UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-06110
Western Asset Funds, Inc.
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 49th Floor, New York, NY 10018
(Address of principal executive offices) (Zip code)
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant’s telephone number, including area code:1-877-721-1926
Date of fiscal year end: October 31
Date of reporting period: April 30, 2019
ITEM 1. | REPORT TO STOCKHOLDERS. |
TheSemi-Annual Report to Stockholders is filed herewith.
Semi-Annual Report | April 30, 2019 |
WESTERN ASSET
MACRO OPPORTUNITIES
FUND
Beginning in April 2021, as permitted by regulations adopted by the Securities and Exchange Commission, the Fund intends to no longer mail paper copies of the Fund’s shareholder reports like this one, unless you specifically request paper copies of the reports from the Fund or from your Service Agent or financial intermediary (such as a broker-dealer or bank). Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically(“e-delivery”), you will not be affected by this change and you need not take any action. If you have not already electede-delivery, you may elect to receive shareholder reports and other communications from the Fund electronically by contacting your Service Agent or, if you are a direct shareholder with the Fund, by calling1-877-721-1926.
You may elect to receive all future reports in paper free of charge. If you invest through a Service Agent, you can contact your Service Agent to request that you continue to receive paper copies of your shareholder reports. That election will apply to all Legg Mason funds held in your account at that Service Agent. If you are a direct shareholder with the Fund, you can call the Fund at1-877-721-1926, or write to the Fund by regular mail at Legg Mason Funds, P.O. Box 9699, Providence, RI 02940-9699 or by express, certified or registered mail to Legg Mason Funds, 4400 Computer Drive, Westborough, MA 01581 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. That election will apply to all Legg Mason Funds held in your account held directly with the fund complex.
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE |
Fund objective
The Fund seeks to maximize total return.
Dear Shareholder,
We are pleased to provide the semi-annual report of Western Asset Macro Opportunities Fund for thesix-month reporting period ended April 30, 2019. Please read on for Fund performance information and a detailed look at prevailing economic and market conditions during the Fund’s reporting period.
As always, we remain committed to providing you with excellent service and a full spectrum of investment choices. We also remain committed to supplementing the support you receive from your financial advisor. One way we accomplish this is through our website, www.leggmason.com. Here you can gain immediate access to market and investment information, including:
• | Fund prices and performance, |
• | Market insights and commentaries from our portfolio managers, and |
• | A host of educational resources. |
We look forward to helping you meet your financial goals.
Sincerely,
Jane Trust, CFA
President and Chief Executive Officer
May 31, 2019
II | Western Asset Macro Opportunities Fund |
Economic review
Economic activity in the U.S. was mixed during the six months ended April 30, 2019 (the “reporting period”). Looking back, the U.S. Department of Commerce reported that third quarter 2018 U.S. gross domestic product (“GDP”)i growth was 3.4%. Fourth quarter 2018 GDP growth then moderated to 2.2%. Finally, the U.S. Department of Commerce’s second reading for first quarter 2019 GDP growth, released after the reporting period ended, was 3.1%. The acceleration in GDP growth during the first quarter of 2019 was attributed to an upturn in state and local government spending, increases in private inventory investment and exports, and a smaller decrease in residential investment. These movements were partly offset by decelerations in personal consumption expenditures and nonresidential fixed investment, along with a downturn in federal government spending. Imports also turned down.
Job growth in the U.S. was solid overall and was a tailwind for the economy during the reporting period. As reported by the U.S. Department of Labor, when the reporting period ended on April 30, 2019, the unemployment rate was 3.6%, versus 3.7% when the period began. April 2019’s reading was the lowest reading since December 1969. However, the percentage of longer-term unemployed moved higher during the reporting period. In April 2019, 21.1% of Americans looking for a job had been out of work for more than six months, versus 20.8% when the period began.
Turning to the global economy, in its April 2019World Economic Outlook Update, the International Monetary Fund (“IMF”)ii said, “After strong growth in 2017 and early 2018, global economic activity slowed notably in the second half of last year, reflecting a confluence of factors affecting major economies. China’s growth declined following a combination of needed regulatory tightening to rein in shadow banking and an increase in trade tensions with the United States. The euro area economy lost more momentum than expected as consumer and business confidence weakened and car production in Germany was disrupted by the introduction of new emission standards; investment dropped in Italy as sovereign spreads widened; and external demand, especially from emerging Asia, softened. Elsewhere, natural disasters hurt activity in Japan. Trade tensions increasingly took a toll on business confidence and, so, financial market sentiment worsened, with financial conditions tightening for vulnerable emerging markets in the spring of 2018 and then in advanced economies later in the year, weighing on global demand. Conditions have eased in 2019 as the US Federal Reserve signaled a more accommodative monetary policy stance and markets became more optimistic about a US–China trade deal, but they remain slightly more restrictive than in the fall [of 2018].” From a regional perspective, the IMF projects 2019 growth in the Eurozone will be 1.3%, versus 1.8% in 2018. Japan’s economy is expected to expand 1.0% in 2019, compared to 0.8% in 2018. Elsewhere, the IMF projects that overall growth in emerging market countries will decelerate to 4.4% in 2019, versus 4.5% in 2018.
Western Asset Macro Opportunities Fund | III |
Investment commentary (cont’d)
Market review
Q. How did the Federal Reserve Board (the “Fed”)iii respond to the economic environment?
A. The Fed continued tightening its monetary policy, as it raised interest rates once during the reporting period and further reduced its balance sheet. As widely expected, the Fed raised the federal funds rateiv at its meeting that ended on December 19, 2018, to a range between 2.25% and 2.50%. This represented the Fed’s fourth rate hike in 2018. However, at its meeting that concluded on January 30, 2019, the Fed kept interest rates on hold and said, “In light of global economic and financial developments and muted inflation pressures, the Committee will be patient as it determines what future adjustments to the target range for the federal funds rate may be appropriate….” Finally, at its meeting that concluded on March 20, 2019, most Federal Open Market Committee (“FOMC”)v members indicated that they did not feel additional rate hikes would be needed in 2019.
Q. What actions did international central banks take during the reporting period?
A. Central banks outside the U.S. generally pursued accommodative monetary policies during the reporting period. Looking back, in December 2018, the European Central Bank (“ECB”)vi ended its bond buying program and said that it did not anticipate raising interest rates “at least through the summer of 2019”. However, in March 2019, the ECB said it didn’t expect to raise rates “at least through the end of 2019.” In other developed countries, the Bank of Englandvii kept rates on hold at 0.75% throughout the reporting period. After holding rates steady at 0.10% for more than five years, in January 2016, the Bank of Japanviii announced that it cut the rate on current accounts that commercial banks hold with it to-0.10% and kept rates on hold during the reporting period. Elsewhere, the People’s Bank of Chinaix kept rates steady at 4.35% during the reporting period.
Q. Did Treasury yields trend higher or lower during the reporting period?
A. Both short-term and longer-term U.S. Treasury yields declined during thesix-month reporting period ended April 30, 2019. The yield for thetwo-year Treasury note began the reporting period at 2.87% and ended the period at 2.27%. The low for the period of 2.22% took place on March 27, 2019, and the peak for the period of 2.98% occurred on November 8, 2018. The yield for theten-year Treasury began the reporting period at 3.15% and ended the period at 2.51%. The low for the period of 2.39% took place on March 27, 2019, and the high for the period of 3.24% took place on November 8, 2018.
Q. What factors impacted the spread sectors(non-Treasuries) during the reporting period?
A. The spread sectors posted positive absolute returns during the reporting period. Performance fluctuated given changing expectations for global growth, central bank monetary policy adjustments, concerns over the trade conflict between the U.S. and China, and periods of investor risk aversion. All told, the broad U.S. bond market, as measured by the Bloomberg Barclays U.S. Aggregate Indexx, returned 5.49% during thesix-month reporting period ended April 30, 2019.
IV | Western Asset Macro Opportunities Fund |
Q. How did the high-yield bond market perform over the reporting period?
A.The U.S. high-yield bond market, as measured by the Bloomberg Barclays U.S. Corporate High Yield — 2% Issuer Cap Indexxi, returned 5.54% for the six months ended April 30, 2019. The high-yield market posted weak results over the first two months of the reporting period as investor risk aversion was elevated and there were concerns that Fed rate hikes might negatively impact the economic expansion. However, the high-yield market then rallied over the last four months of the period. This turnaround was driven by corporate earnings that were strong overall, the Fed’s intention to not raise interest rates in 2019 and robust investor demand.
Q. How did the emerging market debt asset class perform over the reporting period?
A. The JPMorgan Emerging Markets Bond Index Global (“EMBI Global”)xii returned 7.86% during the six months ended April 30, 2019. The asset class modestly declined during the first month of the reporting period, due to rising U.S. interest rates and investor risk aversion. The asset class rallied sharply over the last five months of the period. Investor sentiment for the asset class improved as the Fed announced an end to rate hikes in 2019, the U.S. dollar weakened at times and U.S. interest rates declined.
Performance review
For the six months ended April 30, 2019, Class A shares of Western Asset Macro Opportunities Fund, excluding sales charges, returned 10.17%. The Fund’s unmanaged benchmark the ICE BofAML USD LIBOR3-Month Constant Maturity Indexxiii returned 1.34% for the same period. The Lipper Alternative Credit Focus Funds Category Averagexiv returned 2.94% over the same time frame.
Performance Snapshotas of April 30, 2019 (unaudited) | ||||
(excluding sales charges) | 6 months | |||
Western Asset Macro Opportunities Fund: | ||||
Class A | 10.17 | % | ||
Class A2 | 10.10 | % | ||
Class C | 9.77 | % | ||
Class FI | 10.22 | % | ||
Class I | 10.34 | % | ||
Class IS | 10.44 | % | ||
ICE BofAML USD LIBOR3-Month Constant Maturity Index | 1.34 | % | ||
Lipper Alternative Credit Focus Funds Category Average | 2.94 | % |
The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above. Principal value, investment returns and yields will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recentmonth-end, please visit our website at www.leggmason.com/mutualfunds.
All share class returns assume the reinvestment of all distributions, including returns of capital, if any, at net asset value and the deduction of all Fund expenses. Returns have not been adjusted to include sales charges that may apply or the deduction of taxes that a shareholder would pay on Fund distributions. If sales charges were reflected, the performance quoted would be lower. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.
Fund performance figures reflect fee waivers and/or expense reimbursements, without which the performance would have been lower.
Western Asset Macro Opportunities Fund | V |
Investment commentary (cont’d)
The30-Day SEC Yields for the period ended April 30, 2019 for Class A, Class A2, Class C, Class FI, Class I and Class IS shares were 3.48%, 3.46%, 2.92%, 3.62%, 3.92% and 4.01%, respectively. The30-Day SEC Yield, calculated pursuant to the standard SEC formula, is based on a Fund’s investments over an annualized trailing30-day period, and not on the distributions paid by the Fund, which may differ.
Total Annual Operating Expenses(unaudited) |
As of the Fund’s current prospectus dated March 1, 2019 the gross total annual fund operating expense ratios for Class A, Class A2, Class C, Class FI, Class I and Class IS shares were 1.59%, 1.58%, 2.29%, 1.65%, 1.30% and 1.21%, respectively.
Actual expenses may be higher. For example, expenses may be higher than those shown if average net assets decrease. Net assets are more likely to decrease and Fund expense ratios are more likely to increase when markets are volatile.
As always, thank you for your confidence in our stewardship of your assets.
Sincerely,
Jane Trust, CFA
President and Chief Executive Officer
May 31, 2019
RISKS: Fixed-income securities involve interest rate, credit, inflation and reinvestment risks. As interest rates rise, the value of fixed-income securities falls. High-yield (“junk”) bonds possess greater price volatility, illiquidity and possibility of default. Asset-backed, mortgage-backed or mortgage related securities are subject to prepayment and extension risks. International investments are subject to special risks, including currency fluctuations, as well as social, economic and political uncertainties, which could increase volatility. These risks are magnified in emerging markets. Derivatives, such as options and futures, can be illiquid, may disproportionately increase losses and have a potentially large impact on Fund performance. The Fund may use derivatives to a significant extent, which could result in substantial losses and greater volatility in the Fund’s net assets. Potential active and frequent trading may result in higher transaction costs and increased investor liability. The use of leverage may increase volatility and the possibility of loss. The manager’s investment style may become out of favor and/or the manager’s selection process may prove incorrect; which may have a negative impact on the Fund’s performance. The Fund isnon-diversified and may invest its assets in a limited number of issuers or strategies. Please see the Fund’s prospectus for a more complete discussion of these and other risks and the Fund’s investment strategies.
All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.
The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may differ from those of the firm as a whole. Forecasts and predictions are inherently limited and should not be relied upon as an indication of actual or future performance.
VI | Western Asset Macro Opportunities Fund |
i | Gross domestic product (“GDP”) is the market value of all final goods and services produced within a country in a given period of time. |
ii | The International Monetary Fund (“IMF”) is an organization of 189 countries, working to foster global monetary cooperation, secure financial stability, facilitate international trade, promote high employment and sustainable economic growth, and reduce poverty around the world. |
iii | The Federal Reserve Board (the “Fed”) is responsible for the formulation of U.S. policies designed to promote economic growth, full employment, stable prices and a sustainable pattern of international trade and payments. |
iv | The federal funds rate is the rate charged by one depository institution on an overnight sale of immediately available funds (balances at the Federal Reserve) to another depository institution; the rate may vary from depository institution to depository institution and from day to day. |
v | The Federal Open Market Committee (“FOMC”) is a policy-making body of the Federal Reserve System responsible for the formulation of a policy designed to promote economic growth, full employment, stable prices and a sustainable pattern of international trade and payments. |
vi | The European Central Bank (“ECB”) is responsible for the monetary system of the European Union and the euro currency. |
vii | The Bank of England (“BoE”), formally the Governor and Company of the BoE, is the central bank of the United Kingdom. The BoE’s purpose is to maintain monetary and financial stability. |
viii | The Bank of Japan is the central bank of Japan. The bank is responsible for issuing and handling currency and treasury securities, implementing monetary policy, maintaining the stability of the Japanese financial system and the yen currency. |
ix | The People’s Bank of China is the central bank of the People’s Republic of China with the power to carry out monetary policy and regulate financial institutions in mainland China. |
x | The Bloomberg Barclays U.S. Aggregate Index is a broad-based bond index comprised of government, corporate, mortgage- and asset-backed issues, rated investment grade or higher, and having at least one year to maturity. |
xi | The Bloomberg Barclays U.S. Corporate High Yield — 2% Issuer Cap Index is an index of the 2% Issuer Cap component of the Bloomberg Barclays U.S. Corporate High Yield Index, which covers the U.S. dollar-denominated,non-investment grade, fixed-rate, taxable corporate bond market. |
xii | The JPMorgan Emerging Markets Bond Index Global (“EMBI Global”) tracks total returns for U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds and local market instruments. |
xiii | The ICE BofAML USD LIBOR3-Month Constant Maturity is based on the assumed purchase of a synthetic instrument having three months to maturity and with a coupon equal to the closing quote for three-month LIBOR. That issue is sold the following day (priced at a yield equal to the current day closing three-month LIBOR rate) and is rolled into a new three-month instrument. The index, therefore, will always have a constant maturity equal to exactly three months. |
xiv | Lipper, Inc., a wholly-owned subsidiary of Reuters, provides independent insight on global collective investments. Returns are based on thesix-month period ended April 30, 2019 including the reinvestment of all distributions, including returns of capital, if any, calculated among the 234 funds in the Fund’s Lipper category, and excluding sales charges, if any. |
Western Asset Macro Opportunities Fund | VII |
Investment breakdown(%) as a percent of total investments
† | The bar graph above represents the composition of the Fund’s investments as of April 30, 2019 and October 31, 2018 and does not include derivatives such as written options, futures contracts, forward foreign currency contracts and swap contracts. The Fund is actively managed. As a result, the composition of the Fund’s investments is subject to change at any time. |
‡ | Represents less than 0.1%. |
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 1 |
Example
As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, includingfront-end andback-end sales charges (loads) on purchase payments; and (2) ongoing costs, including management fees; service and/or distribution(12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested on November 1, 2018 and held for the six months ended April 30, 2019.
Actual expenses
The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account, divide your ending account value by $1,000 (for example, an $8,600 ending account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.
Hypothetical example for comparison purposes
The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5.00% hypothetical example relating to the Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs, such asfront-end orback-end sales charges (loads). Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Based on actual total return1 | Based on hypothetical total return1 | |||||||||||||||||||||||||||||||||||||||||||||
Actual Total Return Without Sales Charge2 | Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period3 | Hypothetical Annualized Total Return | Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period3 | |||||||||||||||||||||||||||||||||||||
Class A | 10.17 | % | $ | 1,000.00 | $ | 1,101.70 | 1.59 | % | $ | 8.29 | Class A | 5.00 | % | $ | 1,000.00 | $ | 1,016.91 | 1.59 | % | $ | 7.95 | |||||||||||||||||||||||||
Class A2 | 10.10 | 1,000.00 | 1,101.00 | 1.60 | 8.33 | Class A2 | 5.00 | 1,000.00 | 1,016.86 | 1.60 | 8.00 | |||||||||||||||||||||||||||||||||||
Class C | 9.77 | 1,000.00 | 1,097.70 | 2.30 | 11.96 | Class C | 5.00 | 1,000.00 | 1,013.39 | 2.30 | 11.48 | |||||||||||||||||||||||||||||||||||
Class FI | 10.22 | 1,000.00 | 1,102.20 | 1.60 | 8.34 | Class FI | 5.00 | 1,000.00 | 1,016.86 | 1.60 | 8.00 | |||||||||||||||||||||||||||||||||||
Class I | 10.34 | 1,000.00 | 1,103.40 | 1.31 | 6.83 | Class I | 5.00 | 1,000.00 | 1,018.30 | 1.31 | 6.56 | |||||||||||||||||||||||||||||||||||
Class IS | 10.44 | 1,000.00 | 1,104.40 | 1.21 | 6.31 | Class IS | 5.00 | 1,000.00 | 1,018.79 | 1.21 | 6.06 |
2 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
1 | For the six months ended April 30, 2019. |
2 | Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value and does not reflect the deduction of the applicable sales charge with respect to Class A and Class A2 shares or the applicable contingent deferred sales charge (“CDSC”) with respect to Class C shares. Total return is not annualized, as it may not be representative of the total return for the year. Performance figures may reflect compensating balance arrangements and/or expense reimbursements. In the absence of compensating balance arrangements and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. |
3 | Expenses (net of compensating balance arrangements and/or expense reimbursements) are equal to each class’ respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365. |
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 3 |
Economic exposure — April 30, 2019
Spread duration measures the sensitivity to changes in spreads. The spread over Treasuries is the annual risk-premium demanded by investors to holdnon-Treasury securities. Spread duration is quantified as the % change in price resulting from a 100 basis points change in spreads. For a security with positive spread duration, an increase in spreads would result in a price decline and a decline in spreads would result in a price increase. This chart highlights the market sector exposure of the Fund’s sectors relative to the selected benchmark sectors as of the end of the reporting period.
ABS | — Asset-Backed Securities | |
EM | — Emerging Markets | |
HY | — High Yield | |
IG Credit | — Investment Grade Credit | |
MBS | — Mortgage-Backed Securities | |
WAMO | — Western Asset Macro Opportunities Fund | |
Benchmark | — ICE BofAML USD LIBOR3-Month Constant Maturity Index |
4 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Interest rate exposure — April 30, 2019
Effective duration measures the sensitivity to changes in relevant interest rates. Effective duration is quantified as the % change in price resulting from a 100 basis points change in interest rates. For a security with positive effective duration, an increase in interest rates would result in a price decline and a decline in interest rates would result in a price increase. This chart highlights the interest rate exposure of the Fund’s sectors relative to the selected benchmark sectors as of the end of the reporting period.
ABS | — Asset-Backed Securities | |
EM | — Emerging Markets | |
HY | — High Yield | |
IG Credit | — Investment Grade Credit | |
MBS | — Mortgage-Backed Securities | |
WAMO | — Western Asset Macro Opportunities Fund | |
Benchmark | — ICE BofAML USD LIBOR3-Month Constant Maturity Index |
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 5 |
Schedule of investments(unaudited)
April 30, 2019
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Corporate Bonds & Notes — 33.4% | ||||||||||||||||
Communication Services — 2.1% | ||||||||||||||||
Diversified Telecommunication Services — 0.2% | ||||||||||||||||
Level 3 Financing Inc., Senior Notes | 6.125 | % | 1/15/21 | 480,000 | $ | 483,000 | ||||||||||
Telecom Italia SpA, Senior Notes | 5.303 | % | 5/30/24 | 480,000 | 480,000 | (a) | ||||||||||
Verizon Communications Inc., Senior Notes | 4.500 | % | 8/10/33 | 180,000 | 193,322 | |||||||||||
Verizon Communications Inc., Senior Notes | 4.125 | % | 8/15/46 | 1,470,000 | 1,458,583 | |||||||||||
Total Diversified Telecommunication Services | 2,614,905 | |||||||||||||||
Media — 1.6% | ||||||||||||||||
Altice France SA, Senior Secured Notes | 7.375 | % | 5/1/26 | 870,000 | 883,594 | (a) | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 5.375 | % | 5/1/25 | 290,000 | 300,875 | (a) | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.200 | % | 3/15/28 | 4,300,000 | 4,307,094 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 5.050 | % | 3/30/29 | 640,000 | 678,253 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 5.375 | % | 4/1/38 | 1,000,000 | 1,028,304 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 6.834 | % | 10/23/55 | 2,610,000 | 2,948,216 | |||||||||||
Comcast Corp., Senior Notes | 4.150 | % | 10/15/28 | 640,000 | 677,960 | |||||||||||
Comcast Corp., Senior Notes | 4.700 | % | 10/15/48 | 5,150,000 | 5,603,560 | |||||||||||
DISH DBS Corp., Senior Notes | 5.875 | % | 11/15/24 | 710,000 | 615,038 | |||||||||||
Fox Corp., Senior Notes | 4.709 | % | 1/25/29 | 2,110,000 | 2,271,951 | (a) | ||||||||||
Fox Corp., Senior Notes | 5.476 | % | 1/25/39 | 590,000 | 658,151 | (a) | ||||||||||
Myriad International Holdings BV, Senior Notes | 4.850 | % | 7/6/27 | 1,850,000 | 1,931,450 | (a) | ||||||||||
Time Warner Cable LLC, Senior Secured Notes | 7.300 | % | 7/1/38 | 190,000 | 222,502 | |||||||||||
Virgin Media Secured Finance PLC, Senior Secured Notes | 5.250 | % | 1/15/26 | 300,000 | 306,288 | (a) | ||||||||||
Total Media | 22,433,236 | |||||||||||||||
Wireless Telecommunication Services — 0.3% | ||||||||||||||||
CSC Holdings LLC, Senior Notes | 6.500 | % | 2/1/29 | 960,000 | 1,032,600 | (a) | ||||||||||
Sprint Capital Corp., Senior Notes | 8.750 | % | 3/15/32 | 20,000 | 21,050 | |||||||||||
Sprint Corp., Senior Notes | 7.625 | % | 2/15/25 | 300,000 | 303,750 | |||||||||||
Vodafone Group PLC, Senior Notes | 4.375 | % | 5/30/28 | 2,510,000 | 2,586,930 | |||||||||||
Total Wireless Telecommunication Services | 3,944,330 | |||||||||||||||
Total Communication Services | 28,992,471 | |||||||||||||||
Consumer Discretionary — 1.4% | ||||||||||||||||
Diversified Consumer Services — 0.1% | ||||||||||||||||
Wesleyan University, Senior Notes | 4.781 | % | 7/1/2116 | 580,000 | 597,478 | |||||||||||
Hotels, Restaurants & Leisure — 0.2% | ||||||||||||||||
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes | 4.250 | % | 5/15/24 | 470,000 | 464,125 | (a) |
See Notes to Financial Statements.
6 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Hotels, Restaurants & Leisure — continued | ||||||||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Senior Notes | 4.875 | % | 4/1/27 | 950,000 | $ | 966,625 | ||||||||||
Sands China Ltd., Senior Notes | 4.600 | % | 8/8/23 | 540,000 | 558,507 | |||||||||||
Sands China Ltd., Senior Notes | 5.125 | % | 8/8/25 | 760,000 | 802,839 | |||||||||||
Total Hotels, Restaurants & Leisure | 2,792,096 | |||||||||||||||
Internet & Direct Marketing Retail — 1.1% | ||||||||||||||||
Amazon.com Inc., Senior Notes | 4.950 | % | 12/5/44 | 350,000 | 413,626 | |||||||||||
Amazon.com Inc., Senior Notes | 4.050 | % | 8/22/47 | 6,100,000 | 6,364,869 | |||||||||||
Amazon.com Inc., Senior Notes | 4.250 | % | 8/22/57 | 8,520,000 | 9,028,952 | |||||||||||
Total Internet & Direct Marketing Retail | 15,807,447 | |||||||||||||||
Total Consumer Discretionary | 19,197,021 | |||||||||||||||
Consumer Staples — 2.1% | ||||||||||||||||
Beverages — 1.0% | ||||||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes | 3.650 | % | 2/1/26 | 2,770,000 | 2,781,381 | (a) | ||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.900 | % | 2/1/46 | 310,000 | 315,099 | (a) | ||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.000 | % | 4/13/28 | 1,000,000 | 1,020,792 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.600 | % | 4/15/48 | 1,050,000 | 1,026,668 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 5.550 | % | 1/23/49 | 6,560,000 | 7,297,640 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 5.800 | % | 1/23/59 | 470,000 | 535,458 | |||||||||||
Constellation Brands Inc., Senior Notes | 4.750 | % | 11/15/24 | 160,000 | 171,481 | |||||||||||
Cott Holdings Inc., Senior Notes | 5.500 | % | 4/1/25 | 390,000 | 396,337 | (a) | ||||||||||
Pernod Ricard SA, Senior Notes | 5.500 | % | 1/15/42 | 920,000 | 1,051,515 | (a) | ||||||||||
Total Beverages | 14,596,371 | |||||||||||||||
Food Products — 0.2% | ||||||||||||||||
Kraft Heinz Foods Co., Senior Notes | 4.125 | % | 7/1/27 | 2,140,000 | GBP | 2,972,132 | (b) | |||||||||
Lamb Weston Holdings Inc., Senior Notes | 4.875 | % | 11/1/26 | 320,000 | 326,400 | (a) | ||||||||||
Total Food Products | 3,298,532 | |||||||||||||||
Tobacco — 0.9% | ||||||||||||||||
Altria Group Inc., Senior Notes | 4.400 | % | 2/14/26 | 800,000 | 827,000 | |||||||||||
Altria Group Inc., Senior Notes | 4.800 | % | 2/14/29 | 1,940,000 | 2,017,569 | |||||||||||
Altria Group Inc., Senior Notes | 5.800 | % | 2/14/39 | 1,120,000 | 1,200,170 | |||||||||||
Altria Group Inc., Senior Notes | 5.950 | % | 2/14/49 | 60,000 | 64,963 | |||||||||||
Altria Group Inc., Senior Notes | 6.200 | % | 2/14/59 | 2,830,000 | 3,080,366 | |||||||||||
BAT Capital Corp., Senior Notes | 3.557 | % | 8/15/27 | 3,020,000 | 2,877,868 | |||||||||||
BAT Capital Corp., Senior Notes | 4.540 | % | 8/15/47 | 2,030,000 | 1,815,969 |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 7 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Tobacco — continued | ||||||||||||||||
Reynolds American Inc., Senior Notes | 6.150 | % | 9/15/43 | 200,000 | $ | 211,328 | ||||||||||
Total Tobacco | 12,095,233 | |||||||||||||||
Total Consumer Staples | 29,990,136 | |||||||||||||||
Energy — 5.6% | ||||||||||||||||
Energy Equipment & Services — 0.2% | ||||||||||||||||
Halliburton Co., Senior Notes | 3.800 | % | 11/15/25 | 970,000 | 993,083 | |||||||||||
Halliburton Co., Senior Notes | 4.850 | % | 11/15/35 | 1,250,000 | 1,312,007 | |||||||||||
KCA Deutag UK Finance PLC, Senior Secured Notes | 9.875 | % | 4/1/22 | 1,160,000 | 1,015,000 | (a) | ||||||||||
Total Energy Equipment & Services | 3,320,090 | |||||||||||||||
Oil, Gas & Consumable Fuels — 5.4% | ||||||||||||||||
Anadarko Petroleum Corp., Senior Notes | 5.550 | % | 3/15/26 | 920,000 | 1,035,802 | |||||||||||
Anadarko Petroleum Corp., Senior Notes | 6.200 | % | 3/15/40 | 980,000 | 1,210,378 | |||||||||||
Anadarko Petroleum Corp., Senior Notes | 4.500 | % | 7/15/44 | 1,010,000 | 1,030,903 | |||||||||||
Anadarko Petroleum Corp., Senior Notes | 6.600 | % | 3/15/46 | 650,000 | 877,939 | |||||||||||
Apache Corp., Senior Notes | 4.375 | % | 10/15/28 | 200,000 | 203,579 | |||||||||||
Apache Corp., Senior Notes | 5.100 | % | 9/1/40 | 4,160,000 | 4,156,520 | |||||||||||
Apache Corp., Senior Notes | 4.750 | % | 4/15/43 | 1,260,000 | 1,209,896 | |||||||||||
Apache Corp., Senior Notes | 4.250 | % | 1/15/44 | 1,800,000 | 1,621,780 | |||||||||||
Berry Petroleum Co. Escrow | — | — | 440,000 | 0 | *(c)(d)(e) | |||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes | 6.125 | % | 11/15/22 | 1,170,000 | 1,187,550 | (a) | ||||||||||
Cheniere Corpus Christi Holdings LLC, Senior Secured Notes | 5.125 | % | 6/30/27 | 380,000 | 397,100 | |||||||||||
Chesapeake Energy Corp., Senior Notes | 6.125 | % | 2/15/21 | 130,000 | 133,900 | |||||||||||
Chesapeake Energy Corp., Senior Notes | 8.000 | % | 6/15/27 | 830,000 | 815,705 | |||||||||||
Cimarex Energy Co., Senior Notes | 3.900 | % | 5/15/27 | 1,710,000 | 1,714,176 | |||||||||||
Concho Resources Inc., Senior Notes | 4.300 | % | 8/15/28 | 1,370,000 | 1,428,809 | |||||||||||
Continental Resources Inc., Senior Notes | 4.375 | % | 1/15/28 | 90,000 | 92,524 | |||||||||||
Continental Resources Inc., Senior Notes | 4.900 | % | 6/1/44 | 1,490,000 | 1,518,437 | |||||||||||
DCP Midstream Operating LP, Senior Notes | 6.750 | % | 9/15/37 | 900,000 | 942,750 | (a) | ||||||||||
Devon Energy Corp., Senior Notes | 5.850 | % | 12/15/25 | 1,950,000 | 2,216,900 | |||||||||||
Devon Energy Corp., Senior Notes | 5.600 | % | 7/15/41 | 30,000 | 33,264 | |||||||||||
Devon Energy Corp., Senior Notes | 4.750 | % | 5/15/42 | 30,000 | 30,052 | |||||||||||
Devon Energy Corp., Senior Notes | 5.000 | % | 6/15/45 | 840,000 | 872,356 | |||||||||||
Ecopetrol SA, Senior Notes | 5.875 | % | 9/18/23 | 2,310,000 | 2,522,751 | |||||||||||
Ecopetrol SA, Senior Notes | 4.125 | % | 1/16/25 | 2,600,000 | 2,626,000 | |||||||||||
Ecopetrol SA, Senior Notes | 5.375 | % | 6/26/26 | 2,470,000 | 2,649,199 | |||||||||||
Ecopetrol SA, Senior Notes | 5.875 | % | 5/28/45 | 1,902,000 | 1,968,665 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 4.150 | % | 10/16/28 | 260,000 | 273,958 |
See Notes to Financial Statements.
