVICES - 4.0% | ||||||||||||||||
Diversified Telecommunication Services - 1.2% | ||||||||||||||||
AT&T Inc., Senior Notes | 0.900 | % | 3/25/24 | $ | 2,510,000 | $ | 2,502,691 | |||||||||
NTT Finance Corp., Senior Notes | 0.583 | % | 3/1/24 | 1,360,000 | 1,360,000 | (a) | ||||||||||
Verizon Communications Inc., Senior Notes | 0.750 | % | 3/22/24 | 320,000 | 319,225 | |||||||||||
Verizon Communications Inc., Senior Notes | 1.450 | % | 3/20/26 | 710,000 | 658,491 | |||||||||||
Verizon Communications Inc., Senior Notes | 1.680 | % | 10/30/30 | 568,000 | 458,058 | |||||||||||
|
| |||||||||||||||
Total Diversified Telecommunication Services | 5,298,465 | |||||||||||||||
|
| |||||||||||||||
Entertainment - 0.6% | ||||||||||||||||
Warnermedia Holdings Inc., Senior Notes | 3.638 | % | 3/15/25 | 1,530,000 | 1,498,011 | |||||||||||
Warnermedia Holdings Inc., Senior Notes | 3.755 | % | 3/15/27 | 910,000 | 861,333 | |||||||||||
|
| |||||||||||||||
Total Entertainment | 2,359,344 | |||||||||||||||
|
| |||||||||||||||
Media - 1.2% | ||||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 5.125 | % | 5/1/27 | 700,000 | 662,459 | (a) | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.908 | % | 7/23/25 | 2,940,000 | 2,900,107 | |||||||||||
Comcast Corp., Senior Notes | 3.950 | % | 10/15/25 | 1,370,000 | 1,346,460 | |||||||||||
DISH DBS Corp., Senior Secured Notes | 5.250 | % | 12/1/26 | 130,000 | 104,081 | (a) | ||||||||||
|
| |||||||||||||||
Total Media | 5,013,107 | |||||||||||||||
|
| |||||||||||||||
Wireless Telecommunication Services - 1.0% | ||||||||||||||||
Sprint Capital Corp., Senior Notes | 6.875 | % | 11/15/28 | 480,000 | 510,882 | |||||||||||
Sprint LLC, Senior Notes | 7.125 | % | 6/15/24 | 1,150,000 | 1,153,766 | |||||||||||
T-Mobile USA Inc., Senior Notes | 3.500 | % | 4/15/25 | 2,810,000 | 2,747,673 | |||||||||||
T-Mobile USA Inc., Senior Notes | 3.375 | % | 4/15/29 | 90,000 | 82,603 | |||||||||||
|
| |||||||||||||||
Total Wireless Telecommunication Services | 4,494,924 | |||||||||||||||
|
| |||||||||||||||
TOTAL COMMUNICATION SERVICES | 17,165,840 | |||||||||||||||
|
| |||||||||||||||
CONSUMER DISCRETIONARY - 3.3% | ||||||||||||||||
Automobiles - 1.7% | ||||||||||||||||
American Honda Finance Corp., Senior Notes | 2.400 | % | 6/27/24 | 1,310,000 | 1,296,971 | |||||||||||
American Honda Finance Corp., Senior Notes | 4.950 | % | 1/9/26 | 490,000 | 488,509 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes | 3.375 | % | 11/13/25 | 1,800,000 | 1,727,706 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes | 4.950 | % | 5/28/27 | 610,000 | 593,258 | |||||||||||
General Motors Financial Co. Inc., Senior Notes | 2.750 | % | 6/20/25 | 910,000 | 878,411 | |||||||||||
General Motors Financial Co. Inc., Senior Notes | 1.500 | % | 6/10/26 | 1,400,000 | 1,282,913 | |||||||||||
Hyundai Capital America, Senior Notes | 5.950 | % | 9/21/26 | 330,000 | 333,821 | (a) | ||||||||||
Nissan Motor Acceptance Co. LLC, Senior Notes | 2.000 | % | 3/9/26 | 1,100,000 | 1,014,385 | (a) | ||||||||||
|
| |||||||||||||||
Total Automobiles | 7,615,974 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
1 |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Broadline Retail - 0.4% | ||||||||||||||||
eBay Inc., Senior Notes | 1.400 | % | 5/10/26 | $ | 690,000 | $ | 636,609 | |||||||||
Prosus NV, Senior Notes | 3.257 | % | 1/19/27 | 1,120,000 | 1,031,274 | (a) | ||||||||||
|
| |||||||||||||||
Total Broadline Retail | 1,667,883 | |||||||||||||||
|
| |||||||||||||||
Hotels, Restaurants & Leisure - 1.1% | ||||||||||||||||
Caesars Entertainment Inc., Senior Notes | 8.125 | % | 7/1/27 | 210,000 | 215,765 | |||||||||||
Carnival Holdings Bermuda Ltd., Senior Notes | 10.375 | % | 5/1/28 | 190,000 | 207,408 | |||||||||||
Las Vegas Sands Corp., Senior Notes | 2.900 | % | 6/25/25 | 2,890,000 | 2,765,585 | |||||||||||
NCL Corp. Ltd., Senior Secured Notes | 8.125 | % | 1/15/29 | 460,000 | 484,328 | (a) | ||||||||||
Royal Caribbean Cruises Ltd., Senior Notes | 5.375 | % | 7/15/27 | 470,000 | 461,460 | |||||||||||
Sands China Ltd., Senior Notes | 2.550 | % | 3/8/27 | 330,000 | 297,458 | |||||||||||
Sands China Ltd., Senior Notes | 3.100 | % | 3/8/29 | 220,000 | 190,033 | |||||||||||
|
| |||||||||||||||
Total Hotels, Restaurants & Leisure | 4,622,037 | |||||||||||||||
|
| |||||||||||||||
Household Durables - 0.0%†† | ||||||||||||||||
DR Horton Inc., Senior Notes | 2.500 | % | 10/15/24 | 130,000 | 127,543 | |||||||||||
|
| |||||||||||||||
Specialty Retail - 0.1% | ||||||||||||||||
Home Depot Inc., Senior Notes | 2.875 | % | 4/15/27 | 310,000 | 293,051 | |||||||||||
|
| |||||||||||||||
TOTAL CONSUMER DISCRETIONARY | 14,326,488 | |||||||||||||||
|
| |||||||||||||||
CONSUMER STAPLES - 1.4% | ||||||||||||||||
Personal Care Products - 0.5% | ||||||||||||||||
Haleon UK Capital PLC, Senior Notes | 3.125 | % | 3/24/25 | 1,130,000 | 1,102,286 | |||||||||||
Kenvue Inc., Senior Notes | 5.350 | % | 3/22/26 | 940,000 | 946,484 | |||||||||||
|
| |||||||||||||||
Total Personal Care Products | 2,048,770 | |||||||||||||||
|
| |||||||||||||||
Tobacco - 0.9% | ||||||||||||||||
Altria Group Inc., Senior Notes | 2.350 | % | 5/6/25 | 1,150,000 | 1,110,893 | |||||||||||
Altria Group Inc., Senior Notes | 2.625 | % | 9/16/26 | 1,550,000 | 1,456,450 | |||||||||||
BAT International Finance PLC, Senior Notes | 1.668 | % | 3/25/26 | 750,000 | 695,092 | |||||||||||
Philip Morris International Inc., Senior Notes | 4.750 | % | 2/12/27 | 940,000 | 928,566 | |||||||||||
|
| |||||||||||||||
Total Tobacco | 4,191,001 | |||||||||||||||
|
| |||||||||||||||
TOTAL CONSUMER STAPLES | 6,239,771 | |||||||||||||||
|
| |||||||||||||||
ENERGY - 7.1% | ||||||||||||||||
Oil, Gas & Consumable Fuels - 7.1% | ||||||||||||||||
Chevron USA Inc., Senior Notes | 0.687 | % | 8/12/25 | 120,000 | 112,898 | |||||||||||
Columbia Pipelines Holding Co. LLC, Senior Notes | 6.055 | % | 8/15/26 | 1,487,000 | 1,505,395 | (a) | ||||||||||
Columbia Pipelines Holding Co. LLC, Senior Notes | 6.042 | % | 8/15/28 | 900,000 | 917,072 | (a) | ||||||||||
Continental Resources Inc., Senior Notes | 2.268 | % | 11/15/26 | 130,000 | 119,362 | (a) | ||||||||||
Devon Energy Corp., Senior Notes | 5.850 | % | 12/15/25 | 2,650,000 | 2,666,168 | |||||||||||
Diamondback Energy Inc., Senior Notes | 3.250 | % | 12/1/26 | 2,900,000 | 2,773,331 |
See Notes to Schedule of Investments.
2 | Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) | ||||||||||||||||
Energy Transfer LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%) | 6.750 | % | 5/15/25 | $ | 30,000 | $ | 29,552 | (b)(c) | ||||||||
Energy Transfer LP, Senior Notes | 4.500 | % | 4/15/24 | 730,000 | 728,738 | |||||||||||
Energy Transfer LP, Senior Notes | 4.750 | % | 1/15/26 | 1,160,000 | 1,147,091 | |||||||||||
Energy Transfer LP, Senior Notes | 5.550 | % | 2/15/28 | 630,000 | 635,472 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 3.750 | % | 2/15/25 | 1,160,000 | 1,141,243 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 3.700 | % | 2/15/26 | 2,850,000 | 2,780,755 | |||||||||||
EOG Resources Inc., Senior Notes | 4.150 | % | 1/15/26 | 1,880,000 | 1,852,073 | |||||||||||
EQT Corp., Senior Notes | 3.125 | % | 5/15/26 | 1,620,000 | 1,533,370 | (a) | ||||||||||
EQT Corp., Senior Notes | 3.900 | % | 10/1/27 | 560,000 | 530,340 | |||||||||||
EQT Corp., Senior Notes | 5.000 | % | 1/15/29 | 550,000 | 536,468 | |||||||||||
Kinder Morgan Inc., Senior Notes | 4.300 | % | 6/1/25 | 1,510,000 | 1,488,364 | |||||||||||
MPLX LP, Senior Notes | 4.875 | % | 6/1/25 | 50,000 | 49,565 | |||||||||||
MPLX LP, Senior Notes | 1.750 | % | 3/1/26 | 1,150,000 | 1,073,198 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 3.200 | % | 8/15/26 | 730,000 | 686,689 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 3.000 | % | 2/15/27 | 170,000 | 158,989 | |||||||||||
Petrobras Global Finance BV, Senior Notes | 6.250 | % | 3/17/24 | 1,400,000 | 1,400,800 | |||||||||||
Pioneer Natural Resources Co., Senior Notes | 1.125 | % | 1/15/26 | 1,160,000 | 1,077,288 | |||||||||||
QazaqGaz NC JSC, Senior Notes | 4.375 | % | 9/26/27 | 1,140,000 | 1,066,755 | (a) | ||||||||||
Southwestern Energy Co., Senior Notes | 8.375 | % | 9/15/28 | 410,000 | 426,721 | |||||||||||
Transcontinental Gas Pipe Line Co. LLC, Senior Notes | 7.850 | % | 2/1/26 | 1,780,000 | 1,850,040 | |||||||||||
Venture Global LNG Inc., Senior Secured Notes | 9.500 | % | 2/1/29 | 200,000 | 213,368 | |||||||||||
Western Midstream Operating LP, Senior Notes | 3.950 | % | 6/1/25 | 190,000 | 185,499 | |||||||||||
Western Midstream Operating LP, Senior Notes | 4.650 | % | 7/1/26 | 1,620,000 | 1,586,265 | |||||||||||
Western Midstream Operating LP, Senior Notes | 6.350 | % | 1/15/29 | 410,000 | 423,556 | |||||||||||
|
| |||||||||||||||
TOTAL ENERGY | 30,696,425 | |||||||||||||||
|
| |||||||||||||||
FINANCIALS - 21.3% | ||||||||||||||||
Banks - 13.2% | ||||||||||||||||
Banco Santander SA, Senior Notes (4.175% to 3/24/27 then 1 year Treasury Constant Maturity Rate + 2.000%) | 4.175 | % | 3/24/28 | 1,600,000 | 1,532,503 | (c) | ||||||||||
Bank of America Corp., Senior Notes (1.319% to 6/19/25 then SOFR + 1.150%) | 1.319 | % | 6/19/26 | 3,880,000 | 3,673,811 | (c) | ||||||||||
Bank of America Corp., Senior Notes (3.841% to 4/25/24 then SOFR + 1.110%) | 3.841 | % | 4/25/25 | 1,760,000 | 1,754,670 | (c) | ||||||||||
Bank of America Corp., Subordinated Notes (3 mo. Term SOFR + 1.022%) | 6.406 | % | 9/15/26 | 200,000 | 199,241 | (c) | ||||||||||
Bank of Montreal, Senior Notes | 0.625 | % | 7/9/24 | 1,650,000 | 1,622,321 |
See Notes to Schedule of Investments.