8 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Oil, Gas & Consumable Fuels — continued | ||||||||||||||||
Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. USD LIBOR + 2.570%) | 5.375 | % | 2/15/78 | 780,000 | $ | 726,012 | (f) | |||||||||
Exxon Mobil Corp., Senior Notes | 4.114 | % | 3/1/46 | 1,210,000 | 1,290,042 | |||||||||||
Kerr-McGee Corp., Senior Notes | 6.950 | % | 7/1/24 | 1,040,000 | 1,227,802 | |||||||||||
Kinder Morgan Energy Partners LP, Senior Notes | 3.500 | % | 9/1/23 | 540,000 | 546,662 | |||||||||||
Kinder Morgan Energy Partners LP, Senior Notes | 4.250 | % | 9/1/24 | 540,000 | 563,432 | |||||||||||
Kinder Morgan Inc., Senior Notes | 5.300 | % | 12/1/34 | 390,000 | 426,020 | |||||||||||
Magnum Hunter Resources Corp. Escrow | — | — | 1,610,000 | 0 | *(c)(d)(e) | |||||||||||
MEG Energy Corp., Secured Notes | 6.500 | % | 1/15/25 | 290,000 | 292,538 | (a) | ||||||||||
MEG Energy Corp., Senior Notes | 6.375 | % | 1/30/23 | 460,000 | 436,425 | (a) | ||||||||||
MEG Energy Corp., Senior Notes | 7.000 | % | 3/31/24 | 410,000 | 390,398 | (a) | ||||||||||
MPLX LP, Senior Notes | 4.875 | % | 12/1/24 | 1,060,000 | 1,132,438 | |||||||||||
MPLX LP, Senior Notes | 4.875 | % | 6/1/25 | 500,000 | 532,809 | |||||||||||
MPLX LP, Senior Notes | 4.800 | % | 2/15/29 | 870,000 | 925,678 | |||||||||||
MPLX LP, Senior Notes | 5.200 | % | 3/1/47 | 1,410,000 | 1,454,535 | |||||||||||
MPLX LP, Senior Notes | 4.700 | % | 4/15/48 | 1,210,000 | 1,168,821 | |||||||||||
MPLX LP, Senior Notes | 5.500 | % | 2/15/49 | 1,310,000 | 1,416,357 | |||||||||||
Noble Energy Inc., Senior Notes | 3.850 | % | 1/15/28 | 1,580,000 | 1,575,829 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 4.625 | % | 6/15/45 | 550,000 | 563,586 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 4.400 | % | 4/15/46 | 130,000 | 131,181 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 4.100 | % | 2/15/47 | 920,000 | 884,419 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 4.200 | % | 3/15/48 | 210,000 | 205,107 | |||||||||||
Petrobras Global Finance BV, Senior Notes | 7.375 | % | 1/17/27 | 2,450,000 | 2,738,610 | |||||||||||
Petrobras Global Finance BV, Senior Notes | 5.999 | % | 1/27/28 | 4,230,000 | 4,341,037 | |||||||||||
Petrobras Global Finance BV, Senior Notes | 6.850 | % | 6/5/2115 | 2,610,000 | 2,562,681 | |||||||||||
Petroleos Mexicanos, Senior Notes | 6.375 | % | 1/23/45 | 3,050,000 | 2,731,732 | |||||||||||
Range Resources Corp., Senior Notes | 5.875 | % | 7/1/22 | 280,000 | 284,550 | |||||||||||
Range Resources Corp., Senior Notes | 5.000 | % | 3/15/23 | 200,000 | 195,326 | |||||||||||
Range Resources Corp., Senior Notes | 4.875 | % | 5/15/25 | 590,000 | 545,750 | |||||||||||
Rockies Express Pipeline LLC, Senior Notes | 6.875 | % | 4/15/40 | 1,180,000 | 1,289,150 | (a) | ||||||||||
Schlumberger Holdings Corp., Senior Notes | 4.000 | % | 12/21/25 | 2,470,000 | 2,544,177 | (a) | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes | 4.250 | % | 11/15/23 | 2,590,000 | 2,593,309 | |||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes | 5.375 | % | 2/1/27 | 40,000 | 40,800 | |||||||||||
Transcontinental Gas Pipe Line Co. LLC, Senior Notes | 7.850 | % | 2/1/26 | 1,950,000 | 2,440,733 | |||||||||||
Williams Cos. Inc., Senior Notes | 7.500 | % | 1/15/31 | 1,570,000 | 1,980,591 | |||||||||||
Williams Cos. Inc., Senior Notes | 8.750 | % | 3/15/32 | 1,140,000 | 1,594,807 |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 9 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Oil, Gas & Consumable Fuels — continued | ||||||||||||||||
WPX Energy Inc., Senior Notes | 8.250 | % | 8/1/23 | 1,210,000 | $ | 1,386,963 | ||||||||||
Total Oil, Gas & Consumable Fuels | 75,931,200 | |||||||||||||||
Total Energy | 79,251,290 | |||||||||||||||
Financials — 16.8% | ||||||||||||||||
Banks — 14.8% | ||||||||||||||||
ABN AMRO Bank NV, Junior Subordinated Notes (5.750% to 9/22/20 then EUR 5 year Swap Rate + 5.452%) | 5.750 | % | 9/22/20 | 4,500,000 | EUR | 5,290,798 | (b)(f)(g) | |||||||||
BAC Capital Trust XIV, Junior Subordinated Notes (the greater of 3 mo. USD LIBOR + 0.400% or 4.000%) | 4.000 | % | 5/16/19 | 1,400,000 | 1,160,481 | (f)(g) | ||||||||||
Banco Bilbao Vizcaya Argentaria SA, Junior Subordinated Notes (8.875% to 4/14/21 then EUR 5 year Swap Rate + 9.177%) | 8.875 | % | 4/14/21 | 5,400,000 | EUR | 6,756,551 | (b)(f)(g) | |||||||||
Banco Mercantil del Norte SA, Junior Subordinated Notes (7.625% to 1/10/28 then 10 year Treasury Constant Maturity Rate + 5.353%) | 7.625 | % | 1/10/28 | 1,830,000 | 1,908,690 | (a)(f)(g) | ||||||||||
Banco Mercantil del Norte SA, Junior Subordinated Notes (6.875% to 7/6/22 then 5 year Treasury Constant Maturity Rate + 5.035%) | 6.875 | % | 7/6/22 | 830,000 | 857,183 | (a)(f)(g) | ||||||||||
Banco Santander SA, Junior Subordinated Notes (6.250% to 9/11/21 then EUR 5 year Swap Rate + 5.640%) | 6.250 | % | 9/11/21 | 3,000,000 | EUR | 3,528,881 | (b)(f)(g) | |||||||||
Banco Santander SA, Senior Notes | 4.379 | % | 4/12/28 | 400,000 | 410,048 | |||||||||||
Bank of America Corp., Junior Subordinated Notes (5.875% to 3/15/28 then 3 mo. USD LIBOR + 2.931%) | 5.875 | % | 3/15/28 | 6,260,000 | 6,474,186 | (f)(g) | ||||||||||
Bank of America Corp., Junior Subordinated Notes (6.100% to 3/17/25 then 3 mo. USD LIBOR + 3.898%) | 6.100 | % | 3/17/25 | 3,810,000 | 4,089,559 | (f)(g) | ||||||||||
Bank of America Corp., Junior Subordinated Notes (6.250% to 9/5/24 then 3 mo. USD LIBOR + 3.705%) | 6.250 | % | 9/5/24 | 1,430,000 | 1,541,740 | (f)(g) | ||||||||||
Bank of America Corp., Subordinated Notes | 4.250 | % | 10/22/26 | 6,170,000 | 6,376,300 | |||||||||||
Barclays Bank PLC, Subordinated Notes | 7.625 | % | 11/21/22 | 410,000 | 447,675 | |||||||||||
Barclays PLC, Junior Subordinated Notes (7.750% to 9/15/23 then USD 5 year ICE Swap Rate + 4.842%) | 7.750 | % | 9/15/23 | 1,780,000 | 1,841,214 | (f)(g) | ||||||||||
Barclays PLC, Junior Subordinated Notes (8.000% to 12/15/20 then EUR 5 year Swap Rate + 6.750%) | 8.000 | % | 12/15/20 | 4,300,000 | EUR | 5,250,752 | (f)(g) | |||||||||
Barclays PLC, Junior Subordinated Notes (8.000% to 6/15/24 then 5 year Treasury Constant Maturity Rate + 5.672%) | 8.000 | % | 6/15/24 | 2,930,000 | 3,091,150 | (f)(g) | ||||||||||
Barclays PLC, Senior Notes (4.972% to 5/16/28 then 3 mo. USD LIBOR + 1.902%) | 4.972 | % | 5/16/29 | 2,930,000 | 3,076,416 | (f) | ||||||||||
BNP Paribas SA, Junior Subordinated Notes (6.125% to 6/17/22 then EUR 5 year Swap Rate + 5.230%) | 6.125 | % | 6/17/22 | 2,424,000 | EUR | 3,016,626 | (b)(f)(g) | |||||||||
BNP Paribas SA, Junior Subordinated Notes (7.000% to 8/16/28 then USD 5 year ICE Swap Rate + 3.980%) | 7.000 | % | 8/16/28 | 200,000 | 208,093 | (a)(f)(g) | ||||||||||
BNP Paribas SA, Junior Subordinated Notes (7.375% to 8/19/25 then USD 5 year ICE Swap Rate + 5.150%) | 7.375 | % | 8/19/25 | 2,990,000 | 3,235,554 | (a)(f)(g) |
See Notes to Financial Statements.
10 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Banks — continued | ||||||||||||||||
BNP Paribas SA, Senior Notes (3 mo. USD LIBOR + 2.235%) | 4.705 | % | 1/10/25 | 2,500,000 | $ | 2,620,404 | (a)(f) | |||||||||
BNP Paribas SA, Senior Notes (5.198% to 1/10/29 then 3 mo. USD LIBOR + 2.567%) | 5.198 | % | 1/10/30 | 900,000 | 981,386 | (a)(f) | ||||||||||
BPCE SA, Subordinated Notes (2.750% to 11/30/22 then EUR 5 year Swap Rate + 2.370%) | 2.750 | % | 11/30/27 | 4,500,000 | EUR | 5,390,268 | (b)(f) | |||||||||
Citigroup Inc., Junior Subordinated Notes (5.350% to 5/15/23 then 3 mo. USD LIBOR + 3.466%) | 5.350 | % | 5/15/23 | 450,000 | 451,125 | (f)(g) | ||||||||||
Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. USD LIBOR + 3.905%) | 5.950 | % | 5/15/25 | 11,210,000 | 11,752,284 | (f)(g) | ||||||||||
Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. USD LIBOR + 3.423%) | 6.300 | % | 5/15/24 | 1,720,000 | 1,789,901 | (f)(g) | ||||||||||
Citigroup Inc., Senior Notes | 8.125 | % | 7/15/39 | 1,301,000 | 1,972,613 | |||||||||||
Citigroup Inc., Senior Notes | 4.650 | % | 7/30/45 | 825,000 | 885,217 | |||||||||||
Citigroup Inc., Senior Notes | 4.650 | % | 7/23/48 | 520,000 | 561,924 | |||||||||||
Citigroup Inc., Subordinated Notes | 4.600 | % | 3/9/26 | 1,910,000 | 2,011,232 | |||||||||||
Citigroup Inc., Subordinated Notes | 4.450 | % | 9/29/27 | 1,590,000 | 1,651,514 | |||||||||||
Citigroup Inc., Subordinated Notes | 4.125 | % | 7/25/28 | 1,870,000 | 1,900,811 | |||||||||||
Compass Bank, Subordinated Notes | 3.875 | % | 4/10/25 | 490,000 | 491,358 | |||||||||||
Cooperatieve Rabobank UA, Junior Subordinated Notes (6.625% to 6/29/21 then EUR 5 year Swap Rate + 6.697%) | 6.625 | % | 6/29/21 | 5,400,000 | EUR | 6,715,602 | (b)(f)(g) | |||||||||
Credit Agricole SA, Junior Subordinated Notes (6.500% to 6/23/21 then EUR 5 year Swap Rate + 5.120%) | 6.500 | % | 6/23/21 | 2,672,000 | EUR | 3,243,966 | (b)(f)(g) | |||||||||
Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year ICE Swap Rate + 6.185%) | 8.125 | % | 12/23/25 | 3,250,000 | 3,708,835 | (a)(f)(g) | ||||||||||
Danske Bank A/S, Junior Subordinated Notes (5.875% to 4/6/22 then EUR 7 year Swap Rate + 5.471%) | 5.875 | % | 4/6/22 | 4,220,000 | EUR | 4,903,971 | (b)(f)(g) | |||||||||
Danske Bank A/S, Senior Notes | 5.000 | % | 1/12/22 | 770,000 | 792,147 | (a) | ||||||||||
Danske Bank A/S, Senior Notes | 5.375 | % | 1/12/24 | 840,000 | 880,220 | (a) | ||||||||||
HSBC Holdings PLC, Junior Subordinated Notes (6.250% to 3/23/23 then USD 5 year ICE Swap Rate + 3.453%) | 6.250 | % | 3/23/23 | 1,120,000 | 1,145,917 | (f)(g) | ||||||||||
HSBC Holdings PLC, Junior Subordinated Notes (6.375% to 3/30/25 then USD 5 year ICE Swap Rate + 4.368%) | 6.375 | % | 3/30/25 | 860,000 | 897,303 | (f)(g) | ||||||||||
HSBC Holdings PLC, Junior Subordinated Notes (6.500% to 3/23/28 then USD 5 year ICE Swap Rate + 3.606%) | 6.500 | % | 3/23/28 | 3,290,000 | 3,350,503 | (f)(g) | ||||||||||
HSBC Holdings PLC, Senior Notes | 4.300 | % | 3/8/26 | 650,000 | 677,529 | |||||||||||
HSBC Holdings PLC, Senior Notes (4.583% to 6/19/28 then 3 mo. USD LIBOR + 1.535%) | 4.583 | % | 6/19/29 | 2,750,000 | 2,913,756 | (f) | ||||||||||
HSBC Holdings PLC, Subordinated Notes | 4.250 | % | 8/18/25 | 590,000 | 606,415 | |||||||||||
ING Groep NV, Subordinated Notes (2.500% to 2/15/24 then EUR 5 year Swap Rate + 2.150%) | 2.500 | % | 2/15/29 | 4,400,000 | EUR | 5,191,144 | (b)(f) | |||||||||
Intesa Sanpaolo SpA, Junior Subordinated Notes (7.000% to 1/19/21 then EUR 5 year Swap Rate + 6.884%) | 7.000 | % | 1/19/21 | 5,527,000 | EUR | 6,494,246 | (b)(f)(g) |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 11 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Banks — continued | ||||||||||||||||
Intesa Sanpaolo SpA, Subordinated Notes | 5.017 | % | 6/26/24 | 200,000 | $ | 193,134 | (a) | |||||||||
Intesa Sanpaolo SpA, Subordinated Notes | 5.710 | % | 1/15/26 | 410,000 | 400,832 | (a) | ||||||||||
JPMorgan Chase & Co., Senior Notes (4.203% to 7/23/28 then 3 mo. USD LIBOR + 1.260%) | 4.203 | % | 7/23/29 | 640,000 | 668,147 | (f) | ||||||||||
JPMorgan Chase & Co., Subordinated Notes | 4.950 | % | 6/1/45 | 1,410,000 | 1,570,704 | |||||||||||
KBC Group NV, Subordinated Notes (1.875% to 3/11/22 then EUR 5 year Swap Rate + 1.500%) | 1.875 | % | 3/11/27 | 2,600,000 | EUR | 2,998,323 | (b)(f) | |||||||||
Royal Bank of Scotland Group PLC, Junior Subordinated Notes (8.625% to 8/15/21 then USD 5 year ICE Swap Rate + 7.598%) | 8.625 | % | 8/15/21 | 1,430,000 | 1,540,825 | (f)(g) | ||||||||||
Royal Bank of Scotland Group PLC, Subordinated Notes | 6.125 | % | 12/15/22 | 1,370,000 | 1,466,652 | |||||||||||
Royal Bank of Scotland Group PLC, Subordinated Notes | 6.100 | % | 6/10/23 | 1,080,000 | 1,158,524 | |||||||||||
Royal Bank of Scotland Group PLC, Subordinated Notes | 6.000 | % | 12/19/23 | 400,000 | 430,110 | |||||||||||
Royal Bank of Scotland Group PLC, Subordinated Notes | 5.125 | % | 5/28/24 | 11,480,000 | 11,939,988 | |||||||||||
Santander UK Group Holdings PLC, Subordinated Notes | 4.750 | % | 9/15/25 | 680,000 | 689,588 | (a) | ||||||||||
Santander UK Group Holdings PLC, Subordinated Notes | 5.625 | % | 9/15/45 | 440,000 | 466,002 | (a) | ||||||||||
Santander UK PLC, Subordinated Notes | 5.000 | % | 11/7/23 | 330,000 | 343,778 | (a) | ||||||||||
Societe Generale SA, Subordinated Notes (2.500% to 9/16/21 then EUR 5 year Swap Rate + 1.830%) | 2.500 | % | 9/16/26 | 4,500,000 | EUR | 5,243,894 | (b)(f) | |||||||||
Standard Chartered PLC, Subordinated Notes | 5.700 | % | 3/26/44 | 1,200,000 | 1,318,786 | (a) | ||||||||||
UniCredit SpA, Junior Subordinated Notes (6.625% to 6/3/23 then EUR 5 year Swap Rate + 6.387%) | 6.625 | % | 6/3/23 | 7,790,000 | EUR | 8,715,980 | (b)(f)(g) | |||||||||
UniCredit SpA, Senior Notes | 6.572 | % | 1/14/22 | 1,700,000 | 1,792,227 | (a) | ||||||||||
UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate + 4.914%) | 7.296 | % | 4/2/34 | 8,360,000 | 8,529,379 | (a)(f) | ||||||||||
Wachovia Capital Trust III Ltd., Junior Subordinated Bonds (the greater of 3 mo. USD LIBOR + 0.930% or 5.570%) | 5.570 | % | 5/31/19 | 16,617,000 | 16,546,959 | (f)(g) | ||||||||||
Wells Fargo & Co., Junior Subordinated Notes (5.875% to 6/15/25 then 3 mo. USD LIBOR + 3.990%) | 5.875 | % | 6/15/25 | 847,000 | 915,501 | (f)(g) | ||||||||||
Wells Fargo & Co., Senior Notes | 3.550 | % | 9/29/25 | 2,290,000 | 2,335,283 | |||||||||||
Wells Fargo & Co., Subordinated Notes | 4.300 | % | 7/22/27 | 4,960,000 | 5,161,754 | |||||||||||
Wells Fargo & Co., Subordinated Notes | 4.400 | % | 6/14/46 | 1,420,000 | 1,428,446 | |||||||||||
Wells Fargo & Co., Subordinated Notes | 4.750 | % | 12/7/46 | 500,000 | 526,653 | |||||||||||
Total Banks | 208,924,957 | |||||||||||||||
Capital Markets — 1.5% | ||||||||||||||||
Credit Suisse Group AG, Junior Subordinated Notes (7.250% to 9/12/25 then USD 5 year ICE Swap Rate + 4.332%) | 7.250 | % | 9/12/25 | 300,000 | 312,112 | (a)(f)(g) | ||||||||||
Credit Suisse Group AG, Junior Subordinated Notes (7.500% to 7/17/23 then USD 5 year ICE Swap Rate + 4.600%) | 7.500 | % | 7/17/23 | 1,770,000 | 1,866,217 | (a)(f)(g) |
See Notes to Financial Statements.
12 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Capital Markets — continued | ||||||||||||||||
Credit Suisse Group AG, Senior Notes (3.869% to 1/12/28 then 3 mo. USD LIBOR + 1.410%) | 3.869 | % | 1/12/29 | 250,000 | $ | 248,060 | (a)(f) | |||||||||
Credit Suisse Group Funding Guernsey Ltd., Senior Notes | 4.875 | % | 5/15/45 | 2,880,000 | 3,144,628 | |||||||||||
Goldman Sachs Capital II Ltd. (3 mo. USD LIBOR + 0.768%, 4.000% floor) | 4.000 | % | 5/31/19 | 149,000 | 119,828 | (f)(g) | ||||||||||
Goldman Sachs Capital III Ltd. (3 mo. USD LIBOR + 0.770%, 4.000% floor) | 4.000 | % | 5/31/19 | 96,000 | 76,005 | (f)(g) | ||||||||||
Goldman Sachs Group Inc., Senior Notes | 4.750 | % | 10/21/45 | 570,000 | 608,823 | |||||||||||
Goldman Sachs Group Inc., Senior Notes (4.223% to 5/1/28 then 3 mo. USD LIBOR + 1.301%) | 4.223 | % | 5/1/29 | 430,000 | 439,628 | (f) | ||||||||||
Goldman Sachs Group Inc., Subordinated Notes | 4.250 | % | 10/21/25 | 610,000 | 628,653 | |||||||||||
Goldman Sachs Group Inc., Subordinated Notes | 6.750 | % | 10/1/37 | 1,700,000 | 2,100,876 | |||||||||||
Goldman Sachs Group Inc., Subordinated Notes | 5.150 | % | 5/22/45 | 4,590,000 | 4,917,881 | |||||||||||
Morgan Stanley, Senior Notes (4.431% to 1/23/29 then 3 mo. USD LIBOR + 1.628%) | 4.431 | % | 1/23/30 | 1,290,000 | 1,366,542 | (f) | ||||||||||
UBS Group Funding Switzerland AG, Senior Notes (5.750% to 2/19/22 then EUR 5 year Swap Rate + 5.287%) | 5.750 | % | 2/19/22 | 2,080,000 | EUR | 2,578,945 | (b)(f)(g) | |||||||||
UBS Group Funding Switzerland AG, Senior Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%) | 7.000 | % | 1/31/24 | 2,880,000 | 3,004,157 | (a)(f)(g) | ||||||||||
Total Capital Markets | 21,412,355 | |||||||||||||||
Consumer Finance — 0.0% | ||||||||||||||||
Ally Financial Inc., Senior Notes | 8.000 | % | 11/1/31 | 240,000 | 308,400 | |||||||||||
Diversified Financial Services — 0.3% | ||||||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | 4.625 | % | 7/1/22 | 333,000 | 345,974 | |||||||||||
DAE Funding LLC, Senior Notes | 5.750 | % | 11/15/23 | 400,000 | 420,000 | (a) | ||||||||||
ILFCE-Capital Trust I ((Highest of 3 mo. USD LIBOR, 10 year U.S. Treasury Constant Maturity Rate and 30 year U.S. Treasury Constant Maturity Rate) + 1.550%) | 4.570 | % | 12/21/65 | 740,000 | 556,935 | (a)(f) | ||||||||||
International Lease Finance Corp., Senior Notes | 5.875 | % | 8/15/22 | 640,000 | 689,765 | |||||||||||
Park Aerospace Holdings Ltd., Senior Notes | 5.250 | % | 8/15/22 | 342,000 | 356,877 | (a) | ||||||||||
Park Aerospace Holdings Ltd., Senior Notes | 4.500 | % | 3/15/23 | 160,000 | 162,147 | (a) | ||||||||||
Park Aerospace Holdings Ltd., Senior Notes | 5.500 | % | 2/15/24 | 400,000 | 422,140 | (a) | ||||||||||
Toll Road Investors Partnership II LP | 0.000 | % | 2/15/24 | 1,020,000 | 816,223 | (a) | ||||||||||
Toll Road Investors Partnership II LP | 0.000 | % | 2/15/38 | 200,000 | 65,646 | (a) | ||||||||||
Total Diversified Financial Services | 3,835,707 | |||||||||||||||
Insurance — 0.2% | ||||||||||||||||
Teachers Insurance & Annuity Association of America, Subordinated Notes | 4.900 | % | 9/15/44 | 1,910,000 | 2,152,052 | (a) | ||||||||||
Total Financials | 236,633,471 |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 13 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Health Care — 2.8% | ||||||||||||||||
Health Care Equipment & Supplies — 0.1% | ||||||||||||||||
Becton Dickinson and Co., Senior Notes | 3.700 | % | 6/6/27 | 2,020,000 | $ | 2,013,242 | ||||||||||
Health Care Providers & Services — 1.1% | ||||||||||||||||
Centene Corp., Senior Notes | 4.750 | % | 5/15/22 | 180,000 | 184,124 | |||||||||||
Centene Corp., Senior Notes | 6.125 | % | 2/15/24 | 290,000 | 304,138 | |||||||||||
Centene Corp., Senior Notes | 4.750 | % | 1/15/25 | 610,000 | 620,370 | |||||||||||
CommonSpirit Health, Secured Notes | 4.350 | % | 11/1/42 | 1,720,000 | 1,654,869 | |||||||||||
CVS Health Corp., Senior Notes | 4.300 | % | 3/25/28 | 300,000 | 303,584 | |||||||||||
CVS Health Corp., Senior Notes | 4.780 | % | 3/25/38 | 1,130,000 | 1,101,121 | |||||||||||
CVS Health Corp., Senior Notes | 5.050 | % | 3/25/48 | 7,480,000 | 7,392,787 | |||||||||||
DaVita Inc., Senior Notes | 5.000 | % | 5/1/25 | 60,000 | 58,931 | |||||||||||
Dignity Health, Secured Notes | 5.267 | % | 11/1/64 | 760,000 | 793,625 | |||||||||||
Hackensack Meridian Health Inc., Secured Notes | 4.211 | % | 7/1/48 | 1,060,000 | 1,121,923 | |||||||||||
HCA Inc., Senior Notes | 5.375 | % | 2/1/25 | 340,000 | 358,700 | |||||||||||
HCA Inc., Senior Notes | 5.625 | % | 9/1/28 | 40,000 | 42,700 | |||||||||||
HCA Inc., Senior Secured Notes | 4.500 | % | 2/15/27 | 240,000 | 246,720 | |||||||||||
HCA Inc., Senior Secured Notes | 5.500 | % | 6/15/47 | 80,000 | 84,886 | |||||||||||
Willis-Knighton Medical Center, Secured Notes | 4.813 | % | 9/1/48 | 790,000 | 871,818 | |||||||||||
Total Health Care Providers & Services | 15,140,296 | |||||||||||||||
Pharmaceuticals — 1.6% | ||||||||||||||||
Bausch Health Americas Inc., Senior Notes | 9.250 | % | 4/1/26 | 5,240,000 | 5,842,600 | (a) | ||||||||||
Bausch Health Americas Inc., Senior Notes | 8.500 | % | 1/31/27 | 2,280,000 | 2,489,475 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Notes | 6.125 | % | 4/15/25 | 3,520,000 | 3,568,400 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Notes | 9.000 | % | 12/15/25 | 6,860,000 | 7,623,175 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Secured Notes | 7.000 | % | 3/15/24 | 1,180,000 | 1,246,375 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Secured Notes | 5.500 | % | 11/1/25 | 460,000 | 472,507 | (a) | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 2.200 | % | 7/21/21 | 600,000 | 576,696 | |||||||||||
Total Pharmaceuticals | 21,819,228 | |||||||||||||||
Total Health Care | 38,972,766 | |||||||||||||||
Industrials — 0.6% | ||||||||||||||||
Air Freight & Logistics — 0.2% | ||||||||||||||||
XPO CNW Inc., Senior Notes | 6.700 | % | 5/1/34 | 2,120,000 | 1,897,400 | |||||||||||
Commercial Services & Supplies — 0.1% | ||||||||||||||||
United Rentals North America Inc., Senior Notes | 5.750 | % | 11/15/24 | 410,000 | 422,505 | |||||||||||
United Rentals North America Inc., Senior Notes | 5.875 | % | 9/15/26 | 310,000 | 325,112 | |||||||||||
United Rentals North America Inc., Senior Notes | 6.500 | % | 12/15/26 | 650,000 | 697,125 | |||||||||||
United Rentals North America Inc., Senior Notes | 5.250 | % | 1/15/30 | 430,000 | 433,225 | (h) | ||||||||||
Total Commercial Services & Supplies | 1,877,967 |
See Notes to Financial Statements.
14 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Industrial Conglomerates — 0.3% | ||||||||||||||||
General Electric Co., Senior Notes | 5.875 | % | 1/14/38 | 1,270,000 | $ | 1,372,545 | ||||||||||
General Electric Co., Senior Notes | 6.875 | % | 1/10/39 | 2,290,000 | 2,713,966 | |||||||||||
Total Industrial Conglomerates | 4,086,511 | |||||||||||||||
Total Industrials | 7,861,878 | |||||||||||||||
Information Technology — 0.5% | ||||||||||||||||
Communications Equipment — 0.0% | ||||||||||||||||
CommScope Technologies LLC, Senior Notes | 5.000 | % | 3/15/27 | 320,000 | 300,000 | (a) | ||||||||||
IT Services — 0.1% | ||||||||||||||||
First Data Corp., Senior Secured Notes | 5.000 | % | 1/15/24 | 730,000 | 748,787 | (a) | ||||||||||
Software — 0.3% | ||||||||||||||||
Microsoft Corp., Senior Notes | 3.300 | % | 2/6/27 | 3,700,000 | 3,796,144 | |||||||||||
Microsoft Corp., Senior Notes | 3.700 | % | 8/8/46 | 800,000 | 803,350 | |||||||||||
Total Software | 4,599,494 | |||||||||||||||
Technology Hardware, Storage & Peripherals — 0.1% | ||||||||||||||||
Dell International LLC/EMC Corp., Senior Secured Notes | 4.420 | % | 6/15/21 | 1,430,000 | 1,464,971 | (a) | ||||||||||
Total Information Technology | 7,113,252 | |||||||||||||||
Materials — 0.7% | ||||||||||||||||
Containers & Packaging — 0.1% | ||||||||||||||||
Ardagh Packaging Finance PLC/ Ardagh Holdings USA Inc., Senior Notes | 6.000 | % | 2/15/25 | 250,000 | 252,500 | (a) | ||||||||||
Ardagh Packaging Finance PLC/ Ardagh Holdings USA Inc., Senior Secured Notes | 4.625 | % | 5/15/23 | 480,000 | 485,731 | (a) | ||||||||||
Total Containers & Packaging | 738,231 | |||||||||||||||
Metals & Mining — 0.6% | ||||||||||||||||
Anglo American Capital PLC, Senior Notes | 3.625 | % | 9/11/24 | 560,000 | 559,154 | (a) | ||||||||||
Anglo American Capital PLC, Senior Notes | 4.000 | % | 9/11/27 | 270,000 | 265,585 | (a) | ||||||||||
Anglo American Capital PLC, Senior Notes | 4.500 | % | 3/15/28 | 640,000 | 646,402 | (a) | ||||||||||
ArcelorMittal, Senior Notes | 7.000 | % | 10/15/39 | 310,000 | 356,401 | |||||||||||
BHP Billiton Finance USA Ltd., Senior Notes (6.750% to 10/19/25 then USD 5 year ICE Swap Rate + 5.093% to 10/19/45 then USD 5 year ICE Swap Rate + 5.843%) | 6.750 | % | 10/19/75 | 1,880,000 | 2,118,224 | (a)(f) | ||||||||||
Freeport-McMoRan Inc., Senior Notes | 3.875 | % | 3/15/23 | 10,000 | 9,925 | |||||||||||
Freeport-McMoRan Inc., Senior Notes | 4.550 | % | 11/14/24 | 40,000 | 39,850 | |||||||||||
Glencore Funding LLC, Senior Notes | 4.125 | % | 5/30/23 | 150,000 | 153,327 | (a) | ||||||||||
Glencore Funding LLC, Senior Notes | 4.125 | % | 3/12/24 | 2,920,000 | 2,962,748 | (a) | ||||||||||
Glencore Funding LLC, Senior Notes | 3.875 | % | 10/27/27 | 1,190,000 | 1,155,028 | (a) | ||||||||||
Yamana Gold Inc., Senior Notes | 4.625 | % | 12/15/27 | 920,000 | 909,330 | |||||||||||
Total Metals & Mining | 9,175,974 | |||||||||||||||
Total Materials | 9,914,205 |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 15 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Utilities — 0.8% | ||||||||||||||||
Electric Utilities — 0.8% | ||||||||||||||||
Enel Finance International NV, Senior Notes | 6.000 | % | 10/7/39 | 1,680,000 | $ | 1,901,902 | (a) | |||||||||
FirstEnergy Corp., Senior Notes | 3.900 | % | 7/15/27 | 2,070,000 | 2,100,216 | |||||||||||
FirstEnergy Corp., Senior Notes | 7.375 | % | 11/15/31 | 5,630,000 | 7,448,707 | |||||||||||
FirstEnergy Corp., Senior Notes | 4.850 | % | 7/15/47 | 250,000 | 266,687 | |||||||||||
Total Utilities | 11,717,512 | |||||||||||||||
Total Corporate Bonds & Notes (Cost — $450,920,425) |
| 469,644,002 | ||||||||||||||
Sovereign Bonds — 28.3% | ||||||||||||||||
Argentina — 2.0% | ||||||||||||||||
Argentina POM Politica Monetaria, Bonds (Argentina Central Bank 7 Day Repo Reference Rate) | 70.354 | % | 6/21/20 | 147,240,000 | ARS | 3,301,900 | (f) | |||||||||
Argentine Bonos del Tesoro, Bonds | 18.200 | % | 10/3/21 | 114,350,000 | ARS | 1,894,887 | ||||||||||
Argentine Bonos del Tesoro, Bonds | 16.000 | % | 10/17/23 | 76,600,000 | ARS | 1,283,249 | ||||||||||
Argentine Bonos del Tesoro, Bonds | 15.500 | % | 10/17/26 | 69,530,000 | ARS | 1,149,477 | ||||||||||
Argentine Republic Government International Bond, Senior Notes | 5.625 | % | 1/26/22 | 5,820,000 | 4,542,568 | |||||||||||
Argentine Republic Government International Bond, Senior Notes | 7.500 | % | 4/22/26 | 3,380,000 | 2,545,562 | |||||||||||
Argentine Republic Government International Bond, Senior Notes | 5.875 | % | 1/11/28 | 5,560,000 | 3,862,115 | |||||||||||
Argentine Republic Government International Bond, Senior Notes | 8.280 | % | 12/31/33 | 2,874,178 | 2,144,165 | |||||||||||
Argentine Republic Government International Bond, Senior Notes | 7.625 | % | 4/22/46 | 1,040,000 | 726,700 | |||||||||||
Argentine Republic Government International Bond, Senior Notes | 7.125 | % | 6/28/2117 | 7,340,000 | 4,909,689 | |||||||||||
Provincia de Buenos Aires, Senior Notes | 9.125 | % | 3/16/24 | 850,000 | 644,938 | (a) | ||||||||||
Provincia de Buenos Aires, Senior Notes | 7.875 | % | 6/15/27 | 1,970,000 | 1,319,900 | (a) | ||||||||||
Total Argentina | 28,325,150 | |||||||||||||||
Australia — 0.5% | ||||||||||||||||
Australia Government Bond, Senior Notes | 3.000 | % | 3/21/47 | 8,330,000 | AUD | 6,540,905 | ||||||||||
Brazil — 3.8% | ||||||||||||||||
Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000 | % | 1/1/21 | 91,889,000 | BRL | 24,406,032 | ||||||||||
Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000 | % | 1/1/23 | 48,271,000 | BRL | 12,983,814 | ||||||||||
Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000 | % | 1/1/27 | 2,469,000 | BRL | 666,770 | ||||||||||
Brazilian Government International Bond, Senior Notes | 4.250 | % | 1/7/25 | 1,730,000 | 1,754,116 | |||||||||||
Brazilian Government International Bond, Senior Notes | 5.000 | % | 1/27/45 | 14,720,000 | 13,470,640 | |||||||||||
Total Brazil | 53,281,372 | |||||||||||||||
China — 0.7% | ||||||||||||||||
China Government Bond, Senior Notes | 4.000 | % | 5/22/24 | 2,000,000 | CNY | 308,263 | (b) |
See Notes to Financial Statements.
16 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
China — continued | ||||||||||||||||
China Government Bond, Senior Notes | 3.380 | % | 11/21/24 | 11,000,000 | CNY | $ | 1,649,833 | (b) | ||||||||
China Government Bond, Senior Notes | 3.390 | % | 5/21/25 | 9,000,000 | CNY | 1,348,040 | (b) | |||||||||
China Government Bond, Senior Notes | 3.310 | % | 11/30/25 | 10,500,000 | CNY | 1,566,462 | (b) | |||||||||
China Government Bond, Senior Notes | 3.480 | % | 6/29/27 | 23,500,000 | CNY | 3,489,653 | (b) | |||||||||
China Government Bond, Senior Notes | 3.600 | % | 6/27/28 | 2,000,000 | CNY | 298,617 | (b) | |||||||||
China Government Bond, Senior Notes | 4.290 | % | 5/22/29 | 5,000,000 | CNY | 786,709 | (b) | |||||||||
Total China | 9,447,577 | |||||||||||||||
Colombia — 0.9% | ||||||||||||||||
Colombia Government International Bond, Senior Notes | 5.625 | % | 2/26/44 | 7,356,000 | 8,270,902 | |||||||||||
Colombia Government International Bond, Senior Notes | 5.200 | % | 5/15/49 | 3,640,000 | 3,900,260 | |||||||||||
Total Colombia | 12,171,162 | |||||||||||||||
Ecuador — 0.6% | ||||||||||||||||
Ecuador Government International Bond, Senior Notes | 7.950 | % | 6/20/24 | 2,270,000 | 2,309,725 | (b) | ||||||||||
Ecuador Government International Bond, Senior Notes | 9.650 | % | 12/13/26 | 2,000,000 | 2,137,500 | (a) | ||||||||||
Ecuador Government International Bond, Senior Notes | 8.875 | % | 10/23/27 | 3,480,000 | 3,553,950 | (a) | ||||||||||
Total Ecuador | 8,001,175 | |||||||||||||||
Egypt — 0.6% | ||||||||||||||||
Egypt Government Bond | 15.160 | % | 10/10/22 | 74,370,000 | EGP | 4,241,684 | ||||||||||
Egypt Government Bond | 18.400 | % | 5/30/24 | 3,500,000 | EGP | 221,944 | ||||||||||
Egypt Government Bond | 15.250 | % | 12/9/24 | 22,890,000 | EGP | 1,306,184 | ||||||||||
Egypt Government International Bond, Senior Notes | 5.577 | % | 2/21/23 | 2,920,000 | 2,898,100 | (a) | ||||||||||
Total Egypt | 8,667,912 | |||||||||||||||
Ghana — 0.4% | ||||||||||||||||
Ghana Government International Bond, Senior Notes | 7.875 | % | 3/26/27 | 320,000 | 325,571 | (a) | ||||||||||
Ghana Government International Bond, Senior Notes | 8.125 | % | 3/26/32 | 4,710,000 | 4,679,385 | (a) | ||||||||||
Ghana Government International Bond, Senior Notes | 8.950 | % | 3/26/51 | 890,000 | 883,111 | (a) | ||||||||||
Total Ghana | 5,888,067 | |||||||||||||||
Indonesia — 1.9% | ||||||||||||||||
Indonesia Government International Bond, Senior Notes | 4.350 | % | 1/11/48 | 3,230,000 | 3,187,338 | |||||||||||
Indonesia Treasury Bond, Senior Notes | 7.000 | % | 5/15/22 | 14,808,000,000 | IDR | 1,039,677 | ||||||||||
Indonesia Treasury Bond, Senior Notes | 8.375 | % | 9/15/26 | 3,507,000,000 | IDR | 258,531 | ||||||||||
Indonesia Treasury Bond, Senior Notes | 7.000 | % | 5/15/27 | 245,229,000,000 | IDR | 16,458,463 | ||||||||||
Indonesia Treasury Bond, Senior Notes | 8.375 | % | 3/15/34 | 84,287,000,000 | IDR | 5,996,207 | ||||||||||
Total Indonesia | 26,940,216 | |||||||||||||||
Japan — 0.4% | ||||||||||||||||
Japan Government Thirty Year Bond, Senior Notes | 0.700 | % | 6/20/48 | 620,000,000 | JPY | 5,806,366 | ||||||||||
Kuwait — 0.1% | ||||||||||||||||
Kuwait International Government Bond, Senior Notes | 3.500 | % | 3/20/27 | 1,370,000 | 1,399,711 | (a) |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 17 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Mexico — 5.6% | ||||||||||||||||
Mexican Bonos, Bonds | 8.000 | % | 11/7/47 | 304,240,000 | MXN | $ | 15,183,330 | |||||||||
Mexican Bonos, Senior Notes | 7.750 | % | 11/23/34 | 32,420,000 | MXN | 1,619,516 | ||||||||||
Mexican Bonos, Senior Notes | 7.750 | % | 11/13/42 | 1,283,645,400 | MXN | 62,707,697 | ||||||||||
Total Mexico | 79,510,543 | |||||||||||||||
Russia — 5.2% | ||||||||||||||||
Russian Federal Bond — OFZ | 7.400 | % | 12/7/22 | 44,150,000 | RUB | 678,745 | ||||||||||
Russian Federal Bond — OFZ | 7.000 | % | 1/25/23 | 499,900,000 | RUB | 7,558,778 | ||||||||||
Russian Federal Bond — OFZ | 7.000 | % | 8/16/23 | 495,680,000 | RUB | 7,481,400 | ||||||||||
Russian Federal Bond — OFZ | 8.150 | % | 2/3/27 | 1,998,947,000 | RUB | 31,452,315 | ||||||||||
Russian Federal Bond — OFZ | 7.050 | % | 1/19/28 | 1,763,214,000 | RUB | 25,812,703 | ||||||||||
Total Russia | 72,983,941 | |||||||||||||||
South Africa — 3.4% | ||||||||||||||||
Republic of South Africa Government Bond | 10.500 | % | 12/21/26 | 118,290,000 | ZAR | 9,150,627 | ||||||||||
Republic of South Africa Government Bond | 7.000 | % | 2/28/31 | 165,000,000 | ZAR | 9,696,417 | ||||||||||
Republic of South Africa Government Bond | 6.500 | % | 2/28/41 | 19,790,000 | ZAR | 980,162 | ||||||||||
Republic of South Africa Government Bond, Senior Notes | 4.300 | % | 10/12/28 | 8,120,000 | 7,587,239 | |||||||||||
Republic of South Africa Government Bond, Senior Notes | 6.250 | % | 3/31/36 | 409,480,000 | ZAR | 20,792,624 | ||||||||||
Total South Africa | 48,207,069 | |||||||||||||||
Supranational — 0.2% | ||||||||||||||||
International Bank for Reconstruction & Development, Senior Notes | 8.400 | % | 10/12/21 | 34,200,000,000 | IDR | 2,450,160 | ||||||||||
Turkey — 1.0% | ||||||||||||||||
Turkey Government Bond | 10.500 | % | 8/11/27 | 29,360,000 | TRY | 3,198,310 | ||||||||||
Turkey Government International Bond, Senior Notes | 6.125 | % | 10/24/28 | 12,520,000 | 11,251,912 | |||||||||||
Total Turkey | 14,450,222 | |||||||||||||||
United Arab Emirates — 1.0% | ||||||||||||||||
Abu Dhabi Government International Bond, Senior Notes | 2.500 | % | 10/11/22 | 10,260,000 | 10,171,087 | (a) | ||||||||||
Abu Dhabi Government International Bond, Senior Notes | 4.125 | % | 10/11/47 | 3,270,000 | 3,337,205 | (a) | ||||||||||
Total United Arab Emirates | 13,508,292 | |||||||||||||||
Total Sovereign Bonds (Cost — $448,784,310) | 397,579,840 | |||||||||||||||
U.S. Government & Agency Obligations — 10.2% | ||||||||||||||||
U.S. Government Obligations — 10.2% | ||||||||||||||||
U.S. Treasury Bonds | 4.250 | % | 11/15/40 | 23,330,000 | 28,714,582 | |||||||||||
U.S. Treasury Bonds | 3.750 | % | 11/15/43 | 11,535,000 | 13,249,479 | |||||||||||
U.S. Treasury Bonds | 3.000 | % | 2/15/47 | 23,660,300 | 24,005,038 | |||||||||||
U.S. Treasury Bonds | 3.000 | % | 5/15/47 | 1,043,000 | 1,056,730 | |||||||||||
U.S. Treasury Bonds | 3.000 | % | 2/15/48 | 3,915,000 | 3,959,961 |
See Notes to Financial Statements.
18 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
U.S. Government Obligations — continued | ||||||||||||||||
U.S. Treasury Bonds | 3.375 | % | 11/15/48 | 10,720,000 | $ | 11,656,325 | ||||||||||
U.S. Treasury Notes | 2.500 | % | 1/31/24 | 5,140,000 | 5,188,790 | |||||||||||
U.S. Treasury Notes | 2.125 | % | 3/31/24 | 530,000 | 526,129 | |||||||||||
U.S. Treasury Notes | 2.625 | % | 1/31/26 | 18,420,000 | 18,681,190 | |||||||||||
U.S. Treasury Notes | 2.625 | % | 2/15/29 | 35,904,000 | 36,274,260 | |||||||||||
Total U.S. Government & Agency Obligations (Cost — $139,870,211) |
| 143,312,484 | ||||||||||||||
Collateralized Mortgage Obligations (i) — 5.6% | ||||||||||||||||
Alternative Loan Trust,2005-J4 M2 (1 mo. USD LIBOR + 0.640%) | 3.117 | % | 7/25/35 | 329,882 | 324,593 | (f) | ||||||||||
Banc of America Alternative Loan Trust, 2005- 4 CB7, IO(-1.000 x 1 mo. USD LIBOR + 5.100%) | 2.623 | % | 5/25/35 | 528,907 | 45,024 | (f) | ||||||||||
Banc of America Funding Corp.,2015-R3 2A2 | 2.616 | % | 2/27/37 | 4,291,992 | 3,551,568 | (a)(f) | ||||||||||
BX Trust, 2018-GWMZ MC (1 mo. USD LIBOR + 5.488%) | 7.960 | % | 5/15/37 | 6,500,000 | 6,514,486 | (a)(f) | ||||||||||
Credit Suisse Commercial Mortgage Trust,2006-C3 AJ | 6.700 | % | 6/15/38 | 77,317 | 43,862 | (f) | ||||||||||
CSMC Trust,2015-2R 7A2 | 3.845 | % | 8/27/36 | 9,318,204 | 8,486,934 | (a)(f) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk,2015-HQ2 B (1 mo. USD LIBOR + 7.950%) | 10.427 | % | 5/25/25 | 1,576,219 | 1,932,384 | (f) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk, 2017-DNA2 B1 (1 mo. USD LIBOR + 5.150%) | 7.627 | % | 10/25/29 | 4,880,000 | 5,582,296 | (f) | ||||||||||
Federal National Mortgage Association (FNMA) — CAS,2015-C03 2M2 (1 mo. USD LIBOR + 5.000%) | 7.477 | % | 7/25/25 | 1,215,165 | 1,337,879 | (a)(f) | ||||||||||
Federal National Mortgage Association (FNMA) — CAS,2017-C01 1B1 (1 mo. USD LIBOR + 5.750%) | 8.227 | % | 7/25/29 | 3,400,000 | 4,043,000 | (a)(f) | ||||||||||
Federal National Mortgage Association (FNMA) — CAS,2017-C05 1B1 (1 mo. USD LIBOR + 3.600%) | 6.077 | % | 1/25/30 | 3,880,000 | 4,040,882 | (a)(f) | ||||||||||
Federal National Mortgage Association (FNMA) — CAS,2017-C07 1M2 (1 mo. USD LIBOR + 2.400%) | 4.877 | % | 5/25/30 | 3,540,000 | 3,624,694 | (a)(f) | ||||||||||
Federal National Mortgage Association (FNMA) — CAS,2018-C01 1B1 (1 mo. USD LIBOR + 3.550%) | 6.027 | % | 7/25/30 | 5,280,000 | 5,362,983 | (a)(f) | ||||||||||
Flagstar Mortgage Trust,2018-2 A4 | 3.500 | % | 4/25/48 | 813,740 | 811,101 | (a)(f) | ||||||||||
GE Capital Commercial Mortgage Corp.,2007-C1 AJ | 5.677 | % | 12/10/49 | 110,000 | 26,557 | (f) | ||||||||||
GS Mortgage Securities Corp. II, 2018-SRP5 C (1 mo. USD LIBOR + 3.750%) | 6.223 | % | 9/15/31 | 8,150,000 | 8,170,049 | (a)(f) | ||||||||||
IMPAC Secured Assets Corp.,2006-3 A7 (1 mo. USD LIBOR + 0.270%) | 2.747 | % | 11/25/36 | 1,641,037 | 1,245,540 | (f) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2006-LDP7 AJ | 6.278 | % | 4/17/45 | 193,006 | 106,104 | (f) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2006-LDP9 AJS | 5.386 | % | 5/15/47 | 242,173 | 97,571 | (f) |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 19 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (i) — continued | ||||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2018-PHMZ M (1 mo. USD LIBOR + 8.208%) | 10.680 | % | 6/15/35 | 10,570,000 | $ | 10,521,959 | (a)(f) | |||||||||
LB-UBS Commercial Mortgage Trust,2006-C6 AJ | 5.452 | % | 9/15/39 | 616,276 | 434,699 | (f) | ||||||||||
ML-CFC Commercial Mortgage Trust,2007-5 AJ | 5.450 | % | 8/12/48 | 267,505 | 187,254 | (f) | ||||||||||
ML-CFC Commercial Mortgage Trust,2007-9 AJ | 6.193 | % | 9/12/49 | 119,612 | 77,147 | (f) | ||||||||||
Morgan Stanley Capital I Trust, 2006- IQ12 AJ | 5.399 | % | 12/15/43 | 337,051 | 254,988 | |||||||||||
Residential Asset Securitization Trust,2005-A15 1A4 | 5.750 | % | 2/25/36 | 156,969 | 157,259 | |||||||||||
Residential Asset Securitization Trust,2005-A15 2A11, IO(-1.000 x 1 mo. USD LIBOR + 5.550%) | 3.073 | % | 2/25/36 | 2,043,467 | 312,395 | (f) | ||||||||||
Sequoia Mortgage Trust,2004-3 M1 (1 mo. USD LIBOR + 0.750%) | 3.237 | % | 5/20/34 | 226,083 | 207,250 | (f) | ||||||||||
Starwood Retail Property Trust, 2014- STAR E (1 mo. USD LIBOR + 4.150%) | 6.623 | % | 11/15/27 | 5,070,000 | 3,924,155 | (a)(f) | ||||||||||
UBS-Barclays Commercial Mortgage Trust,2012-C2 G | 5.000 | % | 5/10/63 | 310,000 | 203,177 | (a)(f) | ||||||||||
UBS-Barclays Commercial Mortgage Trust,2012-C2 H | 5.000 | % | 5/10/63 | 550,000 | 229,341 | (a)(f) | ||||||||||
Wachovia Bank Commercial Mortgage Trust,2007-C33 AJ | 5.899 | % | 2/15/51 | 2,622,992 | 2,286,593 | (f) | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust,2005-4 CB9 (1 mo. USD LIBOR + 0.400%) | 2.877 | % | 6/25/35 | 130,532 | 111,139 | (f) | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR17 A1C3 (1 mo. USD LIBOR + 0.480%) | 2.957 | % | 12/25/45 | 2,966,810 | 2,186,097 | (f) | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust,2006-AR3 A1B (Federal Reserve US 12 mo. Cumulative Avg 1 Year CMT + 1.000%) | 3.445 | % | 2/25/46 | 2,929,543 | 2,715,317 | (f) | ||||||||||
Total Collateralized Mortgage Obligations (Cost — $77,180,075) |
| 79,156,277 | ||||||||||||||
U.S. Treasury Inflation Protected Securities — 4.3% | ||||||||||||||||
U.S. Treasury Bonds, Inflation Indexed | 0.750 | % | 2/15/45 | 6,730,469 | 6,420,581 | |||||||||||
U.S. Treasury Bonds, Inflation Indexed | 1.000 | % | 2/15/49 | 53,752,400 | 54,603,733 | |||||||||||
Total U.S. Treasury Inflation Protected Securities (Cost — $60,233,862) |
| 61,024,314 | ||||||||||||||
Asset-Backed Securities — 2.6% | ||||||||||||||||
Aegis Asset Backed Securities Trust,2003-3 M2 (1 mo. USD LIBOR + 2.475%) | 4.952 | % | 1/25/34 | 431,984 | 415,377 | (f) | ||||||||||
Applebee’s Funding LLC/IHOP Funding LLC,2014-1 A2 | 4.277 | % | 9/5/44 | 3,041,500 | 3,035,453 | (a) | ||||||||||
Bayview Financial Mortgage Pass-Through Trust,2006-C 2A3 (1 mo. USD LIBOR + 0.290%) | 2.769 | % | 11/28/36 | 2,992,567 | 2,894,271 | (f) | ||||||||||
Community Funding CLO,2015-1A A | 5.750 | % | 11/1/27 | 1,762,495 | 1,780,767 | (a) | ||||||||||
Conseco Finance Corp.,1996-4 M1 | 7.750 | % | 6/15/27 | 3,670,869 | 3,704,875 | (f) | ||||||||||
CreditShop Credit Card Co. LLC,2017-1 B (1 mo. USD LIBOR + 8.000%) | 10.460 | % | 10/15/22 | 4,233,315 | 4,269,493 | (a)(f) | ||||||||||
Ford Credit Floorplan Master Owner Trust,2018-4 A | 4.060 | % | 11/15/30 | 3,330,000 | 3,458,470 | |||||||||||
Hertz Vehicle Financing II LP,2018-1A A | 3.290 | % | 2/25/24 | 2,060,000 | 2,064,004 | (a) | ||||||||||
Mill City Solar Loan Ltd.,2019-1A A | 4.340 | % | 3/20/43 | 5,413,771 | 5,462,479 | (a) |
See Notes to Financial Statements.