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
3 |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Banks - (continued) | ||||||||||||||||
Bank of Montreal, Senior Notes | 1.850 | % | 5/1/25 | $ | 650,000 | $ | 624,809 | |||||||||
Bank of Nova Scotia, Senior Notes | 1.350 | % | 6/24/26 | 780,000 | 716,242 | |||||||||||
BNP Paribas SA, Senior Notes (2.219% to 6/9/25 then SOFR + 2.074%) | 2.219 | % | 6/9/26 | 3,000,000 | 2,872,843 | (a)(c) | ||||||||||
BNP Paribas SA, Senior Notes (5.125% to 1/13/28 then 1 year Treasury Constant Maturity Rate + 1.450%) | 5.125 | % | 1/13/29 | 650,000 | 645,746 | (a)(c) | ||||||||||
Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. Term SOFR + 4.167%) | 5.950 | % | 5/15/25 | 400,000 | 397,081 | (b)(c) | ||||||||||
Citigroup Inc., Senior Notes (0.981% to 5/1/24 then SOFR + 0.669%) | 0.981 | % | 5/1/25 | 3,240,000 | 3,211,828 | (c) | ||||||||||
Citigroup Inc., Senior Notes (3.106% to 4/8/25 then SOFR + 2.842%) | 3.106 | % | 4/8/26 | 1,570,000 | 1,528,410 | (c) | ||||||||||
Citigroup Inc., Senior Notes (3.290% to 3/17/25 then SOFR + 1.528%) | 3.290 | % | 3/17/26 | 1,250,000 | 1,220,512 | (c) | ||||||||||
Citigroup Inc., Senior Notes (SOFR + 0.686%) | 6.031 | % | 10/30/24 | 2,170,000 | 2,172,621 | (c) | ||||||||||
Cooperatieve Rabobank UA, Senior Notes | 2.625 | % | 7/22/24 | 320,000 | 316,350 | (a) | ||||||||||
Cooperatieve Rabobank UA, Senior Notes (3.649% to 4/6/27 then 1 year Treasury Constant Maturity Rate + 1.220%) | 3.649 | % | 4/6/28 | 550,000 | 521,245 | (a)(c) | ||||||||||
Credit Agricole SA, Senior Notes (1.907% to 6/16/25 then SOFR + 1.676%) | 1.907 | % | 6/16/26 | 900,000 | 857,800 | (a)(c) | ||||||||||
Danske Bank A/S, Senior Notes (3.773% to 3/28/24 then 1 year Treasury Constant Maturity Rate + 1.450%) | 3.773 | % | 3/28/25 | 3,580,000 | 3,573,150 | (a)(c) | ||||||||||
DNB Bank ASA, Senior Notes (1.535% to 5/25/26 then 1 year Treasury Constant Maturity Rate + 0.720%) | 1.535 | % | 5/25/27 | 1,230,000 | 1,128,836 | (a)(c) | ||||||||||
HSBC Holdings PLC, Senior Notes (0.976% to 5/24/24 then SOFR + 0.708%) | 0.976 | % | 5/24/25 | 490,000 | 484,491 | (c) | ||||||||||
JPMorgan Chase & Co., Senior Notes (0.824% to 6/1/24 then 3 mo. Term SOFR + 0.540%) | 0.824 | % | 6/1/25 | 3,190,000 | 3,148,182 | (c) | ||||||||||
JPMorgan Chase & Co., Senior Notes (2.083% to 4/22/25 then SOFR + 1.850%) | 2.083 | % | 4/22/26 | 2,270,000 | 2,184,548 | (c) | ||||||||||
Lloyds Banking Group PLC, Senior Notes (3.870% to 7/9/24 then 1 year Treasury Constant Maturity Rate + 3.500%) | 3.870 | % | 7/9/25 | 250,000 | 248,168 | (c) | ||||||||||
Nordea Bank Abp, Senior Notes | 0.625 | % | 5/24/24 | 2,680,000 | 2,649,994 | (a) | ||||||||||
PNC Financial Services Group Inc., Senior Notes (5.812% to 6/12/25 then SOFR + 1.322%) | 5.812 | % | 6/12/26 | 610,000 | 611,087 | (c) |
See Notes to Schedule of Investments.
4 | Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Banks - (continued) | ||||||||||||||||
Royal Bank of Canada, Senior Notes | 3.375 | % | 4/14/25 | $ | 1,230,000 | $ | 1,205,124 | |||||||||
Royal Bank of Canada, Senior Notes | 1.150 | % | 7/14/26 | 2,530,000 | 2,313,784 | |||||||||||
Santander UK Group Holdings PLC, Senior Notes (1.673% to 6/14/26 then SOFR + 0.989%) | 1.673 | % | 6/14/27 | 1,100,000 | 1,000,311 | (c) | ||||||||||
Swedbank AB, Senior Notes | 3.356 | % | 4/4/25 | 1,960,000 | 1,919,698 | (a) | ||||||||||
Toronto-Dominion Bank, Senior Notes | 1.200 | % | 6/3/26 | 2,800,000 | 2,569,911 | |||||||||||
Truist Financial Corp., Senior Notes (6.047% to 6/8/26 then SOFR + 2.050%) | 6.047 | % | 6/8/27 | 240,000 | 242,471 | (c) | ||||||||||
US Bancorp, Senior Notes (2.215% to 1/27/27 then SOFR + 0.730%) | 2.215 | % | 1/27/28 | 150,000 | 137,478 | (c) | ||||||||||
US Bancorp, Senior Notes (5.775% to 6/12/28 then SOFR + 2.020%) | 5.775 | % | 6/12/29 | 260,000 | 262,810 | (c) | ||||||||||
Wells Fargo & Co., Senior Notes (2.188% to 4/30/25 then SOFR + 2.000%) | 2.188 | % | 4/30/26 | 5,380,000 | 5,163,892 | (c) | ||||||||||
Wells Fargo & Co., Senior Notes (3.908% to 4/25/25 then SOFR + 1.320%) | 3.908 | % | 4/25/26 | 2,770,000 | 2,716,606 | (c) | ||||||||||
Westpac Banking Corp., Senior Notes | 1.150 | % | 6/3/26 | 2,160,000 | 1,985,915 | |||||||||||
|
| |||||||||||||||
Total Banks | 57,414,489 | |||||||||||||||
|
| |||||||||||||||
Capital Markets - 6.5% | ||||||||||||||||
Bank of New York Mellon Corp., Senior Notes | 2.100 | % | 10/24/24 | 1,010,000 | 988,226 | |||||||||||
Bank of New York Mellon Corp., Senior Notes | 1.600 | % | 4/24/25 | 450,000 | 432,471 | |||||||||||
Charles Schwab Corp., Senior Notes | 0.750 | % | 3/18/24 | 1,880,000 | 1,876,165 | |||||||||||
Charles Schwab Corp., Senior Notes | 1.150 | % | 5/13/26 | 1,360,000 | 1,248,085 | |||||||||||
Credit Suisse AG, Senior Notes | 4.750 | % | 8/9/24 | 250,000 | 248,881 | |||||||||||
Credit Suisse AG, Senior Notes | 7.950 | % | 1/9/25 | 300,000 | 305,405 | |||||||||||
Goldman Sachs Group Inc., Senior Notes | 4.000 | % | 3/3/24 | 1,310,000 | 1,310,000 | |||||||||||
Goldman Sachs Group Inc., Senior Notes | 3.500 | % | 4/1/25 | 150,000 | 146,933 | |||||||||||
Goldman Sachs Group Inc., Senior Notes (0.855% to 2/12/25 then SOFR + 0.609%) | 0.855 | % | 2/12/26 | 4,530,000 | 4,324,692 | (c) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (SOFR + 0.505%) | 5.859 | % | 9/10/24 | 3,000,000 | 3,001,505 | (c) | ||||||||||
Morgan Stanley, Senior Notes (0.985% to 12/10/25 then SOFR + 0.720%) | 0.985 | % | 12/10/26 | 7,830,000 | 7,227,313 | (c) | ||||||||||
Morgan Stanley, Senior Notes (3.620% to 4/17/24 then SOFR + 1.160%) | 3.620 | % | 4/17/25 | 2,790,000 | 2,781,693 | (c) | ||||||||||
UBS AG, Senior Notes | 1.250 | % | 6/1/26 | 800,000 | 733,688 | |||||||||||
UBS Group AG, Senior Notes | 4.125 | % | 9/24/25 | 600,000 | 587,033 | (a) |
See Notes to Schedule of Investments.