20 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Asset-Backed Securities — continued | ||||||||||||||||
Option One Mortgage Loan Trust, 2007-FXD1 2A1 | 5.866 | % | 1/25/37 | 3,648,776 | $ | 3,450,049 | ||||||||||
Popular ABS Mortgage Pass-Through Trust,2005-2 M2 | 5.717 | % | 4/25/35 | 4,641,918 | 3,200,428 | |||||||||||
Residential Asset Mortgage Products Inc.,2006-RZ3 M1 (1 mo. USD LIBOR + 0.350%) | 2.827 | % | 8/25/36 | 2,160,000 | 2,147,535 | (f) | ||||||||||
Total Asset-Backed Securities (Cost — $35,740,593) |
| 35,883,201 | ||||||||||||||
Non-U.S. Treasury Inflation Protected Securities — 2.4% |
| |||||||||||||||
Argentina — 0.4% | ||||||||||||||||
Bonos de la Nacion Argentina con Ajuste por CER, Bonds | 4.000 | % | 3/6/20 | 288,174,415 | ARS | 5,683,821 | ||||||||||
Brazil — 0.3% | ||||||||||||||||
Brazil Notas do Tesouro Nacional Series B, Notes | 6.000 | % | 8/15/50 | 15,617,065 | BRL | 4,985,973 | ||||||||||
Japan — 1.7% | ||||||||||||||||
Japanese Government CPI Linked Bond, Senior Notes | 0.100 | % | 3/10/24 | 966,270,000 | JPY | 8,891,124 | ||||||||||
Japanese Government CPI Linked Bond, Senior Notes | 0.100 | % | 3/10/25 | 477,123,000 | JPY | 4,411,658 | ||||||||||
Japanese Government CPI Linked Bond, Senior Notes | 0.100 | % | 3/10/26 | 1,112,350,932 | JPY | 10,335,143 | ||||||||||
Total Japan | 23,637,925 | |||||||||||||||
TotalNon-U.S. Treasury Inflation Protected Securities (Cost — $42,025,467) |
| 34,307,719 | ||||||||||||||
Senior Loans — 2.4% | ||||||||||||||||
Communication Services — 0.5% | ||||||||||||||||
Diversified Telecommunication Services — 0.2% | ||||||||||||||||
CenturyLink Inc., Initial Term Loan B (1 mo. USD LIBOR + 2.750%) | 5.233 | % | 1/31/25 | 498,687 | 496,349 | (f)(j)(k) | ||||||||||
Level 3 Financing Inc., 2024 Term Loan B (1 mo. USD LIBOR + 2.250%) | 4.733 | % | 2/22/24 | 1,250,000 | 1,252,604 | (f)(j)(k) | ||||||||||
Securus Technologies Holdings Inc., First Lien Initial Term Loan | — | 11/1/24 | 870,000 | 857,820 | (l) | |||||||||||
Virgin Media Bristol LLC, Term Loan Facility K | — | 1/15/26 | 360,000 | 361,266 | (l) | |||||||||||
Total Diversified Telecommunication Services |
| 2,968,039 | ||||||||||||||
Media — 0.3% | ||||||||||||||||
CBS Radio Inc., Term Loan B1 (1 mo. USD LIBOR + 2.750%) | 5.229 | % | 11/18/24 | 84,522 | 84,601 | (f)(j)(k) | ||||||||||
Charter Communications Operating LLC, Term Loan B (1 mo. USD LIBOR + 2.000%) | 4.490 | % | 4/30/25 | 1,403,286 | 1,408,544 | (f)(j)(k) | ||||||||||
Numericable U.S. LLC, USD Term Loan B12 (1 mo. USD LIBOR + 3.688%) | 6.160 | % | 1/31/26 | 923,930 | 907,761 | (d)(f)(j)(k) | ||||||||||
Univision Communications Inc., 2017 Replacement Term Loan (1 mo. USD LIBOR + 2.750%) | 5.233 | % | 3/15/24 | 1,517,409 | 1,463,115 | (f)(j)(k) | ||||||||||
UPC Financing Partnership, Term Loan Facility AR (1 mo. USD LIBOR + 2.500%) | 4.973 | % | 1/15/26 | 674,658 | 675,689 | (f)(j)(k) | ||||||||||
Total Media | 4,539,710 | |||||||||||||||
Total Communication Services | 7,507,749 |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 21 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Consumer Discretionary — 0.6% | ||||||||||||||||
Diversified Consumer Services — 0.1% | ||||||||||||||||
Prime Security Services Borrower LLC, Term Loan B1 (1 mo. USD LIBOR + 2.750%) | 5.233 | % | 5/2/22 | 960,451 | $ | 963,149 | (f)(j)(k)(l) | |||||||||
Hotels, Restaurants & Leisure — 0.4% | ||||||||||||||||
1011778 BC Unlimited Liability Co., Term Loan B3 (1 mo. USD LIBOR + 2.250%) | 4.733 | % | 2/16/24 | 1,125,491 | 1,125,491 | (f)(j)(k) | ||||||||||
Alterra Mountain Co., Initial Term Loan | — | 7/31/24 | 290,000 | 290,995 | (l) | |||||||||||
Aramark Services Inc., USD Term Loan B3 (1 mo. USD LIBOR + 1.750%) | 4.233 | % | 3/11/25 | 1,212,461 | 1,212,967 | (f)(j)(k) | ||||||||||
Caesars Resort Collection LLC, Term Loan B (1 mo. USD LIBOR + 2.750%) | 5.233 | % | 12/23/24 | 1,205,003 | 1,210,369 | (f)(j)(k)(l) | ||||||||||
Golden Nugget Inc., Term Loan B (1 mo. USD LIBOR + 2.750%) | 5.223-5.233 | % | 10/4/23 | 635,002 | 637,326 | (f)(j)(k) | ||||||||||
Hilton Worldwide Finance LLC, Term Loan B2 (1 mo. USD LIBOR + 1.750%) | 4.227 | % | 10/25/23 | 469,506 | 471,756 | (f)(j)(k) | ||||||||||
Scientific Games International Inc., Initial Term Loan B5 (1 mo. USD LIBOR + 2.750%) | 5.233 | % | 8/14/24 | 1,408,741 | 1,408,154 | (f)(j)(k)(l) | ||||||||||
Total Hotels, Restaurants & Leisure | 6,357,058 | |||||||||||||||
Specialty Retail — 0.1% | ||||||||||||||||
Michaels Stores Inc., 2018 New Replacement Term Loan B (1 mo. USD LIBOR + 2.500%) | 4.983-4.987 | % | 1/30/23 | 1,322,932 | 1,318,383 | (f)(j)(k) | ||||||||||
Total Consumer Discretionary | 8,638,590 | |||||||||||||||
Consumer Staples — 0.1% | ||||||||||||||||
Food & Staples Retailing — 0.1% | ||||||||||||||||
Albertson’s LLC, 2017 Replacement Term Loan B5 | — | 12/21/22 | 360,000 | 361,012 | (l) | |||||||||||
Albertson’s LLC, 2017 Replacement Term Loan B6 | — | 6/22/23 | 540,000 | 541,350 | (l) | |||||||||||
Total Food & Staples Retailing | 902,362 | |||||||||||||||
Food Products — 0.0% | ||||||||||||||||
Post Holdings Inc., Replacement Incremental Term Loan A (1 mo. USD LIBOR + 2.000%) | 4.481 | % | 5/24/24 | 816,904 | 817,528 | (f)(j)(k) | ||||||||||
Total Consumer Staples | 1,719,890 | |||||||||||||||
Financials — 0.2% | ||||||||||||||||
Capital Markets — 0.1% | ||||||||||||||||
Edelman Financial Center LLC, First Lien Initial Term Loan | — | 7/21/25 | 370,000 | 371,434 | (l) | |||||||||||
RPI Finance Trust, Initial Term Loan B6 | — | 3/27/23 | 300,000 | 300,750 | (l) | |||||||||||
Total Capital Markets | 672,184 | |||||||||||||||
Diversified Financial Services — 0.1% | ||||||||||||||||
Intelsat Jackson Holdings SA, Term Loan B3 (1 mo. USD LIBOR + 3.750%) | 6.229 | % | 11/27/23 | 260,000 | 259,228 | (f)(j)(k) | ||||||||||
Jane Street Group LLC, New Term Loan | — | 8/25/22 | 340,000 | 340,106 | (l) |
See Notes to Financial Statements.
22 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Diversified Financial Services — continued | ||||||||||||||||
TKC Holdings Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 3.750%) | 6.240 | % | 2/1/23 | 990,000 | $ | 985,050 | (f)(j)(k)(l) | |||||||||
Total Diversified Financial Services | 1,584,384 | |||||||||||||||
Insurance — 0.0% | ||||||||||||||||
Asurion LLC, New Term Loan B7 | — | 11/3/24 | 570,000 | 572,612 | (l) | |||||||||||
Total Financials | 2,829,180 | |||||||||||||||
Health Care — 0.4% | ||||||||||||||||
Health Care Providers & Services — 0.2% | ||||||||||||||||
Jaguar Holding Co. II, 2018 Term Loan (1 mo. USD LIBOR + 2.500%) | 4.983 | % | 8/18/22 | 1,160,173 | 1,155,305 | (f)(j)(k) | ||||||||||
LifePoint Health Inc., First Lien Term Loan B | — | 11/16/25 | 1,040,000 | 1,048,125 | (l) | |||||||||||
MPH Acquisition Holdings LLC, Initial Term Loan (3 mo. USD LIBOR + 2.750%) | 5.351 | % | 6/7/23 | 546,295 | 541,771 | (f)(j)(k) | ||||||||||
Phoenix Guarantor Inc., First Lien Delayed Draw Term Loan | 0.500 | % | 3/5/26 | 15,000 | 15,089 | (f)(j)(k) | ||||||||||
Phoenix Guarantor Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 4.500%) | 6.977 | % | 3/5/26 | 165,000 | 165,980 | (f)(j)(k) | ||||||||||
Total Health Care Providers & Services | 2,926,270 | |||||||||||||||
Health Care Technology — 0.1% | ||||||||||||||||
AthenaHealth Inc., First Lien Term Loan B (3 mo. USD LIBOR + 4.500%) | 7.197 | % | 2/11/26 | 240,000 | 241,875 | (f)(j)(k) | ||||||||||
Change Healthcare Holdings LLC, Closing Date Term Loan (1 mo. USD LIBOR + 2.750%) | 5.233 | % | 3/1/24 | 1,381,139 | 1,382,495 | (f)(j)(k)(l) | ||||||||||
Total Health Care Technology | 1,624,370 | |||||||||||||||
Pharmaceuticals — 0.1% | ||||||||||||||||
Bausch Health Cos. Inc., Initial Term Loan (1 mo. USD LIBOR + 3.000%) | 5.474 | % | 6/2/25 | 320,000 | 321,325 | (f)(j)(k) | ||||||||||
Total Health Care | 4,871,965 | |||||||||||||||
Industrials — 0.1% | ||||||||||||||||
Air Freight & Logistics — 0.1% | ||||||||||||||||
Avolon TLB Borrower 1 (US) LLC, Term Loan B3 (1 mo. USD LIBOR + 2.000%) | 4.487 | % | 1/15/25 | 753,579 | 754,460 | (f)(j)(k) | ||||||||||
Professional Services — 0.0% | ||||||||||||||||
Trans Union LLC, 2017 Replacement Term Loan B3 (1 mo. USD LIBOR + 2.000%) | 4.483 | % | 4/10/23 | 482,362 | 483,352 | (f)(j)(k) | ||||||||||
Total Industrials | 1,237,812 | |||||||||||||||
Information Technology — 0.2% | ||||||||||||||||
IT Services — 0.1% | ||||||||||||||||
First Data Corp., 2022 New Dollar Term Loan D (1 mo. USD LIBOR + 2.000%) | 4.481 | % | 7/8/22 | 135,658 | 135,768 | (f)(j)(k) |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 23 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
IT Services — continued | ||||||||||||||||
First Data Corp., 2024 New Dollar Term Loan A (1 mo. USD LIBOR + 2.000%) | 4.481 | % | 4/26/24 | 1,106,178 | $ | 1,107,292 | (f)(j)(k) | |||||||||
Total IT Services | 1,243,060 | |||||||||||||||
Software — 0.1% | ||||||||||||||||
Dell International LLC, Refinancing Term Loan B (1 mo. USD LIBOR + 2.000%) | 4.900 | % | 9/7/23 | 775,548 | 777,002 | (f)(j)(k) | ||||||||||
DigiCert Holdings Inc., First Lien Term Loan | — | 10/31/24 | 500,000 | 501,172 | (l) | |||||||||||
Total Software | 1,278,174 | |||||||||||||||
Total Information Technology | 2,521,234 | |||||||||||||||
Materials — 0.2% | ||||||||||||||||
Containers & Packaging — 0.2% | ||||||||||||||||
Berry Global Inc., Term Loan Q (1 mo. USD LIBOR + 2.000%) | 4.481 | % | 10/3/22 | 925,049 | 924,827 | (f)(j)(k) | ||||||||||
Berry Global Inc., Term Loan R (1 mo. USD LIBOR + 2.000%) | 4.481 | % | 1/19/24 | 310,251 | 309,687 | (f)(j)(k) | ||||||||||
Reynolds Group Holdings Inc., Incremental Term Loan (1 mo. USD LIBOR + 2.750%) | 5.233 | % | 2/6/23 | 1,187,207 | 1,191,851 | (f)(j)(k)(l) | ||||||||||
Total Materials | 2,426,365 | |||||||||||||||
Real Estate — 0.1% | ||||||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||||||||
MGM Growth Properties Operating Partnership LP, Term Loan B (1 mo. USD LIBOR + 2.000%) | 4.483 | % | 3/21/25 | 887,835 | 888,628 | (f)(j)(k) | ||||||||||
Real Estate Management & Development — 0.0% | ||||||||||||||||
CityCenter Holdings LLC, Refinancing Term Loan | — | 4/18/24 | 840,000 | 840,150 | (l) | |||||||||||
Total Real Estate | 1,728,778 | |||||||||||||||
Total Senior Loans (Cost — $33,528,559) | 33,481,563 | |||||||||||||||
Municipal Bonds — 0.4% | ||||||||||||||||
California — 0.0% | ||||||||||||||||
Morongo Band of Mission Indians, CA, Revenue, Tribal Economic Development, Series A | 7.000 | % | 10/1/39 | 360,000 | 373,158 | (a) | ||||||||||
Illinois — 0.3% | ||||||||||||||||
Chicago, IL, GO, Taxable Project, Series B, Refunding | 6.314 | % | 1/1/44 | 1,050,000 | 1,069,015 | |||||||||||
State of Illinois, GO | 5.100 | % | 6/1/33 | 2,925,000 | 2,877,352 | |||||||||||
Total Illinois | 3,946,367 | |||||||||||||||
Michigan — 0.0% | ||||||||||||||||
Detroit, MI, GO, Financial Recovery, Series B1 | 4.000 | % | 4/1/44 | 820,000 | 717,968 | |||||||||||
New Jersey — 0.1% | ||||||||||||||||
New Jersey State Transportation Trust Fund Authority, Build America Bond | 6.561 | % | 12/15/40 | 820,000 | 1,065,475 | |||||||||||
Total Municipal Bonds (Cost — $5,806,070) | 6,102,968 |
See Notes to Financial Statements.
24 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Security | Expiration Date | Contracts | Notional Amount† | Value | ||||||||||||
Purchased Options — 0.3% | ||||||||||||||||
Exchange-Traded Purchased Options — 0.1% | ||||||||||||||||
Australian Dollar Futures, Call @ $71.00 | 5/3/19 | 53 | 53,000 | $ | 4,770 | |||||||||||
Australian Dollar Futures, Call @ $76.00 | 5/3/19 | 106 | 106,000 | 530 | ||||||||||||
Canadian Dollar Futures, Call @ $75.00 | 6/7/19 | 27 | 27,000 | 10,260 | ||||||||||||
Euro Currency Futures, Call @ $1.13 | 5/3/19 | 133 | 16,625,000 | 26,600 | ||||||||||||
Euro Currency Futures, Call @ $1.14 | 5/3/19 | 223 | 27,875,000 | 16,725 | ||||||||||||
Euro Currency Futures, Call @ $1.15 | 5/3/19 | 83 | 10,375,000 | 519 | ||||||||||||
Euro Currency Futures, Call @ $1.13 | 6/7/19 | 81 | 10,125,000 | 63,788 | ||||||||||||
Euro Currency Futures, Call @ $1.14 | 6/7/19 | 81 | 10,125,000 | 30,375 | ||||||||||||
Euro Currency Futures, Call @ $1.14 | 6/7/19 | 108 | 13,500,000 | 59,400 | ||||||||||||
Euro Currency Futures, Put @ $1.07 | 5/3/19 | 127 | 15,875,000 | 794 | ||||||||||||
Euro Currency Futures, Put @ $1.14 | 5/3/19 | 26 | 3,250,000 | 28,925 | ||||||||||||
Euro-Bund Futures, Call @ 169.50 EUR | 5/24/19 | 165 | 16,500,000 | (2,062 | ) | |||||||||||
Euro-Bund Futures, Call @ 171.50 EUR | 5/24/19 | 400 | 40,000,000 | 4,486 | ||||||||||||
Euro-Bund Futures, Call @ 175.50 EUR | 5/24/19 | 1,088 | 108,800,000 | (13,893 | ) | |||||||||||
Euro-Bund Futures, Call @ 176.00 EUR | 5/24/19 | 3,483 | 348,300,000 | (44,477 | ) | |||||||||||
Euro-OAT Futures, Call @ 166.00 EUR | 5/24/19 | 617 | 61,700,000 | 6,920 | ||||||||||||
Japanese Yen Currency Futures, Put @ $84.50 | 6/7/19 | 382 | 477,500 | 2,387 | ||||||||||||
U.S. Treasury2-Year Notes Futures, Put @ $105.00 | 5/24/19 | 497 | 994,000 | 0 | (e) | |||||||||||
U.S. Treasury2-Year Notes Futures, Put @ $105.25 | 5/24/19 | 2,142 | 4,284,000 | 0 | (e) | |||||||||||
U.S. Treasury2-Year Notes Futures, Put @ $105.63 | 5/24/19 | 52 | 104,000 | 0 | (e) | |||||||||||
U.S. Treasury5-Year Notes Futures, Call @ $115.25 | 5/24/19 | 54 | 54,000 | 27,844 | ||||||||||||
U.S. Treasury5-Year Notes Futures, Call @ $116.00 | 6/21/19 | 54 | 54,000 | 17,297 | ||||||||||||
U.S. Treasury5-Year Notes Futures, Put @ $111.75 | 5/24/19 | 2,056 | 2,056,000 | 0 | (e) | |||||||||||
U.S. Treasury5-Year Notes Futures, Put @ $112.00 | 5/24/19 | 1,978 | 1,978,000 | 0 | (e) | |||||||||||
U.S. Treasury5-Year Notes Futures, Put @ $112.50 | 5/24/19 | 3,253 | 3,253,000 | 25,416 | ||||||||||||
U.S. Treasury5-Year Notes Futures, Put @ $113.25 | 5/24/19 | 2,111 | 2,111,000 | 32,984 | ||||||||||||
U.S. Treasury5-Year Notes Futures, Put @ $113.75 | 5/24/19 | 517 | 517,000 | 8,078 | ||||||||||||
U.S. Treasury10-Year Notes Futures, Call @ $123.50 | 5/24/19 | 81 | 81,000 | 43,031 | ||||||||||||
U.S. Treasury10-Year Notes Futures, Call @ $123.75 | 5/24/19 | 81 | 81,000 | 32,906 | ||||||||||||
U.S. Treasury10-Year Notes Futures, Call @ $127.50 | 5/24/19 | 371 | 371,000 | 5,797 | ||||||||||||
U.S. Treasury10-Year Notes Futures, Call @ $128.00 | 5/24/19 | 1,025 | 1,025,000 | 16,016 | ||||||||||||
U.S. Treasury10-Year Notes Futures, Call @ $128.50 | 5/24/19 | 2,974 | 2,974,000 | 46,469 | ||||||||||||
U.S. Treasury10-Year Notes Futures, Call @ $129.00 | 5/24/19 | 317 | 317,000 | 4,953 | ||||||||||||
U.S. Treasury10-Year Notes Futures, Call @ $129.50 | 5/24/19 | 475 | 475,000 | 7,422 | ||||||||||||
U.S. Treasury10-Year Notes Futures, Call @ $130.00 | 5/24/19 | 500 | 500,000 | 0 | (e) | |||||||||||
U.S. Treasury10-Year Notes Futures, Call @ $133.50 | 5/24/19 | 2,201 | 2,201,000 | 0 | (e) | |||||||||||
U.S. Treasury10-Year Notes Futures, Call @ $135.00 | 5/24/19 | 1,570 | 1,570,000 | 0 | (e) |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 25 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
Security | Expiration Date | Contracts | Notional Amount† | Value | ||||||||||||||
Exchange-Traded Purchased Options — continued |
| |||||||||||||||||
U.S. Treasury10-Year Notes Futures, Call @ $135.50 | 5/24/19 | 2,541 | 2,541,000 | $ | 0 | (e) | ||||||||||||
U.S. Treasury10-Year Notes Futures, Call @ $136.50 | 5/24/19 | 5,847 | 5,847,000 | 0 | (e) | |||||||||||||
U.S. Treasury10-Year Notes Futures, Call @ $133.00 | 6/21/19 | 787 | 787,000 | 122,969 | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call @ $146.00 | 5/24/19 | 27 | 27,000 | 48,516 | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call @ $147.00 | 5/24/19 | 167 | 167,000 | 185,266 | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call @ $147.50 | 5/24/19 | 230 | 230,000 | 194,062 | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put @ $134.00 | 5/24/19 | 2,599 | 2,599,000 | 0 | (e) | |||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put @ $134.50 | 5/24/19 | 1,248 | 1,248,000 | 19,500 | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put @ $135.00 | 5/24/19 | 1,582 | 1,582,000 | 24,719 | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put @ $136.00 | 5/24/19 | 397 | 397,000 | 6,203 | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put @ $136.50 | 5/24/19 | 640 | 640,000 | 10,000 | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put @ $137.00 | 5/24/19 | 1,632 | 1,632,000 | 25,500 | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put @ $138.00 | 5/24/19 | 406 | 406,000 | 6,344 | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put @ $147.00 | 5/24/19 | 135 | 135,000 | 86,484 | ||||||||||||||
Total Exchange-Traded Purchased Options | 1,193,823 | |||||||||||||||||
Counterparty | ||||||||||||||||||
OTC Purchased Options — 0.2% |
| |||||||||||||||||
Credit default swaption with BNP Paribas SA to buy protection on Markit CDX.NA.IG.32 Index, Put @ 130.00 bps | BNP Paribas SA | 5/15/19 | 400,000,000 | 400,000,000 | 565 | |||||||||||||
U.S. Dollar/Brazilian Real, Put @ 3.80 BRL | Goldman Sachs Group Inc. | 6/11/19 | 13,600,000 | 13,600,000 | 69,952 | |||||||||||||
U.S. Dollar/Colombian Peso, Put @ 3,040.00 COP | Goldman Sachs Group Inc. | 5/29/19 | 19,900,000 | 19,900,000 | 2,926 | |||||||||||||
U.S. Dollar/Euro, Call @ $1.15 | JPMorgan Chase & Co. | 10/21/19 | 14,900,000 | 14,900,000 | 281,985 | |||||||||||||
U.S. Dollar/Euro, Put @ $1.16 | Goldman Sachs Group Inc. | 6/21/19 | 13,740,000 | 13,740,000 | 13,703 | |||||||||||||
U.S. Dollar/Euro, Put @ $1.12 | Barclays Bank PLC | 7/24/19 | 8,990,000 | 8,990,000 | 106,071 | |||||||||||||
U.S. Dollar/Euro, Put @ $1.13 | BNP Paribas SA | 7/24/19 | 18,580,000 | 18,580,000 | 219,221 | |||||||||||||
U.S. Dollar/Indian Rupee, Put @ 71.33 INR | BNP Paribas SA | 7/29/19 | 13,560,000 | 13,560,000 | 292,006 | |||||||||||||
U.S. Dollar/Indian Rupee, Put @ 71.50 INR | Barclays Bank PLC | 9/5/19 | 15,040,000 | 15,040,000 | 333,483 | |||||||||||||
U.S. Dollar/Indian Rupee, Put @ 62.50 INR | Citibank N.A. | 5/13/20 | 75,900,000 | 75,900,000 | 37,096 |
See Notes to Financial Statements.
26 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Security | Counterparty | Expiration Date | Contracts | Notional Amount† | Value | |||||||||||||||
OTC Purchased Options — continued |
| |||||||||||||||||||
U.S. Dollar/Mexican Peso, Put @ 19.40 MXN | | Barclays Bank PLC | | 7/25/19 | 14,110,000 | 14,110,000 | $ | 348,784 | ||||||||||||
U.S. Dollar/Russian Ruble, Put @ 64.97 RUB | Citibank N.A. | 5/28/19 | 19,500,000 | 19,500,000 | 211,929 | |||||||||||||||
U.S. Dollar/Russian Ruble, Put @ 65.15 RUB | | Goldman Sachs Group Inc. | | 6/20/19 | 28,440,000 | 28,440,000 | 424,187 | |||||||||||||
U.S. Dollar/Russian Ruble, Put @ 65.51 RUB | Citibank N.A. | 7/25/19 | 14,640,000 | 14,640,000 | 303,623 | |||||||||||||||
U.S. Dollar/Turkish Lira, Put @ 5.43 TRY | | Goldman Sachs Group Inc. | | 6/14/19 | 10,500,000 | 10,500,000 | 10,925 | |||||||||||||
Total OTC Purchased Options |
| 2,656,456 | ||||||||||||||||||
Total Purchased Options (Cost — $5,485,652) |
| 3,850,279 | ||||||||||||||||||
Shares | ||||||||||||||||||||
Common Stocks — 0.1% | ||||||||||||||||||||
Energy — 0.1% | ||||||||||||||||||||
Oil, Gas & Consumable Fuels — 0.1% |
| |||||||||||||||||||
Berry Petroleum Corp. | 40,027 | 454,707 | ||||||||||||||||||
Montage Resources Corp. | 25,268 | 280,980 | * | |||||||||||||||||
Total Common Stocks (Cost — $2,305,301) |
| 735,687 | ||||||||||||||||||
Rate | ||||||||||||||||||||
Preferred Stocks — 0.0% | ||||||||||||||||||||
Financials — 0.0% | ||||||||||||||||||||
Banks — 0.0% | ||||||||||||||||||||
GMAC Capital Trust I (3 mo. USD LIBOR + 5.785%) (Cost — $398,161) |
| 8.469% | 15,225 | 400,417 | (f) | |||||||||||||||
Total Investments before Short-Term Investments (Cost — $1,302,278,686) |
| 1,265,478,751 | ||||||||||||||||||
Short-Term Investments — 2.5% | ||||||||||||||||||||
Western Asset Government Cash Management Portfolio LLC (Cost — $35,154,489) |
| 2.470% | 35,154,489 | 35,154,489 | (m) | |||||||||||||||
Total Investments — 92.5% (Cost — $1,337,433,175) |
| 1,300,633,240 | ||||||||||||||||||
Other Assets in Excess of Liabilities — 7.5% |
| 105,999,764 | ||||||||||||||||||
Total Net Assets — 100.0% | $ | 1,406,633,004 |
† | Face amount/notional amount denominated in U.S. dollars, unless otherwise noted. |
* | Non-income producing security. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 27 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
(b) | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
(c) | Security is valued in good faith in accordance with procedures approved by the Board of Directors (Note 1). |
(d) | Security is valued using significant unobservable inputs (Note 1). |
(e) | Value is less than $1. |
(f) | 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. |
(g) | Security has no maturity date. The date shown represents the next call date. |
(h) | Securities traded on a when-issued or delayed delivery basis. |
(i) | 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. |
(j) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
(k) | Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(l) | All or a portion of this loan is unfunded as of April 30, 2019. The interest rate for fully unfunded term loans is to be determined. |
(m) | 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. At April 30, 2019, the total market value of investments in Affiliated Companies was $35,154,489 and the cost was $35,154,489 (Note 8). |
Abbreviations used in this schedule: | ||
ARS | — Argentine Peso | |
AUD | — Australian Dollar | |
bps | — basis point spread. 100 basis points = 1.00% | |
BRL | — Brazilian Real | |
CAS | — Connecticut Avenue Securities | |
CER | — Coeficente de Establilzacion de Referencia | |
CLO | — Collateral Loan Obligation | |
CMT | — Constant Maturity Treasury | |
CNY | — Chinese Yuan Renminbi | |
COP | — Colombian Peso | |
CPI | — Consumer Price Index | |
EGP | — Egyptian Pound | |
EUR | — Euro | |
GBP | — British Pound | |
GO | — General Obligation | |
ICE | — Intercontinental Exchange | |
IDR | — Indonesian Rupiah |
See Notes to Financial Statements.
28 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Abbreviations used in this schedule(cont’d): | ||
INR | — Indian Rupee | |
IO | — Interest Only | |
JPY | — Japanese Yen | |
LIBOR | — London Interbank Offered Rate | |
MXN | — Mexican Peso | |
RUB | — Russian Ruble | |
TRY | — Turkish Lira | |
USD | — United States Dollar | |
ZAR | — South African Rand |
Schedule of Written Options | ||||||||||||||||||||
Exchange-Traded Written Options |
| |||||||||||||||||||
Security | Expiration Date | Strike Price | Contracts | Notional Amount† | Value | |||||||||||||||
Canadian Dollar Futures, Call | 5/3/19 | $ | 75.50 | 53 | 53,000 | $ | (795) | |||||||||||||
Euro Currency Futures, Call | 5/3/19 | 1.14 | 27 | 3,375,000 | (675) | |||||||||||||||
Euro Currency Futures, Call | 6/7/19 | 1.15 | 53 | 6,625,000 | (9,275) | |||||||||||||||
Euro-Bund Futures, Call | 5/24/19 | 165.00 | EUR | 189 | 18,900,000 | (50,228) | ||||||||||||||
Euro-Bund Futures, Call | 5/24/19 | 165.50 | EUR | 108 | 10,800,000 | (11,047) | ||||||||||||||
Euro-Bund Futures, Call | 5/24/19 | 166.00 | EUR | 54 | 5,400,000 | 23,632 | ||||||||||||||
Euro-Bund Futures, Put | 5/24/19 | 162.50 | EUR | 211 | 21,100,000 | 34,345 | ||||||||||||||
Euro-Bund Futures, Put | 5/24/19 | 163.50 | EUR | 105 | 10,500,000 | (14,132) | ||||||||||||||
Euro-Bund Futures, Put | 5/24/19 | 164.00 | EUR | 52 | 5,200,000 | 11,667 | ||||||||||||||
Euro-Bund Futures, Put | 5/24/19 | 164.50 | EUR | 270 | 27,000,000 | 40,201 | ||||||||||||||
Euro-Bund Futures, Put | 5/24/19 | 165.00 | EUR | 216 | 21,600,000 | 11,385 | ||||||||||||||
U.S. Treasury5-Year Notes Futures, Call | 5/24/19 | 115.50 | 270 | 270,000 | (97,031) | |||||||||||||||
U.S. Treasury5-Year Notes Futures, Call | 5/24/19 | 116.00 | 324 | 324,000 | (50,625) | |||||||||||||||
U.S. Treasury5-Year Notes Futures, Call | 6/21/19 | 116.75 | 108 | 108,000 | (14,344) | |||||||||||||||
U.S. Treasury5-Year Notes Futures, Put | 5/24/19 | 115.00 | 160 | 160,000 | (11,250) | |||||||||||||||
U.S. Treasury5-Year Notes Futures, Put | 5/24/19 | 115.25 | 266 | 266,000 | (33,250) | |||||||||||||||
U.S. Treasury5-Year Notes Futures, Put | 6/21/19 | 115.25 | 108 | 108,000 | (23,625) | |||||||||||||||
U.S. Treasury10-Year Notes Futures, Call | 5/24/19 | 123.00 | 250 | 250,000 | (214,844) | |||||||||||||||
U.S. Treasury10-Year Notes Futures, Call | 5/24/19 | 124.00 | 405 | 405,000 | (120,234) | |||||||||||||||
U.S. Treasury10-Year Notes Futures, Call | 5/24/19 | 124.50 | 1,196 | 1,196,000 | (186,875) | |||||||||||||||
U.S. Treasury10-Year Notes Futures, Call | 5/24/19 | 125.00 | 1,285 | 1,285,000 | (120,469) | |||||||||||||||
U.S. Treasury10-Year Notes Futures, Call | 5/24/19 | 127.00 | 1 | 1,000 | (31) | |||||||||||||||
U.S. Treasury10-Year Notes Futures, Call | 6/21/19 | 124.00 | 271 | 271,000 | (165,141) | |||||||||||||||
U.S. Treasury10-Year Notes Futures, Call | 6/21/19 | 124.50 | 272 | 272,000 | (110,500) | |||||||||||||||
U.S. Treasury10-Year Notes Futures, Call | 6/21/19 | 125.00 | 244 | 244,000 | (68,625) | |||||||||||||||
U.S. Treasury10-Year Notes Futures, Put | 5/24/19 | 122.75 | 81 | 81,000 | (10,125) | |||||||||||||||
U.S. Treasury10-Year Notes Futures, Put | 5/24/19 | 123.00 | 493 | 493,000 | (92,438) |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 29 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
Schedule of Written Options(cont’d) | ||||||||||||||||||||||
Security | Expiration Date | Strike Price | Contracts | Notional Amount† | Value | |||||||||||||||||
U.S. Treasury10-Year Notes Futures, Put | 5/24/19 | $ | 123.50 | 503 | 503,000 | $ | (180,766) | |||||||||||||||
U.S. Treasury10-Year Notes Futures, Put | 6/21/19 | 123.00 | 27 | 27,000 | (8,438) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call | 5/24/19 | 148.00 | 244 | 244,000 | (148,687) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call | 5/24/19 | 149.00 | 443 | 443,000 | (145,359) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call | 5/24/19 | 150.00 | 621 | 621,000 | (106,734) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call | 5/24/19 | 154.00 | 27 | 27,000 | (1,266) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put | 5/24/19 | 144.00 | 289 | 289,000 | (22,578) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put | 5/24/19 | 145.00 | 604 | 604,000 | (103,813) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put | 5/24/19 | 146.00 | 187 | 187,000 | (61,359) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put | 6/21/19 | 146.00 | 54 | 54,000 | (49,781) | |||||||||||||||||
Total Exchange-Traded Written Options (Premiums received — $3,240,377) |
| $ | (2,113,110) | |||||||||||||||||||
OTC Written Options |
| |||||||||||||||||||||
Counterparty | ||||||||||||||||||||||
Credit default swaption with Bank of America N.A. to sell protection on Markit CDX.NA.IG.31 Index, Put | Bank of America N.A. | 6/19/19 | 70.00 | bps | 12,695,000 | 12,695,000 | ‡ | $ | (2,769) | |||||||||||||
U.S. Dollar/Brazilian Real, Put | Goldman Sachs Group Inc. | 6/11/19 | 3.70 | BRL | 27,200,000 | 27,200,000 | (41,504) | |||||||||||||||
U.S. Dollar/Euro, Put | JPMorgan Chase & Co. | 10/21/19 | 1.22 | 14,900,000 | 14,900,000 | (20,505) | ||||||||||||||||
U.S. Dollar/Indian Rupee, Put | BNP Paribas SA | 7/29/19 | 69.52 | INR | 27,120,000 | 27,120,000 | (220,254) | |||||||||||||||
U.S. Dollar/Mexican Peso, Put | Goldman Sachs Group Inc. | 6/25/19 | 18.90 | MXN | 20,800,000 | 20,800,000 | (202,796) | |||||||||||||||
U.S. Dollar/Mexican Peso, Put | Barclays Bank PLC | 7/25/19 | 18.81 | MXN | 28,220,000 | 28,220,000 | (272,151) | |||||||||||||||
U.S. Dollar/Russian Ruble, Put | Citibank N.A. | 6/14/19 | 64.95 | RUB | 13,600,000 | 13,600,000 | (169,959) | |||||||||||||||
U.S. Dollar/Russian Ruble, Put | Citibank N.A. | 7/25/19 | 63.50 | RUB | 29,280,000 | 29,280,000 | (199,038) | |||||||||||||||
U.S. Dollar/Turkish Lira, Call | Goldman Sachs Group Inc. | 6/14/19 | 6.50 | TRY | 10,500,000 | 10,500,000 | (161,028) | |||||||||||||||
Total OTC Written Options (Premiums received — $1,508,597) |
| $ | (1,290,004) | |||||||||||||||||||
Total Written Options (Premiums received — $4,748,974) |
| $ | (3,403,114) |
† | Notional amount denominated in U.S. dollars, unless otherwise noted. |
‡ | In the event an option is exercised and a credit event occurs as defined under the terms of the swap agreement, the notional amount is the maximum potential amount that could be required to be paid as a seller of credit protection or received as a buyer of credit protection. |
See Notes to Financial Statements.
30 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Abbreviations used in this schedule: | ||
bps | — basis point spread. 100 basis points = 1.00% | |
BRL | — Brazilian Real | |
EUR | — Euro | |
INR | — Indian Rupee | |
MXN | — Mexican Peso | |
RUB | — Russian Ruble | |
TRY | — Turkish Lira |
At April 30, 2019, the Fund had the following open futures contracts:
Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
90-Day Eurodollar | 8,548 | 12/19 | $ | 2,074,738,895 | $ | 2,084,857,200 | $ | 10,118,305 | ||||||||||||
90-Day Eurodollar | 109 | 3/20 | 26,604,834 | 26,615,075 | 10,241 | |||||||||||||||
90-Day Eurodollar | 1,716 | 6/20 | 417,265,153 | 419,390,400 | 2,125,247 | |||||||||||||||
90-Day Eurodollar | 626 | 3/21 | 152,686,326 | 153,166,550 | 480,224 | |||||||||||||||
British Pound | 302 | 6/19 | 24,961,755 | 24,667,738 | (294,017) | |||||||||||||||
Canadian10-Year Bonds | 85 | 6/19 | 8,634,701 | 8,767,112 | 132,411 | |||||||||||||||
Euro | 98 | 6/19 | 13,775,464 | 13,801,463 | 25,999 | |||||||||||||||
Euro-BTP | 733 | 6/19 | 104,971,968 | 107,255,445 | 2,283,477 | |||||||||||||||
Euro-BTP | 207 | 6/19 | 25,691,648 | 25,817,437 | 125,789 | |||||||||||||||
Japanese Yen | 18 | 6/19 | 2,021,058 | 2,027,138 | 6,080 | |||||||||||||||
Mexican Peso | 440 | 6/19 | 11,521,580 | 11,528,000 | 6,420 | |||||||||||||||
Russian Ruble | 1,140 | 6/19 | 43,070,612 | 43,833,000 | 762,388 | |||||||||||||||
U.S. Treasury2-Year Notes | 2,332 | 6/19 | 496,369,144 | 496,734,219 | 365,075 | |||||||||||||||
U.S. Treasury5-Year Notes | 9,380 | 6/19 | 1,078,734,931 | 1,084,709,109 | 5,974,178 | |||||||||||||||
U.S. TreasuryLong-Term Bonds | 10,634 | 6/19 | 1,552,235,332 | 1,568,182,687 | 15,947,355 | |||||||||||||||
U.S. Treasury Ultra Long-Term Bonds | 942 | 6/19 | 153,718,186 | 154,752,938 | 1,034,752 | |||||||||||||||
39,103,924 | ||||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
30-Day Federal Funds | 883 | 7/19 | $ | 344,845,142 | $ | 344,829,160 | $ | 15,982 | ||||||||||||
Australian10-Year Bonds | 61 | 6/19 | 5,846,230 | 5,946,308 | (100,078) | |||||||||||||||
Australian Dollar | 84 | 6/19 | 6,004,050 | 5,928,720 | 75,330 | |||||||||||||||
Canadian Dollar | 8 | 6/19 | 594,220 | 598,040 | (3,820) | |||||||||||||||
Euro-Bund | 5,016 | 6/19 | 922,591,584 | 930,025,067 | (7,433,483) | |||||||||||||||
Euro-Buxl | 402 | 6/19 | 82,360,117 | 85,099,695 | (2,739,578) | |||||||||||||||
Euro-Oat | 672 | 6/19 | 119,296,790 | 122,101,863 | (2,805,073) | |||||||||||||||
Japanese10-Year Bonds | 95 | 6/19 | 130,250,676 | 130,251,358 | (682) | |||||||||||||||
U.S. Treasury10-Year Notes | 14,697 | 6/19 | 1,805,183,235 | 1,817,605,620 | (12,422,385) | |||||||||||||||
United Kingdom Long Gilt Bonds | 788 | 6/19 | 131,116,643 | 130,827,921 | 288,722 | |||||||||||||||
(25,125,065) | ||||||||||||||||||||
Net unrealized appreciation on open futures contracts |
| $ | 13,978,859 |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 31 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
At April 30, 2019, the Fund had the following open forward foreign currency contracts:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
INR | 848,430,000 | USD | 12,144,196 | Barclays Bank PLC | 5/2/19 | $ | 50,739 | |||||||||||||
INR | 848,430,000 | USD | 12,095,460 | Barclays Bank PLC | 5/2/19 | 99,476 | ||||||||||||||
USD | 12,095,460 | INR | 848,430,000 | Barclays Bank PLC | 5/2/19 | (99,476) | ||||||||||||||
USD | 12,231,208 | INR | 848,430,000 | Barclays Bank PLC | 5/2/19 | 36,272 | ||||||||||||||
KRW | 16,121,810,000 | USD | 14,096,804 | Goldman Sachs Group Inc. | 5/2/19 | (294,543) | ||||||||||||||
USD | 13,919,712 | KRW | 16,121,810,000 | Goldman Sachs Group Inc. | 5/2/19 | 117,451 | ||||||||||||||
KRW | 16,121,810,000 | USD | 13,919,712 | JPMorgan Chase & Co. | 5/2/19 | (117,451) | ||||||||||||||
USD | 14,180,999 | KRW | 16,121,810,000 | JPMorgan Chase & Co. | 5/2/19 | 378,737 | ||||||||||||||
INR | 965,500,000 | USD | 13,821,092 | Barclays Bank PLC | 5/6/19 | 49,149 | ||||||||||||||
USD | 14,021,202 | INR | 965,500,000 | JPMorgan Chase & Co. | 5/6/19 | 150,962 | ||||||||||||||
USD | 2,932,517 | ARS | 130,497,000 | BNP Paribas SA | 5/8/19 | 22,750 | ||||||||||||||
ARS | 56,642,000 | USD | 1,374,472 | JPMorgan Chase & Co. | 5/8/19 | (111,493) | ||||||||||||||
ARS | 73,855,000 | USD | 1,802,881 | JPMorgan Chase & Co. | 5/8/19 | (156,093) | ||||||||||||||
ARS | 83,351,000 | USD | 2,030,970 | JPMorgan Chase & Co. | 5/15/19 | (190,514) | ||||||||||||||
ARS | 120,191,992 | USD | 2,908,105 | JPMorgan Chase & Co. | 5/15/19 | (254,172) | ||||||||||||||
ARS | 120,192,000 | USD | 2,928,655 | JPMorgan Chase & Co. | 5/15/19 | (274,722) | ||||||||||||||
USD | 2,927,228 | ARS | 120,191,992 | JPMorgan Chase & Co. | 5/15/19 | 273,295 | ||||||||||||||
USD | 2,964,565 | ARS | 121,310,000 | JPMorgan Chase & Co. | 5/15/19 | 285,945 | ||||||||||||||
USD | 7,800,000 | RUB | 517,399,584 | Citibank N.A. | 5/29/19 | (168,777) | ||||||||||||||
USD | 7,263,500 | COP | 22,611,275,500 | Goldman Sachs Group Inc. | 5/31/19 | 281,921 | ||||||||||||||
USD | 1,602,984 | RUB | 104,041,644 | Bank of America N.A. | 6/17/19 | 5,028 | ||||||||||||||
USD | 1,615,653 | RUB | 104,133,699 | Bank of America N.A. | 6/17/19 | 16,284 | ||||||||||||||
USD | 2,404,912 | RUB | 155,930,881 | Bank of America N.A. | 6/17/19 | 9,999 | ||||||||||||||
USD | 3,202,741 | RUB | 207,633,682 | Bank of America N.A. | 6/17/19 | 13,734 | ||||||||||||||
USD | 3,765,853 | RUB | 249,833,600 | Barclays Bank PLC | 6/17/19 | (71,294) | ||||||||||||||
RUB | 353,896,100 | USD | 5,335,385 | Citibank N.A. | 6/17/19 | 100,038 | ||||||||||||||
USD | 1,595,985 | RUB | 103,680,000 | JPMorgan Chase & Co. | 6/17/19 | 3,584 | ||||||||||||||
USD | 3,918,277 | RUB | 254,400,032 | JPMorgan Chase & Co. | 6/17/19 | 10,995 | ||||||||||||||
JPY | 4,787,500,000 | USD | 43,045,625 | BNP Paribas SA | 6/19/19 | 109,655 | ||||||||||||||
MXN | 473,500,000 | USD | 24,475,344 | Citibank N.A. | 6/19/19 | 299,662 | ||||||||||||||
ARS | 160,668,000 | USD | 3,635,187 | Goldman Sachs Group Inc. | 6/21/19 | (283,727) | ||||||||||||||
USD | 16,810,000 | RUB | 1,095,171,500 | Goldman Sachs Group Inc. | 6/21/19 | (677) | ||||||||||||||
ARS | 263,700,000 | USD | 5,961,699 | JPMorgan Chase & Co. | 6/21/19 | (461,038) | ||||||||||||||
MXN | 148,455,840 | USD | 7,696,000 | Goldman Sachs Group Inc. | 6/27/19 | 61,566 | ||||||||||||||
BRL | 55,440,000 | USD | 14,052,876 | Barclays Bank PLC | 7/17/19 | (2,108) | ||||||||||||||
CAD | 8,103,161 | USD | 6,101,134 | Barclays Bank PLC | 7/17/19 | (40,848) |
See Notes to Financial Statements.
32 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
EUR | 7,200,000 | USD | 8,181,403 | Barclays Bank PLC | 7/17/19 | $ | (50,707) | |||||||||||||
GBP | 1,500,000 | USD | 1,961,566 | Barclays Bank PLC | 7/17/19 | 2,398 | ||||||||||||||
INR | 6,517,749,875 | USD | 92,434,619 | Barclays Bank PLC | 7/17/19 | 365,778 | ||||||||||||||
NOK | 110,675,000 | USD | 12,929,776 | Barclays Bank PLC | 7/17/19 | (62,515) | ||||||||||||||
PEN | 33,635,000 | USD | 10,127,973 | Barclays Bank PLC | 7/17/19 | 9,369 | ||||||||||||||
RUB | 693,430,000 | USD | 10,433,088 | Barclays Bank PLC | 7/17/19 | 173,866 | ||||||||||||||
SEK | 62,880,000 | USD | 6,826,991 | Barclays Bank PLC | 7/17/19 | (164,251) | ||||||||||||||
USD | 9,343,945 | CNY | 62,825,884 | Barclays Bank PLC | 7/17/19 | 18,906 | ||||||||||||||
USD | 120,406,306 | EUR | 106,135,581 | Barclays Bank PLC | 7/17/19 | 551,283 | ||||||||||||||
USD | 259,657 | GBP | 200,000 | Barclays Bank PLC | 7/17/19 | (2,205) | ||||||||||||||
USD | 14,888,246 | GBP | 11,325,047 | Barclays Bank PLC | 7/17/19 | 60,254 | ||||||||||||||
USD | 11,998,218 | INR | 848,430,000 | Barclays Bank PLC | 7/17/19 | (81,816) | ||||||||||||||
USD | 13,662,671 | INR | 965,500,000 | Barclays Bank PLC | 7/17/19 | (84,218) | ||||||||||||||
USD | 51,756 | MXN | 1,000,000 | Barclays Bank PLC | 7/17/19 | (325) | ||||||||||||||
USD | 521,203 | PLN | 1,991,511 | Barclays Bank PLC | 7/17/19 | (1,166) | ||||||||||||||
USD | 4,846,625 | EUR | 4,300,000 | BNP Paribas SA | 7/17/19 | (9,208) | ||||||||||||||
USD | 390,020 | GBP | 300,000 | BNP Paribas SA | 7/17/19 | (2,773) | ||||||||||||||
USD | 51,906 | MXN | 1,000,000 | BNP Paribas SA | 7/17/19 | (176) | ||||||||||||||
ARS | 51,585,000 | USD | 1,157,653 | Citibank N.A. | 7/17/19 | (125,144) | ||||||||||||||
ARS | 88,752,652 | USD | 2,006,617 | Citibank N.A. | 7/17/19 | (230,172) | ||||||||||||||
AUD | 46,231,693 | USD | 32,947,270 | Citibank N.A. | 7/17/19 | (294,890) | ||||||||||||||
BRL | 440,000 | USD | 112,751 | Citibank N.A. | 7/17/19 | (1,237) | ||||||||||||||
BRL | 34,440,875 | USD | 8,825,563 | Citibank N.A. | 7/17/19 | (96,834) | ||||||||||||||
BRL | 89,580,000 | USD | 22,962,165 | Citibank N.A. | 7/17/19 | (258,923) | ||||||||||||||
COP | 57,611,761,501 | USD | 18,217,158 | Citibank N.A. | 7/17/19 | (467,049) | ||||||||||||||
EUR | 10,000,000 | USD | 11,330,020 | Citibank N.A. | 7/17/19 | (37,386) | ||||||||||||||
MXN | 130,765,497 | USD | 6,836,339 | Citibank N.A. | 7/17/19 | (25,925) | ||||||||||||||
RUB | 568,911,377 | USD | 8,619,203 | Citibank N.A. | 7/17/19 | 83,069 | ||||||||||||||
TRY | 12,617,525 | USD | 2,083,819 | Citibank N.A. | 7/17/19 | (68,859) | ||||||||||||||
USD | 2,280,961 | EUR | 2,000,000 | Citibank N.A. | 7/17/19 | 22,435 | ||||||||||||||
USD | 4,493,224 | EUR | 4,000,000 | Citibank N.A. | 7/17/19 | (23,829) | ||||||||||||||
USD | 327,066 | GBP | 250,000 | Citibank N.A. | 7/17/19 | (261) | ||||||||||||||
USD | 5,744,747 | IDR | 83,023,090,000 | Citibank N.A. | 7/17/19 | (20,855) | ||||||||||||||
USD | 76,033,850 | JPY | 8,415,426,534 | Citibank N.A. | 7/17/19 | 10,082 | ||||||||||||||
USD | 313,012 | MXN | 6,000,000 | Citibank N.A. | 7/17/19 | 525 | ||||||||||||||
USD | 6,401,173 | MXN | 121,790,000 | Citibank N.A. | 7/17/19 | 58,213 | ||||||||||||||
USD | 45,820,062 | MXN | 893,468,292 | Citibank N.A. | 7/17/19 | (712,771) | ||||||||||||||
USD | 5,248,705 | TRY | 32,880,000 | Citibank N.A. | 7/17/19 | (2,079) |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 33 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
CLP | 6,679,299,000 | USD | 9,938,546 | Goldman Sachs Group Inc. | 7/17/19 | $ | (80,529) | |||||||||||||
USD | 14,130,907 | KRW | 16,121,810,000 | Goldman Sachs Group Inc. | 7/17/19 | 288,610 | ||||||||||||||
USD | 4,687,084 | RUB | 302,720,000 | Goldman Sachs Group Inc. | 7/17/19 | 56,570 | ||||||||||||||
USD | 28,126,158 | ZAR | 402,901,582 | Goldman Sachs Group Inc. | 7/17/19 | 224,358 | ||||||||||||||
BRL | 17,660,000 | USD | 4,525,710 | JPMorgan Chase & Co. | 7/17/19 | (49,943) | ||||||||||||||
USD | 16,067,224 | CNH | 108,273,810 | JPMorgan Chase & Co. | 7/17/19 | (4,939) | ||||||||||||||
USD | 27,154,895 | KRW | 30,784,146,832 | JPMorgan Chase & Co. | 7/17/19 | 723,416 | ||||||||||||||
USD | 21,697,254 | TWD | 667,233,969 | JPMorgan Chase & Co. | 7/17/19 | (7,160) | ||||||||||||||
USD | 4,689,290 | EUR | 4,170,000 | Barclays Bank PLC | 7/26/19 | (23,507) | ||||||||||||||
USD | 9,383,046 | EUR | 8,320,000 | BNP Paribas SA | 7/26/19 | (19,945) | ||||||||||||||
USD | 358,000 | RUB | 23,485,444 | Citibank N.A. | 7/26/19 | (830) | ||||||||||||||
USD | 510,000 | MXN | 9,905,409 | Barclays Bank PLC | 7/29/19 | (4,680) | ||||||||||||||
USD | 651,000 | INR | 46,435,830 | BNP Paribas SA | 7/31/19 | (9,033) | ||||||||||||||
ARS | 39,642,000 | USD | 888,038 | Citibank N.A. | 7/31/19 | (111,424) | ||||||||||||||
ARS | 100,040,000 | USD | 2,255,693 | Citibank N.A. | 7/31/19 | (295,843) | ||||||||||||||
USD | 4,331,567 | INR | 325,370,000 | Barclays Bank PLC | 9/9/19 | (273,284) | ||||||||||||||
USD | 1,963,671 | ARS | 96,543,870 | JPMorgan Chase & Co. | 9/23/19 | 220,630 | ||||||||||||||
ARS | 88,822,315 | USD | 1,707,137 | Citibank N.A. | 9/27/19 | (112,765) | ||||||||||||||
ARS | 120,622,388 | USD | 2,196,729 | JPMorgan Chase & Co. | 10/25/19 | (115,672) | ||||||||||||||
ARS | 123,156,437 | USD | 2,250,666 | JPMorgan Chase & Co. | 10/25/19 | (125,890) | ||||||||||||||
ARS | 169,646,100 | USD | 2,932,517 | BNP Paribas SA | 11/4/19 | (46,906) | ||||||||||||||
Total | $ | (1,387,853) |
Abbreviations used in this table: | ||
ARS | — Argentine Peso | |
AUD | — Australian Dollar | |
BRL | — Brazilian Real | |
CAD | — Canadian Dollar | |
CLP | — Chilean Peso | |
CNH | — Chinese Offshore Yuan | |
CNY | — Chinese Yuan Renminbi | |
COP | — Colombian Peso | |
EUR | — Euro | |
GBP | — British Pound | |
IDR | — Indonesian Rupiah | |
INR | — Indian Rupee | |
JPY | — Japanese Yen | |
KRW | — South Korean Won | |
MXN | — Mexican Peso | |
NOK | — Norwegian Krone |
See Notes to Financial Statements.