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
5 |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Capital Markets - (continued) | ||||||||||||||||
UBS Group AG, Senior Notes (1.494% to 8/10/26 then 1 year Treasury Constant Maturity Rate + 0.850%) | 1.494 | % | 8/10/27 | $ | 650,000 | $ | 589,035 | (a)(c) | ||||||||
UBS Group AG, Senior Notes (2.193% to 6/5/25 then SOFR + 2.044%) | 2.193 | % | 6/5/26 | 2,390,000 | 2,287,558 | (a)(c) | ||||||||||
|
| |||||||||||||||
Total Capital Markets | 28,088,683 | |||||||||||||||
|
| |||||||||||||||
Financial Services - 1.3% | ||||||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | 2.450 | % | 10/29/26 | 1,120,000 | 1,033,604 | |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | 6.100 | % | 1/15/27 | 690,000 | 699,003 | |||||||||||
GA Global Funding Trust, Secured Notes | 1.625 | % | 1/15/26 | 1,500,000 | 1,382,282 | (a) | ||||||||||
National Securities Clearing Corp., Senior Notes | 1.500 | % | 4/23/25 | 500,000 | 480,238 | (a) | ||||||||||
PayPal Holdings Inc., Senior Notes | 1.650 | % | 6/1/25 | 1,190,000 | 1,139,339 | |||||||||||
USAA Capital Corp., Senior Notes | 0.500 | % | 5/1/24 | 750,000 | 744,057 | (a) | ||||||||||
|
| |||||||||||||||
Total Financial Services | 5,478,523 | |||||||||||||||
|
| |||||||||||||||
Insurance - 0.3% | ||||||||||||||||
Allstate Corp., Senior Notes | 0.750 | % | 12/15/25 | 200,000 | 184,634 | |||||||||||
Aon North America Inc., Senior Notes | 5.150 | % | 3/1/29 | 850,000 | 850,861 | (d) | ||||||||||
New York Life Global Funding, Senior Secured Notes | 0.950 | % | 6/24/25 | 390,000 | 369,263 | (a) | ||||||||||
|
| |||||||||||||||
Total Insurance | 1,404,758 | |||||||||||||||
|
| |||||||||||||||
TOTAL FINANCIALS | 92,386,453 | |||||||||||||||
|
| |||||||||||||||
HEALTH CARE - 5.2% | ||||||||||||||||
Biotechnology - 0.9% | ||||||||||||||||
AbbVie Inc., Senior Notes | 2.600 | % | 11/21/24 | 1,950,000 | 1,909,987 | |||||||||||
AbbVie Inc., Senior Notes | 3.800 | % | 3/15/25 | 300,000 | 295,434 | |||||||||||
AbbVie Inc., Senior Notes | 4.800 | % | 3/15/27 | 1,830,000 | 1,825,109 | |||||||||||
|
| |||||||||||||||
Total Biotechnology | 4,030,530 | |||||||||||||||
|
| |||||||||||||||
Health Care Equipment & Supplies - 0.2% | ||||||||||||||||
Becton Dickinson & Co., Senior Notes | 3.363 | % | 6/6/24 | 186,000 | 184,804 | |||||||||||
Solventum Corp., Senior Notes | 5.450 | % | 2/25/27 | 600,000 | 601,246 | (a) | ||||||||||
|
| |||||||||||||||
Total Health Care Equipment & Supplies | 786,050 | |||||||||||||||
|
| |||||||||||||||
Health Care Providers & Services - 2.5% | ||||||||||||||||
Cardinal Health Inc., Senior Notes | 5.125 | % | 2/15/29 | 760,000 | 756,961 | |||||||||||
Centene Corp., Senior Notes | 4.250 | % | 12/15/27 | 400,000 | 380,921 | |||||||||||
Centene Corp., Senior Notes | 4.625 | % | 12/15/29 | 350,000 | 331,557 | |||||||||||
CVS Health Corp., Senior Notes | 2.625 | % | 8/15/24 | 2,440,000 | 2,407,787 | |||||||||||
CVS Health Corp., Senior Notes | 3.875 | % | 7/20/25 | 2,850,000 | 2,792,633 |
See Notes to Schedule of Investments.
6 | Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Health Care Providers & Services - (continued) | ||||||||||||||||
CVS Health Corp., Senior Notes | 3.000 | % | 8/15/26 | $ | 120,000 | $ | 113,978 | |||||||||
Humana Inc., Senior Notes | 4.500 | % | 4/1/25 | 300,000 | 296,955 | |||||||||||
Humana Inc., Senior Notes | 1.350 | % | 2/3/27 | 1,890,000 | 1,695,343 | |||||||||||
Humana Inc., Senior Notes | 5.750 | % | 12/1/28 | 230,000 | 235,007 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 0.550 | % | 5/15/24 | 1,210,000 | 1,198,141 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 3.700 | % | 5/15/27 | 800,000 | 774,885 | |||||||||||
|
| |||||||||||||||
Total Health Care Providers & Services | 10,984,168 | |||||||||||||||
|
| |||||||||||||||
Pharmaceuticals - 1.6% | ||||||||||||||||
Astrazeneca Finance LLC, Senior Notes | 1.200 | % | 5/28/26 | 1,370,000 | 1,260,427 | |||||||||||
Bristol-Myers Squibb Co., Senior Notes | 4.950 | % | 2/20/26 | 170,000 | 169,763 | |||||||||||
Bristol-Myers Squibb Co., Senior Notes | 4.900 | % | 2/22/27 | 790,000 | 789,282 | |||||||||||
Eli Lilly & Co., Senior Notes | 4.500 | % | 2/9/29 | 1,600,000 | 1,591,447 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 4.750 | % | 5/9/27 | 3,080,000 | 2,933,700 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 5.125 | % | 5/9/29 | 210,000 | 198,510 | |||||||||||
|
| |||||||||||||||
Total Pharmaceuticals | 6,943,129 | |||||||||||||||
|
| |||||||||||||||
TOTAL HEALTH CARE | 22,743,877 | |||||||||||||||
|
| |||||||||||||||
INDUSTRIALS - 4.4% | ||||||||||||||||
Aerospace & Defense - 2.0% | ||||||||||||||||
Boeing Co., Senior Notes | 4.875 | % | 5/1/25 | 1,030,000 | 1,020,745 | |||||||||||
Boeing Co., Senior Notes | 2.750 | % | 2/1/26 | 2,540,000 | 2,413,285 | |||||||||||
General Dynamics Corp., Senior Notes | 3.250 | % | 4/1/25 | 1,530,000 | 1,498,471 | |||||||||||
General Dynamics Corp., Senior Notes | 1.150 | % | 6/1/26 | 1,030,000 | 949,176 | |||||||||||
Northrop Grumman Corp., Senior Notes | 2.930 | % | 1/15/25 | 160,000 | 156,542 | |||||||||||
RTX Corp., Senior Notes | 5.750 | % | 11/8/26 | 2,370,000 | 2,404,686 | |||||||||||
TransDigm Inc., Senior Secured Notes | 6.375 | % | 3/1/29 | 230,000 | 231,327 | |||||||||||
|
| |||||||||||||||
Total Aerospace & Defense | 8,674,232 | |||||||||||||||
|
| |||||||||||||||
Commercial Services & Supplies - 0.1% | ||||||||||||||||
GFL Environmental Inc., Senior Secured Notes | 5.125 | % | 12/15/26 | 230,000 | 225,207 | |||||||||||
Republic Services Inc., Senior Notes | 2.500 | % | 8/15/24 | 200,000 | 197,196 | |||||||||||
|
| |||||||||||||||
Total Commercial Services & Supplies | 422,403 | |||||||||||||||
|
| |||||||||||||||
Ground Transportation - 0.3% | ||||||||||||||||
Canadian Pacific Railway Co., Senior Notes | 1.750 | % | 12/2/26 | 1,200,000 | 1,100,980 | |||||||||||
|
| |||||||||||||||
Industrial Conglomerates - 0.1% | ||||||||||||||||
3M Co., Senior Notes | 2.000 | % | 2/14/25 | 400,000 | 386,528 | |||||||||||
|
| |||||||||||||||
Machinery - 0.6% | ||||||||||||||||
John Deere Capital Corp., Senior Notes | 1.050 | % | 6/17/26 | 1,040,000 | 953,868 | |||||||||||
John Deere Capital Corp., Senior Notes | 4.950 | % | 7/14/28 | 1,050,000 | 1,056,296 |
See Notes to Schedule of Investments.
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
7 |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Machinery - (continued) | ||||||||||||||||
PACCAR Financial Corp., Senior Notes | 1.100 | % | 5/11/26 | $ | 710,000 | $ | 654,755 | |||||||||
Vertiv Group Corp., Senior Secured Notes | 4.125 | % | 11/15/28 | 110,000 | 101,596 | (a) | ||||||||||
|
| |||||||||||||||
Total Machinery | 2,766,515 | |||||||||||||||
|
| |||||||||||||||
Passenger Airlines - 0.8% | ||||||||||||||||
American Airlines Inc., Senior Secured Notes | 8.500 | % | 5/15/29 | 200,000 | 210,377 | (a) | ||||||||||
Delta Air Lines Inc., Senior Notes | 7.375 | % | 1/15/26 | 540,000 | 557,455 | |||||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | 8.000 | % | 9/20/25 | 414,000 | 299,790 | (a) | ||||||||||
United Airlines Inc., Senior Secured Notes | 4.375 | % | 4/15/26 | 2,670,000 | 2,572,664 | (a) | ||||||||||
|
| |||||||||||||||
Total Passenger Airlines | 3,640,286 | |||||||||||||||
|
| |||||||||||||||
Trading Companies & Distributors - 0.5% | ||||||||||||||||
Air Lease Corp., Senior Notes | 1.875 | % | 8/15/26 | 2,180,000 | 2,002,605 | |||||||||||
Air Lease Corp., Senior Notes | 5.300 | % | 2/1/28 | 290,000 | 288,783 | |||||||||||
|
| |||||||||||||||
Total Trading Companies & Distributors | 2,291,388 | |||||||||||||||
|
| |||||||||||||||
TOTAL INDUSTRIALS | 19,282,332 | |||||||||||||||
|
| |||||||||||||||
INFORMATION TECHNOLOGY - 2.4% | ||||||||||||||||
Electronic Equipment, Instruments & Components - 0.3% | ||||||||||||||||
Vontier Corp., Senior Notes | 1.800 | % | 4/1/26 | 1,380,000 | 1,273,290 | |||||||||||
|
| |||||||||||||||
Semiconductors & Semiconductor Equipment - 1.1% | ||||||||||||||||
Broadcom Inc., Senior Notes | 3.150 | % | 11/15/25 | 1,290,000 | 1,245,199 | |||||||||||
Intel Corp., Senior Notes | 1.600 | % | 8/12/28 | 1,400,000 | 1,218,100 | |||||||||||
Microchip Technology Inc., Senior Notes | 0.983 | % | 9/1/24 | 1,490,000 | 1,454,434 | |||||||||||
TSMC Arizona Corp., Senior Notes | 1.750 | % | 10/25/26 | 1,090,000 | 1,002,607 | |||||||||||
|
| |||||||||||||||
Total Semiconductors & Semiconductor Equipment | 4,920,340 | |||||||||||||||
|
| |||||||||||||||
Software - 0.5% | ||||||||||||||||
Oracle Corp., Senior Notes | 3.400 | % | 7/8/24 | 1,980,000 | 1,963,968 | |||||||||||
|
| |||||||||||||||
Technology Hardware, Storage & Peripherals - 0.5% | ||||||||||||||||
Apple Inc., Senior Notes | 1.400 | % | 8/5/28 | 2,480,000 | 2,168,847 | |||||||||||
|
| |||||||||||||||
TOTAL INFORMATION TECHNOLOGY | 10,326,445 | |||||||||||||||
|
| |||||||||||||||
MATERIALS - 2.2% | ||||||||||||||||
Chemicals - 0.3% | ||||||||||||||||
MEGlobal BV, Senior Notes | 4.250 | % | 11/3/26 | 1,410,000 | 1,357,315 | (a) | ||||||||||
|
| |||||||||||||||
Metals & Mining - 1.1% | ||||||||||||||||
First Quantum Minerals Ltd., Secured Notes | 9.375 | % | 3/1/29 | 420,000 | 435,777 | |||||||||||
Glencore Funding LLC, Senior Notes | 1.625 | % | 9/1/25 | 1,630,000 | 1,540,294 | (a) | ||||||||||
Glencore Funding LLC, Senior Notes | 1.625 | % | 4/27/26 | 1,030,000 | 952,987 | (a) | ||||||||||
Vale Overseas Ltd., Senior Notes | 6.250 | % | 8/10/26 | 1,140,000 | 1,156,245 | |||||||||||
Yamana Gold Inc., Senior Notes | 4.625 | % | 12/15/27 | 850,000 | 815,168 | |||||||||||
|
| |||||||||||||||
Total Metals & Mining | 4,900,471 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
8 | Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Paper & Forest Products - 0.8% | ||||||||||||||||
Georgia-Pacific LLC, Senior Notes | 0.950 | % | 5/15/26 | $ | 1,200,000 | $ | 1,097,672 | (a) | ||||||||
Inversiones CMPC SA, Senior Notes | 4.375 | % | 4/4/27 | 1,100,000 | 1,061,336 | (a) | ||||||||||
Suzano International Finance BV, Senior Notes | 5.500 | % | 1/17/27 | 1,260,000 | 1,257,300 | |||||||||||
|
| |||||||||||||||
Total Paper & Forest Products | 3,416,308 | |||||||||||||||
|
| |||||||||||||||
TOTAL MATERIALS | 9,674,094 | |||||||||||||||
|
| |||||||||||||||
REAL ESTATE - 0.1% | ||||||||||||||||
Health Care REITs - 0.1% | ||||||||||||||||
CTR Partnership LP/CareTrust Capital Corp., Senior Notes | 3.875 | % | 6/30/28 | 430,000 | 389,311 | (a) | ||||||||||
|
| |||||||||||||||
UTILITIES - 1.6% | ||||||||||||||||
Electric Utilities - 1.6% | ||||||||||||||||
CenterPoint Energy Houston Electric LLC, Senior Secured Bonds | 5.200 | % | 10/1/28 | 880,000 | 888,149 | |||||||||||
Connecticut Light and Power Co., First Mortgage Bonds | 4.650 | % | 1/1/29 | 450,000 | 442,619 | |||||||||||
Georgia Power Co., Senior Notes | 5.004 | % | 2/23/27 | 970,000 | 968,435 | |||||||||||
NextEra Energy Capital Holdings Inc., Senior Notes | 5.749 | % | 9/1/25 | 240,000 | 241,355 | |||||||||||
Pacific Gas and Electric Co., First Mortgage Bonds | 5.550 | % | 5/15/29 | 530,000 | 531,387 | |||||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Senior Notes | 5.450 | % | 5/21/28 | 1,360,000 | 1,353,787 | (a) | ||||||||||
Southern California Edison Co., First Mortgage Bonds | 0.975 | % | 8/1/24 | 910,000 | 892,348 | |||||||||||
Southern California Edison Co., First Mortgage Bonds | 5.650 | % | 10/1/28 | 1,710,000 | 1,752,017 | |||||||||||
|
| |||||||||||||||
TOTAL UTILITIES | 7,070,097 | |||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS & NOTES | 230,301,133 | |||||||||||||||
|
| |||||||||||||||
ASSET-BACKED SECURITIES - 14.8% | ||||||||||||||||
Aegis Asset Backed Securities Trust Mortgage Pass-Through Certificates, 2005-4 M2 (1 mo. Term SOFR + 0.819%) | 6.140 | % | 10/25/35 | 462,787 | 430,001 | (c) | ||||||||||
AMMC CLO Ltd., 2020-23A A1R (3 mo. Term SOFR + 1.302%) | 6.618 | % | 10/17/31 | 1,120,000 | 1,122,553 | (a)(c) | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, 2020-2A A | 2.020 | % | 2/20/27 | 600,000 | 564,743 | (a) | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, 2021-1A C | 2.130 | % | 8/20/27 | 940,000 | 856,802 | (a) | ||||||||||
Ballyrock CLO Ltd., 2019-2A A1RR (3 mo. Term SOFR + 1.400%) | 6.719 | % | 2/20/36 | 510,000 | 510,393 | (a)(c) |
See Notes to Schedule of Investments.