34 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
Abbreviations used in this table(cont’d): | ||
PEN | — Peruvian Nuevo Sol | |
PLN | — Polish Zloty | |
RUB | — Russian Ruble | |
SEK | — Swedish Krona | |
TRY | — Turkish Lira | |
TWD | — Taiwan Dollar | |
USD | — United States Dollar | |
ZAR | — South African Rand |
At April 30, 2019, the Fund had the following open swap contracts:
OTC CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES — SELL PROTECTION1 | ||||||||||||||||||||||||
Swap Counterparty (Reference Entity) | Notional Amount2 | Termination Date | Implied Credit Spread at April 30, 20193 | Periodic Payments Received by the Fund† | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation | |||||||||||||||||
Barclays Bank PLC (Russian Federation 7.500%, due 3/31/30) | $ | 16,330,000 | 6/20/23 | 1.063% | 1.000% quarterly | $ | (40,123) | $ | (336,729) | $ | 296,606 |
CENTRALLY CLEARED INTEREST RATE SWAPS | ||||||||||||||||||
Notional Amount* | Termination Date | Payments Made by the Fund† | Payments Received by the Fund† | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||
51,780,000 | 9/28/19 | 3-Month LIBOR quarterly | 1.705% semi-annually | — | $ | (192,825 | ) | |||||||||||
208,100,000 | MXN | 4/13/20 | 28-Day TIIE-Banxico every 28 days | 7.190% every 28 days | — | (120,717 | ) | |||||||||||
928,800,000 | MXN | 4/14/20 | 28-Day TIIE-Banxico every 28 days | 7.108% every 28 days | — | (577,307 | ) | |||||||||||
550,600,000 | MXN | 4/15/20 | 28-Day TIIE-Banxico every 28 days | 7.075% every 28 days | — | (351,872 | ) | |||||||||||
378,200,000 | MXN | 4/15/20 | 28-Day TIIE-Banxico every 28 days | 7.085% every 28 days | — | (239,837 | ) | |||||||||||
760,400,000 | MXN | 5/28/20 | 28-Day TIIE-Banxico every 28 days | 7.440% every 28 days | — | (376,701 | ) | |||||||||||
369,200,000 | MXN | 5/29/20 | 28-Day TIIE-Banxico every 28 days | 7.400% every 28 days | — | (191,315 | ) | |||||||||||
749,400,000 | MXN | 6/1/20 | 28-Day TIIE-Banxico every 28 days | 7.340% every 28 days | — | (415,051 | ) | |||||||||||
13,530,000 | 6/14/20 | 3-Month LIBOR quarterly | 1.671% semi-annually | $ | (2,917 | ) | (122,622 | ) | ||||||||||
14,852,000 | GBP | 10/26/21 | 1.271% semi-annually | 6-Month GBP LIBOR semi-annually | 7,210 | (66,988 | ) | |||||||||||
68,022,000 | GBP | 10/30/21 | 1.385% annually | 3-Month GBP LIBOR annually | (23,833 | ) | (218,993 | ) |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 35 |
Schedule of investments(unaudited) (cont’d)
April 30, 2019
Western Asset Macro Opportunities Fund
CENTRALLY CLEARED INTEREST RATE SWAPS(cont’d) | ||||||||||||||||||
Notional Amount* | Termination Date | Payments Made by the Fund† | Payments Received by the Fund† | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||
2,119,290,000 | MXN | 3/31/22 | 28-Day MXN TIIE-Banxico every 28 days | 7.340% every 28 days | $ | 64,120 | $ | (1,866,081 | ) | |||||||||
318,921,000 | 4/26/22 | 3-Month LIBOR quarterly | 2.250% semi-annually | 73,347 | 92,958 | |||||||||||||
324,901,000 | 4/26/23 | 2.300% semi-annually | 3-Month LIBOR quarterly | 21,926 | (106,899 | ) | ||||||||||||
69,252,000 | 6/19/24 | 3-Month LIBOR quarterly | Daily Federal Funds Effective Rate + 0.254% quarterly | — | 53,696 | |||||||||||||
11,056,100,000 | JPY | 6/20/24 | 0.127% semi-annually | 6-Month JPY LIBORsemi-annually | 1,161 | (698,676 | ) | |||||||||||
155,744,000 | 12/31/25 | 2.250% semi-annually | 3-Month LIBOR quarterly | 869,729 | 329,113 | |||||||||||||
98,041,000 | 12/31/25 | 2.250% annually | Daily Federal Funds Effective Rate annually | (596,628 | ) | (181,530 | ) | |||||||||||
428,830,000 | 1/31/26 | 2.500% semi-annually | 3-Month LIBOR quarterly | (5,573,191 | ) | 2,371,598 | ||||||||||||
74,655,000 | 5/23/26 | 1.738% semi-annually | 3-Month LIBOR quarterly | — | 3,228,027 | |||||||||||||
47,470,000 | 5/27/26 | 1.735% semi-annually | 3-Month LIBOR quarterly | — | 2,063,037 | |||||||||||||
47,817,000 | 7/19/29 | 3-Month LIBOR quarterly | 3.000% semi-annually | — | 2,054,124 | |||||||||||||
49,518,000 | 2/15/36 | 3-Month LIBOR quarterly | 3.000% semi-annually | 29,581 | 2,245,971 | |||||||||||||
125,647,000 | 11/15/43 | 2.950% semi-annually | 3-Month LIBOR quarterly | (662,440 | ) | (4,642,714 | ) | |||||||||||
21,855,000 | 2/15/44 | 3.330% semi-annually | 3-Month LIBOR quarterly | (522,065 | ) | (1,948,156 | ) | |||||||||||
24,568,000 | 5/15/44 | 2.875% semi-annually | 3-Month LIBOR quarterly | 108,966 | (810,401 | ) | ||||||||||||
36,704,000 | 5/15/44 | 3.000% semi-annually | 3-Month LIBOR quarterly | 34,766 | (1,942,837 | ) | ||||||||||||
24,480,000 | 8/15/44 | 2.750% semi-annually | 3-Month LIBOR quarterly | (18,762 | ) | (100,350 | ) | |||||||||||
1,473,800,000 | JPY | 4/19/47 | 0.785% semi-annually | 6-Month JPY LIBORsemi-annually | (11,853 | ) | (790,006 | ) | ||||||||||
3,396,700 | EUR | 8/23/47 | 1.498% annually | 6-Month EURIBOR - Reuterssemi-annually | (3,635 | ) | (374,858 | ) | ||||||||||
19,933,000 | 7/19/49 | 3.000% semi-annually | 3-Month LIBOR quarterly | (80,592 | ) | (1,044,752 | ) | |||||||||||
Total | $ | (6,285,110 | ) | $ | (4,942,964 | ) |
OTC INTEREST RATE SWAPS | ||||||||||||||||||||
Swap Counterparty | Notional Amount* | Termination Date | Payments Made by the Fund† | Payments Received by the Fund† | Upfront Premiums Paid (Received) | Unrealized Appreciation | ||||||||||||||
Bank of America N.A. | 753,300,000 | BRL | 1/4/21 | BRL-CDI** | 9.230%** | — | $ | 8,760,800 |
See Notes to Financial Statements.
36 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Western Asset Macro Opportunities Fund
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION1 | ||||||||||||||||||||||
Reference Entity | Notional Amount2 | Termination Date | Periodic Payments Received by the Fund† | Market Value4 | Upfront Premiums Paid (Received) | Unrealized Appreciation | ||||||||||||||||
Markit CDX.NA.HY.32 Index | $ | 43,450,000 | 6/20/24 | 5.000% quarterly | $ | 3,316,712 | $ | 3,190,502 | $ | 126,210 | ||||||||||||
Markit CDX.NA.IG.31 Index | 13,260,000 | 12/20/23 | 1.000% quarterly | 285,329 | 200,729 | 84,600 | ||||||||||||||||
Markit CDX.NA.IG.32 Index | 357,798,104 | 6/20/24 | 1.000% quarterly | 7,238,971 | 5,634,040 | 1,604,931 | ||||||||||||||||
Total | $ | 414,508,104 | $ | 10,841,012 | $ | 9,025,271 | $ | 1,815,741 |
1 | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
2 | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
3 | Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
4 | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
† | Percentage shown is an annual percentage rate. |
* | Notional amount denominated in U.S. dollars, unless otherwise noted. |
** | One time payment made at termination date. |
Abbreviations used in this table: | ||
BRL | — Brazilian Real | |
EUR | — Euro | |
EURIBOR | — Euro Interbank Offered Rate | |
GBP | — British Pound | |
JPY | — Japanese Yen | |
LIBOR | — London Interbank Offered Rate | |
MXN | — Mexican Peso |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 37 |
Statement of assets and liabilities(unaudited)
April 30, 2019
Assets: | ||||
Investments in unaffiliated securities, at value (Cost — $1,302,278,686) | $ | 1,265,478,751 | ||
Investments in affiliated securities, at value (Cost — $35,154,489) | 35,154,489 | |||
Cash | 1,267,854 | |||
Foreign currency, at value (Cost — $21,540,340) | 21,475,732 | |||
Deposits with brokers for centrally cleared swap contracts | 29,858,170 | |||
Foreign currency collateral for open futures contracts and exchange traded options, at value (Cost — $27,928,469) | 28,011,424 | |||
Interest receivable | 16,360,011 | |||
OTC swaps, at value (premiums paid — $0) | 8,760,800 | |||
Deposits with brokers for open futures contracts and exchange-traded options | 7,711,277 | |||
Receivable from broker — variation margin on open futures contracts | 7,109,083 | |||
Unrealized appreciation on forward foreign currency contracts | 5,247,004 | |||
Receivable for Fund shares sold | 2,611,025 | |||
Deposits with brokers for OTC derivatives | 2,320,000 | |||
Receivable for securities sold | 786,352 | |||
Receivable for open OTC swap contracts | 19,052 | |||
Prepaid expenses | 78,162 | |||
Total Assets | 1,432,249,186 | |||
Liabilities: | ||||
Payable for securities purchased | 8,886,552 | |||
Unrealized depreciation on forward foreign currency contracts | 6,634,857 | |||
Payable for Fund shares repurchased | 3,837,813 | |||
Written options, at value (premiums received — $4,748,974) | 3,403,114 | |||
Investment management fee payable | 1,329,702 | |||
Payable to broker — variation margin on centrally cleared swap contracts | 1,024,923 | |||
Service and/or distribution fees payable | 41,679 | |||
OTC swaps, at value (premiums received — $336,729) | 40,123 | |||
Directors’ fees payable | 2,394 | |||
Interest payable | 140 | |||
Accrued expenses | 414,885 | |||
Total Liabilities | 25,616,182 | |||
Total Net Assets | $ | 1,406,633,004 | ||
Net Assets: | ||||
Par value (Note 7) | $ | 126,251 | ||
Paid-in capital in excess of par value | 1,423,935,744 | |||
Total distributable earnings (loss) | (17,428,991) | |||
Total Net Assets | $ | 1,406,633,004 |
See Notes to Financial Statements.
38 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Net Assets: | ||||
Class A | $39,757,811 | |||
Class A2 | $556,324 | |||
Class C | $27,366,478 | |||
Class FI | $48,577,105 | |||
Class I | $1,094,452,437 | |||
Class IS | $195,922,849 | |||
Shares Outstanding: | ||||
Class A | 3,565,924 | |||
Class A2 | 50,304 | |||
Class C | 2,478,570 | |||
Class FI | 4,357,432 | |||
Class I | 98,246,028 | |||
Class IS | 17,552,500 | |||
Net Asset Value: | ||||
Class A (and redemption price) | $11.15 | |||
Class A2 (and redemption price) | $11.06 | |||
Class C* | $11.04 | |||
Class FI (and redemption price) | $11.15 | |||
Class I (and redemption price) | $11.14 | |||
Class IS (and redemption price) | $11.16 | |||
Maximum Public Offering Price Per Share: | ||||
Class A (based on maximum initial sales charge of 4.25%) | $11.64 | |||
Class A2 (based on maximum initial sales charge of 4.25%) | $11.55 |
* | Redemption price per share is NAV of Class C shares reduced by a 1.00% CDSC if shares are redeemed within one year from purchase payment (Note 2). |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 39 |
Statement of operations(unaudited)
For the Six Months Ended April 30, 2019
Investment Income: | ||||
Interest from unaffiliated investments | $ | 39,759,759 | ||
Interest from affiliated investments | 163,906 | |||
Dividends | 25,574 | |||
Less: Foreign taxes withheld | (217,088) | |||
Total Investment Income | 39,732,151 | |||
Expenses: | ||||
Investment management fee (Note 2) | 7,680,033 | |||
Transfer agent fees (Note 5) | 576,972 | |||
Service and/or distribution fees (Notes 2 and 5) | 247,853 | |||
Custody fees | 111,205 | |||
Registration fees | 95,158 | |||
Fund accounting fees | 45,905 | |||
Audit and tax fees | 36,250 | |||
Legal fees | 23,407 | |||
Directors’ fees | 19,886 | |||
Commodity pool reports | 19,836 | |||
Shareholder reports | 19,381 | |||
Insurance | 10,967 | |||
Interest expense | 5,639 | |||
Commitment fees (Note 9) | 5,118 | |||
Miscellaneous expenses | 15,694 | |||
Total Expenses | 8,913,304 | |||
Net Investment Income | 30,818,847 | |||
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts, Written Options, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions (Notes 1, 3 and 4): | ||||
Net Realized Gain (Loss) From: | ||||
Investment transactions in unaffiliated securities | (35,274,386) | |||
Futures contracts | (25,299,777) | |||
Written options | 27,785,934 | |||
Swap contracts | 20,471,556 | |||
Forward foreign currency contracts | 5,426,733 | |||
Foreign currency transactions | 1,085,003 | |||
Net Realized Loss | (5,804,937) | |||
Change in Net Unrealized Appreciation (Depreciation) From: | ||||
Investments in unaffiliated securities | 74,427,078 | ‡ | ||
Futures contracts | 34,875,225 | |||
Written options | (872,937) | |||
Swap contracts | 1,542,218 | |||
Forward foreign currency contracts | (5,493,367) | |||
Foreign currencies | 1,055,559 | |||
Change in Net Unrealized Appreciation (Depreciation) | 105,533,776 | |||
Net Gain on Investments, Futures Contracts, Written Options, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions | 99,728,839 | |||
Increase in Net Assets From Operations | $ | 130,547,686 |
‡ | Net of change in accrued foreign capital gains tax of $6,605. |
See Notes to Financial Statements.
40 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Statements of changes in net assets
For the Six Months Ended April 30, 2019 (unaudited) and the Year Ended October 31, 2018 | 2019 | 2018 | ||||||
Operations: | ||||||||
Net investment income | $ | 30,818,847 | $ | 52,889,198 | ||||
Net realized loss | (5,804,937) | (32,470,483) | ||||||
Change in net unrealized appreciation (depreciation) | 105,533,776 | (147,594,671) | ||||||
Increase (Decrease) in Net Assets From Operations | 130,547,686 | (127,175,956) | ||||||
Distributions to Shareholders From (Notes 1 and 6): | ||||||||
Total distributable earnings(a) | (33,700,021) | (73,658,533) | ||||||
Decrease in Net Assets From Distributions to Shareholders | (33,700,021) | (73,658,533) | ||||||
Fund Share Transactions (Note 7): | ||||||||
Net proceeds from sale of shares | 314,475,831 | 888,754,887 | ||||||
Reinvestment of distributions | 23,465,305 | 51,889,943 | ||||||
Cost of shares repurchased | (447,902,562) | (714,127,779) | ||||||
Increase (Decrease) in Net Assets From Fund Share Transactions | (109,961,426) | 226,517,051 | ||||||
Increase (Decrease) in Net Assets | (13,113,761) | 25,682,562 | ||||||
Net Assets: | ||||||||
Beginning of period | 1,419,746,765 | 1,394,064,203 | ||||||
End of period(b) | $ | 1,406,633,004 | $ | 1,419,746,765 |
(a) | Distributions from net investment income and from realized gains are no longer required to be separately disclosed (Note 11). For the year ended October 31, 2018, distributions from net investment income and net realized gains were $47,000,192 and $26,658,341, respectively. |
(b) | Parenthetical disclosure of undistributed net investment income is no longer required (Note 11). For the year ended October 31, 2018, end of year net assets included undistributed net investment income of $8,399,473. |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 41 |
For a share of each class of capital stock outstanding throughout each year ended October 31, unless otherwise noted: | ||||||||||||||||||||||||
Class A Shares1 | 20192 | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||
Net asset value, beginning of period | $10.36 | $11.79 | $10.88 | $10.89 | $11.25 | $10.46 | ||||||||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Net investment income | 0.23 | 0.35 | 0.30 | 0.33 | 0.32 | 0.34 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.81 | (1.21) | 0.81 | 0.36 | (0.25) | 0.74 | ||||||||||||||||||
Total income (loss) from operations | 1.04 | (0.86) | 1.11 | 0.69 | 0.07 | 1.08 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (0.25) | (0.35) | (0.16) | (0.28) | (0.25) | (0.09) | ||||||||||||||||||
Net realized gains | — | (0.22) | (0.04) | (0.42) | (0.18) | (0.20) | ||||||||||||||||||
Total distributions | (0.25) | (0.57) | (0.20) | (0.70) | (0.43) | (0.29) | ||||||||||||||||||
Net asset value, end of period | $11.15 | $10.36 | $11.79 | $10.88 | $10.89 | $11.25 | ||||||||||||||||||
Total return3 | 10.17 | % | (7.75) | % | 10.44 | % | 6.79 | % | 0.71 | % | 10.61 | % | ||||||||||||
Net assets, end of period (000s) | $39,758 | $40,797 | $45,837 | $64,282 | $67,884 | $54,624 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses | 1.59 | %4 | 1.59 | % | 1.55 | % | 1.63 | %5 | 1.65 | %5 | 1.68 | %5 | ||||||||||||
Net expenses6 | 1.59 | 4 | 1.59 | 1.55 | 1.63 | 5 | 1.65 | 5,7 | 1.32 | 5,7 | ||||||||||||||
Net investment income | 4.37 | 4 | 3.11 | 2.73 | 3.14 | 2.96 | 3.13 | |||||||||||||||||
Portfolio turnover rate | 77 | % | 113 | %8 | 150 | %8 | 295 | %8 | 105 | %8 | 122 | % |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended April 30, 2019 (unaudited). |
3 | Performance figures, exclusive of sales charges, may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
4 | Annualized. |
5 | Reflects recapture of expenses waived/reimbursed from prior fiscal years. |
6 | As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, taxes, extraordinary expenses, acquired fund fees and expenses and deferred organizational expenses, to average net assets of Class A shares did not exceed 1.65%. This expense limitation arrangement cannot be terminated prior to December 31, 2020 without the Board of Directors’ consent. |
7 | Reflects fee waivers and/or expense reimbursements. |
8 | Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions had been included, the portfolio turnover rate would have been 113%, 151%, 297% and 117% for the years ended October 31, 2018, 2017, 2016 and 2015, respectively. |
See Notes to Financial Statements.
42 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
For a share of each class of capital stock outstanding throughout each year ended October 31, unless otherwise noted: | ||||||||||||
Class A2 Shares1 | 20192 | 2018 | 20173 | |||||||||
Net asset value, beginning of period | $10.27 | $11.73 | $10.58 | |||||||||
Income (loss) from operations: | ||||||||||||
Net investment income | 0.23 | 0.34 | 0.32 | |||||||||
Net realized and unrealized gain (loss) | 0.80 | (1.19) | 1.07 | |||||||||
Total income (loss) from operations | 1.03 | (0.85) | 1.39 | |||||||||
Less distributions from: | ||||||||||||
Net investment income | (0.24) | (0.39) | (0.20) | |||||||||
Net realized gains | — | (0.22) | (0.04) | |||||||||
Total distributions | (0.24) | (0.61) | (0.24) | |||||||||
Net asset value, end of period | $11.06 | $10.27 | $11.73 | |||||||||
Total return4 | 10.10 | % | (7.63) | % | 13.41 | % | ||||||
Net assets, end of period (000s) | $556 | $521 | $358 | |||||||||
Ratios to average net assets: | ||||||||||||
Gross expenses | 1.60 | %5 | 1.62 | %6 | 3.23 | %5 | ||||||
Net expenses7 | 1.60 | 5 | 1.62 | 6 | 1.85 | 5,8 | ||||||
Net investment income | 4.36 | 5 | 3.10 | 3.17 | 5 | |||||||
Portfolio turnover rate | 77 | % | 113 | %9 | 150 | %9,10 |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended April 30, 2019 (unaudited). |
3 | For the period December 14, 2016 (inception date) to October 31, 2017. |
4 | Performance figures, exclusive of sales charges, may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
5 | Annualized. |
6 | Reflects recapture of expenses waived/reimbursed from prior fiscal years. |
7 | As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, taxes, extraordinary expenses, acquired fund fees and expenses and deferred organizational expenses, to average net assets of Class A2 shares did not exceed 1.85%. This expense limitation arrangement cannot be terminated prior to December 31, 2020 without the Board of Directors’ consent. |
8 | Reflects fee waivers and/or expense reimbursements. |
9 | Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions had been included, the portfolio turnover rate would have been 113% and 151% for the years ended October 31, 2018 and 2017, respectively. |
10 | For the year ended October 31, 2017. |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 43 |
Financial highlights (cont’d)
For a share of each class of capital stock outstanding throughout each year ended October 31, unless otherwise noted: | ||||||||||||||||||||||||
Class C Shares1 | 20192 | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||
Net asset value, beginning of period | $10.20 | $11.63 | $10.73 | $10.76 | $11.17 | $10.45 | ||||||||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Net investment income | 0.19 | 0.26 | 0.22 | 0.26 | 0.24 | 0.25 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.80 | (1.19) | 0.81 | 0.35 | (0.25) | 0.74 | ||||||||||||||||||
Total income (loss) from operations | 0.99 | (0.93) | 1.03 | 0.61 | (0.01) | 0.99 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (0.15) | (0.28) | (0.09) | (0.22) | (0.22) | (0.07) | ||||||||||||||||||
Net realized gains | — | (0.22) | (0.04) | (0.42) | (0.18) | (0.20) | ||||||||||||||||||
Total distributions | (0.15) | (0.50) | (0.13) | (0.64) | (0.40) | (0.27) | ||||||||||||||||||
Net asset value, end of period | $11.04 | $10.20 | $11.63 | $10.73 | $10.76 | $11.17 | ||||||||||||||||||
Total return3 | 9.77 | % | (8.38) | % | 9.67 | % | 6.04 | % | (0.01) | % | 9.71 | % | ||||||||||||
Net assets, end of period (000s) | $27,366 | $32,338 | $37,669 | $29,340 | $30,637 | $14,511 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses | 2.30 | %4 | 2.29 | % | 2.30 | % | 2.32 | %5 | 2.36 | %5 | 2.43 | %5 | ||||||||||||
Net expenses6 | 2.30 | 4 | 2.29 | 2.30 | 2.32 | 5 | 2.36 | 5,7 | 2.19 | 5,7 | ||||||||||||||
Net investment income | 3.66 | 4 | 2.41 | 2.00 | 2.49 | 2.25 | 2.30 | |||||||||||||||||
Portfolio turnover rate | 77 | % | 113 | %8 | 150 | %8 | 295 | %8 | 105 | %8 | 122 | % |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended April 30, 2019 (unaudited). |
3 | Performance figures, exclusive of CDSC, may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
4 | Annualized. |
5 | Reflects recapture of expenses waived/reimbursed from prior fiscal years. |
6 | As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, taxes, extraordinary expenses, acquired fund fees and expenses and deferred organizational expenses, to average net assets of Class C shares did not exceed 2.40%. This expense limitation arrangement cannot be terminated prior to December 31, 2020 without the Board of Directors’ consent. |
7 | Reflects fee waivers and/or expense reimbursements. |
8 | Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions had been included, the portfolio turnover rate would have been 113%, 151%, 297% and 117% for the years ended October 31, 2018, 2017, 2016 and 2015, respectively. |
See Notes to Financial Statements.
44 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
For a share of each class of capital stock outstanding throughout each year ended October 31, unless otherwise noted: | ||||||||||||||||||||||||
Class FI Shares1 | 20192 | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||
Net asset value, beginning of period | $10.34 | $11.79 | $10.88 | $10.87 | $11.22 | $10.46 | ||||||||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Net investment income | 0.23 | 0.32 | 0.30 | 0.33 | 0.32 | 0.33 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.81 | (1.19) | 0.80 | 0.35 | (0.25) | 0.73 | ||||||||||||||||||
Total income (loss) from operations | 1.04 | (0.87) | 1.10 | 0.68 | 0.07 | 1.06 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (0.23) | (0.36) | (0.15) | (0.25) | (0.24) | (0.10) | ||||||||||||||||||
Net realized gains | — | (0.22) | (0.04) | (0.42) | (0.18) | (0.20) | ||||||||||||||||||
Total distributions | (0.23) | (0.58) | (0.19) | (0.67) | (0.42) | (0.30) | ||||||||||||||||||
Net asset value, end of period | $11.15 | $10.34 | $11.79 | $10.88 | $10.87 | $11.22 | ||||||||||||||||||
Total return3 | 10.22 | % | (7.80) | % | 10.35 | % | 6.76 | % | 0.67 | % | 10.51 | % | ||||||||||||
Net assets, end of period (000s) | $48,577 | $30,425 | $81,279 | $25,088 | $60,375 | $53,027 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses | 1.60 | %4 | 1.65 | % | 1.63 | %5 | 1.69 | %5 | 1.66 | %5 | 1.85 | %5 | ||||||||||||
Net expenses6 | 1.60 | 4 | 1.65 | 7 | 1.63 | 5 | 1.65 | 5,7 | 1.65 | 5,7 | 1.40 | 5,7 | ||||||||||||
Net investment income | 4.28 | 4 | 2.88 | 2.69 | 3.18 | 2.95 | 3.03 | |||||||||||||||||
Portfolio turnover rate | 77 | % | 113 | %8 | 150 | %8 | 295 | %8 | 105 | %8 | 122 | % |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended April 30, 2019 (unaudited). |
3 | Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
4 | Annualized. |
5 | Reflects recapture of expenses waived/reimbursed from prior fiscal years. |
6 | As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, taxes, extraordinary expenses, acquired fund fees and expenses and deferred organizational expenses, to average net assets of Class FI shares did not exceed 1.65%. This expense limitation arrangement cannot be terminated prior to December 31, 2020 without the Board of Directors’ consent. |
7 | Reflects fee waivers and/or expense reimbursements. |
8 | Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions had been included, the portfolio turnover rate would have been 113%, 151%, 297% and 117% for the years ended October 31, 2018, 2017, 2016 and 2015, respectively. |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 45 |
Financial highlights (cont’d)
For a share of each class of capital stock outstanding throughout each year ended October 31, unless otherwise noted: | ||||||||||||||||||||||||
Class I Shares1 | 20192 | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||
Net asset value, beginning of period | $10.37 | $11.80 | $10.89 | $10.91 | $11.25 | $10.47 | ||||||||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Net investment income | 0.25 | 0.38 | 0.34 | 0.36 | 0.36 | 0.33 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.81 | (1.20) | 0.80 | 0.35 | (0.26) | 0.75 | ||||||||||||||||||
Total income (loss) from operations | 1.06 | (0.82) | 1.14 | 0.71 | 0.10 | 1.08 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (0.29) | (0.39) | (0.19) | (0.31) | (0.26) | (0.10) | ||||||||||||||||||
Net realized gains | — | (0.22) | (0.04) | (0.42) | (0.18) | (0.20) | ||||||||||||||||||
Total distributions | (0.29) | (0.61) | (0.23) | (0.73) | (0.44) | (0.30) | ||||||||||||||||||
Net asset value, end of period | $11.14 | $10.37 | $11.80 | $10.89 | $10.91 | $11.25 | ||||||||||||||||||
Total return3 | 10.34 | % | (7.45) | % | 10.66 | % | 7.15 | % | 1.00 | % | 10.72 | % | ||||||||||||
Net assets, end of period (millions) | $1,094 | $1,150 | $1,057 | $567 | $513 | $180 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses | 1.31 | %4 | 1.30 | % | 1.30 | % | 1.34 | %5 | 1.35 | %5 | 1.58 | %5 | ||||||||||||
Net expenses6 | 1.31 | 4 | 1.30 | 1.30 | 1.34 | 5 | 1.35 | 5,7 | 1.30 | 5,7 | ||||||||||||||
Net investment income | 4.65 | 4 | 3.43 | 3.01 | 3.45 | 3.28 | 3.08 | |||||||||||||||||
Portfolio turnover rate | 77 | % | 113 | %8 | 150 | %8 | 295 | %8 | 105 | %8 | 122 | % |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended April 30, 2019 (unaudited). |
3 | Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
4 | Annualized. |
5 | Reflects recapture of expenses waived/reimbursed from prior fiscal years. |
6 | As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, taxes, extraordinary expenses, acquired fund fees and expenses and deferred organizational expenses, to average net assets of Class I shares did not exceed 1.35%. This expense limitation arrangement cannot be terminated prior to December 31, 2020 without the Board of Directors’ consent. |
7 | Reflects fee waivers and/or expense reimbursements. |
8 | Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions had been included, the portfolio turnover rate would have been 113%, 151%, 297% and 117% for the years ended October 31, 2018, 2017, 2016 and 2015, respectively. |
See Notes to Financial Statements.
46 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
For a share of each class of capital stock outstanding throughout each year ended October 31, unless otherwise noted: | ||||||||||||||||||||||||
Class IS Shares1 | 20192 | 2018 | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||||
Net asset value, beginning of period | $10.39 | $11.83 | $10.92 | $10.93 | $11.25 | $10.47 | ||||||||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Net investment income | 0.25 | 0.39 | 0.34 | 0.37 | 0.37 | 0.38 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.82 | (1.22) | 0.81 | 0.36 | (0.25) | 0.70 | ||||||||||||||||||
Total income (loss) from operations | 1.07 | (0.83) | 1.15 | 0.73 | 0.12 | 1.08 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (0.30) | (0.39) | (0.20) | (0.32) | (0.26) | (0.10) | ||||||||||||||||||
Net realized gains | — | (0.22) | (0.04) | (0.42) | (0.18) | (0.20) | ||||||||||||||||||
Total distributions | (0.30) | (0.61) | (0.24) | (0.74) | (0.44) | (0.30) | ||||||||||||||||||
Net asset value, end of period | $11.16 | $10.39 | $11.83 | $10.92 | $10.93 | $11.25 | ||||||||||||||||||
Total return3 | 10.44 | % | (7.45) | % | 10.83 | % | 7.22 | % | 1.19 | % | 10.62 | % | ||||||||||||
Net assets, end of period (millions) | $196 | $166 | $172 | $180 | $105 | $49 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses | 1.21 | %4 | 1.21 | % | 1.21 | % | 1.23 | %5 | 1.25 | %5 | 1.30 | %5 | ||||||||||||
Net expenses6 | 1.21 | 4 | 1.21 | 1.21 | 1.23 | 5 | 1.25 | 5 | 1.04 | 5,7 | ||||||||||||||
Net investment income | 4.73 | 4 | 3.49 | 3.08 | 3.55 | 3.36 | 3.43 | |||||||||||||||||
Portfolio turnover rate | 77 | % | 113 | %8 | 150 | %8 | 295 | %8 | 105 | %8 | 122 | % |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended April 30, 2019 (unaudited). |
3 | Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
4 | Annualized. |
5 | Reflects recapture of expenses waived/reimbursed from prior fiscal years. |
6 | As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, taxes, extraordinary expenses, acquired fund fees and expenses and deferred organizational expenses, to average net assets of Class IS shares did not exceed 1.25%. In addition, the ratio of total annual fund operating expenses for Class IS shares did not exceed the ratio of total annual fund operating expenses for Class I shares. These expense limitation arrangements cannot be terminated prior to December 31, 2020 without the Board of Directors’ consent. |
7 | Reflects fee waivers and/or expense reimbursements. |
8 | Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions had been included, the portfolio turnover rate would have been 113%, 151%, 297% and 117% for the years ended October 31, 2018, 2017, 2016 and 2015, respectively. |
See Notes to Financial Statements.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 47 |
Notes to financial statements(unaudited)
1. Organization and significant accounting policies
Western Asset Macro Opportunities Fund (the “Fund”) is a separatenon-diversified investment series of Western Asset Funds, Inc. (the “Corporation”). The Corporation, a Maryland corporation, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as anopen-end management investment company.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the date the financial statements were issued.
(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 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 inopen-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 Directors.
The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of
48 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Directors. 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.
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 Directors, 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 Directors 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 — 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.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 49 |
Notes to financial statements(unaudited) (cont’d)
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: | ||||||||||||||||
Energy | — | $ | 79,251,290 | $ | 0 | * | $ | 79,251,290 | ||||||||
Other corporate bonds & notes | — | 390,392,712 | — | 390,392,712 | ||||||||||||
Sovereign bonds | — | 397,579,840 | — | 397,579,840 | ||||||||||||
U.S. government & agency obligations | — | 143,312,484 | — | 143,312,484 | ||||||||||||
Collateralized mortgage obligations | — | 79,156,277 | — | 79,156,277 | ||||||||||||
U.S. treasury inflation protected securities | — | 61,024,314 | — | 61,024,314 | ||||||||||||
Asset-backed securities | — | 35,883,201 | — | 35,883,201 | ||||||||||||
Non-U.S. treasury inflation protected securities | — | 34,307,719 | — | 34,307,719 | ||||||||||||
Senior loans: | ||||||||||||||||
Communication services | — | 6,599,988 | 907,761 | 7,507,749 | ||||||||||||
Other senior loans | — | 25,973,814 | — | 25,973,814 | ||||||||||||
Municipal bonds | — | 6,102,968 | — | 6,102,968 | ||||||||||||
Purchased options: | ||||||||||||||||
Exchange-traded purchased options | $ | 1,193,823 | — | — | 1,193,823 | |||||||||||
OTC purchased options | — | 2,656,456 | — | 2,656,456 | ||||||||||||
Common stocks | 735,687 | — | — | 735,687 | ||||||||||||
Preferred stocks | 400,417 | — | — | 400,417 | ||||||||||||
Total long-term investments | 2,329,927 | 1,262,241,063 | 907,761 | 1,265,478,751 | ||||||||||||
Short-term investments† | — | 35,154,489 | — | 35,154,489 | ||||||||||||
Total investments | $ | 2,329,927 | $ | 1,297,395,552 | $ | 907,761 | $ | 1,300,633,240 | ||||||||
Other financial instruments: | ||||||||||||||||
Futures contracts | $ | 39,777,975 | — | — | $ | 39,777,975 | ||||||||||
Forward foreign currency contracts | — | $ | 5,247,004 | — | 5,247,004 | |||||||||||
Centrally cleared interest rate swaps | — | 12,438,524 | — | 12,438,524 | ||||||||||||
OTC interest rate swaps‡ | — | 8,760,800 | — | 8,760,800 | ||||||||||||
Centrally cleared credit default swaps on credit indices — sell protection | — | 1,815,741 | — | 1,815,741 | ||||||||||||
Total other financial instruments | $ | 39,777,975 | $ | 28,262,069 | — | $ | 68,040,044 | |||||||||
Total | $ | 42,107,902 | $ | 1,325,657,621 | $ | 907,761 | $ | 1,368,673,284 |
50 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
LIABILITIES | ||||||||||||||||
Description | Quoted Prices (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Other financial instruments: | ||||||||||||||||
Written options: | ||||||||||||||||
Exchange-traded written options | $ | 2,113,110 | — | — | $ | 2,113,110 | ||||||||||
OTC written options | — | $ | 1,290,004 | — | 1,290,004 | |||||||||||
Futures contracts | 25,799,116 | — | — | 25,799,116 | ||||||||||||
Forward foreign currency contracts | — | 6,634,857 | — | 6,634,857 | ||||||||||||
OTC credit default swaps on sovereign issues — sell protection‡ | — | 40,123 | — | 40,123 | ||||||||||||
Centrally cleared interest rate swaps | — | 17,381,488 | — | 17,381,488 | ||||||||||||
Total | $ | 27,912,226 | $ | 25,346,472 | — | $ | 53,258,698 |
† | See Schedule of Investments for additional detailed categorizations. |
* | Amount represents less than $1. |
‡ | Value includes any premium paid or received with respect to swap contracts. |
(b) Purchased options. When the Fund purchases an option, an amount equal to the premium paid by the Fund is recorded as an investment on the Statement of Assets and Liabilities, the value of which ismarked-to-market to reflect the current market value of the option purchased. If the purchased option expires, the Fund realizes a loss equal to the amount of premium paid. When an instrument is purchased or sold through the exercise of an option, the related premium paid is added to the basis of the instrument acquired or deducted from the proceeds of the instrument sold. The risk associated with purchasing put and call options is limited to the premium paid.
(c) Written options. When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which ismarked-to-market daily to reflect the current market value of the option written. If the option expires, the premium received is recorded as a realized gain. When a written call option is exercised, the difference between the premium received plus the option exercise price and the Fund’s basis in the underlying security (in the case of a covered written call option), or the cost to purchase the underlying security (in the case of an uncovered written call option), including brokerage commission, is recognized as a realized gain or loss. When a written put option is exercised, the amount of the premium received is subtracted from the cost of the security purchased by the Fund from the exercise of the written put option to form the Fund’s basis in the underlying security purchased. The writer or buyer of an option traded on an exchange can liquidate the position before the exercise of the option by entering into a closing transaction. The cost of a closing transaction is deducted from the original premium received resulting in a realized gain or loss to the Fund.
The risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 51 |
Notes to financial statements(unaudited) (cont’d)
security decreases and the option is exercised. The risk in writing an uncovered call option is that the Fund is exposed to the risk of loss if the market price of the underlying security increases. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(d) Options on futures contracts. An option on a futures contract gives the purchaser the right, in return for the premium paid, to assume a position in the underlying futures contract at the specified option exercise price at any time prior to the expiration date of the option. Upon exercise of an option, the delivery of the futures position by the writer of the option to the holder of the option will be accompanied by delivery of the accumulated balance in the writer’s futures margin account that represents the amount by which the market price of the futures contract exceeds (in the case of a call) or is less than (in the case of a put) the exercise price of the option on the futures contract. The potential for loss related to the purchase of an option on a futures contract is limited to the premium paid for the option plus transaction costs. Because the value of the option is fixed at the point of purchase, there are no daily cash payments by the purchaser to reflect changes in the value of the underlying contract; however, the value of the option changes daily and that change would be reflected in the net asset value of the Fund. The potential for loss related to writing call options is unlimited. The potential for loss related to writing put options is limited only by the aggregate strike price of the put option less the premium received.
(e) Futures contracts. The Fund uses futures contracts generally to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the Fund is required to deposit cash or securities with a broker in an amount equal to a certain percentage of the contract amount. This is known as the ‘‘initial margin’’ and subsequent payments (‘‘variation margin’’) are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. The daily changes in contract value are recorded as unrealized gains or losses in the Statement of Operations and the Fund recognizes a realized gain or loss when the contract is closed.
Futures contracts involve, to varying degrees, risk of loss in excess of the amounts reflected in the financial statements. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(f) Forward foreign currency contracts. The Fund enters into a forward foreign currency contract to hedge against foreign currency exchange rate risk on itsnon-U.S. dollar denominated securities or to facilitate settlement of a foreign currency denominated portfolio transaction. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price with delivery and settlement at a future date. The contract ismarked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is closed, through either
52 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
delivery or offset by entering into another forward foreign currency contract, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it is closed.
Non-deliverable forward foreign currency exchange contracts are settled with the counter-party in cash without the delivery of foreign currency.
Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
(g) Swap agreements. The Fund invests in swaps for the purpose of managing its exposure to interest rate, credit or market risk, or for other purposes. The use of swaps involves risks that are different from those associated with other portfolio transactions. Swap agreements are privately negotiated in theover-the-counter market and may be entered into as a bilateral contract (“OTC Swaps”) or centrally cleared (“Centrally Cleared Swaps”). Unlike Centrally Cleared Swaps, the Fund has credit exposure to the counterparties of OTC Swaps.
In a Centrally Cleared Swap, immediately following execution of the swap, the swap agreement is submitted to a clearinghouse or central counterparty (the “CCP”) and the CCP becomes the ultimate counterparty of the swap agreement. The Fund is required to interface with the CCP through a broker, acting in an agency capacity. All payments are settled with the CCP through the broker. Upon entering into a Centrally Cleared Swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities.
Swap contracts aremarked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of Centrally Cleared Swaps, if any, is recorded as a receivable or payable for variation margin on the Statement of Assets and Liabilities. Gains or losses are realized upon termination of the swap agreement. Collateral, in the form of restricted cash or securities, may be required to be held in segregated accounts with the Fund’s custodian in compliance with the terms of the swap contracts. Securities posted as collateral for swap contracts are identified in the Schedule of Investments and restricted cash, if any, is identified on the Statement of Assets and Liabilities. Risks may exceed amounts recorded in the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts’ terms, and the possible lack of liquidity with respect to the swap agreements.
OTC swap payments received or made at the beginning of the measurement period are reflected as a premium or deposit, respectively, on the Statement of Assets and Liabilities. These upfront payments are amortized over the life of the swap and are recognized as realized gain or loss in the Statement of Operations. Net periodic payments received or paid by the Fund are recognized as a realized gain or loss in the Statement of Operations.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 53 |
Notes to financial statements(unaudited) (cont’d)
The Fund’s maximum exposure in the event of a defined credit event on a credit default swap to sell protection is the notional amount. As of April 30, 2019, the total notional value of all credit default swaps to sell protection was $430,838,104. This amount would be offset by the value of the swap’s reference entity, upfront premiums received on the swap and any amounts received from the settlement of a credit default swap where the Fund bought protection for the same referenced security/entity.
For average notional amounts of swaps held during the six months ended April 30, 2019, see Note 4.
Credit default swaps
The Fund enters into credit default swap (“CDS”) contracts for investment purposes, to manage its credit risk or to add leverage. CDS agreements involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party, typically corporate or sovereign issuers, on a specified obligation, or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index. The Fund may use a CDS to provide protection against defaults of the issuers (i.e., to reduce risk where the Fund has exposure to an issuer) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. As a seller of protection, the Fund generally receives an upfront payment or a stream of payments throughout the term of the swap provided that there is no credit event. If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the maximum potential amount of future payments (undiscounted) that the Fund could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These amounts of potential payments will be partially offset by any recovery of values from the respective referenced obligations. As a seller of protection, the Fund effectively adds leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. As a buyer of protection, the Fund generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied spreads are the theoretical prices a lender receives for credit default protection. When spreads rise, market perceived credit risk rises and when spreads fall, market perceived credit risk falls. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. Credit spreads utilized in determining the period end market value of credit default swap agreements on corporate or sovereign issues are disclosed in the Schedule of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for credit derivatives. For credit default swap agreements on asset-backed securities and credit
54 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
indices, the quoted market prices and resulting values, particularly in relation to the notional amount of the contract as well as the annual payment rate, serve as an indication of the current status of the payment/performance risk.
The Fund’s maximum risk of loss from counterparty risk, as the protection buyer, is the fair value of the contract (this risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty). As the protection seller, the Fund’s maximum risk is the notional amount of the contract. Credit default swaps are considered to have credit risk-related contingent features since they require payment by the protection seller to the protection buyer upon the occurrence of a defined credit event.
Entering into a CDS agreement involves, to varying degrees, elements of credit, market and documentation risk in excess of the related amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreement, and that there will be unfavorable changes in net interest rates.
Interest rate swaps
The Fund enters into interest rate swap contracts to manage its exposure to interest rate risk. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional principal amount. The Fund may elect to pay a fixed rate and receive a floating rate, receive a fixed rate and pay a floating rate, or receive and pay a floating rate, on a notional principal amount. Interest rate swaps aremarked-to-market daily based upon quotations from market makers and the change, if any, is recorded as an unrealized gain or loss in the Statement of Operations. When a swap contract is terminated early, the Fund records a realized gain or loss equal to the difference between the original cost and the settlement amount of the closing transaction.
The risks of interest rate swaps include changes in market conditions that will affect the value of the contract or changes in the present value of the future cash flow streams and the possible inability of the counterparty to fulfill its obligations under the agreement. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
(h) Swaptions. The Fund may purchase or write swaption contracts to manage exposure to fluctuations in interest rates or to enhance yield. The Fund may also purchase and write swaption contracts to manage exposure to an underlying instrument. Swaption contracts written by the Fund represent an option that gives the purchaser the right, but not the obligation, to enter into a previously agreed upon swap contract at a future date. Swaption contracts purchased by the Fund represent an option that gives the Fund the right, but not the obligation, to enter into a previously agreed upon swap contract at a future date.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 55 |
Notes to financial statements(unaudited) (cont’d)
When the Fund writes a swaption, an amount equal to the premium received by the Fund is recorded as a liability, the value of which ismarked-to-market daily to reflect the current market value of the swaption written. If the swaption expires, the Fund realizes a gain equal to the amount of the premium received.
When the Fund purchases a swaption, an amount equal to the premium paid by the Fund is recorded as an investment on the Statement of Assets and Liabilities, the value of which ismarked-to-market daily to reflect the current market value of the swaption purchased. If the swaption expires, the Fund realizes a loss equal to the amount of the premium paid.
Swaptions aremarked-to-market daily based upon quotations from market makers. Changes in the value of the swaption are reported as unrealized gains or losses in the Statement of Operations.
(i) Loan participations. The Fund may invest in loans arranged through private negotiation between one or more financial institutions. The Fund’s investment in any such loan may be in the form of a participation in or an assignment of the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement related to the loan, or any rights ofoff-set against the borrower and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the participation.
The Fund assumes the credit risk of the borrower, the lender that is selling the participation and any other persons interpositioned between the Fund and the borrower. In the event of the insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not benefit from anyoff-set between the lender and the borrower.
(j) Unfunded loan commitments. The Fund may enter into certain credit agreements where all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. The commitments are disclosed in the accompanying Schedule of Investments. At April 30, 2019, the Fund had sufficient cash and/or securities to cover these commitments.
(k) Stripped securities. The Fund may invest in ‘‘Stripped Securities,’’ a term used collectively for components, or strips, of fixed income securities. Stripped Securities can be principal only securities (“PO”), which are debt obligations that have been stripped of unmatured interest coupons, or interest only securities (“IO”), which are unmatured interest coupons that have been stripped from debt obligations. The market value of Stripped Securities will fluctuate in response to changes in economic conditions, rates ofpre-payment, interest rates and the market’s perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation may increase with a longer period of maturity.
56 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
The yield to maturity on IO’s is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in IO’s.
(l) Securities traded on a when-issued and delayed delivery basis. The Fund may trade securities on a when-issued or delayed delivery basis. In when-issued and delayed delivery transactions, the securities are purchased or sold by the Fund with payment and delivery taking place in the future in order to secure what is considered to be an advantageous price and yield to the Fund at the time of entering into the transaction.
Purchasing such securities involves risk of loss if the value of the securities declines prior to settlement. These securities are subject to market fluctuations and their current value is determined in the same manner as for other securities.
(m) Inflation-indexed bonds. Inflation-indexed bonds are fixed-income securities whose principal value or interest rate is periodically adjusted according to the rate of inflation. As the index measuring inflation changes, the principal value or interest rate of inflation-indexed bonds will be adjusted accordingly. Inflation adjustments to the principal amount of inflation-indexed bonds are reflected as an increase or decrease to investment income on the Statement of Operations. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
(n) Foreign currency translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, other than investments in securities, on the date of valuation, resulting from changes in exchange rates.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 57 |
Notes to financial statements(unaudited) (cont’d)
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.
(o) Credit and market risk. The Fund invests in high-yield and emerging market instruments that are subject to certain credit and market risks. The yields of high-yield and emerging market debt obligations reflect, among other things, perceived credit and market risks. The Fund’s investments in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading. The consequences of political, social, economic or diplomatic changes may have disruptive effects on the market prices of investments held by the Fund. The Fund’s investments innon-U.S. dollar denominated securities may also result in foreign currency losses caused by devaluations and exchange rate fluctuations.
Investments in securities that are collateralized by real estate mortgages are subject to certain credit and liquidity risks. When market conditions result in an increase in default rates of the underlying mortgages and the foreclosure values of underlying real estate properties are materially below the outstanding amount of these underlying mortgages, collection of the full amount of accrued interest and principal on these investments may be doubtful. Such market conditions may significantly impair the value and liquidity of these investments and may result in a lack of correlation between their credit ratings and values.
(p) Foreign investment risks. The Fund’s investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.
(q) Counterparty risk and credit-risk-related contingent features of derivative instruments. The Fund may invest in certain securities or engage in other transactions, where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The Fund’s subadviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions.
58 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the subadviser. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.
With exchange traded and centrally cleared derivatives, there is less counterparty risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default of the clearing broker or clearinghouse.
The Fund has entered into master agreements, such as an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement, with certain of its derivative counterparties that governover-the-counter derivatives and provide for general obligations, representations, agreements, collateral posting terms, netting provisions in the event of default or termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Fund’s net assets or NAV over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.
Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. However, absent an event of default by the counterparty or a termination of the agreement, the terms of the ISDA Master Agreements do not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The enforceability of the right to offset may vary by jurisdiction.
Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearinghouse for exchange traded derivatives while collateral terms are contract specific forover-the-counter traded derivatives. Cash collateral that has been pledged to cover obligations of the Fund under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Schedule of Investments.
As of April 30, 2019, the Fund held OTC written options, forward foreign currency contracts and OTC credit default swaps with credit related contingent features which had a liability position of $7,964,984. If a contingent feature in the master agreements would have been triggered, the Fund would have been required to pay this amount to its derivatives counter-parties. As of April 30, 2019, the Fund had posted with its counterparties cash and/or securities as collateral to cover the net liability of these derivatives amounting to $2,320,000, which could be used to reduce the required payment.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 59 |
Notes to financial statements(unaudited) (cont’d)
At April 30, 2019, the Fund heldnon-cash collateral from Bank of America N.A., Barclays Bank PLC, BNP Paribas SA and JPMorgan Chase & Co. in the amounts of $8,887,987, $62,360, $183,755 and $275,156 respectively. These amounts could be used to reduce the Fund’s exposure to the counterparty in the event of default.
(r) Security transactions and investment income. Security transactions are accounted for on a trade date basis. Interest income (including interest income frompayment-in-kind securities), adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Paydown gains and losses on mortgage- and asset-backed securities are recorded as adjustments to interest income. Dividend income is recorded on theex-dividend date for dividends received in cash and/or securities. Foreign dividend income is recorded on theex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
(s) Distributions to shareholders. Distributions from net investment income and distributions of net realized gains, if any, are declared at least annually. Distributions to shareholders of the Fund are recorded on theex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
(t) Share class accounting. Investment income, common expenses and realized/ unrealized gains (losses) on investments are allocated to the various classes of the Fund on the basis of daily net assets of each class. Fees relating to a specific class are charged directly to that share class.
(u) Compensating balance arrangements. The Fund has an arrangement with its custodian bank whereby a portion of the custodian’s fees is paid indirectly by credits earned on the Fund’s cash on deposit with the bank.
(v) Federal and other taxes. It is the Fund’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986 (the “Code”), as amended, applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal or state income tax provision is required in the Fund’s financial statements.
Management has analyzed the Fund’s tax positions taken on income tax returns for all open tax years and has concluded that as of October 31, 2018, no provision for income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
60 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.
(w) Reclassification. GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share.
2. Investment management agreement and other transactions with affiliates
Legg Mason Partners Fund Advisor, LLC (“LMPFA”) is the Fund’s investment manager. Western Asset Management Company, LLC (“Western Asset”), Western Asset Management Company Pte. Ltd. in Singapore (“Western Singapore”), Western Asset Management Company Ltd in Japan (“Western Japan”) and Western Asset Management Company Limited in London (“Western Asset London”) are the Fund’s subadvisers. LMPFA, Western Asset, Western Singapore, Western Japan and Western Asset London are wholly-owned subsidiaries of Legg Mason, Inc. (“Legg Mason”).
LMPFA provides administrative and certain oversight services to the Fund. The Fund pays LMPFA an investment management fee, calculated daily and paid monthly, at an annual rate of 1.15% of the Fund’s average daily net assets.
As a result of expense limitation arrangements between the Fund and LMPFA, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, taxes, extraordinary expenses, acquired fund fees and expenses and deferred organizational expenses, to average net assets of Class A, Class A2, Class C, Class FI, Class I and Class IS shares did not exceed 1.65%, 1.85%, 2.40%, 1.65%, 1.35% and 1.25%, respectively. In addition, the ratio of total annual fund operating expenses for Class IS shares did not exceed the ratio of total annual fund operating expenses for Class I shares. These expense limitation arrangements cannot be terminated prior to December 31, 2020 without the Board of Directors’ consent.
LMPFA is permitted to recapture amounts waived and/or reimbursed to a class within two years after the fiscal year in which LMPFA earned the fee or incurred the expense if the class’ total annual operating expenses have fallen to a level below the expense limitation (“expense cap”) in effect at the time the fees were earned or the expenses incurred. In no case will LMPFA recapture any amount that would result, on any particular business day of the Fund, in the class’ total annual operating expenses exceeding the expense cap or any other lower limit then in effect.
Pursuant to these arrangements, at April 30, 2019, the Fund had remaining fee waivers and/or expense reimbursements subject to recapture by LMPFA and respective dates of expiration as follows:
Class FI | ||||
Expires September 30, 2020 | $ | 1,205 | ||
Total fee waivers/expense reimbursements subject to recapture | $ | 1,205 |
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 61 |
Notes to financial statements(unaudited) (cont’d)
For the six months ended April 30, 2019, LMPFA did not recapture any fees.
Legg Mason Investor Services, LLC (“LMIS”), a wholly-owned broker-dealer subsidiary of Legg Mason, serves as the Fund’s sole and exclusive distributor.
There is a maximum initial sales charge of 4.25% for Class A and Class A2 shares. There is a contingent deferred sales charge (“CDSC”) of 1.00% on Class C shares, which applies if redemption occurs within 12 months from purchase payment. In certain cases, Class A and Class A2 shares have a 1.00% CDSC, which applies if redemption occurs within 18 months from purchase payment. This CDSC only applies to those purchases of Class A and Class A2 shares, which, when combined with current holdings of other shares of funds sold by LMIS, equal or exceed $1,000,000 in the aggregate. These purchases do not incur an initial sales charge.
For the six months ended April 30, 2019, sales charges retained by and CDSCs paid to LMIS and its affiliates, if any, were as follows:
Class A | Class A2 | Class C | ||||||||||
Sales charges | $ | 1,040 | $ | 35 | — | |||||||
CDSCs | 2,709 | — | $ | 1,244 |
All officers of the Corporation are employees of Legg Mason or its affiliates and do not receive compensation from the Corporation.
3. Investments
During the six months ended April 30, 2019, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) and U.S. Government & Agency Obligations were as follows:
Investments | U.S. Government & Agency Obligations | |||||||
Purchases | $ | 159,509,098 | $ | 787,114,184 | ||||
Sales | 179,223,540 | 877,858,288 |
At April 30, 2019, the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
Cost/Premiums Paid (Received) | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Securities | $ | 1,337,433,175 | $ | 37,258,864 | $ | (74,058,799) | $ | (36,799,935) | ||||||||
Swap contracts | 2,403,432 | 23,311,671 | (17,381,488) | 5,930,183 | ||||||||||||
Written options | (4,748,974) | 1,826,255 | (480,395) | 1,345,860 | ||||||||||||
Futures contracts | — | 39,777,975 | (25,799,116) | 13,978,859 | ||||||||||||
Forward foreign currency contracts | — | 5,247,004 | (6,634,857) | (1,387,853) |
62 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
4. Derivative instruments and hedging activities
Below is a table, grouped by derivative type, that provides information about the fair value and the location of derivatives within the Statement of Assets and Liabilities at April 30, 2019.