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
9 |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
Barings Private Credit Corp. CLO Ltd., 2023-1A A1 (3 mo. Term SOFR + 2.400%) | 7.714 | % | 7/15/31 | $ | 609,979 | $ | 611,950 | (a)(c) | ||||||||
Black Diamond CLO Ltd., 2017-1A A1AR (3 mo. Term SOFR + 1.312%) | 6.630 | % | 4/24/29 | 229,659 | 230,195 | (a)(c) | ||||||||||
BRSP Ltd., 2021-FL1 A (1 mo. Term SOFR + 1.264%) | 6.584 | % | 8/19/38 | 1,032,681 | 1,019,101 | (a)(c) | ||||||||||
Cascade MH Asset Trust, 2021-MH1 A1 | 1.753 | % | 2/25/46 | 225,607 | 195,260 | (a) | ||||||||||
CCG Receivables Trust, 2021-2 A2 | 0.540 | % | 3/14/29 | 305,039 | 297,316 | (a) | ||||||||||
Cedar Funding CLO Ltd., 2016-5A AFRR | 1.937 | % | 7/17/31 | 2,375,004 | 2,251,528 | (a) | ||||||||||
CMFT Net Lease Master Issuer LLC, 2021-1 A1 | 2.090 | % | 7/20/51 | 1,024,744 | 875,041 | (a) | ||||||||||
Commonbond Student Loan Trust, 2021-AGS A | 1.200 | % | 3/25/52 | 408,415 | 333,676 | (a) | ||||||||||
Credit Suisse European Mortgage Capital Ltd., 2019-1OTF A (3 mo. USD LIBOR + 2.900%) | 8.479 | % | 8/9/24 | 915,000 | 913,216 | (a)(c) | ||||||||||
Cutwater Ltd., 2015-1A AR (3 mo. Term SOFR + 1.482%) | 6.796 | % | 1/15/29 | 40,467 | 40,410 | (a)(c) | ||||||||||
ECMC Group Student Loan Trust, 2016-1A A (30 Day Average SOFR + 1.464%) | 6.786 | % | 7/26/66 | 1,524,509 | 1,533,079 | (a)(c) | ||||||||||
GECU Auto Receivables Trust, 2023-1A A3 | 5.630 | % | 8/15/28 | 1,280,000 | 1,283,242 | (a) | ||||||||||
GM Financial Revolving Receivables Trust, 2021-1 A | 1.170 | % | 6/12/34 | 5,500,000 | 4,996,221 | (a) | ||||||||||
GoldenTree Loan Opportunities Ltd., 2014-9A BR2 (3 mo. Term SOFR + 1.862%) | 7.181 | % | 10/29/29 | 650,000 | 650,000 | (a)(c) | ||||||||||
Golub Capital Partners CLO Ltd., 2018-36A B (3 mo. Term SOFR + 1.912%) | 7.184 | % | 2/5/31 | 1,000,000 | 997,557 | (a)(c) | ||||||||||
Golub Capital Partners CLO Ltd., 2020-47A A1 (3 mo. Term SOFR + 1.942%) | 7.214 | % | 5/5/32 | 970,000 | 973,496 | (a)(c) | ||||||||||
GoodLeap Sustainable Home Solutions Trust, 2021-5CS A | 2.310 | % | 10/20/48 | 772,252 | 619,036 | (a) | ||||||||||
Great Lakes Kcap F3c Senior LLC, 2017-1A A (3 mo. Term SOFR + 2.162%) | 7.532 | % | 12/20/29 | 706,671 | 708,919 | (a)(c) | ||||||||||
Greystone CRE Notes Ltd., 2021-FL3 A (1 mo. Term SOFR + 1.134%) | 6.452 | % | 7/15/39 | 1,280,000 | 1,267,034 | (a)(c) | ||||||||||
Greywolf CLO Ltd., 2018-1A A2 (3 mo. Term SOFR + 1.890%) | 7.214 | % | 4/26/31 | 667,000 | 670,210 | (a)(c) | ||||||||||
Grippen Park CLO Ltd., 2017-1A A (3 mo. Term SOFR + 1.522%) | 6.839 | % | 1/20/30 | 164,950 | 165,614 | (a)(c) | ||||||||||
Grippen Park CLO Ltd., 2017-1A C (3 mo. Term SOFR + 2.562%) | 7.879 | % | 1/20/30 | 820,000 | 827,443 | (a)(c) | ||||||||||
Hertz Vehicle Financing LLC, 2021-1A A | 1.210 | % | 12/26/25 | 400,000 | 389,433 | (a) | ||||||||||
Hertz Vehicle Financing LP, 2021-2A A | 1.680 | % | 12/27/27 | 1,500,000 | 1,362,432 | (a) |
See Notes to Schedule of Investments.
10 | Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
HGI CRE CLO Ltd., 2021-FL2 A (1 mo. Term SOFR + 1.114%) | 6.436 | % | 9/17/36 | $ | 789,407 | $ | 783,040 | (a)(c) | ||||||||
Hildene Community Funding CDO Ltd., 2015-1A ARR | 2.600 | % | 11/1/35 | 493,986 | 415,639 | (a) | ||||||||||
Home Equity Mortgage Loan Asset-Backed Trust, 2005-C M2 (1 mo. Term SOFR + 0.864%) | 6.185 | % | 10/25/35 | 461,816 | 450,898 | (c) | ||||||||||
Jamestown CLO Ltd., 2018-6RA A1 (3 mo. Term SOFR + 1.412%) | 6.736 | % | 4/25/30 | 252,031 | 252,257 | (a)(c) | ||||||||||
KREF Ltd., 2021-FL2 A (1 mo. Term SOFR + 1.184%) | 6.506 | % | 2/15/39 | 1,300,000 | 1,277,252 | (a)(c) | ||||||||||
M&T Equipment Notes, 2023-1A A4 | 5.750 | % | 7/15/30 | 1,270,000 | 1,271,542 | (a) | ||||||||||
Madison Park Funding Ltd., 2019-35A A1R (3 mo. Term SOFR + 1.252%) | 6.569 | % | 4/20/32 | 760,000 | 760,380 | (a)(c) | ||||||||||
Magnetite Ltd., 2015-14RA A2 (3 mo. Term SOFR + 1.382%) | 6.680 | % | 10/18/31 | 526,467 | 527,400 | (a)(c) | ||||||||||
Magnetite Ltd., 2020-26A A1R (3 mo. Term SOFR + 1.382%) | 6.706 | % | 7/25/34 | 270,000 | 270,628 | (a)(c) | ||||||||||
MF1 Ltd., 2021-FL7 A (1 mo. Term SOFR + 1.194%) | 6.514 | % | 10/16/36 | 1,093,842 | 1,087,427 | (a)(c) | ||||||||||
Midocean Credit CLO, 2017-7A BR (3 mo. Term SOFR + 1.862%) | 7.176 | % | 7/15/29 | 500,000 | 501,606 | (a)(c) | ||||||||||
Midocean Credit CLO, 2018-8A A1R (3 mo. Term SOFR + 1.312%) | 6.631 | % | 2/20/31 | 951,483 | 954,376 | (a)(c) | ||||||||||
Midocean Credit CLO, 2018-9A B (3 mo. Term SOFR + 2.012%) | 7.329 | % | 7/20/31 | 1,250,000 | 1,254,797 | (a)(c) | ||||||||||
Morgan Stanley Capital I Inc. Trust, 2006-NC2 A2D (1 mo. Term SOFR + 0.694%) | 6.015 | % | 2/25/36 | 776,782 | 764,456 | (c) | ||||||||||
MVW LLC, 2020-1A A | 1.740 | % | 10/20/37 | 510,693 | 479,750 | (a) | ||||||||||
Navient Private Education Refi Loan Trust, 2019-A A2A | 3.420 | % | 1/15/43 | 34,922 | 33,899 | (a) | ||||||||||
Navient Private Education Refi Loan Trust, 2019-A A2B (1 mo. Term SOFR + 1.014%) | 6.332 | % | 1/15/43 | 123,648 | 123,135 | (a)(c) | ||||||||||
Navient Student Loan Trust, 2015-1 A2 (30 Day Average SOFR + 0.714%) | 6.036 | % | 4/25/40 | 714,110 | 699,089 | (c) | ||||||||||
Navient Student Loan Trust, 2021-1A A1B (30 Day Average SOFR + 0.714%) | 6.036 | % | 12/26/69 | 537,318 | 529,541 | (a)(c) | ||||||||||
Nelnet Student Loan Trust, 2015-2A A2 (30 Day Average SOFR + 0.714%) | 6.036 | % | 9/25/42 | 299,041 | 294,321 | (a)(c) | ||||||||||
Nelnet Student Loan Trust, 2021-A A2 (1 mo. Term SOFR + 1.144%) | 6.464 | % | 4/20/62 | 1,550,000 | 1,525,353 | (a)(c) |
See Notes to Schedule of Investments.
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
11 |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
Nelnet Student Loan Trust, 2021-CA AFL (1 mo. Term SOFR + 0.854%) | 6.174 | % | 4/20/62 | $ | 1,012,420 | $ | 1,001,492 | (a)(c) | ||||||||
Neuberger Berman CLO Ltd., 2014-17A BR2 (3 mo. Term SOFR + 1.762%) | 7.079 | % | 4/22/29 | 750,000 | 752,234 | (a)(c) | ||||||||||
Neuberger Berman Loan Advisers CLO Ltd., 2017-24A AR (3 mo. Term SOFR + 1.282%) | 6.591 | % | 4/19/30 | 653,368 | 654,546 | (a)(c) | ||||||||||
New Century Home Equity Loan Trust, 2004-2 M2 (1 mo. Term SOFR + 1.044%) | 6.365 | % | 8/25/34 | 368,922 | 371,256 | (c) | ||||||||||
NovaStar Mortgage Funding Trust, 2003-1 M1 (1 mo. Term SOFR + 1.539%) | 3.780 | % | 5/25/33 | 147,439 | 139,563 | (c) | ||||||||||
NovaStar Mortgage Funding Trust, 2003-3 A1 (1 mo. Term SOFR + 0.824%) | 6.145 | % | 12/25/33 | 804,791 | 793,853 | (c) | ||||||||||
Octagon Investment Partners Ltd., 2012-1A AARR (3 mo. Term SOFR + 1.212%) | 6.526 | % | 7/15/29 | 324,214 | 325,166 | (a)(c) | ||||||||||
OHA Loan Funding Ltd., 2013-2A AR (3 mo. Term SOFR + 1.302%) | 6.624 | % | 5/23/31 | 747,152 | 749,493 | (a)(c) | ||||||||||
Option One Mortgage Loan Trust, 2004-3 M1 (1 mo. Term SOFR + 0.894%) | 6.215 | % | 11/25/34 | 281,664 | 278,392 | (c) | ||||||||||
Option One Mortgage Loan Trust, 2007-FXD1 1A1 | 5.866 | % | 1/25/37 | 221,125 | 179,822 | |||||||||||
Oscar US Funding LLC, 2021-2A A4 | 1.270 | % | 9/11/28 | 1,500,000 | 1,431,050 | (a) | ||||||||||
Parliament Funding Ltd., 2020-1A AR (3 mo. Term SOFR + 1.512%) | 6.829 | % | 10/20/31 | 1,270,487 | 1,268,965 | (a)(c) | ||||||||||
PFS Financing Corp., 2024-A B (30 Day Average SOFR + 1.300%) | 6.634 | % | 1/15/28 | 1,380,000 | 1,381,611 | (a)(c) | ||||||||||
Renaissance Home Equity Loan Trust, 2003-2 A (1 mo. Term SOFR + 0.994%) | 3.760 | % | 8/25/33 | 187,742 | 170,768 | (c) | ||||||||||
RR Ltd., 2018-3A A1R2 (3 mo. Term SOFR + 1.352%) | 6.666 | % | 1/15/30 | 474,332 | 474,712 | (a)(c) | ||||||||||
Silver Rock CLO Ltd., 2020-1A AR (3 mo. Term SOFR + 1.780%) | 1.833 | % | 10/20/33 | 530,000 | 533,138 | (a)(c) | ||||||||||
SLM Private Credit Student Loan Trust, 2006-B A5 (3 mo. Term SOFR + 0.532%) | 5.916 | % | 12/15/39 | 1,062,300 | 1,035,884 | (c) | ||||||||||
SLM Private Education Loan Trust, 2010-C A5 (1 mo. Term SOFR + 4.864%) | 10.182 | % | 10/15/41 | 1,206,343 | 1,297,732 | (a)(c) | ||||||||||
SLM Student Loan Trust, 2005-4 B (90 Day Average SOFR + 0.442%) | 5.803 | % | 7/25/55 | 148,473 | 139,443 | (c) | ||||||||||
SLM Student Loan Trust, 2006-2 A6 (90 Day Average SOFR + 0.432%) | 5.793 | % | 1/25/41 | 598,878 | 579,462 | (c) | ||||||||||
SLM Student Loan Trust, 2013-1 A3 (30 Day Average SOFR + 0.664%) | 5.986 | % | 5/26/55 | 667,725 | 655,354 | (c) |
See Notes to Schedule of Investments.
12 | Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
SLM Student Loan Trust, 2013-6 A3 (30 Day Average SOFR + 0.764%) | 6.086 | % | 6/26/28 | $ | 700,862 | $ | 694,005 | (c) | ||||||||
SMB Private Education Loan Trust, 2016-B A2B (1 mo. Term SOFR + 1.564%) | 6.882 | % | 2/17/32 | 40,670 | 40,732 | (a)(c) | ||||||||||
SMB Private Education Loan Trust, 2021-A APT2 | 1.070 | % | 1/15/53 | 318,380 | 281,282 | (a) | ||||||||||
SMB Private Education Loan Trust, 2021-B A | 1.310 | % | 7/17/51 | 434,260 | 393,825 | (a) | ||||||||||
SMB Private Education Loan Trust, 2021-C A2 (1 mo. Term SOFR + 0.914%) | 6.232 | % | 1/15/53 | 2,163,849 | 2,142,532 | (a)(c) | ||||||||||
SoFi Professional Loan Program Trust, 2020-C AFX | 1.950 | % | 2/15/46 | 426,950 | 389,272 | (a) | ||||||||||
SpringCastle America Funding LLC, 2020-AA A | 1.970 | % | 9/25/37 | 943,004 | 873,418 | (a) | ||||||||||
Sunrun Atlas Issuer LLC, 2019-2 A | 3.610 | % | 2/1/55 | 525,256 | 480,043 | (a) | ||||||||||
TCI-Flatiron CLO Ltd., 2016-1A AR3 (3 mo. Term SOFR + 1.100%) | 6.417 | % | 1/17/32 | 676,971 | 678,268 | (a)(c) | ||||||||||
TRP LLC, 2021-1 A | 2.070 | % | 6/19/51 | 866,968 | 780,316 | (a) | ||||||||||
Voya CLO Ltd., 2016-3A A1R (3 mo. Term SOFR + 1.452%) | 6.750 | % | 10/18/31 | 239,396 | 239,659 | (a)(c) | ||||||||||
VSE VOI Mortgage LLC, 2018-A A | 3.560 | % | 2/20/36 | 591,827 | 582,022 | (a) | ||||||||||
Whitebox CLO Ltd., 2019-1A ANAR (3 mo. Term SOFR + 1.392%) | 6.710 | % | 7/24/32 | 1,040,000 | 1,043,367 | (a)(c) | ||||||||||
Whitehorse Ltd., 2018-12A A (3 mo. Term SOFR + 1.512%) | 6.826 | % | 10/15/31 | 282,161 | 283,341 | (a)(c) | ||||||||||
|
| |||||||||||||||
TOTAL ASSET-BACKED SECURITIES | 64,068,705 | |||||||||||||||
|
| |||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (e) - 14.1% | ||||||||||||||||
280 Park Avenue Mortgage Trust, 2017-280P A (1 mo. Term SOFR + 1.180%) | 6.502 | % | 9/15/34 | 500,000 | 489,689 | (a)(c) | ||||||||||
Angel Oak Mortgage Trust, 2021-7 A3 | 2.337 | % | 10/25/66 | 290,954 | 242,410 | (a)(c) | ||||||||||
AOA Mortgage Trust, 2021-1177 A (1 mo. Term SOFR + 0.989%) | 6.307 | % | 10/15/38 | 790,000 | 771,190 | (a)(c) | ||||||||||
AREIT Trust, 2021-CRE5 A (1 mo. Term SOFR + 1.194%) | 6.514 | % | 11/17/38 | 724,204 | 721,349 | (a)(c) | ||||||||||
BANK, 2021-BN32 A5 | 2.643 | % | 4/15/54 | 960,000 | 818,200 | |||||||||||
BDS, 2021-FL8 A (1 mo. Term SOFR + 1.034%) | 6.354 | % | 1/18/36 | 483,936 | 482,726 | (a)(c) | ||||||||||
Benchmark Mortgage Trust, 2021-B29 XA, IO | 1.032 | % | 9/15/54 | 12,339,595 | 605,783 | (c) | ||||||||||
Benchmark Mortgage Trust, 2021-B31 A5 | 2.669 | % | 12/15/54 | 620,000 | 519,807 | |||||||||||
Benchmark Mortgage Trust, 2023-V3 A3 | 6.363 | % | 7/15/56 | 850,000 | 888,487 | (c) | ||||||||||
Benchmark Mortgage Trust, 2023-V3 XA, IO | 0.814 | % | 7/15/56 | 20,906,372 | 650,372 | (c) | ||||||||||
BHMS, 2018-ATLS A (1 mo. Term SOFR + 1.547%) | 6.865 | % | 7/15/35 | 910,000 | 907,628 | (a)(c) |
See Notes to Schedule of Investments.