ASSET DERIVATIVES1 | ||||||||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Purchased options2 | $ | 948,750 | $ | 2,900,964 | $ | 565 | $ | 3,850,279 | ||||||||
Futures contracts3 | 38,901,758 | 876,217 | — | 39,777,975 | ||||||||||||
OTC swap contracts4 | 8,760,800 | — | — | 8,760,800 | ||||||||||||
Centrally cleared swap contracts5 | 12,438,524 | — | 1,815,741 | 14,254,265 | ||||||||||||
Forward foreign currency contracts | — | 5,247,004 | — | 5,247,004 | ||||||||||||
Total | $ | 61,049,832 | $ | 9,024,185 | $ | 1,816,306 | $ | 71,890,323 |
LIABILITY DERIVATIVES1 | ||||||||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Written options | $ | 2,102,365 | $ | 1,297,980 | $ | 2,769 | $ | 3,403,114 | ||||||||
Futures contracts3 | 25,501,279 | 297,837 | — | 25,799,116 | ||||||||||||
OTC swap contracts4 | — | — | 40,123 | 40,123 | ||||||||||||
Centrally cleared swap contracts5 | 17,381,488 | — | — | 17,381,488 | ||||||||||||
Forward foreign currency contracts | — | 6,634,857 | — | 6,634,857 | ||||||||||||
Total | $ | 44,985,132 | $ | 8,230,674 | $ | 42,892 | $ | 53,258,698 |
1 | Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation (depreciation) and for liability derivatives is payables/net unrealized appreciation (depreciation). |
2 | Market value of purchased options is reported in Investments in unaffiliated securities at value in the Statement of Assets and Liabilities. |
3 | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin is reported within the receivables and/or payables on the Statement of Assets and Liabilities. |
4 | Values include premiums paid (received) on swap contracts which are shown separately in the Statement of Assets and Liabilities. |
5 | Includes cumulative appreciation (depreciation) of centrally cleared swap contracts as reported in the Schedule of Investments. Only variation margin is reported within the receivables and/or payables on the Statement of Assets and Liabilities. |
The following tables provide information about the effect of derivatives and hedging activities on the Fund’s Statement of Operations for the six months ended April 30, 2019. The first table provides additional detail about the amounts and sources of gains (losses) realized on derivatives during the period. The second table provides additional information about the change in unrealized appreciation (depreciation) resulting from the Fund’s derivatives and hedging activities during the period.
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 63 |
Notes to financial statements(unaudited) (cont’d)
AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED | ||||||||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Purchased options1 | $ | (9,372,347) | $ | (6,716,163) | $ | (559,547) | $ | (16,648,057) | ||||||||
Written options | 22,013,996 | 5,551,206 | 220,732 | 27,785,934 | ||||||||||||
Futures contracts | (27,610,494) | 2,310,717 | — | (25,299,777) | ||||||||||||
Swap contracts | 16,619,929 | — | 3,851,627 | 20,471,556 | ||||||||||||
Forward foreign currency contracts | — | 5,426,733 | — | 5,426,733 | ||||||||||||
Total | $ | 1,651,084 | $ | 6,572,493 | $ | 3,512,812 | $ | 11,736,389 |
1 | Net realized gain (loss) from purchased options is reported in net realized gain (loss) from investment in unaffiliated securities transactions in the Statement of Operations. |
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED | ||||||||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Purchased options1 | $ | 471,200 | $ | 238,263 | $ | (76,133) | $ | 633,330 | ||||||||
Written options | (190,045) | (691,370) | 8,478 | (872,937) | ||||||||||||
Futures contracts | 32,026,912 | 2,848,313 | — | 34,875,225 | ||||||||||||
Swap contracts | (544,601) | — | 2,086,819 | 1,542,218 | ||||||||||||
Forward foreign currency contracts | — | (5,493,367) | — | (5,493,367) | ||||||||||||
Total | $ | 31,763,466 | $ | (3,098,161) | $ | 2,019,164 | $ | 30,684,469 |
1 | The change in unrealized appreciation (depreciation) from purchased options is reported in the change in net unrealized appreciation (depreciation) from investments in unaffiliated securities in the Statement of Operations. |
During the six months ended April 30, 2019, the volume of derivative activity for the Fund was as follows:
Average Market Value | ||||
Purchased options | $ | 4,199,632 | ||
Written options | 5,706,939 | |||
Futures contracts (to buy) | 5,457,369,301 | |||
Futures contracts (to sell) | 3,431,497,070 | |||
Forward foreign currency contracts (to buy) | 504,681,024 | |||
Forward foreign currency contracts (to sell) | 664,191,202 | |||
Average Notional Balance | ||||
Interest rate swap contracts | $ | 2,830,192,727 | ||
Credit default swap contracts (to buy protection) | 4,068,286 | |||
Credit default swap contracts (to sell protection) | 338,485,254 |
64 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
The following table presents the Fund’s OTC derivative assets and liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement and net of the related collateral pledged (received) by the Fund as of April 30, 2019.
Counterparty | Gross Assets Subject to Master Agreements1 | Gross Liabilities Subject to Master Agreements1 | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received)2, 3 | Net Amount4, 5 | |||||||||||||||
Bank of America N.A. | $ | 8,805,845 | $ | (2,769) | $ | 8,803,076 | $ | (8,805,845) | $ | (2,769) | ||||||||||
Barclays Bank PLC | 2,205,828 | (1,274,674) | 931,154 | (62,360) | 868,794 | |||||||||||||||
BNP Paribas SA | 644,197 | (308,295) | 335,902 | (183,755) | 152,147 | |||||||||||||||
Citibank N.A. | 1,126,672 | (3,424,850) | (2,298,178) | 2,320,000 | 21,822 | |||||||||||||||
Goldman Sachs Group Inc. | 1,552,169 | (1,064,804) | 487,365 | — | 487,365 | |||||||||||||||
JPMorgan Chase & Co. | 2,329,549 | (1,889,592) | 439,957 | (275,156) | 164,801 | |||||||||||||||
Total | $ | 16,664,260 | $ | (7,964,984) | $ | 8,699,276 | $ | (7,007,116) | $ | 1,692,160 |
1 | Absent an event of default or early termination, derivative assets and liabilities are presented gross and not offset in the Statement of Assets and Liabilities. |
2 | Gross amounts are not offset in the Statement of Assets and Liabilities. |
3 | In some instances, the actual collateral received and/or pledged may be more than the amount shown here due to overcollateralization. |
4 | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
5 | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
5. Class specific expenses, waivers and/or expense reimbursements
The Fund has adopted a Rule12b-1 shareholder services and distribution plan and under that plan the Fund pays service and/or distribution fees with respect to its Class A, Class A2, Class C and Class FI shares calculated at the annual rate of 0.25%, 0.25%, 1.00% and 0.25% of the average daily net assets of each class, respectively. Service and/or distribution fees are accrued daily and paid monthly.
For the six months ended April 30, 2019, class specific expenses were as follows:
Service and/or Distribution Fees | Transfer Agent Fees | |||||||
Class A | $ | 49,908 | $ | 25,009 | ||||
Class A2 | 678 | 363 | ||||||
Class C | 146,424 | 13,985 | ||||||
Class FI | 50,843 | 28,244 | ||||||
Class I | — | 508,362 | ||||||
Class IS | — | 1,009 | ||||||
Total | $ | 247,853 | $ | 576,972 |
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 65 |
Notes to financial statements(unaudited) (cont’d)
6. Distributions to shareholders by class
Six Months Ended April 30, 2019 | Year Ended October 31, 2018 | |||||||
Net Investment Income: | ||||||||
Class A | $ | 943,097 | $ | 1,391,661 | ||||
Class A2 | 12,583 | 20,743 | ||||||
Class C | 420,361 | 953,655 | ||||||
Class FI | 696,697 | 2,544,996 | ||||||
Class I | 27,336,107 | 35,945,106 | ||||||
Class IS | 4,291,176 | 6,144,031 | ||||||
Total | $ | 33,700,021 | $ | 47,000,192 | ||||
Net Realized Gains: | ||||||||
Class A | — | $ | 862,737 | |||||
Class A2 | — | 11,493 | ||||||
Class C | — | 723,482 | ||||||
Class FI | — | 1,508,868 | ||||||
Class I | — | 20,171,093 | ||||||
Class IS | — | 3,380,668 | ||||||
Total | — | $ | 26,658,341 |
7. Capital Shares
At April 30, 2019, the Corporation had 42.7 billion shares of capital stock authorized with a par value of $0.001 per share. Transactions in shares of each class were as follows:
Six Months Ended April 30, 2019 | Year Ended October 31, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A | ||||||||||||||||
Shares sold | 451,410 | $ | 4,903,823 | 2,246,396 | $ | 25,258,621 | ||||||||||
Shares issued on reinvestment | 77,067 | 813,059 | 176,864 | 2,003,869 | ||||||||||||
Shares repurchased | (902,145) | (9,724,688) | (2,372,595) | (26,096,029) | ||||||||||||
Net increase (decrease) | (373,668) | $ | (4,007,806) | 50,665 | $ | 1,166,461 | ||||||||||
Class A2 | ||||||||||||||||
Shares sold | 2,512 | $ | 26,710 | 78,576 | $ | 886,800 | ||||||||||
Shares issued on reinvestment | 1,203 | 12,583 | 2,871 | 32,236 | ||||||||||||
Shares repurchased | (4,145) | (44,401) | (61,257) | (657,608) | ||||||||||||
Net increase (decrease) | (430) | $ | (5,108) | 20,190 | $ | 261,428 | ||||||||||
Class C | ||||||||||||||||
Shares sold | 338,988 | $ | 3,600,286 | 1,164,454 | $ | 13,063,748 | ||||||||||
Shares issued on reinvestment | 33,913 | 355,068 | 119,685 | 1,342,867 | ||||||||||||
Shares repurchased | (1,065,713) | (11,294,328) | (1,352,590) | (14,535,058) | ||||||||||||
Net decrease | (692,812) | $ | (7,338,974) | (68,451) | $ | (128,443) |
66 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Six Months Ended April 30, 2019 | Year Ended October 31, 2018 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class FI | ||||||||||||||||
Shares sold | 2,148,164 | $ | 23,182,748 | 799,796 | $ | 9,024,920 | ||||||||||
Shares issued on reinvestment | 66,038 | 696,697 | 358,077 | 4,053,427 | ||||||||||||
Shares repurchased | (798,878) | (8,725,362) | (5,109,878) | (57,866,417) | ||||||||||||
Net increase (decrease) | 1,415,324 | $ | 15,154,083 | (3,952,005) | $ | (44,788,070) | ||||||||||
Class I | ||||||||||||||||
Shares sold | 21,143,325 | $ | 228,723,590 | 69,783,916 | $ | 780,451,244 | ||||||||||
Shares issued on reinvestment | 1,820,972 | 19,174,834 | 3,420,098 | 38,681,306 | ||||||||||||
Shares repurchased | (35,640,853) | (379,991,458) | (51,867,720) | (566,172,330) | ||||||||||||
Net increase (decrease) | (12,676,556) | $ | (132,093,034) | 21,336,294 | $ | 252,960,220 | ||||||||||
Class IS | ||||||||||||||||
Shares sold | 4,954,749 | $ | 54,038,674 | 5,350,605 | $ | 60,069,554 | ||||||||||
Shares issued on reinvestment | 228,726 | 2,413,064 | 509,818 | 5,776,238 | ||||||||||||
Shares repurchased | (3,568,177) | (38,122,325) | (4,438,335) | (48,800,337) | ||||||||||||
Net increase | 1,615,298 | $ | 18,329,413 | 1,422,088 | $ | 17,045,455 |
8. Transactions with affiliated companies
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. The Fund may invest in Western Asset Government Cash Management Portfolio, LLC (“Cash Management Portfolio”), an affiliated private money market fund managed by Western Asset, the Fund’s subadviser. Cash Management Portfolio is available as a cash management vehicle for certain proprietary investment companies affiliated with Legg Mason. While Cash Management Portfolio is not a registered money market fund, it conducts all of its investment activities in accordance with the requirements of Rule2a-7 under the 1940 Act. Based on the Fund’s relative ownership, the following companies were considered affiliated companies for all or some portion of the six months ended April 30, 2019. The following transactions were effected in shares of such companies for the six months ended April 30, 2019.
Affiliate Value at October 31, 2018 | Purchased | Sold | ||||||||||||||||||
Cost | Shares | Cost | Shares | |||||||||||||||||
Western Asset Government Cash Management Portfolio LLC | $ | 18,100 | $ | 418,763,906 | 418,763,906 | $ | 383,627,517 | 383,627,517 |
(cont’d) | Realized Gain (Loss) | Interest Income | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate April 30, | ||||||||||||
Western Asset Government Cash Management Portfolio LLC | — | $ | 163,906 | — | $ | 35,154,489 |
Western Asset Macro Opportunities Fund 2019 Semi-Annual Report | 67 |
Notes to financial statements(unaudited) (cont’d)
9. Redemption facility
The Fund and certain other participating funds within the Corporation (the “Participating Funds”), have available an unsecured revolving credit facility (the “Redemption Facility”) from the lenders and The Bank of New York Mellon (“BNY Mellon”), as administrative agent for the lenders. The Redemption Facility is to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of shares. Under the agreement, BNY Mellon provides a364-day revolving credit facility, in the aggregate amount of $265 million. Unless renewed, the agreement will terminate on November 18, 2019. Any borrowings under the Redemption Facility will bear interest at current market rates as set forth in the credit agreement. The annual commitment fee to maintain the Redemption Facility is 0.10% and is incurred on the unused portion of the facility and is allocated to all Participating Funds pro rata based on net assets. For the six months ended April 30, 2019, the Fund incurred a commitment fee in the amount of $5,118. The Fund did not utilize the Redemption Facility during the six months ended April 30, 2019.
10. Deferred capital losses
As of October 31, 2018, the Fund had deferred capital losses of $18,584,942, which have no expiration date, that will be available to offset future taxable capital gains.
11. Recent accounting pronouncements
In August 2018, the Securities and Exchange Commission released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing redundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. Effective with the current reporting period, the Fund adopted the Final Rule with the most notable impacts being that the Fund is no longer required to present the components of distributable earnings on the Statement of Assets and Liabilities or the sources of distributions to shareholders and the amount of undistributed net investment income on the Statements of Changes in Net Assets. The tax components of distributable earnings and distributions to shareholders continue to be disclosed within the Notes to Financial Statements.
The Fund has adopted the disclosure provisions of the Financial Accounting Standards Board Accounting Standards UpdateNo. 2018-13,Fair Value Measurement (Topic 820)—Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement(“ASU2018-13”) which introduces new fair value disclosure requirements as well as eliminates and modifies certain existing fair value disclosure requirements. ASU2018-13 would be effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years; however, management has elected to early adopt ASU2018-13. The impact of the Fund’s adoption was limited to changes in the Fund’s financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy.
68 | Western Asset Macro Opportunities Fund 2019 Semi-Annual Report |
Board approval of management and subadvisory agreements(unaudited)
The Executive and Contracts Committee of the Board of Directors considered the Investment Management Agreement between the Corporation and LMPFA with respect to the Fund and the Investment Advisory Agreements between LMPFA and Western Asset Management Company, LLC (“Western Asset”), Western Asset Management Company Limited in London (“WAML”), Western Asset Management Company Pte. Ltd. in Singapore (“Western Singapore”) and Western Asset Management Company Ltd in Japan (“Western Japan,” and together with Western Singapore and WAML, the “Non-U.S. Subadvisers” and together with Western Asset, the “Subadvisers”) (collectively, the “Agreements”) with respect to the Fund at meetings held on September 11, 2018 and October 29, 2018. At a meeting held on November 13, 2018, the Executive and Contracts Committee reported to the full Board of Directors its considerations and recommendation with respect to the Agreements and the Board of Directors, including a majority of the Independent Directors, considered and approved renewal of the Agreements.
The Directors noted that although Western Asset’s business is operated through separate legal entities, such as theNon-U.S. Subadvisers, its business is highly integrated and senior investment personnel at Western Asset have supervisory oversight responsibility over the investment decisions made by theNon-U.S. Subadvisers. Therefore, in connection with their deliberations noted below, the Directors primarily focused on the information provided by Western Asset when considering the approval of the Investment Advisory Agreements between LMPFA and theNon-U.S. Subadvisers with respect to the Fund. The Directors also noted that the Fund does not pay any management fees directly to Western Asset or to any of theNon-U.S. Subadvisers because LMPFA pays the Subadvisers for services provided to the Fund out of the management fee LMPFA receives from the Fund.
In arriving at their decision to renew the Agreements, the Directors met with representatives of Western Asset, including relevant investment advisory personnel, as well as representatives of LMPFA; reviewed a variety of information prepared by LMPFA and Western Asset and materials provided by Broadridge and counsel to the Independent Directors; reviewed performance and expense information for the Fund’s peer group of comparable funds selected and prepared by Broadridge and for certain other comparable products available from Western Asset, including separate accounts managed by Western Asset; and requested and reviewed additional information as necessary. These reviews were in addition to information obtained by the Directors at their regular quarterly meetings with respect to the Fund’s performance and other relevant matters, and related discussions with Western Asset’s personnel.
As part of their review, the Directors examined LMPFA’s ability to provide high quality oversight and administrative and shareholder support services to the Fund, and the Subadvisers’ ability to provide high quality investment management services to the Fund. The Directors considered the experience of LMPFA’s personnel in providing the types of services that LMPFA is responsible for providing to the Fund; the ability of LMPFA to attract and retain capable personnel; the capability and integrity of LMPFA’s senior management and staff;
Western Asset Macro Opportunities Fund | 69 |
Board approval of management and subadvisory agreements(unaudited) (cont’d)
and the level of skill required to provide such services to the Fund. The Directors considered the investment philosophy and research and decision-making processes of the Subadvisers; the experience of their key advisory personnel responsible for management of the Fund; the ability of the Subadvisers to attract and retain capable research and advisory personnel; the capability and integrity of the Subadvisers’ senior management and staff; and the level of skill required to manage the Fund. In addition, the Directors reviewed the quality of LMPFA’s and the Subadvisers’ services with respect to regulatory compliance and compliance with the investment policies of the Fund and conditions that might affect LMPFA’s or a Subadviser’s ability to provide high quality services to the Fund in the future under the Agreements, including its business reputation, financial condition and operational stability. Based on the foregoing, the Directors concluded that the Subadvisers’ investment process, research capabilities and philosophy were well suited to the Fund given the Fund’s investment objectives and policies, and that LMPFA and each of the Subadvisers would be able to meet any reasonably foreseeable obligations under the Agreements.
In reviewing the quality of the services provided to the Fund, the Directors also reviewed comparisons of the performance of the Fund to the performance of certain comparable funds in its peer group and to its investment benchmark over the one- and three-year periods ended June 30, 2018. In that connection, the Directors noted that the performance of the Fund exceeded its peer group’s average performance for the three-year period and was lower than its peer group’s average performance for the one-year period. With respect to the Fund, the Directors considered the factors involved in its performance relative to the performance of its investment benchmark and peer group.
The Directors also considered the management fee payable by the Fund to LMPFA, the total expenses payable by the Fund and the fact that LMPFA pays to the Subadvisers the entire management fee it receives from the Fund. They reviewed information concerning management fees paid to investment advisers of similarly managed funds, as well as fees paid by the Subadvisers’ other clients, including separate accounts managed by one or more of the Subadvisers. The Directors observed that the management fee paid by the Fund to LMPFA was higher than the average of the management fees paid by funds in its peer group and that total expenses for the Fund were higher than the average of the funds in its peer group. The Directors noted that the management fee paid by the Fund was generally higher than the management fees paid by other clients of the Subadvisers for accounts with similar investment strategies, but that the administrative and operational responsibilities for the Subadvisers with respect to the Fund were also relatively higher. In light of this difference, the Directors concluded that the management fee paid by the Fund relative to the fees paid by the Subadvisers’ other clients was reasonable.
The Directors further evaluated the benefits of the advisory relationship to LMPFA and the Subadvisers, including, among others, the profitability of the relationship to LMPFA and the Subadvisers; the direct and indirect benefits that LMPFA and each Subadviser may receive from its relationship with the Fund, including any “fallout benefits,” such as reputational
70 | Western Asset Macro Opportunities Fund |
value derived from serving as investment manager or adviser to the Fund; and the affiliations between LMPFA, the Subadvisers and certain service providers for the Fund. In that connection, the Directors concluded that LMPFA and each Subadviser’s profitability was consistent with levels of profitability that had been determined by courts not to be excessive. The Directors noted that Western Asset does not have soft dollar arrangements.
Finally, the Directors considered, in light of the profitability information provided by LMPFA and Western Asset, the extent to which economies of scale would be realized by the Subadvisers as the assets of the Fund grow. The Directors determined that the lack of breakpoints was appropriate and that the management fee structure for the Fund is reasonable.
In their deliberations with respect to these matters, the Independent Directors were advised by their independent counsel, who is independent, within the meaning of Securities and Exchange Commission rules regarding the independence of counsel, of LMPFA and the Subadvisers. The Independent Directors weighed each of the foregoing matters in light of the advice given to them by their independent counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Directors, including the Independent Directors, did not identify any single matter asall-important or controlling, and the foregoing summary does not detail all the matters considered. The Directors judged the terms and conditions of the Agreements, including the investment advisory fees, in light of all of the surrounding circumstances.
Based upon their review, the Directors, including all of the Independent Directors, determined, in the exercise of their business judgment, that they were generally satisfied with the quality of services being provided by LMPFA and the Subadvisers, but they would continue to closely monitor the performance of LMPFA and the Subadvisers; that the fees to be paid to the Subadvisers and LMPFA under the relevant Agreements were fair and reasonable, given the scope and quality of the services rendered by the Subadvisers and LMPFA; and that approval of the Agreements was in the best interest of the Fund and its shareholders.
Western Asset Macro Opportunities Fund | 71 |
Western Asset
Macro Opportunities Fund
Directors
Robert Abeles, Jr
Anita L. DeFrantz
Ronald L. Olson
Avedick B. Poladian
William E.B. Siart
Chairman
Jaynie M. Studenmund
Investment manager
Legg Mason Partners Fund Advisor, LLC
Subadvisers
Western Asset Management Company, LLC
Western Asset Management Company Limited
Western Asset Management Company Ltd
Western Asset Management Company Pte. Ltd.
Distributor
Legg Mason Investor Services, LLC
Transfer agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Custodian
The Bank of New York Mellon
Independent registered public accounting firm
Pricewaterhouse Coopers LLP
Baltimore, MD
Legal counsel
Ropes & Gray LLP
1211 Avenue of the Americas
New York, NY 10036
Western Asset Macro Opportunities Fund
The Fund is a separate investment series of Western Asset Funds, Inc.
Western Asset Macro Opportunities Fund
Legg Mason Funds
620 Eighth Avenue, 49th Floor
New York, NY 10018
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on FormN-PORT. Previously, the Fund filed a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on FormN-Q. The Fund’s FormsN-PORT andN-Q are available on the SEC’s website at www.sec.gov. To obtain information on FormsN-PORT andN-Q, shareholders can call the Fund at1-877-721-1926.
Information on how the Fund voted proxies relating to portfolio securities during the prior12-month period ended June 30th of each year and a description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio transactions are available (1) without charge, upon request, by calling the Fund at1-877-721-1926, (2) at www.leggmason.com/mutualfunds and (3) on the SEC’s website at www.sec.gov.
This report is submitted for the general information of the shareholders of Western Asset Macro Opportunities Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a current prospectus.
Investors should consider the Fund’s investment objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the Fund. Please read the prospectus carefully before investing.
www.leggmason.com
© 2019 Legg Mason Investors Services, LLC
Member FINRA, SIPC
Legg Mason Funds Privacy and Security Notice
Your Privacy and the Security of Your Personal Information is Very Important to the Legg Mason Funds
This Privacy and Security Notice (the “Privacy Notice”) addresses the Legg Mason Funds’ privacy and data protection practices with respect to nonpublic personal information the Funds receive. The Legg Mason Funds include any funds sold by the Funds’ distributor, Legg Mason Investor Services, LLC, as well as Legg Mason-sponsoredclosed-end funds. The provisions of this Privacy Notice apply to your information both while you are a shareholder and after you are no longer invested with the Funds.
The Type of Nonpublic Personal Information the Funds Collect About You
The Funds collect and maintain nonpublic personal information about you in connection with your shareholder account. Such information may include, but is not limited to:
• | Personal information included on applications or other forms; |
• | Account balances, transactions, and mutual fund holdings and positions; |
• | Bank account information, legal documents, and identity verification documentation; |
• | Online account access user IDs, passwords, security challenge question responses; and |
• | Information received from consumer reporting agencies regarding credit history and creditworthiness (such as the amount of an individual’s total debt, payment history, etc.). |
How the Funds Use Nonpublic Personal Information About You
The Funds do not sell or share your nonpublic personal information with third parties or with affiliates for their marketing purposes, or with other financial institutions or affiliates for joint marketing purposes, unless you have authorized the Funds to do so. The Funds do not disclose any nonpublic personal information about you except as may be required to perform transactions or services you have authorized or as permitted or required by law. The Funds may disclose information about you to:
• | Employees, agents, and affiliates on a “need to know” basis to enable the Funds to conduct ordinary business or to comply with obligations to government regulators; |
• | Service providers, including the Funds’ affiliates, who assist the Funds as part of the ordinary course of business (such as printing, mailing services, or processing or servicing your account with us) or otherwise perform services on the Funds’ behalf, including companies that may perform statistical analysis, market research and marketing services solely for the Funds; |
• | Permit access to transfer, whether in the United States or countries outside of the United States to such Funds’ employees, agents and affiliates and service providers as required to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators; |
• | The Funds’ representatives such as legal counsel, accountants and auditors to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators; |
NOT PART OF THE SEMI-ANNUAL REPORT |
Legg Mason Funds Privacy and Security Notice (cont’d)
• | Fiduciaries or representatives acting on your behalf, such as an IRA custodian or trustee of a grantor trust. |
Except as otherwise permitted by applicable law, companies acting on the Funds’ behalf, including those outside the United States, are contractually obligated to keep nonpublic personal information the Funds provide to them confidential and to use the information the Funds share only to provide the services the Funds ask them to perform.
The Funds may disclose nonpublic personal information about you when necessary to enforce their rights or protect against fraud, or as permitted or required by applicable law, such as in connection with a law enforcement or regulatory request, subpoena, or similar legal process. In the event of a corporate action or in the event a Fund service provider changes, the Funds may be required to disclose your nonpublic personal information to third parties. While it is the Funds’ practice to obtain protections for disclosed information in these types of transactions, the Funds cannot guarantee their privacy policy will remain unchanged.
Keeping You Informed of the Funds’ Privacy and Security Practices
The Funds will notify you annually of their privacy policy as required by federal law. While the Funds reserve the right to modify this policy at any time they will notify you promptly if this privacy policy changes.
The Funds’ Security Practices
The Funds maintain appropriate physical, electronic and procedural safeguards designed to guard your nonpublic personal information. The Funds’ internal data security policies restrict access to your nonpublic personal information to authorized employees, who may use your nonpublic personal information for Fund business purposes only.
Although the Funds strive to protect your nonpublic personal information, they cannot ensure or warrant the security of any information you provide or transmit to them, and you do so at your own risk. In the event of a breach of the confidentiality or security of your nonpublic personal information, the Funds will attempt to notify you as necessary so you can take appropriate protective steps. If you have consented to the Funds using electronic communications or electronic delivery of statements, they may notify you under such circumstances using the most current email address you have on record with them.
In order for the Funds to provide effective service to you, keeping your account information accurate is very important. If you believe that your account information is incomplete, not accurate or not current, if you have questions about the Funds’ privacy practices, or our use of your nonpublic personal information, write the Funds using the contact information on your account statements, email the Funds by clicking on the Contact Us section of the Funds’ website at www.leggmason.com, or contact the Funds at1-877-721-1926.
Revised April 2018
NOT PART OF THE SEMI-ANNUAL REPORT |
Western Asset Management Company, LLC
Legg Mason, Inc. Subsidiaries
www.leggmason.com
© 2019 Legg Mason Investor Services, LLC Member FINRA, SIPC
WASX016460 6/19 SR19-3638
ITEM 2. | CODE OF ETHICS. |
Not applicable.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Included herein under Item 1.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 8. | PORTFOLIO MANAGERS OFCLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 9. | PURCHASES OF SECURITIES BYCLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Not applicable.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule30a-3(b) under the 1940 Act and15d-15(b) under the Securities Exchange Act of 1934. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting. |
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 13. | EXHIBITS. |
(a) (1) Not applicable.
Exhibit 99.CODE ETH
(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.CERT
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.906CERT
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.
Western Asset Funds, Inc. | ||
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer | ||
Date: | June 20, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer | ||
Date: | June 20, 2019 |
By: | /s/ Richard F. Sennett | |
Richard F. Sennett | ||
Principal Financial Officer | ||
Date: | June 20, 2019 |