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
13 |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (e) - (continued) | ||||||||||||||||
BRAVO Residential Funding Trust, 2021-NQM2 A1 | 0.970 | % | 3/25/60 | $ | 297,379 | $ | 276,410 | (a)(c) | ||||||||
BRAVO Residential Funding Trust, 2024-NQM1 A1 | 5.943 | % | 12/1/63 | 895,024 | 893,361 | (a) | ||||||||||
BX Commercial Mortgage Trust, 2020-VIV4 A | 2.843 | % | 3/9/44 | 1,070,000 | 920,900 | (a) | ||||||||||
BX Commercial Mortgage Trust, 2021-CIP A (1 mo. Term SOFR + 1.035%) | 6.353 | % | 12/15/38 | 110,000 | 108,730 | (a)(c) | ||||||||||
BX Commercial Mortgage Trust, 2021-SOAR A (1 mo. Term SOFR + 0.784%) | 6.102 | % | 6/15/38 | 971,018 | 962,538 | (a)(c) | ||||||||||
BX Commercial Mortgage Trust, 2021-VOLT A (1 mo. Term SOFR + 0.814%) | 6.132 | % | 9/15/36 | 1,460,000 | 1,444,585 | (a)(c) | ||||||||||
BX Commercial Mortgage Trust, 2022-AHP A (1 mo. Term SOFR + 0.990%) | 6.308 | % | 1/17/39 | 1,570,000 | 1,557,610 | (a)(c) | ||||||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates, 2004-3A A2 (1 mo. Term SOFR + 0.414%) | 5.735 | % | 8/25/35 | 1,063 | 991 | (a)(c) | ||||||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates, 2004-4A A2 (1 mo. Term SOFR + 0.694%) | 6.015 | % | 10/25/35 | 4,478 | 4,186 | (a)(c) | ||||||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates, 2005-1A A2 (1 mo. Term SOFR + 0.314%) | 5.635 | % | 1/25/36 | 1,677 | 1,485 | (a)(c) | ||||||||||
CIM Trust, 2021-R6 A1 | 1.425 | % | 7/25/61 | 833,491 | 720,275 | (a)(c) | ||||||||||
Citigroup Commercial Mortgage Trust, 2017-B1 A4 | 3.458 | % | 8/15/50 | 330,000 | 306,061 | |||||||||||
Cross Mortgage Trust, 2023-H2 A1A | 7.135 | % | 11/25/68 | 807,525 | 819,835 | (a) | ||||||||||
CSMC Trust, 2019-AFC1 A1 | 3.573 | % | 7/25/49 | 92,243 | 85,265 | (a) | ||||||||||
CSMC Trust, 2019-AFC1 A2 | 3.776 | % | 7/25/49 | 202,821 | 188,193 | (a) | ||||||||||
CSMC Trust, 2019-AFC1 A3 | 3.877 | % | 7/25/49 | 202,821 | 188,244 | (a) | ||||||||||
CSMC Trust, 2019-UVIL A | 3.160 | % | 12/15/41 | 1,480,000 | 1,300,383 | (a) | ||||||||||
CSMC Trust, 2020-AFC1 A1 | 3.240 | % | 2/25/50 | 335,630 | 307,401 | (a)(c) | ||||||||||
CSMC Trust, 2021-AFC1 A1 | 0.830 | % | 3/25/56 | 393,942 | 332,699 | (a)(c) | ||||||||||
CSMC Trust, 2021-AFC1 A3 | 1.169 | % | 3/25/56 | 393,942 | 326,985 | (a)(c) | ||||||||||
CSMC Trust, 2021-NQM3 A3 | 1.632 | % | 4/25/66 | 485,941 | 403,438 | (a)(c) | ||||||||||
CSMC Trust, 2021-NQM5 A1 | 0.938 | % | 5/25/66 | 802,608 | 638,173 | (a)(c) | ||||||||||
CSMC Trust, 2021-NQM7 A1 | 1.756 | % | 10/25/66 | 475,463 | 410,667 | (a)(c) | ||||||||||
CSMC Trust, 2021-RPL4 A1 | 1.796 | % | 12/27/60 | 655,161 | 635,990 | (a)(c) | ||||||||||
Deephaven Residential Mortgage Trust, 2022-1 A1 | 2.205 | % | 1/25/67 | 1,503,363 | 1,347,618 | (a)(c) | ||||||||||
Ellington Financial Mortgage Trust, 2021-2 A1 | 0.931 | % | 6/25/66 | 609,493 | 490,993 | (a)(c) |
See Notes to Schedule of Investments.
14 | Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (e) - (continued) | ||||||||||||||||
Ellington Financial Mortgage Trust, 2022-1 A1 | 2.206 | % | 1/25/67 | $ | 316,595 | $ | 269,309 | (a)(c) | ||||||||
ELP Commercial Mortgage Trust, 2021-ELP A (1 mo. Term SOFR + 0.815%) | 6.133 | % | 11/15/38 | 1,218,582 | 1,207,305 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, KS12 A (30 Day Average SOFR + 0.764%) | 6.096 | % | 8/25/29 | 1,200,000 | 1,203,277 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4945 KF, PAC (30 Day Average SOFR + 0.564%) | 5.886 | % | 9/25/49 | 673,148 | 654,917 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA3 M2 (30 Day Average SOFR + 2.100%) | 7.422 | % | 10/25/33 | 850,000 | 861,391 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA2 M1B (30 Day Average SOFR + 2.400%) | 7.722 | % | 2/25/42 | 880,000 | 899,566 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 19 F | 4.509 | % | 6/1/28 | 24 | 24 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2021- DNA2 M2 (30 Day Average SOFR + 2.300%) | 7.622 | % | 8/25/33 | 317,628 | 324,319 | (a)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA5 M1B (30 Day Average SOFR + 4.500%) | 9.822 | % | 6/25/42 | 810,000 | 877,814 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2014-C02 1M2 (30 Day Average SOFR + 2.714%) | 8.036 | % | 5/25/24 | 525,268 | 526,563 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2018-C03 1M2C (30 Day Average SOFR + 2.264%) | 7.586 | % | 10/25/30 | 320,000 | 326,670 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) - CAS, 2023-R08 1M2 (30 Day Average SOFR + 2.500%) | 7.822 | % | 10/25/43 | 596,753 | 613,984 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 1997-20 F | 3.410 | % | 3/25/27 | 271 | 270 | (c) | ||||||||||
Federal National Mortgage Association (FNMA), Grantor Trust, 2000-T6 A3 | 4.238 | % | 11/25/40 | 81,861 | 80,445 | (c) |
See Notes to Schedule of Investments.
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
15 |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (e) - (continued) | ||||||||||||||||
Federal National Mortgage Association (FNMA), Grantor Trust, 2002-T19 A4 | 4.841 | % | 3/25/42 | $ | 586,485 | $ | 567,385 | (c) | ||||||||
Federal National Mortgage Association (FNMA), Grantor Trust, 2004-T3 2A | 4.489 | % | 8/25/43 | 328,065 | 322,924 | (c) | ||||||||||
Federal National Mortgage Association (FNMA), Whole Loan, 2003-W6 6A | 4.266 | % | 8/25/42 | 260,227 | 250,095 | (c) | ||||||||||
Federal National Mortgage Association (FNMA), Whole Loan, 2003-W8 3F1 (30 Day Average SOFR + 0.514%) | 5.836 | % | 5/25/42 | 48,925 | 48,768 | (c) | ||||||||||
GCAT Trust, 2020-NQM1 A3 | 3.554 | % | 1/25/60 | 963,452 | 907,768 | (a) | ||||||||||
Government National Mortgage Association (GNMA), 2011-H07 FA (1 mo. Term SOFR + 0.614%) | 5.963 | % | 2/20/61 | 31,878 | 31,754 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2013-H08 BF (1 mo. Term SOFR + 0.514%) | 5.863 | % | 3/20/63 | 157,249 | 155,828 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2016-H07 FK (1 mo. Term SOFR + 1.114%) | 6.463 | % | 3/20/66 | 1,408,770 | 1,406,303 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2017-H15 FN (1 mo. Term SOFR + 0.614%) | 5.963 | % | 7/20/67 | 532,599 | 528,438 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2021-H03 FA (30 Day Average SOFR + 0.380%) | 5.774 | % | 4/20/70 | 2,387,505 | 2,343,079 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2021-H09 QF (30 Day Average SOFR + 1.500%) | 6.824 | % | 6/20/71 | 2,923,758 | 2,942,457 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2021-H16 FG (30 Day Average SOFR + 0.300%) | 5.624 | % | 9/20/71 | 2,955,199 | 2,918,798 | (c) | ||||||||||
GS Mortgage Securities Corp. Trust, 2000-1A A (1 mo. Term SOFR + 0.464%) | 5.784 | % | 3/20/23 | 53,638 | 53,635 | (a)(c) | ||||||||||
GS Mortgage Securities Corp. Trust, 2021-IP A (1 mo. Term SOFR + 1.064%) | 6.382 | % | 10/15/36 | 1,110,000 | 1,095,157 | (a)(c) | ||||||||||
HarborView Mortgage Loan Trust, 2005-9 2A1B (1 mo. Term SOFR + 0.854%) | 6.174 | % | 6/20/35 | 218,316 | 199,467 | (c) | ||||||||||
HarborView Mortgage Loan Trust, 2005-9 2A1C (1 mo. Term SOFR + 1.014%) | 6.334 | % | 6/20/35 | 179,421 | 163,270 | (c) | ||||||||||
IMPAC CMB Trust, 2005-7 A1 (1 mo. Term SOFR + 0.634%) | 5.955 | % | 11/25/35 | 152,075 | 133,334 | (c) |
See Notes to Schedule of Investments.
16 | Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (e) - (continued) | ||||||||||||||||
JPMorgan Mortgage Trust, 2019-LTV3 B2 | 4.379 | % | 3/25/50 | $ | 305,486 | $ | 275,537 | (a)(c) | ||||||||
Legacy Mortgage Asset Trust, 2020-RPL1 A1 | 3.000 | % | 9/25/59 | 876,755 | 824,012 | (a)(c) | ||||||||||
Legacy Mortgage Asset Trust, 2021-GS2 A1, Step bond (1.750% to 4/25/24, 4.750% to 4/25/25 then 5.750%) | 1.750 | % | 4/25/61 | 576,326 | 559,176 | (a) | ||||||||||
Legacy Mortgage Asset Trust, 2021-GS5 A1, Step bond (2.250% to 11/25/24 then 5.250%) | 2.250 | % | 7/25/67 | 1,217,491 | 1,177,138 | (a) | ||||||||||
Mill City Mortgage Loan Trust, 2019-1 A1 | 3.250 | % | 10/25/69 | 478,004 | 459,369 | (a)(c) | ||||||||||
Mill City Mortgage Trust, 2015-2 M3 | 3.705 | % | 9/25/57 | 935,723 | 915,056 | (a)(c) | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, 2016-C32 ASB | 3.514 | % | 12/15/49 | 323,250 | 313,711 | |||||||||||
Morgan Stanley Capital I Trust, 2017-ASHF A (1 mo. Term SOFR + 1.147%) | 6.465 | % | 11/15/34 | 173,277 | 172,200 | (a)(c) | ||||||||||
New Residential Mortgage Loan Trust, 2015-1A A3 | 3.750 | % | 5/28/52 | 122,041 | 113,904 | (a)(c) | ||||||||||
New Residential Mortgage Loan Trust, 2016-4A A1 | 3.750 | % | 11/25/56 | 82,280 | 76,417 | (a)(c) | ||||||||||
New Residential Mortgage Loan Trust, 2021- NQM3 A1 | 1.156 | % | 11/27/56 | 776,165 | 653,570 | (a)(c) | ||||||||||
New Residential Mortgage Loan Trust, 2022- NQM2 A1 | 3.079 | % | 3/27/62 | 892,160 | 805,769 | (a)(c) | ||||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, 2007-1 1A4 | 6.638 | % | 3/25/47 | 211,355 | 198,196 | |||||||||||
OBX Trust, 2021-NQM2 A1 | 1.101 | % | 5/25/61 | 661,303 | 521,416 | (a)(c) | ||||||||||
OBX Trust, 2021-NQM2 A3 | 1.563 | % | 5/25/61 | 667,106 | 524,377 | (a)(c) | ||||||||||
OBX Trust, 2021-NQM3 A1 | 1.054 | % | 7/25/61 | 870,208 | 677,236 | (a)(c) | ||||||||||
Onslow Bay Mortgage Loan Trust, 2021-NQM4 A1 | 1.957 | % | 10/25/61 | 836,851 | 693,027 | (a)(c) | ||||||||||
OPG Trust, 2021-PORT A (1 mo. Term SOFR + 0.598%) | 5.916 | % | 10/15/36 | 974,363 | 960,451 | (a)(c) | ||||||||||
PMT Credit Risk Transfer Trust, 2019-2R A (1 mo. Term SOFR + 3.864%) | 9.193 | % | 5/30/25 | 144,229 | 144,448 | (a)(c) | ||||||||||
PMT Credit Risk Transfer Trust, 2019-3R A (30 Day Average SOFR + 3.814%) | 9.135 | % | 11/27/31 | 127,068 | 126,905 | (a)(c) | ||||||||||
Prime Mortgage Trust, 2006-DR1 2A1 | 5.500 | % | 5/25/35 | 199,242 | 180,598 | (a) | ||||||||||
PRKCM Trust, 2021-AFC1 A1 | 1.510 | % | 8/25/56 | 1,068,002 | 854,629 | (a)(c) | ||||||||||
RAMP Trust, 2004-SL4 A5 | 7.500 | % | 7/25/32 | 6,095 | 2,481 | |||||||||||
Ready Capital Mortgage Financing LLC, 2021-FL6 A (1 mo. Term SOFR + 1.064%) | 6.385 | % | 7/25/36 | 754,858 | 748,180 | (a)(c) |
See Notes to Schedule of Investments.
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
17 |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (e) - (continued) | ||||||||||||||||
Residential Asset Securitization Trust, 2003-A11 A2, PAC (1 mo. Term SOFR + 0.564%) | 5.885 | % | 11/25/33 | $ | 22,287 | $ | 21,797 | (c) | ||||||||
SFO Commercial Mortgage Trust, 2021-555 A (1 mo. Term SOFR + 1.264%) | 6.582 | % | 5/15/38 | 920,000 | 891,970 | (a)(c) | ||||||||||
SMRT, 2022-MINI A (1 mo. Term SOFR + 1.000%) | 6.318 | % | 1/15/39 | 1,560,000 | 1,545,795 | (a)(c) | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, 2004-2 1A1 | 5.763 | % | 3/25/34 | 73,989 | 66,429 | (c) | ||||||||||
Structured Asset Securities Corp., 2005-RF3 2A | 4.095 | % | 6/25/35 | 269,124 | 234,289 | (a)(c) | ||||||||||
Towd Point Mortgage Trust, 2019-HY1 B1 (1 mo. Term SOFR + 2.264%) | 7.585 | % | 10/25/48 | 1,460,000 | 1,522,195 | (a)(c) | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR8 2A1A (1 mo. Term SOFR + 0.694%) | 6.015 | % | 7/25/45 | 960,798 | 909,761 | (c) | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR8 2AB3 (1 mo. Term SOFR + 0.834%) | 6.155 | % | 7/25/45 | 307,941 | 288,381 | (c) | ||||||||||
Wells Fargo Commercial Mortgage Trust, 2015- NXS3 ASB | 3.371 | % | 9/15/57 | 60,207 | 58,966 | |||||||||||
|
| |||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | 61,202,357 | |||||||||||||||
|
| |||||||||||||||
MORTGAGE-BACKED SECURITIES - 5.7% | ||||||||||||||||
FHLMC - 2.4% | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 3.000 | % | 6/1/35 | 1,846,983 | 1,709,247 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 6.500 | % | 7/1/53 | 95,621 | 98,874 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.630%) | 3.268 | % | 1/1/49 | 4,143,159 | 3,887,025 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) (30 Day Average SOFR + 2.184%) | 1.781 | % | 8/1/51 | 5,013,505 | 4,491,152 | (c) | ||||||||||
|
| |||||||||||||||
Total FHLMC | 10,186,298 | |||||||||||||||
|
| |||||||||||||||
FNMA - 2.4% | ||||||||||||||||
Federal National Mortgage Association (FNMA) | 2.500 | % | 2/1/35 | 1,309,836 | 1,227,965 | |||||||||||
Federal National Mortgage Association (FNMA) | 3.000 | % | 4/1/38 - 2/1/40 | 1,655,386 | 1,534,717 | |||||||||||
Federal National Mortgage Association (FNMA) | 4.500 | % | 11/1/38 - 1/1/59 | 899,804 | 876,817 | |||||||||||
Federal National Mortgage Association (FNMA) | 5.500 | % | 8/1/52 | 4,074,438 | 4,041,416 | |||||||||||
Federal National Mortgage Association (FNMA) | 6.500 | % | 10/1/53 | 1,179,727 | 1,204,261 |
See Notes to Schedule of Investments.
18 | Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
FNMA - (continued) | ||||||||||||||||
Federal National Mortgage Association (FNMA) | 6.000 | % | 11/1/53 | $ | 1,280,050 | $ | 1,292,604 | |||||||||
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity Rate + 2.375%) | 6.443 | % | 9/1/37 | 214,932 | 216,423 | (c) | ||||||||||
|
| |||||||||||||||
Total FNMA | 10,394,203 | |||||||||||||||
|
| |||||||||||||||
GNMA - 0.9% | ||||||||||||||||
Government National Mortgage Association (GNMA) II | 3.500 | % | 9/20/48 | 22,984 | 21,048 | |||||||||||
Government National Mortgage Association (GNMA) II | 2.500 | % | 12/20/50 | 146,367 | 122,747 | |||||||||||
Government National Mortgage Association (GNMA) II | 5.500 | % | 8/20/53 | 1,288,118 | 1,285,167 | |||||||||||
Government National Mortgage Association (GNMA) II | 6.000 | % | 11/20/53 | 1,283,467 | 1,301,273 | |||||||||||
Government National Mortgage Association (GNMA) II | 6.500 | % | 1/20/54 | 1,300,000 | 1,325,372 | |||||||||||
|
| |||||||||||||||
Total GNMA | 4,055,607 | |||||||||||||||
|
| |||||||||||||||
TOTAL MORTGAGE-BACKED SECURITIES | 24,636,108 | |||||||||||||||
|
| |||||||||||||||
SENIOR LOANS - 1.8% | ||||||||||||||||
COMMUNICATION SERVICES - 0.5% | ||||||||||||||||
Media - 0.5% | ||||||||||||||||
Charter Communications Operating LLC, Term Loan B2 (1 mo. Term SOFR + 1.750%) | 7.076 | % | 2/1/27 | 489,770 | 488,660 | (c)(f)(g) | ||||||||||
Charter Communications Operating LLC, Term Loan B4 (3 mo. Term SOFR + 2.000%) | 7.329 | % | 12/7/30 | 757,405 | 746,044 | (c)(f)(g) | ||||||||||
Nexstar Media Inc., Term Loan B4 (1 mo. Term SOFR + 2.614%) | 7.941 | % | 9/18/26 | 493,014 | 492,534 | (c)(f)(g) | ||||||||||
Virgin Media Bristol LLC, Term Loan Facility N (1 mo. Term SOFR + 2.614%) | 7.932 | % | 1/31/28 | 590,000 | 585,374 | (c)(f)(g) | ||||||||||
|
| |||||||||||||||
TOTAL COMMUNICATION SERVICES | 2,312,612 | |||||||||||||||
|
| |||||||||||||||
CONSUMER DISCRETIONARY - 0.2% | ||||||||||||||||
Hotels, Restaurants & Leisure - 0.0%†† | ||||||||||||||||
1011778 BC Unlimited Liability Co., Term Loan B5 (1 mo. Term SOFR + 2.250%) | 7.576 | % | 9/23/30 | 58,388 | 58,216 | (c)(f)(g) | ||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
19 |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Specialty Retail - 0.2% | ||||||||||||||||
Harbor Freight Tools USA Inc., 2021 Refinancing Term Loan (1 mo. Term SOFR + 2.750%) | 8.076 | % | 10/19/27 | $ | 476,612 | $ | 473,959 | (c)(f)(g) | ||||||||
Rent-A-Center Inc., Term Loan B2 (3 mo. Term SOFR + 3.678%) | 9.119 | % | 2/17/28 | 512,509 | 513,045 | (c)(f)(g) | ||||||||||
|
| |||||||||||||||
Total Specialty Retail | 987,004 | |||||||||||||||
|
| |||||||||||||||
TOTAL CONSUMER DISCRETIONARY | 1,045,220 | |||||||||||||||
|
| |||||||||||||||
FINANCIALS - 0.5% | ||||||||||||||||
Financial Services - 0.4% | ||||||||||||||||
Hudson River Trading LLC, Term Loan (1 mo. Term SOFR + 3.114%) | 8.441 | % | 3/20/28 | 538,917 | 536,309 | (c)(f)(g) | ||||||||||
Setanta Aircraft Leasing DAC, Term Loan (1 mo. Term SOFR + 2.262%) | 7.610 | % | 11/5/28 | 550,000 | 551,262 | (c)(f)(g) | ||||||||||
VFH Parent LLC, Initial Term Loan (1 mo. Term SOFR + 3.100%) | 8.426 | % | 1/13/29 | 527,694 | 528,354 | (c)(f)(g) | ||||||||||
|
| |||||||||||||||
Total Financial Services | 1,615,925 | |||||||||||||||
|
| |||||||||||||||
Insurance - 0.1% | ||||||||||||||||
Asurion LLC, New Term Loan B9 (1 mo. Term SOFR + 3.364%) | 8.691 | % | 7/31/27 | 538,917 | 531,507 | (c)(f)(g) | ||||||||||
Asurion LLC, New Term Loan B11 (1 mo. Term SOFR + 4.350%) | 9.676 | % | 8/21/28 | 47,750 | 47,571 | (c)(f)(g) | ||||||||||
|
| |||||||||||||||
Total Insurance | 579,078 | |||||||||||||||
|
| |||||||||||||||
TOTAL FINANCIALS | 2,195,003 | |||||||||||||||
|
| |||||||||||||||
HEALTH CARE - 0.2% | ||||||||||||||||
Health Care Providers & Services - 0.1% | ||||||||||||||||
Grifols Worldwide Operations USA Inc., Dollar Term Loan B (1 mo. Term SOFR + 2.100%) | 7.426 | % | 11/15/27 | 417,419 | 410,166 | (c)(f)(g) | ||||||||||
|
| |||||||||||||||
Pharmaceuticals - 0.1% | ||||||||||||||||
Jazz Financing Lux Sarl, Dollar Facility Term Loan B1 (1 mo. Term SOFR + 3.114%) | 8.441 | % | 5/5/28 | 439,113 | 440,211 | (c)(f)(g) | ||||||||||
|
| |||||||||||||||
TOTAL HEALTH CARE | 850,377 | |||||||||||||||
|
| |||||||||||||||
INDUSTRIALS - 0.3% | ||||||||||||||||
Commercial Services & Supplies - 0.1% | ||||||||||||||||
APi Group DE Inc., 2026 Term Loan (1 mo. Term SOFR + 2.364%) | 7.691 | % | 10/1/26 | 294,381 | 294,934 | (c)(f)(g) | ||||||||||
|
| |||||||||||||||
Ground Transportation - 0.2% | ||||||||||||||||
Genesee & Wyoming Inc., Initial Term Loan (3 mo. Term SOFR + 2.100%) | 7.448 | % | 12/30/26 | 814,292 | 815,228 | (c)(f)(g) | ||||||||||
|
| |||||||||||||||
TOTAL INDUSTRIALS | 1,110,162 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
20 | Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
INFORMATION TECHNOLOGY - 0.1% | ||||||||||||||||
Software - 0.1% | ||||||||||||||||
DCert Buyer Inc., First Lien Initial Term Loan (1 mo. Term SOFR + 4.000%) | 9.326 | % | 10/16/26 | $ | 486,111 | $ | 483,211 | (c)(f)(g) | ||||||||
|
| |||||||||||||||
TOTAL SENIOR LOANS | 7,996,585 | |||||||||||||||
|
| |||||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.4% | ||||||||||||||||
U.S. Government Obligations - 0.4% | ||||||||||||||||
U.S. Treasury Notes | 4.250 | % | 12/31/25 | 870,000 | 863,305 | |||||||||||
U.S. Treasury Notes | 4.625 | % | 11/15/26 | 260,000 | 261,011 | |||||||||||
U.S. Treasury Notes | 4.500 | % | 9/30/28 | 480,000 | 486,562 | |||||||||||
U.S. Treasury Notes | 4.875 | % | 10/31/28 | 250,000 | 256,162 | |||||||||||
|
| |||||||||||||||
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS | 1,867,040 | |||||||||||||||
|
| |||||||||||||||
EXPIRATION DATE | CONTRACTS | NOTIONAL AMOUNT | ||||||||||||||
PURCHASED OPTIONS - 0.1% | ||||||||||||||||
EXCHANGE-TRADED PURCHASED OPTIONS - 0.1% | ||||||||||||||||
3-Month SOFR Futures, Put @ $94.750 | 4/12/24 | 87 | 217,500 | 6,525 | ||||||||||||
3-Month SOFR Futures, Put @ $96.000 | 12/13/24 | 102 | 255,000 | 184,238 | ||||||||||||
U.S. Treasury 5-Year Notes Futures, Call @ $107.500 | 3/22/24 | 37 | 37,000 | 10,695 | ||||||||||||
|
| |||||||||||||||
TOTAL PURCHASED OPTIONS | 201,458 | |||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS | 390,273,386 | |||||||||||||||
|
| |||||||||||||||
RATE | MATURITY DATE | FACE AMOUNT | ||||||||||||||
SHORT-TERM INVESTMENTS - 9.2% | ||||||||||||||||
COMMERCIAL PAPER - 5.1% | ||||||||||||||||
BPCE SA | 5.594 | % | 4/17/24 | 2,500,000 | 2,482,217 | (h)(i) | ||||||||||
MUFG Bank Ltd. | 5.541 | % | 4/12/24 | 5,000,000 | 4,968,420 | (i) | ||||||||||
Rabobank Netherland NV | 5.586 | % | 6/5/24 | 5,000,000 | 4,928,484 | (i) | ||||||||||
Societe Generale SA | 5.631 | % | 4/18/24 | 5,000,000 | 4,963,464 | (h)(i) | ||||||||||
Svenska Handelsbanken AB | 5.528 | % | 6/11/24 | 5,000,000 | 4,924,856 | (h)(i) | ||||||||||
|
| |||||||||||||||
TOTAL COMMERCIAL PAPER | 22,267,441 | |||||||||||||||
|
| |||||||||||||||
CERTIFICATES OF DEPOSIT - 0.7% | ||||||||||||||||
Mizuho Bank Ltd. | 5.620 | % | 5/30/24 | 3,000,000 | 3,001,110 | |||||||||||
|
| |||||||||||||||
U.S. TREASURY BILLS - 0.6% | ||||||||||||||||
U.S. Treasury Bills | 5.431 | % | 4/23/24 | 2,500,000 | 2,480,567 | (i) | ||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
21 |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | SHARES | VALUE | |||||||||
MONEY MARKET FUNDS — 2.8% | ||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares | 5.272 | % | 12,113,088 | $ | 12,113,088 | (j)(k) | ||||||
|
| |||||||||||
TOTAL SHORT-TERM INVESTMENTS | 39,862,206 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS - 99.1% | 430,135,592 | |||||||||||
Other Assets in Excess of Liabilities - 0.9% | 4,116,628 | |||||||||||
|
| |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 434,252,220 | ||||||||||
|
|
†† | Represents less than 0.1%. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
(b) | Security has no maturity date. The date shown represents the next call date. |
(c) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(d) | Securities traded on a when-issued or delayed delivery basis. |
(e) | 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. |
(f) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
(g) | 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. |
(h) | Commercial paper exempt from registration under Section 4(2) 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. |
(i) | Rate shown represents yield-to-maturity. |
(j) | Rate shown is one-day yield as of the end of the reporting period. |
(k) | 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 February 29, 2024, the total market value of investments in Affiliated Companies was $12,113,088 and the cost was $12,113,088 (Note 2). |
See Notes to Schedule of Investments.
22 | Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
Abbreviation(s) used in this schedule:
CAS | — Connecticut Avenue Securities | |
CDO | — Collateralized Debt Obligation | |
CLO | — Collateralized Loan Obligation | |
IBOR | — Interbank Offered Rate | |
IO | — Interest Only | |
JSC | — Joint Stock Company | |
LIBOR | — London Interbank Offered Rate | |
PAC | — Planned Amortization Class | |
REMIC | — Real Estate Mortgage Investment Conduit | |
SOFR | — Secured Overnight Financing Rate | |
STRIPS | — Separate Trading of Registered Interest and Principal Securities | |
USD | — United States Dollar |
At February 29, 2024, the Fund had the following written options contracts:
EXCHANGE-TRADED WRITTEN OPTIONS
SECURITY | EXPIRATION DATE | STRIKE PRICE | CONTRACTS | NOTIONAL AMOUNT | VALUE | |||||||||||||||
3-Month SOFR Futures, Call | 12/13/24 | $ | 97.125 | 102 | $ | 255,000 | $ | (22,313 | ) | |||||||||||
3-Month SOFR Futures, Put | 12/13/24 | 95.500 | 102 | 255,000 | (99,450 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Call | 3/22/24 | 108.500 | 37 | 37,000 | (3,469 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Put | 3/22/24 | 106.000 | 17 | 17,000 | (3,320 | ) | ||||||||||||||
|
| |||||||||||||||||||
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS |
| $ | (128,552 | ) | ||||||||||||||||
|
|
Abbreviation(s) used in this schedule:
SOFR | — Secured Overnight Financing Rate |
At February 29, 2024, the Fund had the following open futures contracts:
NUMBER OF CONTRACTS | EXPIRATION DATE | NOTIONAL AMOUNT | MARKET VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
3-Month SOFR | 186 | 3/25 | $ | 44,566,079 | $ | 44,407,500 | $ | (158,579 | ) | |||||||||||
3-Month SOFR | 16 | 3/24 | 3,785,350 | 3,785,900 | 550 | |||||||||||||||
3-Month SOFR | 205 | 3/26 | 49,323,646 | 49,346,063 | 22,417 | |||||||||||||||
|
| |||||||||||||||||||
(135,612 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
3-Month SOFR | 34 | 6/24 | 8,038,744 | 8,048,225 | (9,481 | ) | ||||||||||||||
U.S. Treasury 2-Year Notes | 105 | 6/24 | 21,486,316 | 21,498,750 | (12,434 | ) |
See Notes to Schedule of Investments.
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
23 |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
NUMBER OF CONTRACTS | EXPIRATION DATE | NOTIONAL AMOUNT | MARKET VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
Contracts to Sell continued | ||||||||||||||||||||
U.S. Treasury 5-Year Notes | 967 | 6/24 | $ | 103,174,413 | $ | 103,378,344 | $ | (203,931 | ) | |||||||||||
U.S. Treasury 10-Year Notes | 55 | 6/24 | 6,062,238 | 6,074,063 | (11,825 | ) | ||||||||||||||
U.S. Treasury Long-Term Bonds | 13 | 6/24 | 1,544,179 | 1,550,250 | (6,071 | ) | ||||||||||||||
U.S. Treasury Ultra Long- Term Bonds | 2 | 6/24 | 253,990 | 255,750 | (1,760 | ) | ||||||||||||||
|
| |||||||||||||||||||
(245,502 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized depreciation on open futures contracts |
| $ | (381,114 | ) | ||||||||||||||||
|
|
Abbreviation(s) used in this table:
SOFR | — Secured Overnight Financing Rate |
At February 29, 2024, the Fund had the following open swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAPS | ||||||||||||||||||||||||
NOTIONAL AMOUNT | TERMINATION DATE | PAYMENTS | PAYMENTS | MARKET VALUE | UPFRONT PREMIUMS PAID (RECEIVED) | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
$ | 18,886,000 | 10/14/24 | Daily SOFR Compound annually | 2.770% annually | $ | (292,672 | ) | $ | 127 | $ | (292,799 | ) | ||||||||||||
7,856,000 | 10/14/27 | 2.600% annually | Daily SOFR Compound annually | 408,479 | 2,568 | 405,911 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 26,742,000 | $ | 115,807 | $ | 2,695 | $ | 113,112 | ||||||||||||||||
|
|
|
|
|
|
|
|
† | Percentage shown is an annual percentage rate. |
Reference rate(s) and their value(s) as of period end used in this table:
REFERENCE INDEX | REFERENCE | |||
Daily SOFR Compound | 5.320 | % |
Abbreviation(s) used in this table:
SOFR | — Secured Overnight Financing Rate |
See Notes to Schedule of Investments.
24 | Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
WESTERN ASSET ULTRA-SHORT INCOME FUND
Schedule of investments (unaudited) (cont’d) | February 29, 2024 |
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.
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
25 |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Ultra-Short 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. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Trustees. When determining the reliability of third
26 | Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
Notes to Schedule of Investments (unaudited) (continued)
party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
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) |
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
27 |
Notes to Schedule of Investments (unaudited) (continued)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:
ASSETS | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Long-Term Investments†: | ||||||||||||||||
Corporate Bonds & Notes | — | $ | 230,301,133 | — | $ | 230,301,133 | ||||||||||
Asset-Backed Securities | — | 64,068,705 | — | 64,068,705 | ||||||||||||
Collateralized Mortgage Obligations | — | 61,202,357 | — | 61,202,357 | ||||||||||||
Mortgage-Backed Securities | — | 24,636,108 | — | 24,636,108 | ||||||||||||
Senior Loans | — | 7,996,585 | — | 7,996,585 | ||||||||||||
U.S. Government & Agency Obligations | — | 1,867,040 | — | 1,867,040 | ||||||||||||
Purchased Options | $ | 201,458 | — | — | 201,458 | |||||||||||
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Total Long-Term Investments | 201,458 | 390,071,928 | — | 390,273,386 | ||||||||||||
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Short-Term Investments†: | ||||||||||||||||
Commercial Paper | — | 22,267,441 | — | 22,267,441 | ||||||||||||
Certificates of Deposit | — | 3,001,110 | — | 3,001,110 | ||||||||||||
U.S. Treasury Bills | — | 2,480,567 | — | 2,480,567 | ||||||||||||
Money Market Funds | 12,113,088 | — | — | 12,113,088 | ||||||||||||
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| |||||||||
Total Short-Term Investments | 12,113,088 | 27,749,118 | — | 39,862,206 | ||||||||||||
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| |||||||||
Total Investments | $ | 12,314,546 | $ | 417,821,046 | — | $ | 430,135,592 | |||||||||
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Other Financial Instruments: | ||||||||||||||||
Futures Contracts†† | $ | 22,967 | — | — | $ | 22,967 | ||||||||||
Centrally Cleared Interest Rate Swaps†† | — | $ | 405,911 | — | 405,911 | |||||||||||
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Total Other Financial Instruments | $ | 22,967 | $ | 405,911 | — | $ | 428,878 | |||||||||
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| |||||||||
Total | $ | 12,337,513 | $ | 418,226,957 | — | $ | 430,564,470 | |||||||||
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28 | Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
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: | ||||||||||||||||
Written Options | $ | 128,552 | — | — | $ | 128,552 | ||||||||||
Futures Contracts†† | 404,081 | — | — | 404,081 | ||||||||||||
Centrally Cleared Interest Rate Swaps†† | — | $ | 292,799 | — | 292,799 | |||||||||||
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Total | $ | 532,633 | $ | 292,799 | — | $ | 825,432 | |||||||||
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† | See Schedule of Investments for additional detailed categorizations. |
†† | Reflects the unrealized appreciation (depreciation) of the instruments. |
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 February 29, 2024. The following transactions were effected in such company for the period ended February 29, 2024.
Affiliate Value at May 31, 2023 | Purchased | Sold | ||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares | — | $ | 179,460,429 | 179,460,429 | $ | 167,347,341 | 167,347,341 |
(cont’d) | Realized Gain (Loss) | Dividend Income | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at February 29, 2024 | ||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares | — | $ | 856,849 | — | $ | 12,113,088 |
Western Asset Ultra-Short Income Fund 2024 Quarterly Report |
29 |